/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240428.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, April 28, 2024, Vol. 28, No. 118 Headlines 1988 CLO 4: S&P Assigns Prelim BB+ (sf) Rating on Class E Notes A10 BRIDGE 2021-D: DBRS Confirms B Rating on Class G Notes AGL CLO 9: Fitch Assigns 'BB+sf' Rating on Class E-R Notes AIMCO CLO 22: S&P Assigns BB-(sf) Rating on $18.75MM Class E Notes AJAX MORTGAGE 2022-A: DBRS Hikes BB Rating on Class M3 Loans ALLEGRO CLO IX: Moody's Cuts Rating on $29.975MM Cl. E Notes to B1 AMMC CLO 23: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes ANCHORAGE CAPITAL 6: Fitch Assigns 'BB-sf' Rating on Cl. E-R3 Notes BAIN CAPITAL 2020-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes BALBOA BAY 2023-1: S&P Assigns BB- (sf) Rating on Class E-R Notes BANK 2017-BNK4: Fitch Affirms 'B-sf' Rating on Two Tranches BLACKROCK SHASTA XIII: S&P Assigns Prelim 'BB-'Rating on E Notes BLUE STREAM 2023-1: Fitch Affirms 'BB-sf' Rating on Class C Notes BMO 2024-5C4: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs BRAVO RESIDENTIAL 2024-CES1: Fitch Gives B(EXP) Rating on B-2 Notes BRIDGECREST LENDING 2024-2: DBRS Gives Prov. BB(high) on E Notes BRIDGECREST LENDING 2024-2: S&P Assigns 'BB' Rating on Cl. E Notes BX COMMERCIAL 2022-CSMO: DBRS Confirms BB Rating on Class F Certs CANYON CAPITAL 2014-1: Moody's Cuts $8MM E-R Notes Rating to Caa2 CANYON CLO 2023-2: S&P Assigns Prelim BB- (sf) Rating on E Notes CAPTREE PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes CARLYLE US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes CARVANA AUTO 2021-N1: DBRS Confirms B Rating on Class F Trusts CIFC FUNDING 2017-III: Fitch Assigns BB-sf Rating on Cl. E- R Notes CITIGROUP 2015-P1: Fitch Lowers Rating on Cl. E Certificates to Bsf CLOVER CLO 2018-1: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes COLLEGE AVE 2017-A: DBRS Confirms BB Rating on Class C Loans COLLEGIATE FUNDING 2005-A: Fitch Lowers Rating Two Tranches to BBsf COLT 2024-INV2: S&P Assigns Prelim 'B (sf)' Rating on B-2 Certs COMM 2013-LC13: S&P Lowers Class D Notes Rating to 'B- (sf)' COMM 2014-UBS2: Moody's Downgrades Rating on Cl. C Certs to Ba2 COMM 2015-CCRE24: Fitch Lowers Rating on Two Tranches to 'Bsf' COMM 2015-LC21: DBRS Confirms CCC Rating on Class F Certs CONNECTICUT AVENUE 2024-R03: DBRS Gives Prov. BB(high) on 4 Classes CPS AUTO 2024-B: DBRS Gives Prov. BB Rating on Class E Notes CSMC TRUST 2017-CHOP: S&P Affirms CCC (sf) Rating on Class F Certs DBWF 2024-LCRS: Fitch Assigns 'B-sf' Rating on Class F Certificates DENALI CAPITAL XI: Moody's Cuts Rating on $6.6MM E-R Notes to Ca DRYDEN 119: S&P Assigns BB- (sf) Rating on $11MM Class E Notes DRYDEN 78: S&P Assigns BB- (sf) Rating on Class E-2-R Notes DT AUTO 2022-1: DBRS Confirms BB Rating on Class E Notes EDUCATION LENDING 2005-1: Fitch Affirms 'Bsf' Rating on Two Classes EFMT 2024-INV1: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs ELMWOOD CLO X: Fitch Assigns 'B-sf' Rating on Class F-R Notes FLAGSHIP CREDIT 2022-1: DBRS Confirms BB Rating on Class E Trusts FLAGSHIP CREDIT 2024-1: DBRS Assigns Prov. BB Rating on E Notes FLAGSHIP CREDIT 2024-1: S&P Affirms BB (sf) Rating on Cl. E Notes FORTRESS CREDIT XXI: S&P Assigns Prelim BB- (sf) Rating on E Loans GALAXY CLO XXV: Moody's Assigns B3 Rating to $200,000 F-R Notes GALAXY XXV CLO: Fitch Assigns 'BB+sf' Rating on Class E-R Notes GOLDENTREE LOAN 9: S&P Assigns Prelim B-(sf) Rating on F-R Notes GOLUB CAPITAL 2024-1: Fitch Assigns 'BB+sf' Rating on Class E Notes GOLUB CAPITAL 52: Fitch Assigns 'BB-sf' Rating on Class E-R Notes GOODLEAP 2022-4: S&P Lowers Class C Notes Rating to 'BB (sf)' GS MORTGAGE 2020-DUNE: Moody's Lowers Rating on Cl. F Certs to Caa2 HILDENE TRUPS 2019-P12B: Moody's Affirms Ba1 Rating on Cl. B Notes HILDENE TRUPS T3C: Moody's Assigns Ba2 Rating to $7MM Cl. B Notes HILDENE TRUPS T9B: Moody's Assigns B3 Rating to $13MM Cl. B Notes HILTON GRAND 2024-1B: Fitch Assigns 'BB-sf' Rating on Class D Notes JP MORGAN 2013-LC11: Moody's Lowers Rating on Cl. B Certs to Ba3 JP MORGAN 2019-9: Moody's Upgrades Rating on 2 Tranches From Ba3 JP MORGAN 2021-INV5: Moody's Hikes Rating on Cl. B-5 Certs to B2 JPMBB COMMERCIAL 2015-C28: DBRS Cuts Rating on E Certs to B(low) JPMBB COMMERCIAL 2015-C31: DBRS Cuts Rating on Class E Certs to Csf JPMCC COMMERCIAL 2016-JP2: DBRS Cuts Class F Certs Rating to Csf KAWARTHA CAD: DBRS Gives Prov. BB(high) on Boreal 2024-1 E Notes KAWARTHA CAD: DBRS Gives Prov. BB(high) on Tranche E KKR CLO 13: Moody's Upgrades Rating on $7MM Class F-R Notes to B1 MADISON PARK LVIII: Fitch Assigns 'BBsf' Rating on Class E Notes MADISON PARK LVIII: Moody's Assigns B3 Rating to $250,000 F Notes MADISON PARK XXXVII: Fitch Assigns 'BB+sf' Rating on Cl. ER2 Notes MADISON PARK XXXVII: Moody's Assigns B3 Rating to $250,000 F Notes MAGNETITE LTD XVII: Moody's Assigns B3 Rating to $400,000 F Notes MAGNETITE XVII: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes MARBLE POINT XIX: S&P Assigns BB- (sf) Rating on Class E-R Notes MED COMMERCIAL 2024-MOB: Moody's Assigns (P)Ba1 Rating to E Certs MELLO MORTGAGE 2024-SD1: Fitch Assigns 'BB(EXP)' Rating on M2 Notes MFA TRUST 2024-NQM1: Fitch Gives 'Bsf' Rating on Class B2 Certs MIDOCEAN CREDIT XII: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes MONROE CAPITAL 2017-1: Moody's Ups Rating on $30MM E Notes to Ba2 MORGAN STANLEY 2014-C18: Fitch Lowers Rating on 300-E Certs to CCC MORGAN STANLEY 2024-2: Fitch Assigns B-(EXP)sf Rating on B-5 Certs MOUNTAIN VIEW XVI: S&P Assigns BB- (sf) Rating on Cl. E-R Notes MSBAM COMMERCIAL 2016-C28: DBRS Cuts Rating on E1 Certs to CCCsf NEUBERGER BERMAN 29: S&P Affirms BB- (sf) Rating on Class E Notes NEUBERGER BERMAN 55: Fitch Assigns 'BB+sf' Rating on Class E Notes NEUBERGER BERMAN 55: Moody's Assigns B3 Rating to $100,000 F Notes NEUBERGER BERMAN XXII: Fitch Assigns BB-(EXP) Rating on E-R2 Notes NEW MOUNTAIN IV: DBRS Gives BB(low) Rating on Class D Notes NEW RESIDENTIAL 2024-RTL1: DBRS Finalizes B Rating on M2 Notes NRPL 2023-RPL1: DBRS Confirms B Rating on Class B-2 Notes OCEAN TRAILS CLO VII: S&P Affirms B- (sf) Rating on Class E Notes OCP CLO 2024-32: S&P Assigns BB- (sf) Rating on Class E Notes OCWEN LOAN 2023-HB1: DBRS Confirms B Rating on Class M5 Notes OFSI BSL XIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes OHA CREDIT 18: S&P Assigns BB- (sf) Rating on Class E Notes OHA CREDIT XII: S&P Assigns BB- (sf) Rating on Class E-R2 Notes PRESTIGE AUTO 2021-1: DBRS Confirms BB Rating on Class E Notes PROGRESS RESIDENTIAL 2024-SFR2: DBRS Finalizes BB Rating on F Certs PRPM 2024-RCF2: DBRS Finalizes BB(high) Rating on Class M2 Notes RCKT MORTGAGE 2024-CES3: Fitch Assigns Bsf Rating on Cl. B-2 Notes REGATTA XXVIII: Fitch Assigns 'BB-sf' Rating on Class E Notes ROCKFORD TOWER 2024-1: S&P Assigns BB-(sf) Rating on Class E Notes SALUDA GRADE 2024-FIG5: DBRS Finalizes BB(low) Rating on E Notes SALUDA GRADE 2024-FIG5: DBRS Gives Prov. BB(low) Rating on E Notes SCULPTOR CLO XXXII: S&P Assigns BB- (sf) Rating on Class E Notes SLC STUDENT 2004-1: Moody's Downgrades Rating on 2 Tranches to B1 SOUND POINT XXVIII: S&P Affirms BB- (sf) Rating on Class E Notes SYCAMORE TREE 2023-3: S&P Assigns BB- (sf) Rating on Cl. E-R Notes SYCAMORE TREE 2024-5: S&P Assigns BB- (sf) Rating on Cl. E Notes SYMPHONY CLO 43: Fitch Assigns 'BB-sf' Rating on Class E Notes THUNDERBOLT II: Fitch Affirms 'Bsf' Rating on Series B Notes TIAA CLO I: S&P Affirms B+ (sf) Rating on Class E-R Notes TOWD POINT 2024-1: DBRS Gives Prov. B(low) Rating on B2 Notes UNITED AUTO 2024-1: S&P Assigns Prelim BB (sf) Rating on E Notes VELOCITY COMMERCIAL 2024-2: DBRS Finalizes B(high) on 3 Classes VELOCITY COMMERCIAL 2024-2: DBRS Gives Prov. B(high) on 3 Tranches VERUS SECURITIZATION 2024-3: S&P Assigns B- (sf) on B-2 Notes VOYA CLO 2022-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes WARWICK CAPITAL 3: S&P Assigns BB- (sf) Rating on Class E Notes WELLS FARGO 2016-C33: DBRS Confirms B(low) Rating on Cl. F Certs WELLS FARGO 2016-C34: DBRS Lowers Rating on 2 Tranches to Csf WFRBS COMMERCIAL 2012-C10: DBRS Cuts Rating on Class D Certs to Csf [*] Fitch Gives Various Ratings 3 Wells Fargo Transactions [*] Fitch Lowers 19 Classes on 3 US CMBS BMARK 2019 Vintage Deals [*] Fitch Withdraws Ratings in 9 CDOs/CMBS Deals [*] Moody's Raises 9 Note Classes From 6 National Collegiate Trusts [*] Moody's Takes Action on $153MM of US RMBS Issued 2021-2022 [*] Moody's Upgrades $80.5MM of US RMBS Issued 2005-2007 [*] S&P Takes Various Actions on 249 Classes From 60 US RMBS Deals [*] S&P Takes Various Actions on 49 Classes From 20 U.S. RMBS Deals ********* 1988 CLO 4: S&P Assigns Prelim BB+ (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to 1988 CLO 4 Ltd./1988 CLO 4 LLC's floating-rate debt. The transaction is managed by 1988 Asset Management LLC, a subsidiary of Muzinich & Co. 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 preliminary ratings are based on information as of April 25, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's assessment 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. Preliminary Ratings Assigned 1988 CLO 4 Ltd./1988 CLO 4 LLC Class A-1, $252.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB+ (sf) Class E (deferrable), $14.00 million: BB+ (sf) Subordinated notes, $41.84 million: Not rated A10 BRIDGE 2021-D: DBRS Confirms B Rating on Class G Notes ---------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of notes issued by A10 Bridge Asset Financing 2021-D, LLC as follows: -- Class A-1 FL at AAA (sf) -- Class A-1 FX at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. Although the subject transaction is exhibiting increased risks in a relatively high concentration of loans backed by office collateral (four loans, 33.2% of the current trust balance) and a high concentration of loans in special servicing (three loans, 18.5% of the current trust balance), the rating confirmations and Stable trends with this review generally reflect the primary mitigating factor in the increased credit support to the bonds as a result of successful loan repayments, resulting in a collateral reduction of 33.6% since issuance. In addition, the analysis for this review considered liquidation scenarios for two of the three specially serviced loans, with the total projected losses contained to the unrated $25.2 million equity bond. The analysis also considered stressed scenarios for other loans with increased risks from issuance, with the resulting increase in loan level expected losses generally well outside of the pool average expected loss. 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 and with business plan updates on select loans. The initial collateral consisted of 26 loans secured by 31 mostly transitional properties with an initial balance of $304.4 million. As of the March 2023 remittance, the trust reported an outstanding balance of $215.8 million with 15 loans remaining in the trust. Since the previous DBRS Morningstar rating action in May 2023, two loans with a former trust balance of $35.3 million have paid in full. The remaining loans in the transaction beyond the office concentration noted above include four loans secured by traditional multifamily properties (29.1% of the current trust balance), two loans secured by industrial properties (14.5% of the current trust balance), and two loans secured by student housing properties (13.0% of the current trust balance). Leverage across the pool is slightly elevated from issuance levels with a weighted-average (WA) appraised As Is LTV of 58.6% and a WA appraised Stabilized LTV of 56.4%. In comparison, these figures were 50.7% and 51.6% at issuance. Morningstar DBRS notes the majority of individual property appraisals were completed in 2020 and 2021, which do not take into account the current financing and investment sales environments, a factor suggesting those figures may be artificially low. As such, Morningstar DBRS applied upward LTV adjustments to 10 loans in the analysis for this review, representing 76.6% of the current trust balance. In total, the lender has advanced $48.9 million in loan future funding to 12 of the remaining individual borrowers to aid in property stabilization efforts through March 2024. An additional $26.5 million of unadvanced loan future funding allocated to nine outstanding individual borrowers remains outstanding. The largest cumulative loan advance, $15.7 million, has been made to the borrower of the 1450 Infinite Drive loan, which is secured by a 161,655-square-foot (sf) office property in Louisville, Colorado. The funds are being used for capital expenditures and leasing costs to reposition the property from traditional office use into a life sciences property, complete with research and development and laboratory space; however, in the past year only $0.2 million of the total advance has been advanced to the borrower, suggesting stabilization progress has stalled. According to YE2023 reporting provided by the collateral manager, the occupancy rate was 51.2%, a decrease from 54.9% at YE2022 and from 63.4% at loan closing. As a result of the low occupancy rate, cash flows are also down, with a YE2023 net operating income of $0.7 million. The loan remains current despite a below breakeven debt service coverage ratio of 0.25 times. The loan does not mature until December 2025 and there are also two, one-year extension options, providing the borrower additional time to achieve stabilization. There remains $8.2 million of future funding available to the borrower (the largest of any individual loan in the trust), allocated solely to fund leasing costs for new or renewal tenants. The borrower remains committed to the property and there appears to be demand for the renovated product; however, Morningstar DBRS applied increased LTV adjustments to the loan in the current analysis to reflect the current investment sales environment and slower than expected leasing momentum. The resulting loan expected loss is approximately two times greater than the expected loss for the pool. The largest loan in special servicing, 99 Rhode Island – Exeter (Prospectus ID#10, 11.2% of the current trust balance) Is secured by an office property in the South of Market (SOMA) submarket of San Francisco. The property was vacant at loan closing with the borrower's business plan focused on completing a $2.0 million capital expenditure (capex) program and utilizing up to $8.4 million to fund leasing costs. The borrower originally targeted filling the space with a single tenant in the market for creative office space, but the lack of demand and generally high availability in the submarket were insurmountable factors and the borrower ultimately stopped making debt service payments in July 2023, when the loan was transferred to special servicing. The special servicer and the loan sponsor, Exeter Property Group, continue to discuss workout options but nothing concrete has been determined as of the date of this press release. In the analysis for this review, Morningstar DBRS liquidated the loan based on a discount to the September 2023 As Is appraised property value of $32.3 million, with the resulting loss severity at approximately 20.0%. The second loan in special servicing secured by an office property is Two Vantage Way (Prospectus ID#20, 5.4% of the current trust balance). The collateral is an office building in the Metrocenter submarket of Nashville, Tennessee. The borrower's business plan was to complete a $2.4 million capex plan and utilize up to $7.2 million for leasing costs to stabilize the property. To aid in business plan completion, the loan was structured with $8.3 million of future funding ($2.0 million for capex and $6.3 million for leasing costs). The loan transferred to special servicing in December 2023 for imminent default and remains delinquent for that month's debt service payment. According to the servicer, the borrower and lender are currently in discussions regarding a resolution strategy with no further update available at this time. At loan closing, the property had an As Is valuation of $16.5 million ($148.53 psf); however, Morningstar DBRS believes the current market as-is value of the property has likely declined significantly since closing. According to September 2023 reporting provided by the collateral manager, the property was 11.5% occupied by three tenants and generated negative cash flow. In comparison with the submarket, Q4 2023 Reis data for the Downtown/Metrocenter submarket noted an average asking rental rate of $30.10 psf, an average effective rental rate of $22.55 psf and a vacancy rate of 21.6%. The current whole-loan balance of $15.1 million consists of the $11.0 million senior trust note and the subordinate $4.1 million B-note, which provides credit support to the senior debt in the event the loan is ultimately liquidated from the trust. Given the relatively low senior note balance, Morningstar DBRS's analysis considered a stressed scenario with an increased LTV ratio and an increased Probability of Default penalty to increase the loan level expected loss to nearly three times the pool average expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. AGL CLO 9: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 9 Ltd. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 9 Ltd. X LT NRsf New Rating NR(EXP)sf A-R LT AAAsf New Rating AAA(EXP)sf AJ-R LT AAAsf New Rating AAA(EXP)sf B-R LT AA+sf New Rating AA+(EXP)sf C-R LT A+sf New Rating A+(EXP)sf D-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY AGL CLO 9 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC and originally closed in December 2020. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 99.22% first-lien senior secured loans and has a weighted average recovery assumption of 74.86%. 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 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 required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R, between 'BBB+sf' and 'AA+sf' for class AJ-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-R and class AJ-R notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R; and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 9 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. DATE OF RELEVANT COMMITTEE 17 April 2024 AIMCO CLO 22: S&P Assigns BB-(sf) Rating on $18.75MM Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to AIMCO CLO 22 Ltd./AIMCO CLO 22 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 Allstate Investment Management Co. 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 AIMCO CLO 22 Ltd./AIMCO CLO 22 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $45.00 million: Not rated AJAX MORTGAGE 2022-A: DBRS Hikes BB Rating on Class M3 Loans ------------------------------------------------------------ DBRS, Inc. reviewed 25 classes in four U.S. residential mortgage-backed securities (RMBS) transactions. Of the four transactions reviewed, three are classified as RMBS backed by reperforming mortgages and one as home equity line of credit. Of the 25 classes reviewed, Morningstar DBRS upgraded four credit ratings and confirmed 21 credit ratings. The Issuers are: CIM Trust 2023-R4 FIGRE Trust 2023-HE1 Ajax Mortgage Loan Trust 2022-A GS Mortgage-Backed Securities Trust 2023-RPL1 A complete list of the Affected Ratings is available at https://tinyurl.com/arceh94a The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology. ALLEGRO CLO IX: Moody's Cuts Rating on $29.975MM Cl. E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has assigned ratings to four classes of CLO refinancing notes and one class of loans (the "Refinancing Notes") issued by Allegro CLO IX, Ltd. (the "Issuer"). Moody's rating action is as follows: US$149,067,722 Class A-1R Senior Secured Floating Rate Notes due 2031 (the "Class A-1R Notes"), Assigned Aaa (sf) US$150,000,000 Class A-LR Loans maturing 2031 (the "Class A-LR Loans"), Assigned Aaa (sf) US$51,000,000 Class B-1R Senior Secured Floating Rate Notes due 2031 (the "Class B-1R Notes"), Assigned Aaa (sf) US$8,950,000 Class B-FR Senior Secured Fixed Rate Notes due 2031 (the "Class B-FR Notes"), Assigned Aaa (sf) US$28,325,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned Aa3 (sf) Additionally, Moody's has taken rating action on the following outstanding notes originally issued by the Issuer in October 2018 (the "Original Closing Date"): US$29,975,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on October 31, 2018 Definitive Rating Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. AXA Investment Managers US Inc. (the "Manager") will continue to direct the acquisition and disposition of certain assets on behalf of the Issuer. The Issuer previously issued two other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the non-call period; changes to the definition of "Adjusted Weighted Average Rating Factor". The downgrade rating action on the Class E Notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class E notes is currently at 104.99% versus the September 2023 level of 105.55%. The OC ratio decrease is partly driven by $4.57 million of additional defaulted assets in April 2024. Furthermore, Moody's calculated exposure to issuers with credit quality of Caa1 or below has increased to 9.61%, versus 7.85% in September 2023. No action was taken on the Class D notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in 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: $473,495,266 Defaulted par: $9,646,079 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2888 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.71% Weighted Average Recovery Rate (WARR): 47.15% Weighted Average Life (WAL): 4.0 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 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 a Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. AMMC CLO 23: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 replacement debt from AMMC CLO 23 Ltd./AMMC CLO 23 LLC, a CLO originally issued in November 2021 that is managed by American Money Management Corp. The preliminary ratings are based on information as of April 25, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 2, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, E-R2 debt is expected to be issued at a higher spread over three-month SOFR than the original notes. -- The replacement class D-1-R2 and D-2-R2 debt is expected to replace the existing class D-R debt and be rated 'BBB (sf)' and 'BBB- (sf)', respectively. -- The stated maturity and reinvestment period will be extended 3.5 and 2.5 years, respectively, and the non-call period will be extended by 2.5 years. -- The target par balance is being increased to $320 million from $300 million. 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 AMMC CLO 23 Ltd./AMMC CLO 23 LLC Class A-1-R2, $198.40 million: AAA (sf) Class A-2-R2, $12.80 million: AAA (sf) Class B-R2, $32.00 million: AA (sf) Class C-R2 (deferrable), $19.20 million: A (sf) Class D-1-R2 (deferrable), $16.00 million: BBB (sf) Class D-2-R2 (deferrable), $6.40 million: BBB- (sf) Class E-R2 (deferrable), $8.00 million: BB- (sf) Subordinated notes, $31.14 million: Not rated ANCHORAGE CAPITAL 6: Fitch Assigns 'BB-sf' Rating on Cl. E-R3 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 6, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 6, Ltd. A-R3 LT NRsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Subordinated LT NRsf New Rating X-R3 LT NRsf New Rating TRANSACTION SUMMARY Anchorage Capital CLO 6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Anchorage Collateral Management, L.L.C. that originally closed in April 2015 and refinanced in July 2017 and April 2021. The CLO's secured notes were refinanced on April 22, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $397 million of primarily first lien senior secured leveraged loans (excluding defaulted obligations). 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 27.07, versus a maximum covenant, in accordance with the initial expected matrix point of 30. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.41% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.86% versus a minimum covenant, in accordance with the initial expected matrix point of 72.3%. 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 two-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'AA-sf' for class B-R3, between 'B-sf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-R3; and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AAsf' for class C-R3, 'Asf' for class D-R3; and 'BBB+sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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, 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. BAIN CAPITAL 2020-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the A-L-R, A-1-R, B-R, C-1-R, C-F-R, D-R, and E-R replacement debt from Bain Capital Credit CLO 2020-1 Ltd./Bain Capital Credit CLO 2020-1 LLC, a CLO originally issued in March 2020 that is managed by Bain Capital Credit U.S. CLO Manager LLC. S&P said, "At the same time, we withdrew our ratings on the class A-1, B, C, D, and E debt following payment in full on the April 25, 2024, refinancing date (the replacement class A-L-R and A-1-R debt replaces the original class A-1 debt; the replacement class C-1-R and C-F-R debt replaces the original class C debt). We also affirmed our rating on the class A-2F debt, which was not refinanced." The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the newly issued debt was set to Jan. 18, 2025. Replacement And Outstanding Debt Issuances Replacement debt -- Class A-L-R, $100.00 million: Three-month term SOFR + 1.25% -- Class A-1-R, $205.00 million: Three-month term SOFR + 1.25% -- Class B-R, $55.00 million: Three-month term SOFR + 1.80% -- Class C-1-R, $25.50 million: Three-month term SOFR + 2.35% -- Class C-F-R, $7.00 million: 6.76% -- Class D-R, $27.50 million: Three-month term SOFR + 3.70% -- Class E-R, $20.00 million: Three-month term SOFR + 7.15% Outstanding debt -- Class A-1, $305.00 million: Three-month term SOFR + 1.45161% -- Class B, $55.00 million: Three-month term SOFR + 1.96161% -- Class C, $32.50 million: Three-month term SOFR + 2.96161% -- Class D, $27.50 million: Three-month term SOFR + 4.51161% -- Class E, $20.00 million: Three-month term SOFR + 8.51161% The replacement class A-L-R and A-1-R debt replaces the original class A-1 debt; the replacement class C-1-R and C-F-R debt replaces the original class C debt. 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." S&P said, "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E-R debt. Given the overall credit quality of the portfolio and the passing coverage tests, we assigned our 'BB- (sf)' rating on the class E-R debt. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Assigned Bain Capital Credit CLO 2020-1 Ltd./ Bain Capital Credit CLO 2020-1 LLC Class A-L-R, $100.00 million: AAA (sf) Class A-1-R, $205.00 million: AAA (sf) Class B-R, $55.00 million: AA (sf) Class C-1-R, $25.50 million: A (sf) Class C-F-R, $7.00 million: A (sf) Class D-R, $27.50 million: BBB- (sf) Class E-R, $20.00 million: BB- (sf) Ratings Withdrawn Bain Capital Credit CLO 2020-1 Ltd./ Bain Capital Credit CLO 2020-1 LLC Class A-1 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)' Rating Affirmed Bain Capital Credit CLO 2020-1 Ltd./ Bain Capital Credit CLO 2020-1 LLC Class A-2F: AAA (sf) Other Outstanding Debt Bain Capital Credit CLO 2020-1 Ltd./ Bain Capital Credit CLO 2020-1 LLC Subordinated notes: NR NR--Not rated. BALBOA BAY 2023-1: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Balboa Bay Loan Funding 2023-1 Ltd./Balboa Bay Loan Funding 2023-1 LLC, a CLO originally issued in March 2023 that is managed by Pacific Investment Management Co. LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the April 22, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R notes were issued at a lower spread than the original notes. -- The replacement class D-1-R and D-2-R notes replaced the existing class D notes and were rated 'BBB+ (sf)' and 'BBB (sf)', respectively. -- The noncall period was extended one year. -- The reinvestment period was extended one year. -- The stated maturity dates (for the replacement debt and the existing subordinated notes) were extended one year. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $256.00 million: Three-month CME term SOFR + 1.42% -- Class B-R, $48.00 million: Three-month CME term SOFR + 2.05% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.55% -- Class D-1-R (deferrable), $24.00 million: Three-month CME term SOFR + 3.80% -- Class D-2-R (deferrable), $24.00 million: Three-month CME term SOFR + 5.15% -- Class E-R (deferrable), $12.00 million: Three-month CME term SOFR + 6.90% Original debt -- Class A, $248.00 million: Three-month CME term SOFR + 1.90% -- Class B, $56.00 million: Three-month CME term SOFR + 2.55% -- Class C, $22.00 million: Three-month CME term SOFR + 3.25% -- Class D, $24.00 million: Three-month CME term SOFR + 5.50% -- Class E, $12.00 million: Three-month CME term SOFR + 7.85% -- Subordinated notes, $38.40 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 Balboa Bay Loan Funding 2023-1 Ltd./ Balboa Bay Loan Funding 2023-1 LLC Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB+ (sf) Class D-2-R (deferrable), $4.00 million: BBB (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Balboa Bay Loan Funding 2023-1 Ltd./ Balboa Bay Loan Funding 2023-1 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)' Other Outstanding Debt Balboa Bay Loan Funding 2023-1 Ltd./ Balboa Bay Loan Funding 2023-1 LLC Subordinated notes, $38.40 million: Not rated BANK 2017-BNK4: Fitch Affirms 'B-sf' Rating on Two Tranches ----------------------------------------------------------- Fitch Ratings has affirmed 14 classes of BANK 2017-BNK4 commercial mortgage pass-through certificates. In addition, the Rating Outlook on six classes remain Negative. Fitch has also affirmed 13 classes of BANK 2017-BNK5 commercial mortgage pass-through certificates series 2017-BNK5. The Rating Outlook on class F remains Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK4 A-3 06541FAZ2 LT AAAsf Affirmed AAAsf A-4 06541FBA6 LT AAAsf Affirmed AAAsf A-S 06541FBD0 LT AAAsf Affirmed AAAsf A-SB 06541FAY5 LT AAAsf Affirmed AAAsf B 06541FBE8 LT AA-sf Affirmed AA-sf C 06541FBF5 LT A-sf Affirmed A-sf D 06541FAJ8 LT BBB-sf Affirmed BBB-sf E 06541FAL3 LT BB-sf Affirmed BB-sf F 06541FAN9 LT B-sf Affirmed B-sf X-A 06541FBB4 LT AAAsf Affirmed AAAsf X-B 06541FBC2 LT A-sf Affirmed A-sf X-D 06541FAA7 LT BBB-sf Affirmed BBB-sf X-E 06541FAC3 LT BB-sf Affirmed BB-sf X-F 06541FAE9 LT B-sf Affirmed B-sf BANK 2017-BNK5 A-3 06541WAV4 LT AAAsf Affirmed AAAsf A-4 06541WAW2 LT AAAsf Affirmed AAAsf A-5 06541WAX0 LT AAAsf Affirmed AAAsf A-S 06541WBA9 LT AAAsf Affirmed AAAsf A-SB 06541WAU6 LT AAAsf Affirmed AAAsf B 06541WBB7 LT AA-sf Affirmed AA-sf C 06541WBC5 LT A-sf Affirmed A-sf D 06541WAC6 LT BBB-sf Affirmed BBB-sf E 06541WAE2 LT BB-sf Affirmed BB-sf F 06541WAG7 LT B-sf Affirmed B-sf X-A 06541WAY8 LT AAAsf Affirmed AAAsf X-B 06541WAZ5 LT AA-sf Affirmed AA-sf X-D 06541WAA0 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 5.2% for BANK 2017-BNK4 and 2.7% for BANK 2017-BNK5. The BANK 2017-BNK4 transaction includes nine loans (32.9% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including one specially serviced loan, Key Center Cleveland (4.2%). The BANK 2017-BNK5 transaction has six FLOCs (20.2%), including one loan, Capital Bank Plaza (2.0%) in special servicing. Affirmations across both transactions reflect generally stable performance since Fitch's prior rating action. The Negative Outlooks on classes D, E, F, X-D, X-E and X-F in BANK 2017-BNK4 reflect an additional sensitivity scenario that applies higher loss expectations on the following three office loans in pool: D.C. Office Portfolio (7.9%), One West 34th Street (6.9%) and 2200 Renaissance Boulevard (2.6%). The Negative Outlook on class F in BANK 2017-BNK5 reflects refinance concerns with the Westchester One (6.0%) loan due to the suburban office collateral type. Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2017-BNK4 is the D.C. Office Portfolio (7.9%) loan, which is secured by a portfolio comprised of three office buildings totaling 328,319-sf located within an area known as the Golden Triangle within the Washington, D.C. CBD. The tenancy is granular as the buildings are leased to approximately 100 tenants. The portfolio's major tenants include New Venture Fund (4.2% NRA; leased through May 2024), Strategic Organizing Center (2.9%; April 2024) and Mooney, Green, Saindon, Murphy (2.4%; December 2030). According to the servicer, New Venture fund is in the process of renewing their lease at the property and Strategic Organizing Center is vacating their space at the property upon lease expiry. Portfolio occupancy declined to 68.9% as of YE 2023 from 73.7% at YE 2022 due to several smaller tenants vacating upon lease expiry. Occupancy previously declined between 2019 and 2020 due to the previous largest tenant, Liquidity Services, Inc. (previously 8.3% of NRA), vacating in March 2020. Portfolio NOI DSCR was 1.07x as of YE 2023, compared with 1.04x at YE 2022 and 0.97x at YE 2021. The loan is currently being cash managed and reported $1.8 million or $5.4 psf in total reserves as of the March 2024 loan level reserve report. According to CoStar, the property lies within the CBD Office Submarket of the Washington, DC market area. As of 1Q24, average rental rates were $54.94 psf and $39.20 psf for the submarket and market, respectively. Vacancy for the submarket and market was 17.9% and 16.8%, respectively. Fitch's 'Bsf' case loss of 18.2% (prior to a concentration adjustment) is based on a 9.25% cap rate and 5% stress to the YE 2021 NOI. The second largest contributor to expected losses is the One West 34th Street (6.9%) loan, which is secured by a 215,205-sf office property located in Manhattan, New York City. The property is located across from the Empire State Building at the corner of West 34th Street and Fifth Avenue. The property's major tenants include CVS (ground floor retail; 7.2% of NRA; leased through January 2034), International Inspiration (4.2%; November 2026) and Amazon (3.5%; October 2026). Property occupancy declined to 78.3% as of the January 2024 servicer-provided rent roll from 86.9% at September 2023, 86.7% at YE 2022 and 80.4% at YE 2021. Occupancy recently declined between September 2023 and January 2024 due to four tenants (combined 5.3% of NRA) vacating upon lease expiry. The servicer-reported NOI DSCR was 1.05x as of the trailing-nine-months ended September 2023, compared with 0.87x at YE 2022 and 0.82x at YE 2021. The loan reported $3.0 million or $14.2 psf in total reserves as of the March 2024 loan level reserve report. According to CoStar, the property lies within the Penn Plaza/Garment Office Submarket of the New York market area. As of 1Q24, average rental rates were $66.59 psf and $56.47 psf for the submarket and market, respectively. Vacancy for the submarket and market was 17.4% and 14.2%, respectively. Fitch's 'Bsf' case loss of 19.3% (prior to a concentration adjustment) is based on a 9.25% cap rate and 10% stress to the annualized trailing-nine-months ended September 2023 NOI. The largest contributor to overall loss expectations in the BANK 2017-BNK5 transaction is the specially serviced Capital Bank Plaza (2.0%) loan, which transferred to the special servicer in February 2024 due to Imminent monetary default. The loan was subsequently modified in March 2024; terms of the modification include a conversion of debt payments to interest-only for a period of 30 months with the interest rate remaining at 4.68%. The loan has remained current since issuance. The loan is secured by a 148,142-sf office property located in the Raleigh, NC CBD. The property's performance declined due to the departure of the largest tenant, Capital Bank. Capital Bank (previously 41.2% of the NRA) merged with First Tennessee Bank in October 2019 and rebranded as First Horizon Bank. The tenant did not renew its lease, which expired in March 2021, and consolidated its operations into another building in Raleigh located a few blocks away. Based on the subject property's website, the ground floor space remains vacant. In addition, Clark Nexsen, formerly the largest remaining tenant representing 19.9% of NRA, vacated following their lease expiration in June 2022. The property is currently 49% leased as of April 2024 from 32.7% at September 2023, and 42.4% at YE 2022. Occupancy improved as a result of the property's current largest tenant, State of North Carolina (17.8% of NRA) signing a lease that commenced in January 2024 at $29.15 psf through November 2026. Fitch's 'Bsf' case loss of 30% (prior to a concentration adjustment) is based on a haircut to an updated preliminary appraised value. The second largest contributor to expected loss is the Starwood Capital Group Hotel Portfolio (6.9%) loan, which is secured by a portfolio comprised of 65 hotels totaling 6,370 keys located across 21 states with 14 different franchises. The hotel portfolio's performance is still recovering since being impacted by the pandemic. The portfolio's TTM ended September 2023 NOI was 30.6% lower than YE 2019. Total average portfolio occupancy, ADR, and RevPAR improved to 69.0%, $118.26, $82.92, respectively, as of the TTM ended September 2023, from 69.5%, $110.56, and $76.84, respectively, as of June 2022 and 66%, $101.76, and $67.55 at YE 2021. Fitch's 'Bsf' case loss of 4.6% (prior to a concentration adjustment) is based on a 11.50% cap rate to the TTM ended September 2023 NOI. Increase in CE: As of the April 2024 distribution date, the aggregate balances of the BANK 2017-BNK4 and BANK 2017-BNK5 transactions have been reduced by 15.0% and 14.3%, respectively, since issuance. The BANK 2017-BNK4 transaction includes eight loans (8.6% of the pool) that have fully defeased while BANK 2017-BNK5 has four defeased loans (1.6% of the pool). Interest Shortfalls: To date, the BANK 2017-BNK4 and BANK 2017-BNK5 transactions have not incurred any realized principal losses. Interest shortfalls totaling $383,135 are impacting the non-rated class G and Risk Retention class RRI in the BANK 2017-BNK4 transaction and interest shortfalls totaling $26,596 are impacting the non-rated class H and Risk Retention class RRI in the BANK 2017-BNK5 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes with Negative Outlooks are possible with further loan performance deterioration, additional transfers to special servicing, or failure of loans to pay off at maturity. Downgrades to these classes are likely if the Key Center Cleveland and Capital Bank Plaza loans languish in special servicing and continue to erode in value or have significant increases in exposure. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are possible should performance of FLOCs rebound, loans in special servicing have favorable workout outcomes, and the transaction have improved CE with continued amortization and loan pay-offs. 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. BLACKROCK SHASTA XIII: S&P Assigns Prelim 'BB-'Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BlackRock Shasta CLO XIII 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 BlackRock Capital Investment Advisors LLC, a subsidiary of BlackRock. The preliminary ratings are based on information as of April 17, 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 BlackRock Shasta CLO XIII LLC Class A-1, $190.000 million: AAA (sf) Class A-1L, $100.000 million: AAA (sf) Class A-2, $20.000 million: AAA (sf) Class B, $30.000 million: AA (sf) Class C (deferrable), $40.000 million: A (sf) Class D (deferrable), $30.000 million: BBB- (sf) Class E (deferrable), $30.000 million: BB- (sf) Subordinated notes, $55.745 million BLUE STREAM 2023-1: Fitch Affirms 'BB-sf' Rating on Class C Notes ----------------------------------------------------------------- Fitch Ratings has affirmed ratings of the Blue Stream Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2023-1. Entity/Debt Rating Prior ----------- ------ ----- Blue Stream Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2023-1 A-1 LT Asf Affirmed Asf A-2 09606BAA2 LT Asf Affirmed Asf B 09606BAC8 LT BBB-sf Affirmed BBB-sf C 09606BAE4 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY The transaction is a securitization of the contract payments derived from existing Fiber-to-the-Home (FTTH) networks. Debt is secured by the net revenue of operations and benefits from a perfected security interest in the securitized assets, which include conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. The collateral consists of high-quality fiber networks that support the provision of internet, cable, telephony and alarm services to a portfolio of homeowners' associations (HOAs) and condominium owners' associations (COAs), located exclusively in Florida. These agreements are governed by long-term contracts with the associations directly. The transaction also includes right-of-entry (ROE) networks and supporting contracts, which represent a small portion (4.5%) of Annualized Run-Rate Revenue (ARRR) of the total collateral pool. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in the pledged fiber optic networks, not an assessment of the corporate default risk of the ultimate parent, Blue Stream Communications LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: Issuer net cash flow (NCF) on the pool is $54.4 million, up 15.0% since issuance. The debt multiple relative to Issuer NCF on the notes inclusive of the variable funding note (VFN) is 9.5x, consistent with issuance levels given draws on the VFN and prefunding accounts. Fitch has not redetermined NCF or maximum potential leverage (MPL) given there have not been material migrations in the performance, cash flow or collateral asset characteristics. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and MPL include: the high quality of the underlying collateral networks, long-term contractual cash flow, diverse and creditworthy customer base, market position of the sponsor, 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, rate decreases, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades. 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 contracts, lower expenses, or contract amendments could lead to upgrades. Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu with 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. BMO 2024-5C4: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2024-5C4 Mortgage Trust commercial mortgage pass-through certificates series 2024-5C4 as follows: Entity/Debt Rating ----------- ------ BMO 2024-5C4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G-RR LT B-(EXP)sf Expected Rating J-RR LT NR(EXP)sf Expected Rating VRR Interest LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating X-F LT BB-(EXP)sf Expected Rating - $5,172,000a class A-1 'AAAsf'; Outlook Stable; - $286,297,000a,f class A-2 'AAAsf'; Outlook Stable; - $294,768,000a,f class A-3 'AAAsf'; Outlook Stable; - $604,059,000b class X-A 'AAAsf'; Outlook Stable; - $102,591,000a class A-S 'AAAsf'; Outlook Stable; - $42,921,000a class B 'AA-sf'; Outlook Stable; - $30,358,000a class C 'A-sf'; Outlook Stable; - $181,217,000b class X-B 'A-sf'; Outlook Stable; - $14,656,000a,c class D 'BBBsf'; Outlook Stable; - $8,374,000a,c class E 'BBB-sf'; Outlook Stable; - $23,731,000b,c class X-D 'BBB-sf'; Outlook Stable; - $13,609,000a,c class F 'BB-sf'; Outlook Stable; - $14,023,000b,c class X-F 'BB-sf'; Outlook Stable; - $8,375,000a,c,d class G-RR 'B-sf'; Outlook Stable; Fitch does expect to rate the following classes: - $30,358,671a,c,d class J-RR. - $25,462,000f Combined VRR Interest Notes: (a) Class balances, excluding the VRR Interest, are net of their proportionate share of the vertical risk retention interest, totaling 2.95% of the notional amount of the certificates. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. (e) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $581,065,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $286,297,000 (net of the vertical risk retention interest), and the expected class A-3 balance range is $294,768,000 to $581,066,000 (net of the vertical risk retention interest). Fitch's certificate balances for classes A-2 and A-3 are assumed at the highest end of the range for Class A-2 and the lowest end of the range for class A-3. (f) The VRR Interest certificates comprise the transaction's vertical risk retention interest and the certificate balance is subject to change based on the final pricing of all classes. The expected ratings are based on information provided by the issuer as of April 19, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in a trust, the primary assets of which are 39 fixed-rate, commercial mortgage loans with an aggregate principal balance of $862,941,672 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 71 commercial properties. The loans were contributed to the trust by Bank of Montreal, Argentic Real Estate Finance 2 LLC, Wells Fargo Bank, National Association, Starwood Mortgage Capital LLC, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, LMF Commercial, LLC, UBS AG and German American Capital Corporation. The master servicer is expected to be Midland Loan Services and the special servicer is expected to be Argentic Services Company LP. Computershare Trust Company, N.A. will act as trustee and certificate administrator. These certificates are expected to follow a sequential paydown structure. The transaction's closing date is expected to be May 15, 2024. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 29 loans totaling 90.9% of the pool by balance. Fitch's cash flow sample included the largest 20 loans in the pool, as well as nine loans outside the top 20. Fitch's resulting net cash flow (NCF) of $237.2 million represents a 13.2% decline from the issuer's underwritten NCF of $273.4 million. Higher Fitch Leverage: The transaction has higher Fitch leverage compared to recent multi-borrower transactions. The pool's Fitch WA Trust LTV is 91.8%, higher than the BMO 2024-5C3 LTV of 80.5%, and higher than the YTD 2024 multi-borrower average of 87.1%. Additionally, the pool's Fitch DY is 11.0%, lower than the Fitch DY of BMO 2024-5C3 of 11.9% as well as the DY of the YTD 2024 multi-borrower average of 11.6%. Investment-Grade Credit Opinion Loans: Three loans representing 17.4% of the pool balance received an investment-grade credit opinion. GNL Industrial Portfolio (8.1% of the pool) received a standalone credit opinion of 'BBB-sf*'. 28-40 West 23rd Street (5.8%) received a standalone credit opinion of 'BBB+sf*'. Kenwood Towne Centre (3.5%) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage of 17.4% is above the YTD 2024 average of 12.9% but slightly below the 2023 average of 17.8%. The pool's Fitch LTV and DY, excluding credit opinion loans, are 96.1% and 10.8%, respectively. Shorter-Duration Loans: Loans with five-year terms comprise 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. High Mall Concentration: The transaction's mall concentration consists of three top 10 properties (12.6% of pool) and accounts for 97.1% of the pool's retail exposure. However, the overall retail exposure for this transaction is only 14.4% which is below the YTD 2024 and 2023 multi-borrower averages of 36.3% and 31.2%. 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' / 'BBBsf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / '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 model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBBsf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' /'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRAVO RESIDENTIAL 2024-CES1: Fitch Gives B(EXP) Rating on B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2024-CES1 (BRAVO 2024-CES1). Entity/Debt Rating ----------- ------ BRAVO 2024-CES1 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating 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 AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes issued by BRAVO Residential Funding Trust 2024-CES1 (BRAVO 2024-CES1). as indicated above. The transaction is expected to close on May 10, 2024. The notes are supported by one collateral group that consists of 5,118 newly originated, closed-end second (CES) lien loans with a total balance of $365 million, as of the cut-off. PennyMac Loan Services, LLC (PennyMac); Nationstar Mortgage LLC dba Mr. Cooper (Nationstar); NewRez LLC (NewRez); and Rocket Mortgage, LLC (Rocket) originated approximately 49%, 22%, 14%, and 12% of the loans, respectively. NewRez LLC (New Rez), Rocket Mortgage, LLC (Rocket), PennyMac Loan Services, LLC (PennyMac,) and Nationstar Mortgage LLC d/b/a Rushmore Servicing (Rushmore) will service the loans. The servicers will not advance delinquent monthly payments of P&I. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full; classes A-1A and A-1B are paid pro rata. In addition, excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 11.6% above a long-term sustainable level, compared with 11.1% on a national level, as of 3Q23, up1.68% since the prior quarter. Housing affordability is the worst it has been 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 being supported by limited inventory. Closed-End Second Liens (Negative): The entirety of the collateral pool is composed of newly originated CES mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied. Strong Credit Quality (Positive): The pool consists of new-origination CES loans, seasoned approximately seven months (as calculated by Fitch), with a relatively strong credit profile — weighted average (WA) model credit score of 737, a 38% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 76%. Roughly 95.4% of the loans were treated as full documentation in Fitch's analysis. None of the loans have experienced any modifications since origination. Sequential-Pay Structure with Realized Loss and Writedown Feature (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; classes A-1A and A-1B are paid pro rata. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Second lien loans that are delinquent (DQ) for 180 days or more under the MBA method will be subject to an equity analysis and may be charged off, and, therefore, will cause the most subordinated class to be written down. Despite the 100% LS assumed for each defaulted second lien loan, Fitch views the writedown feature positively, as there will be more excess interest to repay and protect against losses if writedowns occur earlier. In addition, subsequent recoveries realized after the writedown (excluding active forbearance or loss mitigation loans) will be passed on to bondholders as principal. Unlike some other CES deals, excess interest is only available to repay current or prior losses and not to turbo down the bonds. This has resulted in a higher amount of CE compared to structures with a partial turbo feature. Given the significant amount of excess spread, Fitch ran an additional analysis that incorporated a WAC deterioration scenario. Fitch applied a 2.5% WAC cut (based on the most common historical modification rate) on 40% (historical Alt A modification %) of the performing loans. No Servicer P&I Advances (Neutral): The servicers will not advance DQ monthly payments of P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf'-rated class. Fitch is indifferent to the advancing framework, as given its projected 100% LS, no credit would be given to advances on the structure side and no additional adjustment would be made as it relates to LS. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how 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 42.6%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. 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 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'. 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 80bps 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. BRIDGECREST LENDING 2024-2: DBRS Gives Prov. BB(high) on E Notes ---------------------------------------------------------------- DBRS, Inc assigned provisional credit ratings to the following classes of notes to be issued by Bridgecrest Lending Auto Securitization Trust 2024-2 (BLAST 2024-2 or the Issuer): -- $46,000,000 Class A-1 Notes at R-1 (high) (sf) -- $102,535,000 Class A-2 Notes at AAA (sf) -- $102,535,000 Class A-3 Notes at AAA (sf) -- $43,730,000 Class B Notes at AA (sf) -- $70,950,000 Class C Notes at A (sf) -- $70,950,000 Class D Notes at BBB (sf) -- $30,800,000 Class E Notes at BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit 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, if any. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss assumption under various stress scenarios. -- 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 for each respective class. (2) BLAST 2024-2 provides for the Notes' coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) The Morningstar DBRS CNL assumption is 24.50% based on the expected pool composition for both the base and upsize pools. -- The structure may upsize during pre-marketing, subject to market conditions, among other considerations, up to a total issuance of $595 million. If the Upsize Transaction is issued, the following notes will be issued: $58,500,000 for the Class A-1 notes, $130,525,000 for the Class A-2 notes, $130,525,000 for the Class A-3 notes, $55,650,000 for the Class B notes, $90,300,000 for the Class C notes, $90,300,000 for the Class D notes, and $39,200,000 for the Class E notes. (4) The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (5) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- DriveTime has an experienced and stable management team and has had relatively stable performance in carrying economic environments because of its expertise in the subprime auto market. -- Morningstar DBRS has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans. -- Morningstar DBRS did not perform an operational review of GoFi given their relatively small contribution to the pool. -- The Company has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss. -- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. Underwriting is performed in the DriveTime dealerships by specially trained DriveTime employees. -- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction. (6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio. (7) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." The transaction represents a securitization of a portfolio of motor vehicle retail installment sales contracts originated by DriveTime Car Sales Company, LLC and GoFi, LLC. DriveTime Car Sales Company, LLC is a wholly owned subsidiary of DriveTime, a leading used-vehicle retailer in the United States that focuses primarily on the sale and financing of vehicles to the subprime market. GoFi is an AI-enabled, digital-first lending platform primarily focused on franchise dealers. The rating on the Class A Notes reflects 55.85% of initial hard credit enhancement provided by the subordinated notes in the pool (39.35%), the reserve account (1.50%), and OC (15.00%). The ratings on the Class B, C, D, and E Notes reflect 47.90%, 35.00%, 22.10%, and 16.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS' credit ratings on the securities referenced herein 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 Noteholders' Monthly Accrued Interest and the related Note Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on unpaid Noteholders' Interest Carryover Shortfall for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. BRIDGECREST LENDING 2024-2: S&P Assigns 'BB' Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Bridgecrest Lending Auto Securitization Trust 2024-2's automobile receivables-backed notes. The note issuance is an asset-backed securities (ABS) transaction backed by subprime auto loan receivables. The ratings reflect S&P view of: -- The availability of approximately 61.72%, 57.17%, 47.38%, 38.88%, and 34.53% credit support (hard credit enhancement and a haircut to excess spread) for the class A (collectively, A-1, A-2, and A-3), 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 2.37x, 2.12x, 1.72x, 1.38x, and 1.25x coverage of S&P's expected cumulative net loss of 25.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.38x S&P's expected loss level), all else being equal, its 'A-1+ (sf)', 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A-1, A-2/A-3, B, C, D, and E notes, respectively, will be 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 subprime auto 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. (Wells Fargo; A+/Stable/A-1), which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, and our view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. (BBB/Stable/--). -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structure. Ratings Assigned Bridgecrest Lending Auto Securitization Trust 2024-2 Class A-1, $58.500 million: A-1+ (sf) Class A-2, $130.525 million: AAA (sf) Class A-3, $130.525 million: AAA (sf) Class B, $55.650 million: AA (sf) Class C, $90.300 million: A (sf) Class D, $90.300 million: BBB (sf) Class E, $39.200 million: BB (sf) BX COMMERCIAL 2022-CSMO: DBRS Confirms BB Rating on Class F Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-CSMO issued by BX Commercial Mortgage Trust 2022-CSMO: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the continued stable performance of the collateral hotel, which recently reported updated performance metrics showing net cash flow (NCF), occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures above Morningstar DBRS' expectations at issuance. The transaction is collateralized by a mortgage loan secured by the Cosmopolitan Las Vegas Resort & Casino, a 3,032-key hotel with approximately 110,000 square feet of casino space, located on the Las Vegas Strip. The two-year floating-rate loan pays interest-only and has three one-year extension options, with a fully extended maturity date in June 2027. Each of the extension options is subject to no events of default and the purchase of an interest rate cap. The loan is currently on the servicer's watchlist for upcoming initial maturity in June 2024. According to the most recent servicer commentary, the borrower has yet to indicate whether they will exercise their first option; however, given the experienced sponsorship and continued stable performance of the collateral, Morningstar DBRS expects the loan will be extended or takeout financing will be secured. The $3.0 billion loan, along with $1.0 billion of sponsor equity, funded the acquisition of the collateral by a joint venture 80.0% indirectly owned by BREIT Operating Partnership L.P., a Blackstone Fund Entity, and 20.0% owned by Stonepeak Partners LP. The borrower entered into a 30-year triple-net master/operating lease with three 10-year renewal options with a wholly owned subsidiary of MGM Resorts International (MGM). The lease payments will be fully guaranteed by MGM. The subject has maintained healthy performance metrics that remain above issuance expectations. According to the September 2023 trailing 12-month (T-12) financials, the loan reported an NCF of $459.2 million, compared with $462.9 million at YE2022 and a Morningstar DBRS NCF of $353.1 million derived at issuance. While departmental revenue increased in 2023, the decline in NCF when compared with YE2022 figures was a result of increases in operating expenses, driven primarily by a 24.8% increase in repairs and maintenance expenses. The September 2023 T-12 financials reported an occupancy rate, ADR, and RevPAR of 98.1%, $403.72, and $395.88, respectively. While these figures are slightly below the YE2022 figures, performance continues to compare well with the Morningstar DBRS stabilized figures derived at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. CANYON CAPITAL 2014-1: Moody's Cuts $8MM E-R Notes Rating to Caa2 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Canyon Capital CLO 2014-1, Ltd.: US$44,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on January 30, 2018 Definitive Rating Assigned Aa2 (sf) Moody's has also downgraded the rating on the following notes: US$8,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa2 (sf); previously on January 30, 2018 Definitive Rating Assigned B3 (sf) Canyon Capital CLO 2014-1, Ltd., originally issued in April 2014 and partially refinanced in January 2017 and January 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating action is primarily a result of deleveraging of the senior notes since February 2023. The Class A-1A-R notes have been paid down by approximately 10.44% or $25.9 million since February 2023. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by credit deterioration observed in the underlying CLO portfolio. Based on trustee's February 2024 report [1], the weighted average rating factor (WARF) has deteriorated and the current level is 3190, compared to 3034 in February 2023 report [2]. Additionally, over-collateralization (OC) coverage for the Class E notes (as inferred from the interest diversion test ratio reported by the trustee) has declined to 102.48% in February 2024 [3] from 104.52% in February 2023 [4]. No actions were taken on the Class A-1A-R, Class A-1B-R, Class B-R, Class C-R and Class D-R 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: $361,425,656 Defaulted par: $3,573,171 Diversity Score: 57 Weighted Average Rating Factor (WARF): 2983 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.53% Weighted Average Recovery Rate (WARR): 47.65% Weighted Average Life (WAL): 3.49 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income and 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. CANYON CLO 2023-2: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 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 Canyon CLO Advisors L.P., a subsidiary of Canyon Partners LLC. The preliminary ratings are based on information as of April 17, 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 Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC Class A-1, $315.00 million: AAA (sf) Class A-2, $15.00 million: AAA (sf) Class B, $50.00 million: AA (sf) Class C, $30.00 million: A (sf) Class D, $30.00 million: BBB- (sf) Class E, $20.00 million: BB- (sf) Subordinated notes, $40.35 million: Not rated CAPTREE PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Captree Park CLO Ltd./Captree Park CLO 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 Blackstone CLO Management LLC. The preliminary ratings are based on information as of April 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Captree Park CLO Ltd./Captree Park CLO LLC Class A-1, $522.75 million: AAA (sf) Class A-2, $46.75 million: Not rated Class B-1, $59.50 million: AA (sf) Class B-2, $17.00 million: AA (sf) Class C (deferrable), $51.00 million: A (sf) Class D (deferrable), $51.00 million: BBB- (sf) Class E (deferrable), $34.00 million: BB- (sf) Subordinated notes, $82.00 million: Not rated CARLYLE US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2024-2, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2024-2, 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 Subordinated LT NRsf New Rating TRANSACTION SUMMARY Carlyle US CLO 2024-2, 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.23, versus a maximum covenant, in accordance with the initial expected matrix point of 24.50. 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 97.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.23% versus a minimum covenant, in accordance with the initial expected matrix point of 68.51%. Portfolio Composition (Neutral): 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 the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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 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, and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Carlyle US CLO 2024-2, 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. CARVANA AUTO 2021-N1: DBRS Confirms B Rating on Class F Trusts -------------------------------------------------------------- DBRS, Inc. upgraded seven credit ratings and confirmed 55 credit ratings from 12 Carvana Auto Receivables Trust transactions. The Issuers are: Carvana Auto Receivables Trust 2021-N1 Carvana Auto Receivables Trust 2023-N3 Carvana Auto Receivables Trust 2021-N4 Carvana Auto Receivables Trust 2021-N2 Carvana Auto Receivables Trust 2021-P2 Carvana Auto Receivables Trust 2021-N3 Carvana Auto Receivables Trust 2022-N1 Carvana Auto Receivables Trust 2020-P1 Carvana Auto Receivables Trust 2023-N4 Carvana Auto Receivables Trust 2021-P1 Carvana Auto Receivables Trust 2023-N1 Carvana Auto Receivables Trust 2023-N2 A complete list of the Affected Ratings is available at https://bit.ly/3WdJCzG The credit rating actions are based on the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. -- The transaction capital structures and form and sufficiency of available credit enhancement. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- For the prime transactions, losses are tracking below the Morningstar DBRS initial base-case CNL expectations. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at a multiple of coverage commensurate with the credit ratings. -- For the subprime transactions, although losses are generally tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at a multiple of coverage commensurate with the credit ratings. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Morningstar DBRS' credit ratings on the securities referenced herein 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 Accrued Note Interest and the related Note Balance. 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. The associated contractual payment obligation that is not a financial obligation is the interest on unpaid Accrued Note Interest for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. CIFC FUNDING 2017-III: Fitch Assigns BB-sf Rating on Cl. E- R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2017-III, Ltd. Refinancing transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2017-III, Ltd. X-R LT NRsf New Rating A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating TRANSACTION SUMMARY CIFC Funding 2017-III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC CLO Management LLC that originally closed on July 13, 2017. The secured notes will be refinanced in whole on April 22, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. 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 24.8, 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 95.7 % first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.0 % versus a minimum covenant, in accordance with the initial expected matrix point of 71.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 46.5% 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. The failure in the indicative portfolio for class D-1-R, D-2-R and E-R notes stems from for fixed rated assets maturities having a longer horizon compared to the floating rate assets, which Fitch considers an unrealistic scenario for a managed transaction with a five-year reinvestment period. MIRs are determined by Fitch Stressed Portfolio per Fitch's CLOs and Corporate CDOs Rating Criteria. The model-implied rating for class D-1-R, D-2-R and E-R notes are passing their 'BBBsf', 'BBB-sf' and 'BB-sf' PCM hurdle rate in all Fitch Stressed scenarios, which are in line with Fitch's assigned ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R; and between less than 'B-sf' and 'B+sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R 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; and 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-R, 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R and 'BBB+sf' for class E-R notes. Fitch conducted an additional sensitivity for the indicative portfolio on class D-1-R, D-2-R and E-R notes. Results are available in the associated new issue report. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for CIFC Funding 2017-III, 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. CITIGROUP 2015-P1: Fitch Lowers Rating on Cl. E Certificates to Bsf ------------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 11 classes of Citigroup Commercial Mortgage Trust series 2015-P1 commercial mortgage pass-through certificates (CGCMT 2015-P1). Following the downgrades, Fitch has assigned a Negative Rating Outlook on one class. The Rating Outlooks for four of the affirmed classes were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2015-P1 A-4 17324DAT1 LT AAAsf Affirmed AAAsf A-5 17324DAU8 LT AAAsf Affirmed AAAsf A-AB 17324DAV6 LT AAAsf Affirmed AAAsf A-S 17324DAW4 LT AAAsf Affirmed AAAsf B 17324DAX2 LT AAsf Affirmed AAsf C 17324DAY0 LT A-sf Affirmed A-sf D 17324DAA2 LT BBB-sf Affirmed BBB-sf E 17324DAE4 LT Bsf Downgrade BBsf F 17324DAG9 LT CCCsf Downgrade Bsf PEZ 17324DAZ7 LT A-sf Affirmed A-sf X-A 17324DBA1 LT AAAsf Affirmed AAAsf X-B 17324DBB9 LT AAsf Affirmed AAsf X-D 17324DAL8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 6.5%. The transaction has four Fitch Loans of Concern (FLOCs; 23.1% of the pool) and no loans in special servicing although the largest loan and FLOC, The Decoration and Design Building, is 30 days delinquent. The downgrades on classes E and F reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance decline and refinance concerns on FLOCs, The Decoration & Design Building (10.1%), Weston Portfolio (6.0%) and Ryders Crossing Shopping Center (1.8%) loans. The Negative Rating Outlook on classes C, PEZ, D, X-D, and E reflect their reliance on FLOCs to repay and potential for downgrades with continued occupancy and cashflow deterioration, lack of performance stabilization and/or a prolonged workout of the FLOCs that default at or prior to maturity. The largest contributor to overall loss expectations is The Decoration & Design Building loan, secured by the leasehold interest in a 588,512-sf office property located in midtown Manhattan. According to March 2024 reporting, the loan was 30 days delinquent. The property is subject to a ground lease that expired in December 2023. The ground rent reset in January 2024 to the greater of the prior year's payment or 6% of the unencumbered land value. Based on the appraiser's estimate of unencumbered land value at issuance, the ground lease payment is expected to increase to $13.8 million from its previous amount of $3.8 million. Major tenants at the property include Stark Carpet (6.3% of NRA through November 2024), Holly Refining and Marketing (3.2%; March 2027) and F. Schumacher (3.1%; December 2029). Per the October 2023 rent roll, the property was 65.3% occupied, compared with 66% at YE 2022, 77% at YE 2021, 83% at YE 2020, and 87% at YE 2019. There is 14.6% and 7.0% of the NRA scheduled to roll in 2024 and 2025, respectively. The annualized Q3 2023 NOI DSCR was 1.60x, compared with 1.71x at YE 2022, 2.14x at YE 2021, 2.39x at YE 2020, and 2.64x at YE 2019. With the ground rent reset, YE 2024 NOI DSCR is expected to drop to approximately 1.13x. Fitch's 'Bsf' rating case loss of 34.6% (prior to concentration add-ons) reflects a 11.5% cap rate, 35% stress to the annualized Q3 2023 NOI incorporating the increase in ground rent payment. It also factors a high probability of default due to the declining occupancy, ground rent reset, and expected refinance concerns. The second largest contributor to overall loss expectations is the Weston Portfolio loan, secured by a portfolio of two office properties (20k sf and 10k sf, approximately 16% of portfolio NRA) and one retail property totaling 188,688 sf located in Weston, FL. Major tenants at the property include Publix (19.9% of portfolio NRA, through December 2026), South Miami Hospital Baptist Health (3.4%; June 2032), and Graziano's (3.3%; February 2029). Per the January 2024 rent roll, the portfolio was 86.4% occupied, compared with 91% at YE 2022, 85% at YE 2021, and 90% at YE 2020. There is 6.3% and 10.3% of the portfolio NRA rolling in 2024 and 2025, respectively. The NOI DSCR dropped at YE 2020 as the loan started amortizing in August 2020. The YE 2023 NOI DSCR was 1.17x, compared with 1.20x at YE 2022, 1.13x at YE 2021, 1.33x at YE 2020, and 1.96x at YE 2019. Fitch's 'Bsf' rating case loss of 23.7% (prior to concentration add-ons) reflects a 9% cap rate, 7.5% stress to the YE 2023 NOI and factors a high probability of default due to the declining DSCR and expected refinance concerns. The third largest contributor to overall loss expectations is the Ryders Crossing Shopping Center loan, secured by a 160,927 SF retail property located in Milltown, NJ. Per the December 2023 rent roll, the property was 98.8% occupied. However, according to media reports, Acme (formerly 32.8% of NRA and 12.4% of base rent) vacated upon its March 2024 lease expiration, bringing in-place occupancy down to 66%. Remaining major tenants include Urban Air (16.4%; January 2027) and Petco (9.3%; January 2025). There is another 5.9% and 21.1% of NRA scheduled to roll throughout 2024 and 2025, respectively. NOI DSCR at YE 2023 was 1.95x, compared with 2.02x at YE 2022, 1.66x at YE 2021, and 1.82x at YE 2020. With the departure of Acme, YE 2024 DSCR is expected to decline. Fitch's 'Bsf' rating case loss of 17.3% (prior to concentration add-ons) reflects a 9% cap rate, 25% stress to the YE 2023 NOI reflecting the departure of Acme and factors a high probability of default due to the declining occupancy, high upcoming rollover, and expected refinance concerns. Increased CE: As of the March 2024 distribution date, the pool's aggregate balance has been reduced by 13.7% to $946.0 million from $1.1 billion at issuance. Twelve loans (24.8% of pool) have been defeased. Four loans (18%) are full-term interest-only (IO), and the remaining 82% of the pool is amortizing. Scheduled loan maturities include 41 loans (90%) in 2025 and one loan (10%) in 2026. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not likely due to the expected continued amortization and increasing CE relative to loss expectations, but may occur should interest shortfalls affect these classes. - Downgrades to the 'AAsf' and 'A-sf' rated classes will occur if expected losses increase significantly for the FLOCs. The Negative Outlooks on the 'A-sf' rated classes reflect concerns with potential further deterioration on performance of the Decoration & Design Building, Weston Portfolio, and Ryders Crossing Shopping Center loans, and/or loans anticipated to pay off at maturity exhibit declines in performance. - Downgrades to the 'BBB-sf' and 'Bsf' rated classes which have Negative Outlooks, are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on the specially serviced assets and other FLOCs. - Further downgrades to distressed rating of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'A-sf' rated classes are not expected, but may occur with significant improvement in CE and/or defeasance as well as with the stabilization of performance on the FLOCs, specifically the Decoration & Design Building, Weston Portfolio, and Ryders Crossing Shopping Center loans. - Upgrades to the 'BBB-sf' rated class would be limited based on sensitivity to concentrations or the potential for future concentration or interest shortfalls. - Upgrades to the 'Bsf' rated class could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. - Upgrades to distressed rating of 'CCCsf' are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CLOVER CLO 2018-1: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-RR, B-1-RR, B-2-RR, C-RR, D-1-RR, and E-RR replacement debt and proposed new class X-R debt from Clover CLO 2018-1 LLC. Clover CLO 2018-1 LLC was formerly known as AIG CLO 2018-1 Ltd./AIG CLO 2018-1 LLC, which was originally issued in January 2019 and refinanced in May 2021. On the April 22, 2024, refinancing date, the proceeds from the replacement debt was used to redeem the May 2021 debt. At that time, S&P withdrew its ratings on the May 2021 debt and assigned ratings to the replacement debt. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-RR, A-2-RR, B-1-RR, B-2-RR, C-RR, D-1-RR, and D-2-RR debt was issued at a higher spread over three-month SOFR than the original debt, and the class E-RR debt was issued at lower spread over three-month CME term SOFR. -- The replacement class A-1-RR, A-2-RR, B-1-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt was issued at a floating spread, replacing the current floating spread, and the class B-2-RR debt was issued at a fixed coupon. -- The stated maturity will be extended to April 2037 and the reinvestment period will be extended to April 2029. -- The non-call period will be extended to April 2026. -- The class X-R debt was issued in connection with this refinancing. This class is expected to be paid down using interest proceeds during the first 12 payment dates beginning with the first payment date. Replacement And May 2021 Debt Issuances Replacement debt -- Class X-R, $2.00 million: Three-month CME term SOFR + 1.050% -- A-1-RR, $372.00 million: Three-month CME term SOFR + 1.530% -- A-2-RR, $30.00 million: Three-month CME term SOFR + 1.730% -- B-1-RR, $44.00 million: Three-month CME term SOFR + 1.950% -- B-2-RR, $10.00 million: 5.993% -- C-RR (deferrable), $36.00 million: Three-month CME term SOFR + 2.450% -- D-1-RR (deferrable), $36.00 million: Three-month CME term SOFR + 3.450% -- D-2-RR (deferrable), $4.50 million: Three-month CME term SOFR + 5.000% -- E-RR (deferrable), $18.30 million: Three-month CME term SOFR + 6.400% -- Subordinated notes, $58.96 million: Not applicable May 2021 debt -- Class A-1R, $302.40 million: Three-month CME term SOFR + 1.12% + CSA(i) -- Class A-2R, $14.90 million: Three-month CME term SOFR + 1.35% + CSA(i) -- Class B-R, $59.40 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C-R, $29.75 million: Three-month CME term SOFR + 2.05% + CSA(i) -- Class D-R (deferrable), $29.75 million: Three-month CME term SOFR + 3.10% + CSA(i) -- Class E-R (deferrable), $18.60 million: Three-month CME term SOFR + 6.60% + CSA(i) -- Subordinated notes, $46.15 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Clover CLO 2018-1 LLC Class X-R, $2.00 million: AAA (sf) Class A-1-RR, $372.00 million: AAA (sf) Class A-2-RR, $30.00 million: Not rated Class B-1-RR, $44.00 million: AA (sf) Class B-2-RR, $10.00 million: AA (sf) Class C-RR (deferrable), $36.00 million: A (sf) Class D-1-RR (deferrable), $36.00 million: BBB- (sf) Class D-2-RR (deferrable), $4.50 million: Not rated Class E-RR (deferrable), $18.30 million: BB- (sf) Other Debt Clover CLO 2018-1 LLC Subordinated notes, $58.96 million: Not rated Ratings Withdrawn Clover CLO 2018-1 LLC Class A-1R to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-R to not rated from 'A (sf)' Class D-R to not rated from 'BBB- (sf)' Class E-R to not rated from 'BB- (sf)' COLLEGE AVE 2017-A: DBRS Confirms BB Rating on Class C Loans ------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on all classes of securities included in seven College Ave Student Loans transactions. Rating Action ------ ------ College Ave Student Loans 2017-A, LLC Class A-1 AA (high) (sf) Confirmed Class A-2 AA (high) (sf) Confirmed Class B A (sf) Confirmed Class C BB (sf) Confirmed College Ave Student Loans 2018-A, LLC Class A-1 Notes AA (low) (sf) Confirmed Class A-2 Notes AA (low) (sf) Confirmed Class B Notes A (sf) Confirmed Class C Notes BBB (sf) Confirmed College Ave Student Loans 2019-A, LLC Class A-1 Notes AAA (sf) Confirmed Class A-2 Notes AAA (sf) Confirmed Class B Notes AA (sf) Confirmed Class C Notes A (sf) Confirmed Class D Notes BBB (sf) Confirmed College Ave Student Loans 2021-A, LLC Class A-1 Notes AAA (sf) Confirmed Class A-2 Notes AAA (sf) Confirmed Class B Notes AA (sf) Confirmed Class A-2 Notes AAA (sf) Confirmed Class B Notes AA (sf) Confirmed Class C Notes A (sf) Confirmed Class D Notes BBB (sf) Confirmed College Ave Student Loans 2021-C, LLC Class A-1 Notes AAA (sf) Confirmed Class A-2 Notes AAA (sf) Confirmed Class B Notes AA (sf) Confirmed Class C Notes A (sf) Confirmed Class D Notes BBB (sf) Confirmed College Ave Student Loans 2023-A, LLC Class A-1 Notes AAA (sf) Confirmed Class A-2 Notes AAA (sf) Confirmed Class B Notes AA (sf) Confirmed Class C Notes A (sf) Confirmed Class D Notes A (low) (sf) Confirmed Class E Notes BBB (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. -- Transaction capital structure, current credit ratings, and sufficient credit enhancement levels. -- Credit enhancement is in the form of overcollateralization, reserve accounts, and excess spread with senior notes benefitting from subordination of junior notes. -- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. -- Collateral performance and cumulative net losses remain within expectations. Forbearance and delinquency levels remain relatively stable. -- The transactions parties' capabilities with regard to origination, underwriting, and servicing. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. COLLEGIATE FUNDING 2005-A: Fitch Lowers Rating Two Tranches to BBsf ------------------------------------------------------------------- Fitch Ratings has downgraded the outstanding notes of Collegiate Funding Services Education Loan Trust (CFS) 2005-A. The Rating Outlooks for the class A-4 and B notes is Negative. Entity/Debt Rating Prior ----------- ------ ----- Collegiate Funding Services Education Loan Trust 2005-A A-4 19458LBC3 LT BBsf Downgrade BBBsf B 19458LBD1 LT BBsf Downgrade BBBsf TRANSACTION SUMMARY The downgrade of the class A-4 notes to 'BBsf' from 'BBBsf' is due to increased maturity risk (the risk of not being able to repay the principal due on the notes by legal final maturity) for the notes in Fitch's cashflow modeling, after updating assumptions reflecting better than expected default and prepayment performance since the last review. The transaction is most impacted in cashflow modeling by the stable interest rate scenario under Fitch's maturity stresses. Over the last 12 months the transaction experienced a decline in remaining loan term by less than five months. In all rating scenarios and stresses in Fitch's cashflow modeling the notes do not experience a principal shortfall. The model-implied ratings of the class A-4 notes is 'Bsf', 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 dates of the notes in 2035. The class B notes' downgrade to 'BBsf' from 'BBBsf' reflects how this rating is constrained by the rating of the class A-4 notes. The Negative Outlook for all the notes reflects the possibility of further negative rating pressure in the next one to two years if maturity risk continues to increase. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Outlook Stable. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 15.25% under the base case scenario and a default rate of 41.94% under the 'AA' credit stress scenario. After applying the standard default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch decreased the sustainable constant default rate (sCDR) from 2.5% to 2.25%; defaults have remained lower and are now expected to increase to this lower level. Fitch has revised higher the sustainable constant prepayment rate (sCPR) to 8.0% from 7.0%. Prepayments trended higher this year after declining following loan consolidation from the Public Service Loan Forgiveness Program. Current CPR levels are expected to trend downward toward updated sCPR. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. The TTM levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 2.29% (2.70% at May 31, 2023), 7.87% (8.18%) and 18.52% (16.77%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. Basis and Interest Risk: Basis risk for this transaction 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 distribution date, all trust student loans are indexed to SOFR and all notes are indexed to 90-day Average SOFR plus the spread adjustment of 0.26161%. Fitch applies its standard basis and interest rate stresses to the transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization (OC) and for the class A notes, subordination provided by the class B notes. As of the March 2024 distribution date, reported total parity is 101.80%. Liquidity support is provided by a reserve account currently sized at its floor of $1,340,886. The transaction is not releasing cash. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024 that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 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. Collegiate Funding Services Education Loan Trust 2005-A: Current Ratings: class A-4 'BBsf'; class B 'BBsf' Current Model-Implied Ratings: class A-4 'AA+sf' (Credit Stress)/Bsf' (Maturity Stress); class B 'AA+sf' (Credit Stress)/ 'AAsf' (Maturity Stress) Credit Stress Rating Sensitivity: - Default increase 25%: class A 'AA+sf'; class B 'AAsf'; - Default increase 50%: class A 'AA+sf'; class B 'Asf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'Asf'; - Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity: - CPR decrease 25%: class A 'CCCsf'; class B 'BBBsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'Bsf'; class B 'BBBsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'BBsf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Credit Stress Rating Sensitivity: - Default decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'AA+sf'; Maturity Stress Rating Sensitivity: - CPR increase 25%: class A 'BBBsf'; class B 'Asf'; - CPR increase 50%: class A 'Asf'; class B 'AAsf'; - IBR Usage decrease 25%: class A 'BBsf'; class B 'AAsf'; - IBR Usage decrease 50%: class A 'BBBsf'; class B 'AAsf'. - Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'. 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. COLT 2024-INV2: S&P Assigns Prelim 'B (sf)' Rating on B-2 Certs --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to COLT 2024-INV2 Mortgage Loan Trust's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by 914 first-lien, fixed- and adjustable-rate, fully amortizing, ability-to-repay (ATR)-exempt, business-purpose investment property residential mortgage loans to prime and nonprime borrowers (some with interest-only periods). The loans are secured by single-family residential properties, planned-unit developments, condominiums, townhomes, and two- to four-family residential properties. The preliminary ratings are based on information as of April 22, 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 pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "Per our latest macroeconomic update, the U.S. economy appears on track for 2.5% average growth in 2024 (up from 1.5% in our November 2023 forecast), spurred by a sturdy labor market--repeating last year's outperformance versus peers. We continue to expect the economy to transition to below-potential growth as the year progresses. We apply our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency (which we updated to 2.50% from 3.25% in October 2023), reflecting our benign view of the mortgage and housing market as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting." Preliminary Ratings Assigned(i) COLT 2024-INV2 Mortgage Loan Trust Class A-1, $160,604,000: AAA (sf) Class A-2, $15,578,000: AA (sf) Class A-3, $27,077,000: A (sf) Class M-1, $15,702,000: BBB (sf) Class B-1, $11,869,000: BB (sf) Class B-2, $9,025,000: B (sf) Class B-3, $7,419,002: NR Class A-IO-S, Notional(ii): NR Class X, Notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)Interest can be deferred on the classes, the fixed coupons are subject to the pool's net WAC rate, and the interest rate on the class B-1, B-2, and B-3 certificates equals the pool's net WAC. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. COMM 2013-LC13: S&P Lowers Class D Notes Rating to 'B- (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class C and D commercial mortgage pass-through certificates from COMM 2013-LC13 Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P withdrew its 'BB- (sf)' rating on the class X-B interest-only (IO) certificates from the same transaction. Rating Actions The downgrades on classes C and D, despite higher model indicated ratings on these classes, primarily reflect: -- S&P's assessment that the transaction faces adverse selection because the four remaining assets in the pool have defaulted and are with the special servicers. -- S&P's belief that the transaction has heightened liquidity risk. Three of the four remaining assets, totaling 83.2% of the pooled trust balance, are currently delinquent. The master servicer, Midland Loan Services (Midland), deemed the two real estate-owned (REO) assets, Hampton Inn & Suites - Little Rock and 201 North Charles Street, totaling 23.4% of the pooled trust balance nonrecoverable in February 2024 and September 2023, respectively. As of the April 2024 reporting period, Midland has clawed back $1.3 million in past advances and accruals related to these two assets, including $269,828 in April 2024 for reimbursement of past advances on the 201 North Charles Street REO asset. There is currently approximately $6.9 million in outstanding advances and accruals remaining on the REO assets. The reimbursement of prior advances and accruals from interest proceeds will reduce liquidity support to the outstanding classes, while using principal proceeds, as reflected in the April 2024 trustee remittance report, will reduce the recovery amount to the trust. -- The uncertain liquidation timing of the remaining assets and the potential for further reduced liquidity support due to the deteriorated quality of the remaining assets and low pool factor (9.2% of the initial pooled trust balance, as of the April 2024 reporting period). Most of the outstanding classes rely on Midland's advancing for timely principal and interest payments. As a result, S&P considered the possibility that the master servicer may no longer be willing to continue to advance on any of the remaining assets in the pool. S&P said, "We withdrew our 'BB- (sf)' rating on the class X-B IO certificates because, according to the transaction documents, the class is no longer accruing interest following the full repayment of the class B certificates. "We will continue to monitor the transaction's performance and the collateral assets, especially any developments around the performance and resolution of the specially serviced assets. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we deem necessary." Loan Details Details on the four remaining assets, all of which are with the special servicer, are below. 15 MetroTech Center ($59.2 million, 59.8% of the pooled trust balance) The largest remaining loan in the pool is secured by the borrower's leasehold interest in a 649,492-sq.-ft. office building with ground-floor retail space in Downtown Brooklyn. The property was built in 2003 and is located within the larger MetroTech Center, comprising over 7.5 million sq. ft. of office space, which has since been renamed as Brooklyn Commons. Brookfield Properties Group purchased the office building in 2018, and in 2022, it announced a $50.0 million renovation project for the subject property and two other nearby properties (351 Jay Street and 100 Myrtle Avenue). There is also a sub-grade 243-space parking garage. The property is well-situated and accessible via multiple subway lines and the LIRR. It is also subject to a ground lease from the City of New York that commenced on Dec. 31, 2001, and expires on Dec. 31, 2100. From July 1, 2003, through June 30, 2023, the base ground rent was $855,000. The base ground rent is currently 10% of the appraised fair market value of the land and will be reappraised every 10th year thereafter. The trust loan represents a pari passu portion within a larger whole loan. As of the April 2024 trustee remittance report, the trust and whole loan balance totaled $59.2 million and $125.8 million, respectively, down from $67.8 million and $149.1 million in our last review in August 2020 and $80.0 million and $169.9 million at issuance. The whole loan pays a fixed interest rate per annum of 5.41% and amortizes on a 25-year schedule. The whole loan transferred to the special servicer, CWCapital Asset Management LLC, on July 27, 2023, due to imminent maturity default. The loan matured on Sept. 5, 2023. As of the April 2024 trustee remittance report, the loan had a reported Oct. 1, 2023, paid-through date, and the master servicer has advanced the debt service payments since the loan's maturity. The whole loan has a total exposure of $132.1 million, comprising $6.2 million in principal and interest (P&I) advances, $33,453 in other expense advances, and $95,753 in accrued unpaid advance interest. There is also currently approximately $41.5 million in various lender-controller reserve accounts. According to the special servicer, it is currently negotiating with the borrower for a potential loan modification. The property was 69.0% occupied as of March 2024. According to the special servicer, about 36.0% of the net rentable area (NRA) rolls in 2024. The servicer reported occupancy and net cash flow (NCF) of 100% and $19.8 million, respectively, in 2019, 62.0% and $11.4 million in 2020, 69.0% and $8.9 million 2021, 75.0% and $10.0 million in 2022, and 70.0% and $16.0 million for the trailing-12-months ended Sept. 30, 2023. Occupancy fell after the largest tenant at the property, WellPoint Holding Corp. (60.4% of NRA), which was subleasing its space since issuance, did not renew its lease at the end of its term in June 2020. The sponsor was able to backfill a portion of former Wellpoint's space to the New York State Department of Taxation (14.8%), 15 MTC TRS LLC (a co-working tenant by JLL, 7.8%), Magellan Health Inc. (5.7%), The Slate Group LLC (3.5%), and The Legal Aid Society (5.9%) in 2020 and 2021. Compounding the decline in occupancy, the Downtown Brooklyn office submarket fundamentals have weakened materially since the pandemic due to lower demand for office space. As of year-to-date April 2024, CoStar reported a vacancy rate of 21.0%, an availability rate of 20.5%, and a market rental rate of $51.40 per sq. ft. for the 3- to 5-star office properties in the office submarket. Furthermore, CWCapital Asset Management LLC released in the December 2023 reporting period an updated appraisal value of $160.8 million dated Aug. 31, 2023, which is 41.1% lower than the appraised value from issuance in 2013. S&P said, "Assuming an S&P Global Ratings' NCF of $10.6 million and utilizing an S&P Global Ratings' capitalization rate of 7.50%, we arrived at an S&P Global Ratings' expected-case value of $141.8 million, 11.8% lower than the revised 2023 appraisal value. We will continue to monitor for further development on the loan, including a possible loan modification." Doubletree Midland ($16.6 million; 16.8% of the pooled trust balance) The second-largest loan remaining in the pool is secured by the borrower's fee simple interest in a 261-room full-service hotel built in 1973 and renovated between 2012 and 2023, located in Midland, Tex. The loan amortizes on a 25-year schedule, pays a per annum fixed rate of 5.29% and matured on Sept. 5, 2023. The loan is paid through as of the April 2024 payment period. The servicer reported a debt service coverage (DSC) of 1.16x as of year-to-date Sept. 30, 2023, up from 0.36x as of the year-ended Dec. 31, 2022. Operating performance at the property declined since the COVID-19 pandemic. The servicer-reported NCF and occupancy were $274,027 and 24.2%, respectively, in 2020, negative $211,364 and 35.6% in 2021, $1.7 million and 43.5% in 2022, and $1.4 million and 50.2% for year-to-date September 2023, down from $3.7 million and 56.0% in 2019. The loan transferred to the special servicer on July 10, 2020, because of imminent monetary default. The borrower requested relief due to the COVID-19 pandemic. The borrower and the special servicer, Rialto Capital Advisors LLC (Rialto), entered into a forbearance agreement on Sept. 20, 2021, that allowed the borrower to use funds from furniture, fixtures, and equipment reserves to make debt service payments. The special servicer granted another forbearance in 2023 by extending the loan's maturity to May 5, 2024, after the borrower failed to obtain refinancing proceeds by the loan's original maturity date in May 2023. According to local news articles, the sponsor of the property had requested $15.0 million in November 2023 from the City of Midland to partially finance a renovation project, which would include updating the guest rooms, elevators, common areas, and lobby. Renovations were originally planned to begin in 2020 but were deferred because of the COVID-19 pandemic. In addition to the $15.0 million funds from the city, the sponsor was expected to contribute about $2.5 million for capital improvements. However, the request for funding was rejected by the city, and, as of February 2024, the sponsor has marketed the property for sale. Based on an updated appraisal value of $21.5 million dated as of July 25, 2023, which is 42.7% below the $37.5 million appraised value at issuance and the current loan balance, S&P expects a minimal loss (less than 25.0%), if any, upon the eventual resolution of the loan. Hampton Inn & Suites – Little Rock ($11.7 million; 11.9% of the pooled trust balance) The REO asset is the third largest asset in the pool and consists of a 2008-built, 119-room, limited-service hotel in Little Rock, Ark. The loan pays a fixed interest rate per annum of 5.51%, amortizes on a 25-year schedule, and matured on Sept. 6, 2023. It transferred to the special servicer on April 16, 2020, because of imminent monetary default. The borrower requested COVID-19 relief. The special servicer, Rialto, foreclosed on the loan and the property became REO on June 9, 2022. The asset, which had a reported May 2022 paid through date, had a total reported exposure of $14.0 million, comprising $1.5 million in P&I advances, $403,699 in appraisal subordinate entitlement reduction (ASER) amounts (based on a $4.1 million appraisal reduction amount (ARA) implemented in September 2023), and $303,658 in cumulative accrued unpaid advance interest. The master servicer deemed the asset nonrecoverable in the February 2024 reporting period. According to Rialto, its strategy is to continue to manage and stabilize the asset before disposition. The servicer reported a 0.85x DSC as of the trailing 12 months ended Sept. 30, 2023. Based on the appraisal value dated as of Feb. 7, 2024, of $10.8 million, which is 52.6% lower than the appraised value of $22.8 million at issuance, S&P expects a moderate loss (between 26.0% and 59.0%) upon the eventual resolution of the asset. 201 North Charles Street ($11.4 million; 11.5% of the pooled trust balance) The REO asset is the smallest asset remaining in the pool and consists of a 264,126-sq.-ft. class B office property built in 1968 and most recently renovated in 2013 in Baltimore. The loan pays a fixed per annum interest rate of 5.53%, amortizes on a 30-year schedule, and matured on Sept. 6, 2023. It transferred to the special servicer on Nov. 12, 2021, due to imminent monetary default after the borrower requested for a loan modification. The special servicer foreclosed on the loan and the property became REO on June 29, 2022. The asset, which had a reported January 2023 paid through date, had a total reported exposure of $16.0 million, comprising $390,191 in principal and interest advances, $128,147 in ASER amounts (based on a $9.9 million ARA that was updated in March 2024), $3.5 million in other expenses advances, $414,707 in taxes and insurance advances, and $187,206 in cumulative accrued unpaid advance interest. The master servicer deemed the asset nonrecoverable in the September 2023 reporting period. According to Rialto, it has engaged a new leasing and management team to stabilize the property's performance. The property was 52.3% occupied as of Sept. 30, 2023, and the servicer-reported negative NCF as of year-to-date Sept. 30, 2023. Based on the most recent appraisal value dated Nov. 28, 2023, of $5.9 million, which is 69.3% lower than the appraised value of $19.2 million at issuance, S&P expects a significant loss (over 60.0%) upon the eventual resolution of the asset. Transaction Summary As of the April 12, 2024, trustee remittance report, the collateral pool balance was $98.9 million, which is 9.2% of the pool balance at issuance. The pool currently includes two fixed-rate loans and two REO assets, down from 57 loans at issuance. The four remaining assets are with the special servicer; three of which ($82.3 million, 83.2% of the pooled trust balance) are currently delinquent. The master servicer deemed the two REO assets ($23.1 million, 23.4%) nonrecoverable in 2023 and 2024. In April 2024, the trust had reported monthly interest shortfalls totaling $127,722 from special servicing fees of $17,769 and interest not advanced due to nonrecoverable determination of $109,953. The shortfalls affected classes E, F, and G, none of which are currently rated by S&P Global Ratings. In addition, according to the April 2024 remittance report, the trust used $269,829 of principal amortization proceeds to recoup past advances on one of the REO assets. To date, the trust has experienced $27.1 million in principal losses, or 2.5% of the original pool trust balance. S&P expects losses to reach approximately 4.1% of the original pool trust balance in the near term based on losses incurred to date and the additional losses upon the eventual resolution of the two REO assets and the Doubletree Midland loan. Ratings Lowered COMM 2013-LC13 Mortgage Trust Class C to 'BBB (sf)' from 'A- (sf)' Class D to 'B- (sf)' from 'BB- (sf)' Rating Withdrawn COMM 2013-LC13 Mortgage Trust Class X-B to NR from 'BB- (sf)' NR--Not rated. COMM 2014-UBS2: Moody's Downgrades Rating on Cl. C Certs to Ba2 --------------------------------------------------------------- Moody's Ratings has affirmed the ratings on one class and downgraded the ratings on two classes in COMM 2014-UBS2 Mortgage Trust, Commercial Pass-Through Certificates, Series 2014-UBS2 as follows: Cl. B, Affirmed A2 (sf); previously on Jun 5, 2023 Downgraded to A2 (sf) Cl. C, Downgraded to Ba2 (sf); previously on Jun 5, 2023 Downgraded to Baa3 (sf) Cl. PEZ, Downgraded to Ba1 (sf); previously on Jun 5, 2023 Downgraded to A3 (sf) RATINGS RATIONALE The ratings on Cl. B was affirmed because of the credit support and the expected principal paydowns from the remaining loans in the pool. While nearly all the remaining loans are in special servicing, Class B has already paid down 73% since securitization and is now the most senior outstanding class and will benefit from payment priority from any principal paydowns. The ratings on Cl. C was downgraded due to higher expected losses and increased risk of interest shortfalls driven by the significant exposure to delinquent loans in special servicing. All remaining loans are either in special servicing or have passed their original maturity dates. Furthermore, five of the special serviced loans, (63% of the pool) are classified as either in foreclosure or REO and have already recognized appraisal reduction amounts of 20% or higher of their outstanding principal balance. As a result of the appraisal reductions and exposure to special servicing, interest shortfalls currently impact up to Class D, however, interest shortfalls may increase if the remaining loans are unable to payoff and loans either continue to be delinquent or experience further performance declines. The rating on the exchangeable class, Cl. PEZ, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Cl. PEZ originally referenced classes A-M, B and C, however, the most senior reference class, Cl. A-M, had previously paid off in full. Moody's rating action reflects a base expected loss of 50.8% of the current pooled balance, compared to 8.9% at Moody's last review. Moody's base expected loss plus realized losses is now 11.4% of the original pooled balance, compared to 8.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or 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 95.5% of the pool is in special servicing and Moody's recognized an additional 4.5% of the pool as a troubled loan. 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 to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the April 2024 distribution date, the transaction's aggregate certificate balance has decreased by 84% to $192 million from $1.23 billion at securitization. The certificates are collateralized by seven mortgage loans ranging in size from less than 5% to 33% of the pool. As of the April 2024 remittance report, all remaining loans are either in special servicing or have passed their original maturity dates. Six loans representing over 95% of the pool are in special servicing, of which five special serviced loans (63% of the pool) are classified as in foreclosure or REO. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $43.1 million (for an average loss severity of 40.4%). The largest specially serviced loan is the Excelsior Crossings Loan ($63.1 million – 32.8% of the pool), which is secured by two office buildings totaling 501,603 SF located in Hopkins, Minnesota. The properties were originally fully occupied by a single tenant, however, the tenant subsequently downsized then vacated the buildings. Two new leases were signed in 2022 which substantially improved occupancy. The loan most recently transferred to special servicing in December 2023 ahead of its January 2024 maturity date. The property's occupancy has rebounded in recent years and as of December 2023 the properties were 98% leased with the five largest tenants having lease expiration in 2030 or later. The most updated appraisal valued represented a 34% decline from the value at securitization but remained well above the outstanding loan balance. The loan has amortized 28% since securitization and while it was unable to payoff at its maturity date it remains current on its monthly debt service payments and was classified as performing maturity as of the April 2024 remittance statement. While the properties are now well leased, the 2023 net operating income (NOI) was 22% below the levels in 2013. Special servicer commentary indicates the loan is in active cash management and they are dual tracking the foreclosure process while discussing workout alternatives with the borrower. The second largest specially serviced loan is the One North State Street Loan ($48.4 million – 25.2% of the pool), which is secured by the 170,507 SF ground floor retail/storage component of a 713,423 SF mixed-use office and retail property located in Chicago, Illinois. The loan collateral includes 129,715 SF of retail space and 40,792 SF of storage space. The largest tenant Burlington Coat Factory (35% of NRA) has a reported lease expiration of March 2024 but is presently still operating at the location. Further, the second largest tenant, TJ Maxx (40% of the NRA) has a lease expiring in July 2024. The property was 93% leased as of March 2023, however, the property faces significant lease rollover risk from the two largest tenants. The loan has now passed its scheduled maturity date of February 2024 and the property's NOI has remained below levels at securitization in recent years. The most recent appraisal value from August 2023 value the property 48% below the outstanding loan balance. Further, the loan was last paid through its November 2023 remittance date and has $2.5 million of outstanding loan advances. The third largest specially serviced loan is the Canyon Crossing Loan ($40.1 million -- 20.9% of the pool), which is secured by 296,000 square feet (SF) shopping center located in Riverside, California. The property is also encumbered with $5.96 million of mezzanine financing. The loan transferred to special servicing in November 2018 as result of two large tenants, totaling 27% of the property's square feet (SF), vacating the property. The decline in occupancy caused the property's NOI to significantly decline since securitization and the asset became REO in September 2019. As of April 2024 remittance, the loan was last paid through February 2021 and has accrued approximately $8.4 million in P&I advances. Special servicer commentary indicates the property is currently being marketed for sale. The fourth largest specially serviced loan is the Avnet Building Loan ($13.1 million – 6.8% of the pool), which is secured by a 132,070 SF office property located in Tempe, Arizona built in 2000. The loan transferred to special servicing in June 2023 for imminent maturity default. The property was vacated by its sole tenant which had a lease expiation in January 2024. As of April remittance, this loan was last paid through December 2023 and has incurred an appraisal reduction of $3.2 million. Special servicer commentary indicates they are reviewing a proposed a deed-in-lieu ("DIL") and dual tracking foreclosure with the DIL discussions. The fifth largest loan in special servicing is the 300 East 23rd Street Loan ($10.3 million – 5.4% of the pool), which is secured by a 11,145 SF, ground floor retail condo in New York, New York. The loan transferred to special servicing in May 2023 due to imminent monetary default after the sole tenant, Duane Reade (100% of NRA), vacated at its lease expiration in March 2023. The most recent appraisal valued the property significantly below the outstanding loan balance and an appraisal reduction of $7.2 million has been recognized on this loan. As of the April remittance, this loan was last paid through April 2023 and servicer commentary indicates they are tracking foreclosure proceedings and a DIL. The remaining specially serviced loan is secured by a retail property in Milford, Connecticut (4.5% of the pool) that has suffered significant declines in occupancy and NOI since securitization. Moody's also recognized the sole non-specially loan as a troubled loan. Moody's estimates an aggregate $97.7 million loss for the remaining loans in the pool (51% expected loss on average). As of the April 2024 remittance statement cumulative interest shortfalls were $5.7 million. Moody's anticipates interest shortfalls will continue and may increase because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The only loan not in special servicing is the Valley Park Commons Loan ($8.6 million – 4.5% of the pool), which is secured by an 89,855 SF office property located in Hagerstown, Maryland. The loan passed its original maturity date in February 2024 and was granted short term extensions through April 2024, however, the borrower was still unable to pay off the loan. The property was only 34% leased as of September 2023 compared to 99% in October 2022 and the NOI DSCR was below 1.00X. Servicer commentary noted that the borrower indicated they were in the process of refinancing the loan with a new lender. COMM 2015-CCRE24: Fitch Lowers Rating on Two Tranches to 'Bsf' -------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed seven classes of Deutsche Bank Securities, Inc.'s COMM 2015-CCRE24 Mortgage Trust (COMM 2015-CCRE24). Following their downgrades, classes D and X-C were assigned Negative Rating Outlooks. Additionally, the Outlook for classes B and C have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE24 A-4 12593JBE5 LT AAAsf Affirmed AAAsf A-5 12593JBF2 LT AAAsf Affirmed AAAsf A-M 12593JBH8 LT AAAsf Affirmed AAAsf A-SB 12593JBC9 LT AAAsf Affirmed AAAsf B 12593JBJ4 LT AA-sf Affirmed AA-sf C 12593JBK1 LT A-sf Affirmed A-sf D 12593JBL9 LT Bsf Downgrade BBsf E 12593JAL0 LT CCCsf Downgrade B-sf F 12593JAN6 LT CCsf Downgrade CCCsf X-A 12593JBG0 LT AAAsf Affirmed AAAsf X-C 12593JAC0 LT Bsf Downgrade BBsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades to classes D, E, F and X-C reflect increased pool loss expectations driven by continued performance deterioration of the Fitch Loans of Concern (FLOCs), including higher loss expectations on the Westin Portland (4.6% of the pool), LG&E Center (1.9%), 40 Wall Street (4.2%) and Vero Beach Outlets (1.7%) loans since Fitch's prior rating action. Fitch identified 17 loans (31.0%) as FLOCs, which includes two specially serviced loans (5.4%). Fitch's current ratings incorporate a 'Bsf' rating case loss of 8.8%. The Negative Outlook assignment to classes D and X-C, along with the Negative Outlook revision to classes B and C, reflects possible downgrades should occupancy and cashflow of the hotel, office and retail FLOCs, mainly Westin Portland, 40 Wall Street, Two Chatham Center & Garage, LG&E Center, Vero Beach Outlets and McMullen Portfolio deteriorate further, and/or more loans than expected default at or prior to their maturity. The Negative Outlooks also incorporate an additional sensitivity scenario that factor a heighted probability of default given maturity default concerns on additional FLOCs, including FogCatcher Inn Pacifica (1.5% of the pool), Fireside Inn on Moonstone Beach Pacifica (1.1%), The Addison (0.6%) and Great American Office Plaza (0.3%). Largest Contributors to Loss Expectations: The largest contributor to overall loss expectations and the largest increase in loss expectations since the prior rating action is the Westin Portland (4.6%) loan, which is secured by a 205-room full service hotel located in downtown Portland, OR. The hotel has continued to sustain significant performance declines since prior to the pandemic, with the servicer-reported NOI DSCR remaining below 1.00x since 2017. The NOI DSCR has fallen negative since 2022. The loan transferred to special servicing in October 2023 due to imminent monetary default. Per the YE 2023 STR report, the hotel continues to underperform its competitive set, reflecting penetration rates for occupancy, average daily rate (ADR) and revenue per available room (RevPAR) at 67.0%, 80.6% and 54.0%, respectively. Fitch's 'Bsf' rating case loss of 43.1% (prior to concentration adjustments) is based off the February 2024 appraisal value with no stress, reflecting a stressed recovery value of approximately $162,000 per key. The second largest increase in loss expectations since the prior rating action is the Vero Beach Outlets (1.7%), which is secured by a 339,445-sf retail outlet center located in Vero Beach, FL. The loan was identified as a FLOC due sustained low occupancy (74.5% as of September 2023, down from x% at issuance) and low DSCR (hovering around 1.0x since 2022). Occupancy declines have been the main driver behind the YE 2022 NOI falling 42.2% since issuance. Per the September 2023 rent roll, upcoming rollover includes 23.4% of the NRA in 2024, 11.6% in 2025 and 34.1% in 2026. Fitch's 'Bsf' ratings case loss expectations of 32.4% (prior to concentration adjustments) includes a 12% cap rate, 15% stress to the YE 2022 NOI and an increased probability of default due to the loan's heightened maturity default concerns. The next largest increase in loss expectations since the prior rating action is the LG&E Center (1.9%) loan, which is secured by a 280,520-sf Downtown office building located in Louisville, KY. Per media reports, the largest tenant, Louisville Gas & Electric (70% of the NRA; 80% of the base rents), is expected to vacate at their December 2025 lease expiration, approximately six months after the loan's June 2025 maturity. Due to the anticipated vacancy of the largest tenant, Fitch's analysis includes a 10.75% cap rate, a 25% stress to the YE 2023 NOI and an increased probability of default due to the loan's heightened maturity default concerns. Fitch's 'Bsf' ratings case loss is 24.1% (prior to concentration adjustments). The next largest increase in loss since the prior rating action is the 40 Wall Street (4.2%) loan, which is secured by a 71-story, 1.23 million-sf office building located in the Financial District of Lower Manhattan. The loan remains a FLOC due to further occupancy declines after Duane Reade (6.5% of the NRA) exercised a lease termination option and vacated their office space in March 2023. Duane Reade also vacated their retail premises (1.9% of the NRA), but continues to pay according to the contractual lease agreement, which expires in January 2032. Property occupancy has declined to 79.2% as of YE 2023 with a NOI DSCR of 1.31x. Property-level NOI in 2022 and 2023 are approximately 43% below NOI at issuance. Per the YE 2023 rent roll, the collateral is 20.8% vacant with average in-place rents of $39.77 psf. According to CoStar, the subject is located in the Financial District submarket and New York MSA, which have vacancy rates of 23.1% and 14.1%, respectively and higher availability rates of 25.2% and 16.3%. Fitch's 'Bsf' rating case loss of 19.5% (prior to concentration adjustments) is based on a 9.25% cap rate and a 15% stress to the YE 2023 NOI. It also incorporates a higher probability of default to account for heightened maturity default concerns. Other top contributors to loss include office FLOCs, Two Chatham Center & Garage (4.8% of pool) and McMullen Portfolio (2.7%). The Two Chatham Center & Garage is secured by a 290,501-sf office building and a 2,284-car parking garage located in Pittsburgh, PA. This loan remains a FLOC due to sustained performance declines, including lower occupancy for the office portion of the property, which has declined to 33% as of September 2023 from 45% at YE 2022 and 59% at issuance. According to the servicer, the leasing market remains weak; however, parking revenue has been improving with the reopening of the hotel adjacent to the property. Additionally, the servicer notes that the development of a mixed-use project across the street from the property will help to increase demand for parking. Fitch's 'Bsf' rating case loss of 29.9% (prior to concentration adjustments) is based on a 10.50% cap rate and a 15% stress to the YE 2022 NOI. It also incorporates a higher probability of default to account for heightened maturity default concerns. The McMullen Portfolio is secured by a portfolio of eight suburban office buildings totaling 274,919-sf located in Ann Arbor, Michigan and Pittsfield Township, Michigan. Portfolio performance has deteriorated with occupancy falling to 55.6% as of YE 2023 due to GLC Holding Company (6.9% of portfolio NRA) and Coherix (5.4%) vacating prior to their respective April 2024 and December 2025 lease expirations. Due to the occupancy declines, the NOI DSCR has declined to 1.37x from 1.66x as of YE 2020 and 1.86x as of YE 2019. Upcoming rollover for the portfolio is concentrated in 2025 with 40.6% of the portfolio NRA scheduled to expire. Fitch's 'Bsf' rating case loss of 27% (prior to concentration adjustments) is based on a 10% cap rate and a 25% stress to the YE 2023 NOI. It also incorporates a higher probability of default to account for concentrated rollover risk coupled with refinance concerns. Increasing Credit Enhancement (CE): As of the March 2024 distribution date, the pool's aggregate principal balance has been reduced by 21.3% to $1.09 billion from $1.39 billion. There are 16 loans (14.0% of the pool) that are fully defeased. Loan maturities are concentrated in 2024 (two loans; 2.4% of the pool), 2025 (69 loans; 90.2%) and 2026 (one loan; 7.4%). Cumulative interest shortfalls of $1.87 million and realized losses to date of $1.3 million are affecting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated 'AAAsf' are not likely due to increasing CE and expected pay off from non-FLOCs; these classes do not rely on FLOCs to repay. However, downgrades may be possible should a large proportion of non-FLOCs that Fitch expects to pay off default at or prior to maturity, thereby exposing these classes to the possibility of more prolonged workouts/losses. Downgrades to the classes rated 'AA-sf' and 'A-sf' are possible should performance of the Westin Portland, 40 Wall Street, Two Chatham Center & Garage, LG&E Center, Vero Beach Outlets and McMullen Portfolio loans deteriorate beyond Fitch's expectations, and/or a large proportion of non-FLOCs, including FogCatcher Inn Pacifica, Fireside Inn on Moonstone Beach Pacifica, The Addison and Great American Office Plaza, default at or prior to their maturity. Further downgrades to classes rated 'Bsf', 'CCCsf' and 'CCsf' would occur should the aforementioned FLOCs experience further performance declines, as losses are incurred and/or loan resolutions result in higher than expected losses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AA-sf' and 'A-sf' would occur with sustained asset performance improvement on the FLOCs, including Westin Portland, 40 Wall Street, Two Chatham Center & Garage, LG&E Center, Vero Beach Outlets and McMullen Portfolio, coupled with improving CE from loan repayments at or prior to maturity and/or defeasance. Upgrades to classes rated 'Bsf', 'CCCsf' and 'CCsf' are unlikely absent greater clarity on loan refinanceability as well as better than expected recoveries on the aforementioned FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2015-LC21: DBRS Confirms CCC Rating on Class F Certs --------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-LC21 issued by COMM 2015-LC21 Mortgage Trust as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-C at BBB (sf) -- Class X-D at B (high) (sf) -- Class D at BBB (low) (sf) -- Class E at B (sf) -- Class F at CCC (sf) The trends on Class D, Class E, Class X-C, and Class X-D were changed to Negative from Stable. Class F is assigned a credit rating that does not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. All other classes have Stable trends. The trend changes on the Class D and Class E Certificates reflect concerns related to a number of loans that Morningstar DBRS has identified as being at increased risk of maturity default because of declining cash flows, increased vacancy, and general lending challenges within the office sector. Since the last credit rating action, two loans have been liquidated from the trust. Realized losses to the trust currently total $18.8 million, and have eroded nearly half of the original balance of the unrated Class G certificate. Two loans remain in special servicing, including one that has exhibited further decline in reported appraised value since the last credit rating action. At issuance, the transaction consisted of 103 fixed-rate loans secured by 198 commercial and multifamily properties, with a trust balance of $1.3 billion. As of the March 2024 remittance, 85 loans remain outstanding with a trust balance of $918.8 million, reflecting collateral reduction of 30.5% since issuance. There are currently 23 fully defeased loans, representing 24.3% of the current pool balance. The notable principal paydown and defeasance serves as a mitigant against the potential for further credit deterioration. All of the remaining loans have maturity or ARD dates in 2025. Outside of the specially serviced loans, Morningstar DBRS has identified seven loans, representing 14.8% of the pool balance, to be at increased risk of maturity default, all of which are backed by office properties. Given the current interest rate and capitalization rate environment, as well as declining investor demand for office properties, Morningstar DBRS remains cautious in its view of the transaction's office concentration. Four of the seven office loans, representing 8.0% of the pool, have either transferred to special servicing or are on the servicer's watchlist. In total, 22 loans, representing 27.6% of the pool, are being monitored on the servicer's watchlist and two loans, representing 5.9% of the current pool, are in special servicing. As part of this review, Morningstar DBRS increased the probability of default for distressed loans to reflect their current risk profile and, in certain cases, applied stressed loan-to-value (LTV) ratios. In addition, Morningstar DBRS analyzed the smaller of the two specially serviced loans with a liquidation scenario, resulting in an implied loss severity of 75.0%. The largest loan in special servicing is Meridian at Brentwood (Prospectus ID#3, 4.1% of the pool), which is secured by a mixed-use office/retail building in Brentwood, Missouri. The loan transferred to special servicing in June 2023 due to non-monetary default related to the borrower's non-compliance with the initiation of cash management. Cash management was triggered after the largest tenant, BJC Health System (BJC), failed to renew its lease prior to the original 2022 expiration. The tenant previously leased 58.0% of net rentable area (NRA), however, according to the September 2023 rent roll, BJC appears to have downsized and currently leases 39.4% of the NRA on a lease that expires in December 2025. Occupancy has declined as a result, to 84.0% as of September 2023 from 97.0% at YE2021. Cash flow has also declined, resulting in a debt service coverage ratio (DSCR) of 0.26 times (x) as of the Q3 2023 financials, down from the YE2022 DSCR of 1.37x. Although the borrower and special servicer appear to be negotiating terms of reinstatement, given the previous default and the recent occupancy and cash flow volatility, Morningstar DBRS analyzed this loan with a stressed LTV and elevated probability of default, resulting in an expected loss approximately 150.0% greater than the pool average. Morningstar DBRS analyzed several other loans with stressed LTVs and elevated probability of defaults, including the Santa Monica Clock Tower (Prospectus ID#8, 2.9% of the pool) and Delaware Corporate Center I & II (Prospectus ID#9, 2.6% of the pool) loans, both of which are secured by office collateral and are being monitored on the servicer's watchlist. The Santa Monica Clock Tower loan, secured by an office property in Santa Monica, California, has exhibited cash flow decline following the departure of several tenants in 2020 and 2021. Occupancy declined to 66.6% in 2021 from 99.0% in 2019 and has remained at 66.6% with an average rental rate of $93.21 per square foot (psf) as of the September 2023 rent roll. According to Reis, as of YE2023, Class A office properties in the Santa Monica submarket reported a vacancy rate of 23.2% with average asking rents of $61.68 psf. The loan's DSCR was most recently reported at 1.55x for the trailing nine-month period ended September 30, 2023, up from the YE2022 DSCR of 1.14x. Morningstar DBRS continued to analyze this loan with a stressed LTV and elevated probability default, resulting in an expected loss level over 100.0% greater than the pool average. The Delaware Corporate Center I & II loan, secured by a 200,275-sf office complex in Wilmington, Delaware, had transferred to special servicing in March 2022 after failing to comply with cash management provisions following the notice of nonrenewal by the collateral's former largest tenant, E.I. Dupont (26.6% of NRA). The loan has since returned back to the master servicer in June 2023 after the borrower cured the default. The loan continues to be monitored on the servicer's watchlist due to the continued cash management as well as low DSCR. The former E.I. Dupont space remains vacant, and the September 2023 rent roll reported an occupancy rate of 75.9%, down from 96.0% at YE2022, with an average rental rate of $26.88 psf. According to the Q3 2023 financials, DSCR fell to 0.82x from 2.36x at YE2022 due to the departure of E.I. Dupont. In the Morningstar DBRS analysis, a stressed LTV and elevated probability of default was applied, resulting in an expected loss level over 200.0% greater than the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. CONNECTICUT AVENUE 2024-R03: DBRS Gives Prov. BB(high) on 4 Classes ------------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Connecticut Avenue Securities (CAS) Series 2024-R03 Notes (the Notes) to be issued by Connecticut Avenue Securities Trust 2024-R03 (CAS 2024-R03 or the Issuer): -- $273.9 million Class 2M-1 at A (low) (sf) -- $236.6 million Class 2M-2 at BBB (high) (sf) -- $78.9 million Class 2M-2A at BBB (high) (sf) -- $78.9 million Class 2M-2B at BBB (high) (sf) -- $78.9 million Class 2M-2C at BBB (high) (sf) -- $117.9 million Class 2B-1 at BB (high) (sf) -- $59.0 million Class 2B-1A at BBB (low) (sf) -- $59.0 million Class 2B-1B at BB (high) (sf) -- $78.9 million Class 2E-A1 at BBB (high) (sf) -- $78.9 million Class 2A-I1 at BBB (high) (sf) -- $78.9 million Class 2E-A2 at BBB (high) (sf) -- $78.9 million Class 2A-I2 at BBB (high) (sf) -- $78.9 million Class 2E-A3 at BBB (high) (sf) -- $78.9 million Class 2A-I3 at BBB (high) (sf) -- $78.9 million Class 2E-A4 at BBB (high) (sf) -- $78.9 million Class 2A-I4 at BBB (high) (sf) -- $78.9 million Class 2E-B1 at BBB (high) (sf) -- $78.9 million Class 2B-I1 at BBB (high) (sf) -- $78.9 million Class 2E-B2 at BBB (high) (sf) -- $78.9 million Class 2B-I2 at BBB (high) (sf) -- $78.9 million Class 2E-B3 at BBB (high) (sf) -- $78.9 million Class 2B-I3 at BBB (high) (sf) -- $78.9 million Class 2E-B4 at BBB (high) (sf) -- $78.9 million Class 2B-I4 at BBB (high) (sf) -- $78.9 million Class 2E-C1 at BBB (high) (sf) -- $78.9 million Class 2C-I1 at BBB (high) (sf) -- $78.9 million Class 2E-C2 at BBB (high) (sf) -- $78.9 million Class 2C-I2 at BBB (high) (sf) -- $78.9 million Class 2E-C3 at BBB (high) (sf) -- $78.9 million Class 2C-I3 at BBB (high) (sf) -- $78.9 million Class 2E-C4 at BBB (high) (sf) -- $78.9 million Class 2C-I4 at BBB (high) (sf) -- $157.7 million Class 2E-D1 at BBB (high) (sf) -- $157.7 million Class 2E-D2 at BBB (high) (sf) -- $157.7 million Class 2E-D3 at BBB (high) (sf) -- $157.7 million Class 2E-D4 at BBB (high) (sf) -- $157.7 million Class 2E-D5 at BBB (high) (sf) -- $157.7 million Class 2E-F1 at BBB (high) (sf) -- $157.7 million Class 2E-F2 at BBB (high) (sf) -- $157.7 million Class 2E-F3 at BBB (high) (sf) -- $157.7 million Class 2E-F4 at BBB (high) (sf) -- $157.7 million Class 2E-F5 at BBB (high) (sf) -- $157.7 million Class 2-X1 at BBB (high) (sf) -- $157.7 million Class 2-X2 at BBB (high) (sf) -- $157.7 million Class 2-X3 at BBB (high) (sf) -- $157.7 million Class 2-X4 at BBB (high) (sf) -- $157.7 million Class 2-Y1 at BBB (high) (sf) -- $157.7 million Class 2-Y2 at BBB (high) (sf) -- $157.7 million Class 2-Y3 at BBB (high) (sf) -- $157.7 million Class 2-Y4 at BBB (high) (sf) -- $78.9 million Class 2-J1 at BBB (high) (sf) -- $78.9 million Class 2-J2 at BBB (high) (sf) -- $78.9 million Class 2-J3 at BBB (high) (sf) -- $78.9 million Class 2-J4 at BBB (high) (sf) -- $157.7 million Class 2-K1 at BBB (high) (sf) -- $157.7 million Class 2-K2 at BBB (high) (sf) -- $157.7 million Class 2-K3 at BBB (high) (sf) -- $157.7 million Class 2-K4 at BBB (high) (sf) -- $236.6 million Class 2M-2Y at BBB (high) (sf) -- $236.6 million Class 2M-2X at BBB (high) (sf) -- $117.9 million Class 2B-1Y at BB (high) (sf) -- $117.9 million Class 2B-1X at BB (high) (sf) Classes 2M-2, 2B-1, 2E-A1, 2E-A2, 2E-A3, 2E-A4, 2E-B1, 2E-B2, 2E-B3, 2E-B4, 2E-C1, 2E-C2, 2E-C3, 2E-C4, 2E-D1, 2E-D2, 2E-D3, 2E-D4, 2E-D5, 2E-F1, 2E-F2, 2E-F3, 2E-F4, 2E-F5, 2-J1, 2-J2, 2-J3, 2-J4, 2-K1, 2-K2, 2-K3, 2-K4, 2M-2Y, 2B-1, and 2B-1Y are Related Combinable and Recombinable Notes (RCR Notes). Classes 2A-I1, 2A-I2, 2A-I3, 2A-I4, 2B-I1, 2B-I2, 2B-I3, 2B-I4, 2C-I1, 2C-I2, 2C-I3, 2C-I4, 2-X1, 2-X2, 2-X3, 2-X4, 2-Y1, 2-Y2, 2-Y3, 2-Y4, 2M-2X, and 2B-1X are interest-only (IO) RCR Notes. The A (low) (sf), BBB (high) (sf), BBB (low) (sf), and BB (high) (sf) credit ratings reflect 3.40%, 2.45%, 2.00%, and 1.55% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CAS 2024-R03 is the 62nd benchmark transaction in the CAS series. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgage loans held in various Fannie Mae-guaranteed mortgage-backed securities (MBS). As of the Cut-Off Date, the Reference Pool consists of 74,636 greater-than-20-year term, fully amortizing, first-lien, fixed-rate mortgage loans underwritten to a full documentation standard, with original loan-to-value ratios (LTV) greater than 80%. The mortgage loans were estimated to be originated on or after May 2022 and were acquired by Fannie Mae between January 1, 2023, and June 30, 2023. On the Closing Date, the Issuer will enter into a Collateral Administration Agreement (CAA) with Fannie Mae and the Indenture Trustee. Fannie Mae, as the credit protection buyer, will be required to make transfer amount payments. The Issuer is expected to use the aggregate proceeds realized from the sale of the Notes to purchase certain eligible investments to be held in a securities account. The eligible investments are restricted to highly rated, short-term investments. Cash flow from the Reference Pool is not used to make any payments; instead, a portion of the eligible investments held in the securities account will be liquidated to make principal payments to the Noteholders and return amount, if any, to Fannie Mae upon the occurrence of certain specified credit events and modification events. The coupon rates for the Notes are based on the 30-day average SOFR (SOFR). There are replacement provisions in place in the event that SOFR is no longer available, please see the Offering Memorandum (OM) for more details. Morningstar DBRS did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the reference obligations. Instead, the Issuer will use the net investment earnings on the eligible investments together with Fannie Mae's transfer amount payments to pay interest to the Noteholders. The calculation of principal payments to the Notes will be based on actual principal collected on the Reference Pool. The scheduled and unscheduled principal will be combined and be allocated only pro rata between the senior and nonsenior tranches if the performance tests are satisfied. For CAS 2024-R03, the minimum credit enhancement test is set to pass at the Closing Date. This allows rated classes to receive principal payments from the First Payment Date, provided the delinquency test is met. Additionally, the nonsenior tranches will also be entitled to supplemental subordinate reduction amount if the offered reference tranche percentage increases above 5.50%. The interest payments for these transactions are not linked to the performance of the reference obligations except to the extent that modification losses have occurred. The Notes will be scheduled to mature on the payment date in March 2044, but will be subject to mandatory redemption prior to the scheduled maturity date upon the termination of the CAA. The administrator and trustor of the transaction will be Fannie Mae. Citibank, N.A. will act as the Indenture Trustee, Exchange Administrator, Custodian, and Investment Agent. U.S. Bank National Association (rated AA (high) with a Negative trend and R-1 (high) with a Stable trend by Morningstar DBRS) will act as the Delaware Trustee. The Reference Pool consists of approximately 7.3% of loans originated under the HomeReady® program. HomeReady® is Fannie Mae's affordable mortgage product designed to expand the availability of mortgage financing to creditworthy low- to moderate-income borrowers. If a reference obligation is refinanced under the High LTV Refinance Program, then the resulting refinanced reference obligation may be included in the Reference Pool as a replacement of the original reference obligation. The High LTV Refinance Program provides refinance opportunities to borrowers with existing Fannie Mae mortgages who are current in their mortgage payments but whose LTV ratios exceed the maximum permitted for standard refinance products. The refinancing and replacement of a reference obligation under this program will not constitute a credit event. Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2024-B: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the classes of notes to be issued by CPS Auto Receivables Trust 2024-B (the Issuer) as follows: -- $146,361,000 Class A Notes at AAA (sf) -- $44,510,000 Class B Notes at AA (sf) -- $56,325,000 Class C Notes at A (sf) -- $38,445,000 Class D Notes at BBB (sf) -- $34,230,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The Series 2024-B will not include a CNL trigger. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The Morningstar DBRS CNL assumption is 17.75% based on the Cutoff 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: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) The capabilities of CPS with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of CPS and considers the Company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, managing the Company through multiple economic cycles. (5) The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. (6) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS's "Legal Criteria for U.S. Structured Finance." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 57.60% of initial hard credit enhancement provided by the subordinated notes in the pool (51.45%), the reserve account (1.00%), and OC (5.15%). The ratings on the Class B, C, D, and E Notes reflect 44.40%, 27.70%, 16.30%, and 6.15% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. 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. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any Noteholders' Interest Carryover Shortfall. 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. CSMC TRUST 2017-CHOP: S&P Affirms CCC (sf) Rating on Class F Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on seven classes of commercial mortgage pass-through certificates from CSMC Trust 2017-CHOP, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a floating-rate, interest-only (IO) mortgage loan currently secured by the borrowers' fee and leasehold interests in a portfolio of 23 limited-service and 13 extended-stay lodging properties, totaling 4,966 guestrooms with an average room count of 138 guestrooms, in 18 U.S. states. Rating Actions The affirmations on classes A, B, C, D, E, and F reflect: -- The year-over-year increases in net cash flow (NCF) and occupancy at the remaining collateral properties, with performance rebounding to pre-COVID-19 pandemic levels. According to the Dec. 31, 2023, STR reports, the remaining properties have outperformed their competitors with reported revenue per available room (RevPAR) penetration, on average, at over 100%. -- The 20.6% paydown of the trust balance since S&P's last published review in September 2020 as a result of property releases. S&P said, "At our last published review on Sept. 17, 2020, we noted that although the portfolio's reported performance through 2019 had been stable, the loan transferred to the special servicer, Midland Loan Services (Midland), on April 20, 2020, due to imminent monetary default. The borrowers had agreed to the appointment of receivers for the collateral properties after failing to reach an agreement with Midland on modification terms. Receivers were appointed for 41 of the 48 collateral properties at that time. While we did not have any servicer-reported 2020 performance at that time, we did have STR reports from May 2020, which indicated that the portfolio's occupancy and RevPAR were down significantly year-over-year. Given the uncertainty about the duration and depth of the pandemic-related impact on the portfolio, we maintained our S&P Global Ratings NCF but increased our capitalization rate by 50 basis points, on top of the 50-basis-point increase implemented in the previous review, from June 2020." Since that time, the collateral was purchased and the loan was assumed by an affiliate of Kohlberg Kravis Roberts & Co. (KKR) in late 2021. The loan was also modified at that time, and the terms included, among other items: -- Extending the loan's maturity date to June 2027 from June 2022. -- Requiring KKR to fund a debt service reserve, consent to cash management for the remaining extended term of the loan, and obtaining an interest rate hedge agreement. KKR began releasing individual properties in April 2023, and has released 12 properties at release prices ranging from par to 115% of the allocated loan amount as of the April 2024 remittance report, for a total of $154.1 million (or 20.6% of the initial balance) in principal paydown. Excluding the released properties, the adjusted servicer-reported NCF for the remaining properties was $51.3 million as of year-end 2023. S&P said, "As a result, in our current analysis, we are assuming a 71.7% occupancy rate and a $137.35 average daily rate (ADR) for the remaining 36 collateral properties, deriving a long-term sustainable NCF of $48.0 million, 6.5% below the servicer-reported NCF. Using a weighted-average S&P Global Ratings 10.58% capitalization rate, unchanged from our last review, we arrived at an S&P Global Ratings expected-case value of $453.7 million or $91,354 per guestroom, yielding an S&P Global Ratings loan-to-value (LTV) ratio of 136.6% on the current trust balance. Our revised value is 40.9% lower than the $767.1 million appraised value for the remaining properties at issuance in 2017." S&P said, "The affirmation of class F at 'CCC (sf)' reflects our view that this class remains susceptible to reduced liquidity support and that the risk of default and loss remains elevated based on the current market conditions and the subordinate position in the payment waterfall. The affirmation on the class X-EXT IO certificates reflects our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class." The notional amount of the class X-EXT certificates references a portion of the class A certificates. Although the model-indicated ratings were higher than S&P's current ratings on classes B, C, D, and E, its affirmed the ratings on these classes because it weighed certain qualitative considerations. These include: -- The transaction's exposure to rising interest rate risk if the borrower does not obtain an interest rate cap agreement (IRCA) that covers through the loan's revised maturity date in June 2027. The current IRCA expires in September 2024. It was executed in a lower interest rate environment in September 2022 with a 4.00% strike rate. To avoid an event of default, the borrower will need to purchase a new cap in September 2024, that, in S&P's view, might be considerably more expensive and/or result in a higher strike rate, which would reduce the loan's debt service coverage (DSC). Based on the current prime rate of 8.50%, the loan spread of 0.898%, and the adjusted servicer-reported NCF for year-end 2023, S&P calculated a DSC of approximately 0.88x for the remaining properties. The actual DSC based on its S&P Global Ratings NCF is 0.83x. -- The potential performance volatility due to uncertainty surrounding the current franchise terms. While the servicer had reported that the remaining properties' performance has rebounded since the pandemic, the franchise agreements for seven properties had expired in 2019 (one property), 2020 (one), 2021 (two), and 2023 (three). In addition, 14 properties have near term expirations in 2024 (two), 2025 (one), 2027 (one), and 2029 (10). S&P requested for, but the master servicer, Wells Fargo Bank N.A. (Wells Fargo), did not provide an update to us on the current franchise agreement flags or expirations other than that the properties were in good standing with their respective franchise agreements. It accounted for this risk in its capitalization rate assumptions. -- The elevated refinance risk at the loan's maturity in June 2027 in the event that the properties' performance does not continue to increase or if additional properties are not released given the relatively high LTV ratio (80.8% based on the 2017 appraisals; 136.6% based on S&P Global Ratings' value) and lower DSC mentioned above. S&P said, "We will continue to monitor the performance of the properties and loan, including information about the properties franchise agreements and future interest rate hedge agreement, any future property releases, and the borrowers' ability to refinance the loan by its modified maturity date in June 2027. If we receive information that differs materially from our expectations, such as reported negative changes in the performance or if 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 The collateral portfolio currently consists of 23 limited-service service and 13 extended-stay lodging properties, totaling 4,966 guestrooms with an average room count of 138 guestrooms, in 18 U.S. states. As of the April 2024 reporting period, 12 properties totaling 1,435 rooms in seven U.S. states have been released since S&P's last review in September 2020 and at issuance, when the portfolio consisted of 48 lodging properties, totaling 6,401 guestrooms, located in 21 U.S. states. The remaining properties include the following flags by Hilton, Marriott, and Hyatt: two aloft, 12 Courtyard, one Hampton Inn, six Hilton Garden Inn, three Homewood Suites, one Hyatt Place, 10 Residence Inn, and one Springhill Suites. The servicer-reported NCF, occupancy, and RevPAR at the remaining properties have increased year-over-year following the COVID-19 pandemic: $28.4 million, 62.2%, and $71.68, respectively, in 2021; $46.8 million, 69.5%, and $92.97 in 2022; and $51.3 million, 71.7%, and $100.93 in 2023. Table 1 Reported collateral performance by servicer 2023(I) 2022(I) 2021(I) Occupancy rate (%) 71.7 69.5 62.2 Net cash flow (mil. $) 51.3(ii) 46.8(ii) 28.4(ii) Debt service coverage (x) 1.58 1.66 1.00 Appraisal value (mil. $) 767.1(ii) 767.1(ii) 767.1(ii) (i)Reporting period. (ii)S&P Global Ratings adjusted to exclude figures from released properties as of the April 2024 reporting period. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (APRIL 2024) (SEPTEMBER 2020) (JUNE 2017) (I)(II) (I)(II) (I)(II) Occupancy rate (%) 71.7 73.3 73.3 Average daily rate ($) 137.35 122.74 122.74 RevPAR ($) 98.43 89.94 89.94 Net cash flow (mil. $) 48.0 48.0 48.0 Capitalization rate (%) 10.58 10.58 9.58 Value (mil. $) 453.7 453.7 502.5 Value per guestroom ($) 91,354 91,354 101,178 Loan-to-value ratio (%) 136.6 136.6 123.3 (i)Review period. (ii)S&P Global Ratings adjusted to exclude released properties as of the April 2024 reporting period. RevPAR--Revenue per available room. Transaction Summary The IO mortgage loan had a current trust balance of $619.6 million (as of the April 15, 2024, trustee remittance report), down from $780.0 million in our last published review in September 2020 and at issuance. The $154.1 million paydown is the result of property releases. The loan pays a floating interest rate currently indexed to the U.S. prime rate plus a 0.898% spread. The loan originally had an initial two-year term maturing on June 9, 2019, with three one-year extension options. The loan's initial final maturity date was June 9, 2022. The loan was modified in late 2021 when KKR purchased the collateral properties and assumed the loan, extending the maturity date to June 9, 2027. The loan is currently covered by an IRCA with a 4.00% strike rate that expires in September 2024. The trust has not incurred any principal losses to date. The master servicer reported a 1.58x debt service coverage for year-end 2023. Ratings Affirmed CSMC Trust 2017-CHOP Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: B+ (sf) Class F: CCC (sf) Class X-EXT: AAA (sf) DBWF 2024-LCRS: Fitch Assigns 'B-sf' Rating on Class F Certificates ------------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Ratings Outlooks to DBWF 2024-LCRS Mortgage Trust commercial mortgage pass-through certificates series 2024-LCRS: - $93,000,000 class A 'AAAsf'; Outlook Stable; - $19,100,000 class B 'AA-sf'; Outlook Stable; - $15,000,000 class C 'A-sf'; Outlook Stable. - $21,100,000 class D 'BBB-sf'; Outlook Stable. - $32,400,000 class E 'BB-sf'; Outlook Stable. - $35,700,000 class F 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $11,960,000 class G; - $12,040,000 class HRR. HRR is a Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. TRANSACTION SUMMARY The certificates represent the beneficial interest in a trust that holds a $240.3 million, two-year, floating-rate, interest-only (IO) mortgage loan with three, one-year extension options. The mortgage is secured by the borrower's fee simple interest in the 496-key La Cantera Resort & Spa, which is situated on 339 acres in San Antonio, TX. The property is owned by a joint-venture between Ohana Real Estate Investors and DivcoWest, who acquired the property from USAA in June 2021. Loan proceeds were used to refinance $235.5 million of existing debt and pay estimated closing costs of approximately $4.8 million. The sponsorship acquired the property for $327.5 million ($660,282 per key) and has subsequently invested approximately $9.0 million ($18,246 per key). Prior to this acquisition, the property underwent a $166.7 million ($336,079 per key) conversion from a Westin flag to the La Cantera Resort & Spa in 2014. The loan was co-originated by German American Capital Corporation and Wells Fargo Bank, National Association. Wells Fargo Bank, National Association will act as master servicer and Situs Holding, LLC will be the special servicer. Wilmington Savings Fund Society, FSB, a federal savings bank, will act as the trustee and Deutsche Bank National Trust Company will serve as the certificate administrator. Park Bridge Lender Services LLC will act as the operating advisor. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $21.0 million; this is 11.2% lower than the issuer's NCF and 13.0% lower than the TTM ended February 2024 NCF. Fitch applied a 10.25% cap rate to derive a Fitch value of $204.4 million for the property. High Fitch Leverage: The $240.3 million trust loan equates to debt of approximately $484,476 per key, with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.87x, 117.6% and 8.7%, respectively. Based on the total rated debt and a blend of the Fitch and market cap rates, the transaction's Fitch base case LTV is 96.8%. Fitch does not expect the its base case LTV for non-investment-grade tranches to exceed 100%. The Fitch DSCR, LTV and DY through class F (rated 'B-sf', the lowest Fitch-rated class) are 0.97, 105.8% and 9.7%, respectively. Premium Quality Property with Comprehensive Amenities: The collateral consists of a fee simple interest in the 496-key La Cantera Resort & Spa located in San Antonio, TX. The resort, which is a AAA Four Diamond-rated property, includes eight food and beverage (F&B) outlets, a championship 18-hole golf course, a 25,000-sf luxury spa, five swimming pools, a nature trail and over 115,000sf of combined meeting and event space. Fitch assigned the property a quality grade of 'B+'. Strong Post-Pandemic Performance: Overall resort-level ADR and RevPAR increased 46.0% and 19.9%, respectively, from 2019 to February 2024 (TTM), driving a 105.4% increase in NCF. Additionally, the property realized an 111.8% increase in golf revenue, and a 44.7% increase in spa, fitness and recreation revenue over the same period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/ 'BBsf'/'Bsf'/ DENALI CAPITAL XI: Moody's Cuts Rating on $6.6MM E-R Notes to Ca ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Denali Capital CLO XI, Ltd.: US$19,740,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on August 3, 2023 Upgraded to Aa2 (sf) Moody's has also downgraded the rating on the following notes: US$6,600,000 Class E-R Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), Downgraded to Ca (sf); previously on August 3, 2023 Downgraded to Caa3 (sf) Denali Capital CLO XI, Ltd., originally issued in March 2015, partially refinanced in July 2017 and fully refinanced in October 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 October 2020. A comprehensive review of all credit ratings for the respective transaction 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 August 2023. The Class A-2-RR notes have been paid down by approximately 89.9% or $27.2 million since then. Based on Moody's calculation, the OC ratios for the Class C-R notes is currently 157.82% versus 136.46% in August 2023. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss in the underlying CLO portfolio as well as the accumulation of deferred interest since January 2023. Based on Moody's calculation, the OC ratio for the Class E-R notes has decreased to the current level of 97.58% from 100.71% in August 2023. Additionally, the Class E-R notes are currently deferring interest payments and carry the cumulative deferred interest balance of approximately $211,999. No actions were taken on the Class A-2-RR, Class B-RR and Class D-R 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: $59,976,153 Defaulted par: $3,479,885 Diversity Score: 25 Weighted Average Rating Factor (WARF): 3323 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.42% Weighted Average Recovery Rate (WARR): 48.03% Weighted Average Life (WAL): 2.55 years Par haircut in OC tests and interest diversion test: 2.82% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. DRYDEN 119: S&P Assigns BB- (sf) Rating on $11MM Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 119 CLO Ltd./Dryden 119 CLO 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 PGIM Inc. The ratings reflect S&P's assessment 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 Dryden 119 CLO Ltd./Dryden 119 CLO LLC Class A-1, $246.00 million: AAA (sf) Class A-2, $22.00 million: Not rated Class B, $36.00 million: AA (sf) Class C-1 (deferrable), $16.00 million: A+ (sf) Class C-2 (deferrable), $8.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $11.00 million: BB- (sf) Subordinated notes, $35.10 million: Not rated DRYDEN 78: S&P Assigns BB- (sf) Rating on Class E-2-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-1-R, B-2-R, C-1-R, C-2-R, D-1A-R, D-1B-R, D-2-R, E-1-R, and E-2-R replacement debt from Dryden 78 CLO Ltd./Dryden 78 CLO LLC, a CLO originally issued in March 2020 that is managed by PGIM Inc., a subsidiary of Prudential Financial Inc. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the April 17, 2024, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period was extended to April 17, 2026. -- The reinvestment period was extended to April 17, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended by approximately 4 years to April 17, 2037. -- No additional assets were purchased on the April 17, 2024, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 17, 2024. -- The required minimum overcollateralization ratios were amended. -- An additional $7.95 million in subordinated notes were issued on the refinancing date. -- In connection with the refinancing, the issuer modified a number of provisions related to workout assets. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $320.00 million: Three-month CME term SOFR + 1.53% -- Class A-2-R, $10.00 million: Three-month CME term SOFR + 1.73% -- Class B-1-R, $37.00 million: Three-month CME term SOFR + 1.95% -- Class B-2-R, $13.00 million: Three-month CME term SOFR + 2.20% -- Class C-1-R (deferrable), $20.00 million: Three-month CME term SOFR + 2.45% -- Class C-2-R (deferrable), $10.00 million: 6.6711% -- Class D-1A-R (deferrable), $15.50 million: Three-month CME term SOFR + 3.75% -- Class D-1B-R (deferrable), $9.50 million: 7.7188% -- Class D-2-R (deferrable), $10.00 million: Three-month CME term SOFR + 5.75% -- Class E-1-R (deferrable), $8.50 million: Three-month CME term SOFR + 7.70% -- Class E-2-R (deferrable), $6.50 million: Three-month CME term SOFR + 6.63% -- Subordinated notes, $53.07 million: Not applicable Original debt -- Class A, $320.00 million: Three-month CME SOFR + 1.44% -- Class B, $60.00 million: Three-month CME SOFR + 1.76% -- Class C (deferrable), $30.00 million: Three-month CME SOFR + 2.21% -- Class D (deferrable), $30.00 million: Three-month CME SOFR + 3.26% -- Class E (deferrable), $19.50 million: Three-month CME SOFR + 6.86% -- Subordinated notes, $45.12 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 Dryden 78 CLO Ltd./Dryden 78 CLO LLC Class A-1-R, $320.00 million: AAA (sf) Class A-2-R, $10.00 million: AAA (sf) Class B-1-R, $37.00 million: AA+ (sf) Class B-2-R, $13.00 million: AA (sf) Class C-1-R (deferrable), $20.00 million: A+ (sf) Class C-2-R (deferrable), $10.00 million: A (sf) Class D-1A-R (deferrable), $15.50 million: BBB (sf) Class D-1B-R (deferrable), $9.50 million: BBB (sf) Class D-2-R (deferrable), $10.00 million: BBB- (sf) Class E-1-R (deferrable), $8.50 million: BB- (sf) Class E-2-R (deferrable), $6.50 million: BB- (sf) Ratings Withdrawn Dryden 78 CLO Ltd./Dryden 78 CLO LLC Class A to NR from AAA (sf) Class B to NR from AA (sf) Class C (deferrable) to NR from A (sf) Class D (deferrable) to NR from BBB- (sf) Class E (deferrable) to NR from BB- (sf) Other Debt Dryden 78 CLO Ltd./Dryden 78 CLO LLC Subordinated notes, $53.07 million: NR NR--Not rated. DT AUTO 2022-1: DBRS Confirms BB Rating on Class E Notes -------------------------------------------------------- DBRS, Inc. upgraded nine credit ratings and confirmed 15 credit ratings from seven DT Auto Owner Trust transactions. The Issuers are: DT Auto Owner Trust 2020-1 DT Auto Owner Trust 2021-1 DT Auto Owner Trust 2023-2 DT Auto Owner Trust 2022-3 DT Auto Owner Trust 2022-1 DT Auto Owner Trust 2021-3 DT Auto Owner Trust 2020-2 A complete list of the Affected Ratings is available at https://tinyurl.com/3hdeb2ja The credit rating actions are based on the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. -- The transaction capital structures and form and sufficiency of available credit enhancement. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- For DT Auto Owner Trust 2020-1, DT Auto Owner Trust 2020-2, DT Auto Owner Trust 2021-1, and DT Auto Owner Trust 2021-3, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- For DT Auto Owner Trust 2022-1, DT Auto Owner Trust 2022-3, and DT Auto Owner Trust 2023-2, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. EDUCATION LENDING 2005-1: Fitch Affirms 'Bsf' Rating on Two Classes ------------------------------------------------------------------- Fitch Ratings has affirmed all classes of Chase Education Loan Trust 2007-A and Education Lending Group, Inc. - CIT Education Loan Trust 2005-1. The Rating Outlooks remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Education Lending Group, Inc. - CIT Education Loan Trust 2005-1 A-4 12556PAD9 LT Bsf Affirmed Bsf B 12556PAE7 LT Bsf Affirmed Bsf Chase Education Loan Trust 2007-A A-4 16151UAD8 LT AA+sf Affirmed AA+sf B 16151UAG1 LT Asf Affirmed Asf TRANSACTION SUMMARY Chase Education Loan Trust 2007-A: The class A-4 notes pass all credit and maturity stresses in cashflow modelling, and the class B notes all pass cashflow modelling stresses at the current rating, constrained by the parity level, under Fitch's criteria threshold of 101% at 'AAsf'. The notes' affirmations reflect the stable collateral performance, in line with Fitch's expectations, since the last review. Fitch has affirmed the class A-4 notes at 'AA+sf' and class B notes at 'Asf', both with a Stable Outlook. Education Lending Group, Inc. - CIT Education Loan Trust 2005-1: Fitch has affirmed the class A-4 notes at 'Bsf', one category higher than their current model-implied ratings of 'CCCsf', supported by qualitative factors such as the sponsor's ability to call the notes upon reaching 10% pool factor and the length of time to maturity. Fitch has also affirmed the class B notes at 'Bsf', as the rating on these notes are constrained by the ratings of the senior class A-4 notes, per Fitch's criteria. If the senior A-4 class is not paid by maturity, this will trigger an event of default and the subordinate class will not receive principal or interest payments. KEY RATING DRIVERS U.S. Sovereign Risk: The trust's collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: For both transactions, Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Chase 2007-A: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 17.75% and a 48.81% default rate under the 'AA' credit stress scenario. Fitch maintained the sustainable constant default rate (sCDR) and sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) at 3.0% and 10.0% in cash flow modelling, respectively. Fitch recognized the very recent increase in CPR and will monitor performance to see if these trends are sustainable. The TTM average levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 3.34% (3.71% at Feb. 28, 2023), 11.97% (11.82%), and 24. 07% (21.24%), which are used as the starting points in cash flow modelling. Subsequent declines or increases in the above assumptions are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have increased slightly and are currently 2.49% for 31 DPD and 0.95% for 91 DPD compared to 2.32% and 0.67% for 31 DPD and 91 DPD, respectively one year ago. The borrower benefit is assumed to be approximately 0.13% based on information provided by the sponsor. CIT 2005-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 14.75% under the base case scenario and a default rate of 40.56% under the 'AA' credit stress scenario. Fitch maintains its sCDR at 3.0% and the sCPR at 12.3% in cash flow modelling. Fitch recognized the very recent sharp increase in CPR and will monitor performance to see if these trends are sustainable. The TTM levels of deferment, forbearance and IBR are 2.17% (2.88% at Feb. 28, 2023), 9.5% (9.46%) and 22.92% (22.30%), respectively, which are used as the starting points in cash flow modelling. Subsequent declines or increases in the above assumptions are modelled as per criteria. The 31-60 DPD and the 91-120 DPD decreased slightly to 2.59% and 0.87% from 2.89% and 1.39% compared to one year ago. The weighted average borrower benefit is assumed to be approximately 0.30%, 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 March 2024, all trust student loans are indexed to SOFR, and all notes are indexed to 90-day average SOFR plus the spread adjustment of 0.26161%. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. Payment Structure: Chase 2007-A: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and for the class A notes, subordination. As of the March 2024 distribution, reported total parity is 100.00%. Liquidity support is provided by a reserve account currently sized at its floor of $1,770,567. The transaction will continue to release cash as long as 100% total parity (excluding the reserve account) is maintained. CIT 2005-1: CE is provided by OC, excess spread and for the class A notes, subordination. As of the March 2024 distribution, reported total parity is 100.63%. Liquidity support is provided by a reserve account currently sized at its floor of $2,000,000. The transaction is no longer releasing cash. Operational Capabilities: Chase 2007-A: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024 that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt servicing activities. CIT 2005-1: Day-to-day servicing is provided by Nelnet, Inc. and Pennsylvania Higher Education Assistance Agency. Fitch considers these to be acceptable servicers due to their extensive track record as servicers of student loans. 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. Chase Education Loan Trust 2007-A Current Ratings: class A-4 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-4 '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 'Asf'; - 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 0.50%: 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'. Education Lending Group, Inc. - CIT Education Loan Trust 2005-1 Current Ratings: class A-4 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A-4 'CCCsf' (Credit and Maturity Stress); class B 'AAsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'Bsf'; - Default increase 50%: class A 'CCCsf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'Bsf'; - Basis Spread increase 0.50%: class A 'CCCsf'; class B 'Bsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'Bsf'; - IBR Usage increase 25%: class A 'CCCsf'; class B 'Bsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'Bsf'; - Remaining Term increase 25%: class A 'CCCsf'; class B 'Bsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Chase Education Loan Trust 2007-A No upgrade credit stress sensitivity or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AAsf'; - Basis Spread decrease 0.25%: class B 'Asf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'AA+sf'; - IBR usage decrease 25%: class B 'AA+sf'; - Remaining Term decrease 25%: class B 'AA+sf'. Education Lending Group, Inc. - CIT Education Loan Trust 2005-1 Credit Stress Sensitivity - Default decrease 25%: class A 'CCCsf'; class B 'AA+sf'; - Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'AA+sf'. Maturity Stress Sensitivity - CPR increase 25%: class A 'Bsf'; class B 'AA+sf'; - IBR usage decrease 25%: class A 'CCCsf'; class B 'AA+sf'; - Remaining Term decrease 25%: class A 'AAsf'; class B 'AA+sf'. 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. EFMT 2024-INV1: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to EFMT 2024-INV1's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing residential mortgage loans (some with an interest-only period), secured primarily by single-family residential properties including townhomes, planned-unit developments, condominiums, two- to four-family units, condotels, and five- to 10-unit multifamily residential properties to both prime and nonprime borrowers. The pool has 1,053 loans, which are ability-to-repay-exempt mortgage loans. The preliminary ratings are based on information as of April 19, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; -- The mortgage aggregator, Ellington Financial Inc. and the originators American Heritage Lending LLC and LendSure Mortgage Corp.; -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "Per our latest macroeconomic update, the U.S. economy appears on track for 2.5% average growth in 2024 (up from 1.5% in our November 2023 forecast), spurred by a sturdy labor market--repeating last year's outperformance versus peers. We continue to expect the economy to transition to below-potential growth as the year progresses. We apply our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency (which we updated to 2.50% from 3.25% in October 2023), reflecting our benign view of the mortgage and housing market as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting." Preliminary Ratings Assigned(i) EFMT 2024-INV1 Class A-1A, $150,225,000: AAA (sf) Class A-1B, $24,938,000: AAA (sf) Class A-2, $27,191,000: AA- (sf) Class A-3, $40,561,000: A- (sf) Class M-1, $21,182,000: BBB- (sf) Class B-1, $16,224,000: BB- (sf) Class B-2, $11,417,000: B- (sf) Class B-3, $8,713,663: Not rated Class A-IO-S, notional(ii): Not rated Class X, notional(ii): Not rated Class R, not applicable: Not rated (i)The preliminary ratings address our expectation for the ultimate payment of interest and principal. (ii)Notional amount equals the loans' aggregate stated principal balance as of the cutoff date. ELMWOOD CLO X: Fitch Assigns 'B-sf' Rating on Class F-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Elmwood CLO X, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Elmwood CLO X, Ltd. A-1R LT AAAsf New Rating A-2R 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 F-R LT B-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Elmwood CLO X, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Elmwood Asset Management LLC that originally closed in September 2021. This is the first refinancing where the existing notes will be refinanced in whole on April 22, 2024. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $498.75 million (which excludes defaulted obligations) 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 23.59, versus a maximum covenant, in accordance with the initial expected matrix point of 29. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.29% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.41% versus a minimum covenant, in accordance with the initial expected matrix point of 72.3%. Portfolio Composition (Positive): 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 (Neutral): The transaction has a two-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, between less than 'B-sf' and 'B+sf' for class E-R and between less than 'B-sf' and 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R, 'BBB+sf' for class E-R and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Elmwood CLO X, 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. FLAGSHIP CREDIT 2022-1: DBRS Confirms BB Rating on Class E Trusts ----------------------------------------------------------------- DBRS, Inc. upgraded one credit rating, confirmed 37 credit ratings, and placed one credit rating Under Review with Negative Implications from seven Flagship Credit Auto Trust transactions. The Issuers are: Flagship Credit Auto Trust 2022-2 Flagship Credit Auto Trust 2022-4 Flagship Credit Auto Trust 2022-1 Flagship Credit Auto Trust 2023-3 Flagship Credit Auto Trust 2023-2 Flagship Credit Auto Trust 2023-1 Flagship Credit Auto Trust 2022-3 A complete list of the Affected Ratings is available at https://bit.ly/4bcxLWG The credit rating actions are based on the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. -- For Flagship Credit Auto Trust 2022-1, Flagship Credit Auto Trust 2022-3, Flagship Credit Auto Trust 2022-4, Flagship Credit Auto Trust 2023-1, Flagship Credit Auto Trust 2023-2, and Flagship Credit Auto Trust 2023-3, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at a multiple of coverage commensurate with the credit ratings. -- As of the March 2024 payment date, Flagship Credit Auto Trust 2022-2 has amortized to a pool factor of 51.68% and has a current cumulative net loss (CNL) to date of 11.85%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.60%. -- Because of weaker-than-expected performance, Morningstar DBRS has revised the base-case loss expectation for Flagship Credit Auto Trust 2022-2 to 19.00%. As a result, the current level of hard credit enhancement (CE) and estimated excess spread may be insufficient to support the current credit rating on the Class E Notes. Consequently, Morningstar DBRS has placed the current credit rating on the aforementioned class Under Review with Negative Implications. While CNL is tracking above initial expectation, the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings, and Morningstar DBRS has confirmed the credit ratings on these classes. -- As of the March 2024 payment date, Flagship Credit Auto Trust 2022-2 has a current OC amount of 1.42% relative to the target of 7.25% of the outstanding receivables balance. Additionally, the transaction was structured to include a fully funded non-declining reserve account (RA) of 1.05% of the initial aggregate pool balance. As the transaction amortizes, the RA percentage will increase as it will represent a larger portion of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Morningstar DBRS' 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. 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. The associated contractual payment obligation that is not a financial obligation is the interest on unpaid Accrued Note Interest for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. FLAGSHIP CREDIT 2024-1: DBRS Assigns Prov. BB Rating on E Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by Flagship Credit Auto Trust 2024-1 (FCAT 2024-1 or the Issuer): -- $37,800,000 Class A-1 Notes at R-1 (high) (sf) -- $145,000,000 Class A-2 Notes at AAA (sf) -- $34,640,000 Class A-3 Notes at AAA (sf) -- $37,620,000 Class B Notes at AA (sf) -- $46,980,000 Class C Notes at A (sf) -- $33,300,000 Class D Notes at BBB (sf) -- $11,700,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS projected cumulative net loss (CNL) assumption under various stress scenarios. -- The Morningstar DBRS CNL assumption is 13.25%, based on the expected Cut-Off Date pool composition. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. -- The consistent operational history of Flagship Credit Acceptance, LLC (Flagship or the Company) and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. -- The capabilities of Flagship with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of Flagship and considers the entity an acceptable originator and servicer of subprime and nonprime automobile loan contracts with an acceptable backup servicer. -- The Company indicated it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Flagship could take the form of Class Action complaints by consumers; however, the Company indicated there is no material pending or threatened litigation. -- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." -- Flagship is an independent, full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms to purchase late-model vehicles and (2) refinancing of existing automotive financing. This transaction is being structured as a Rule 144A transaction of the Securities Act of 1933. There will be seven classes of Notes—Class A-1, Class A-2, Class A-3 (collectively the Class A Notes), Class B, Class C, Class D, and Class E—included in FCAT 2024-1. Initial credit enhancement for the Class A Notes is expected to be 40.60% and will include a 1.00% reserve account (funded at inception and non-declining), initial OC of 3.60%, and subordination of 36.00% of the initial pool balance. Initial Class B enhancement is expected to be 30.15% and will include a 1.00% reserve account (funded at inception and non-declining), initial OC of 3.60%, and subordination of 25.55% of the initial pool balance. Initial Class C enhancement is expected to be 17.10% and will include a 1.00% reserve account (funded at inception and non-declining), initial OC of 3.60%, and subordination of 12.50% of the initial pool balance. Initial Class D enhancement is expected to be 7.85% and will include a 1.00% reserve account (funded at inception and non-declining), initial OC of 3.60%, and subordination of 3.25% of the initial pool balance. Initial Class E enhancement is expected to be 4.60% and will include a 1.00% reserve account (funded at inception and non-declining) and initial OC of 3.60%. Notes: All figures are in U.S. dollars unless otherwise noted. FLAGSHIP CREDIT 2024-1: S&P Affirms BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Flagship Credit Auto 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 47.59%, 40.95%, 31.70%, 24.31%, and 21.42% 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 final post-pricing stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.55x coverage of S&P’s expected net loss of 13.50% 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 the 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 S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime automobile loans in this transaction, S&P views of the credit risk of the collateral, its updated macroeconomic forecast, and its forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Flagship Credit Acceptance LLC as servicer, along with its view of the company's underwriting and the backup servicing arrangement with UMB Bank. -- 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 Flagship Credit Auto Trust 2024-1 Class A-1, $37.80 million: A-1+ (sf) Class A-2, $145.00 million: AAA (sf) Class A-3, $34.64 million: AAA (sf) Class B, $37.62 million: AA (sf) Class C, $46.98 million: A (sf) Class D, $33.30 million: BBB (sf) Class E, $11.70 million: BB (sf) FORTRESS CREDIT XXI: S&P Assigns Prelim BB- (sf) Rating on E Loans ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fortress Credit BSL XXI Ltd./Fortress Credit BSL XXI LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicatedspeculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by FC BSL CLO Manager V LLC. The preliminary ratings are based on information as of April 17, 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 Fortress Credit BSL XXI Ltd./Fortress Credit BSL XXI LLC Class A, $110.00 million: AAA (sf) Class A-L loans(i), $171.25 million: AAA (sf) Class A-L(i), $0.00 million: AAA (sf) Class B, $54.00 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $15.75 million: BB- (sf) Subordinated notes, $46.87 million: Not rated (i)The class A-L loans are convertible only into class A-L notes, and the class A-L notes will fund only from that conversion. NR--Not rated. GALAXY CLO XXV: Moody's Assigns B3 Rating to $200,000 F-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes issued and one class of loans incurred (the "Refinancing Debt") by Galaxy XXV CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$5,000,000 Class X-R Senior Floating Rate Notes due 2036, Assigned Aaa (sf) US$260,000,000 Class A-1-R Senior Floating Rate Notes due 2036, Assigned Aaa (sf) US$25,000,000 Class A-1-R Senior Loans maturing 2036, Assigned Aaa (sf) US$200,000 Class F-R Deferrable Junior Floating Rate due 2036 Notes, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued debt is collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash or eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, senior unsecured loans and bonds. PineBridge Galaxy LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets In addition to the issuance of the Refinancing Debt and six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score 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: Portfolio par: $475,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3210 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Debt is subject to uncertainty. The performance of the Refinancing Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Debt. GALAXY XXV CLO: Fitch Assigns 'BB+sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Galaxy XXV CLO, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Galaxy XXV CLO, Ltd. X Notes LT NRsf New Rating A 36319XAA5 LT PIFsf Paid In Full AAAsf A-1-R-Loans LT NRsf New Rating A-1-R-Notes LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT A+sf New Rating D-1-R LT BBB+sf New Rating D-2-R LT BBB+sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating TRANSACTION SUMMARY Galaxy XXV CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PineBridge Galaxy LLC. The CLO originally closed in September 2018 and was rated by Fitch. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $475 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 99.6% first-lien senior secured loans and has a weighted average recovery assumption of 75.37%. 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 three-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 'AAAsf' for class A-2-R, between 'BB+sf' and 'AA+sf' for class B-R, between 'B+sf' and 'A+sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-R, and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' 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, 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 Galaxy XXV CLO, 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. GOLDENTREE LOAN 9: S&P Assigns Prelim B-(sf) Rating on F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-RL, A-RN, A-R, A-J, B-R, C-R, D-R, D-J, E-R, and F-R replacement debt and proposed new class X-R debt from GoldenTree Loan Management US CLO 9 Ltd., a CLO originally issued in March 2021 that is managed by GoldenTree Loan Management II L.P. The preliminary ratings are based on information as of April 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 22, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-RL, A-RN, A-R, A-J, B-R, C-R, D-R, D-J, E-R, and F-R debt is expected to be issued at a higher spread over three-month SOFR than the original debt. -- The replacement class A-RL, A-RN, A-R, A-J, B-R, C-R, D-R, D-J, E-R, and F-R debt is expected to be issued at a floating spread, replacing the current floating spread. -- The reinvestment period will be extended by five years and stated maturity will be extended by 4.25 years. -- The non-call period will be revised to April 20, 2026. -- Class X-R debt will be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first eight payment dates beginning with the payment date in period one. 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 GoldenTree Loan Management US CLO 9 Ltd. / GoldenTree Loan Management US CLO 9 LLC Class X-R, $3.50 million: AAA (sf) Class A-RL, $150.00 million: AAA (sf) Class A-RN, $0.00 million: AAA (sf) Class A-R, $298.00 million: AAA (sf) Class A-J, $7.00 million: AAA (sf) Class B-R, $77.00 million: AA (sf) Class C-R (deferrable), $42.00 million: A (sf) Class D-R (deferrable), $38.50 million: BBB (sf) Class D-J (deferrable), $10.50 million: BBB- (sf) Class E-R (deferrable), $21.00 million: BB- (sf) Class F-R (deferrable), $7.00 million: B- (sf) Subordinated notes, $40.89 million: Not rated GOLUB CAPITAL 2024-1: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners Static 2024-1, Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners Static 2024-1, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B-1 LT AA+sf New Rating B-2 LT AA+sf New Rating C LT A+sf New Rating D LT BBB+sf New Rating E LT BB+sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Golub Capital Partners Static 2024-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $725 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 100% first-lien senior secured loans and has a weighted average recovery assumption of 76.77%. Portfolio Composition (Neutral): The largest three industries constitute 46.8% of the portfolio balance in aggregate, while the top five obligors represent 7.09% of the portfolio balance in aggregate. The level of diversity by industry, and obligor concentrations is relatively, and at the margin, more concentrated than with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans as well as a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Golub Capital Partners Static 2024-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GOLUB CAPITAL 52: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 52(B)-R, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 52(B)-R, Ltd A-R LT NRsf New Rating NR(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf TRANSACTION SUMMARY Golub Capital Partners CLO 52(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by OPAL BSL LLC that originally closed in December 2020. On April 22, 2024 (the refinancing date), the CLO's secured notes will be refinanced in whole from refinancing proceeds and the issuer will change its name from Golub Capital Partners CLO 52(B), Ltd. to Golub Capital Partners CLO 52(B)-R, Ltd. 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 25.93, 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 99.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.0% versus a minimum covenant, in accordance with the initial expected matrix point of 75.1%. Portfolio Composition (Negative): The largest three industries may comprise up to 53% 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. The transaction documents permit a higher industry concentration that that of other recent U.S. CLOs, in line with other recent CLOs from the same collateral manager, and was taken into account in Fitch's stress scenarios. 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 P&I waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'Asf' for class D-R; and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. DATE OF RELEVANT COMMITTEE 17 April 2024 PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 52(B)-R, 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. GOODLEAP 2022-4: S&P Lowers Class C Notes Rating to 'BB (sf)' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class B and C notes from GoodLeap Sustainable Home Solutions Trust 2022-4, an ABS transaction and underlying trust certificate representing an ownership interest in the trust, whose assets consist of more than 99% residential solar loans. At the same time, S&P removed the ratings from CreditWatch with negative implications, where they were initially placed on Feb. 21, 2024. S&P also affirmed its rating on the class A notes from the same transaction. The rating actions reflect the transaction's collateral performance to date and also consider the transaction's structure and credit enhancement level. S&P said, "Additionally, we incorporated secondary credit factors, including credit stability payment priorities under various scenarios, and sector- and issuer-specific analyses. Based on these factors, we believe the notes' creditworthiness is consistent with the lowered and affirmed ratings." S&P said, "Since our CreditWatch negative placement on Feb. 21, 2024, the transaction's collateral performance continues to trend worse than our original cumulative net loss (CNL) expectations. Total 30-plus-day delinquencies increased to 1.89% as of March 20, 2024, from 1.61% as of Dec. 20, 2023. A continued rise in delinquencies may lead to an increase in cumulative defaults as loans become defaulted loans at 180-plus-days past due. However, the current CNL percentage is still within the transaction's cumulative default trigger (see table 1 and 4). In the event the cumulative default trigger has been breached, interest payments on the class B and C notes will be subordinate to the principal payments on the class A notes. In such event, the interest amount due on the class B and C notes will defer and accrue interest by the amount and number of days of any unpaid interest period. Only a failure to pay the total interest due on the class B and C notes by legal final maturity will be deemed an event of default. Currently, only class A has been receiving principal payments as the transaction builds toward class A's specified overcollateralization amount (41.10%) through regular principal distribution payments. "Additionally, prepayment rates, in general, have continued to remain below our initial modeling assumptions. Low prepayment rates may be due to the recent decrease in the mortgage turnover rate, driven by many homeowners having little incentive to sell or refinance and give up favorable fixed rates in a high interest rate environment. A low prepayment rate coupled with the low weighted average yield of the assets causes the excess spread, after covering net losses, to be insufficient to build overcollateralization. "If the transaction continues to experience low prepayment rates, the transaction's overcollateralization will continue to remain stagnant or decline. As part of this full review, we conducted several sensitivity scenarios where we run a range of prepayment rates from 1.00% to 20.00%, as well as scenarios where we run a lower prepayment rate for the initial 12 to 24 months, then with prepayment speeds returning to our prepayment speed assumptions used at closing, namely 3.00% in a 'A' scenario, 4.00% in a 'BBB-' scenario, and 5.00% in a 'BB' scenario. While some shortfalls were observed in certain scenarios, the performance of each class was overall in line with the ratings of each class after the rating action." Alternatively, if the transaction experiences a recovery of prepayment rates seen at the beginning of the transaction coupled with a decreased rate of new defaults, the transaction would be able to build overcollateralization towards its overcollateralization target. S&P will continue to review the transaction-level performance reports, review any additional information that may be available to us, and take any additional rating actions as it deems appropriate. Table 1 Cumulative net defaults Cumulative net Trigger Month(i) default (%) level (%) April 2024 1.946 3.50 March 2024 1.712 3.50 February 2024 1.592 3.50 January 2024 1.443 3.50 December 2023 1.295 3.50 November 2023 1.155 3.00 October 2023 0.966 3.00 September 2023 0.777 3.00 August 2023 0.484 3.00 July 2023 0.400 3.00 June 2023 0.270 3.00 May 2023 0.055 2.00 April 2023 0.033 2.00 March 2023 0.025 2.00 February 2023 0.025 2.00 January 2023 0.000 2.00 December 2022 0.000 2.00 November 2022 0.000 2.00 (i)Payment distribution date. Table 2 Overcollateralization (%) Month(i) Class A Class B Class C April 2024 15.29 9.52 2.98 March 2024 15.83 10.13 3.69 February 2024 16.29 10.65 4.27 January 2024 17.32 11.78 5.52 December 2023 19.40 14.04 7.97 November 2023 20.42 15.16 9.20 October 2023 21.31 16.13 10.28 September 2023 22.12 17.02 11.25 August 2023 22.93 17.91 12.23 July 2023 23.26 18.28 12.65 June 2023 23.60 18.66 13.08 May 2023 23.81 18.93 13.40 April 2023 23.83 18.98 13.49 March 2023 23.68 18.89 13.46 February 2023 23.67 18.89 13.48 January 2023 23.74 18.97 13.57 December 2022 23.73 18.98 13.59 November 2022 23.72 18.97 13.60 (i)Payment distribution date. Table 3 Constant prepayment Constant prepayment Month(i) rate (%)(ii) April 2024 4.332 March 2024 1.347 February 2024 2.857 January 2024 3.204 December 2023 3.389 November 2023 3.356 October 2023 2.528 September 2023 2.997 August 2023 3.147 July 2023 2.935 June 2023 4.715 May 2023 4.657 April 2023 5.409 March 2023 2.781 February 2023 1.021 January 2023 1.708 December 2022 1.885 November 2022 1.878 (i)Payment distribution date. (ii)Annualized. Table 4 Cumulative default trigger level Monthly payment date Cumulative default trigger level November 2022-April 2023 2.00 May 2023-October 2023 3.00 November 2023-April 2024 3.50 May 2024-October 2024 4.00 November 2024-April 2025 5.00 May 2025-April 2026 6.00 May 2026-October 2026 7.00 November 2026-November 2029 8.00 December 2029-October 2030 9.00 November 2030-May 2032 9.50 June 2032-September 2035 10.00 October 2035-December 2037 12.00 January 2038-June 2039 13.00 July 2039-November 2041 13.50 December 2041-April 2044 14.00 May 2044-October 2047 15.00 November 2047 onward 16.00 RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE GoodLeap Sustainable Home Solutions Trust 2022-4 Rating Class To From B BBB- (sf) BBB (sf)/Watch Neg C BB (sf) BB+ (sf)/Watch Neg RATING AFFIRMED GoodLeap Sustainable Home Solutions Trust 2022-4 Class Rating A A (sf) GS MORTGAGE 2020-DUNE: Moody's Lowers Rating on Cl. F Certs to Caa2 ------------------------------------------------------------------- Moody's Ratings has downgraded the ratings on nine classes of CMBS securities, issued by GS Mortgage Securities Corporation Trust 2020-DUNE, Commercial Mortgage Pass-Through Certificates, Series 2020-DUNE: Cl. A, Downgraded to Aa2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned Aaa (sf) Cl. A-IO*, Downgraded to Aa2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned Aaa (sf) Cl. A-Y, Downgraded to Aa2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned Aaa (sf) Cl. A-Z, Downgraded to Aa2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned Aa3 (sf) Cl. C, Downgraded to Baa2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned A3 (sf) Cl. D, Downgraded to Ba2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned Baa3 (sf) Cl. E, Downgraded to B2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned Ba3 (sf) Cl. F, Downgraded to Caa2 (sf); previously on Jan 31, 2020 Definitive Rating Assigned B3 (sf) * Reflects Interest-Only class RATINGS RATIONALE The ratings on the six P&I classes were downgraded due to an increase in Moody's LTV as a result of decline in performance and the uncertainty around timing and extent of the portfolio's net cash flow (NCF) recovery. Furthermore, the loan has a maturity date in December 2024 and may have difficulty to refinance based on the portfolio's current performance. The loan is an interest-only floating rate loan and based on current one-month Term SOFR rates, the uncapped DSCR would be below 1.00X based on the portfolio's in-place NCF. The loan has remained current on its debt service payments to date and benefits from interest rate cap agreement with a strike rate of 3.39%. The rating on the interest only (IO) and exchangeable class, Cl. A-IO, was downgraded based on the credit quality of its referenced class. The ratings on the two exchangeable classes, Cl. A-Y and Cl. A-Z, were downgraded based on the credit quality of their referenced class. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure plus the benefits of multiple property pooling, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the April 15, 2024 distribution date, the transaction's aggregate certificate balance remains unchanged at $258 million. The certificates are collateralized by a single floating rate loan backed by fee simple interests in 17 extended stay, full-service, and limited-service hotels totaling 2,086 guestrooms. The sponsor of the loan is Dune Real Estate Partners IV LLC. The borrower used the loan proceeds to acquire the properties for $337 million, including approximately $111 million of equity. The interest only loan has exercised all its previous one-year extensions and its current maturity date is in December 2024 with no further extension options. Six hotels (39% of the allocated loan amount (ALA)) operate under the Marriott franchise and are flagged as Marriott, Residence Inn, Courtyard, Springhill Suites or TownePlace Suites. An additional six properties (34% of the ALA) operate under the Hilton franchise and are flagged as Hampton Inn & Suites, Homewood Suites or Hilton Garden Inn. Five hotels (27% of the ALA) operate under the IHG franchise and are flagged as Staybridge Suites, Holiday Inn or Holiday Inn Express. The portfolio is located across nine states and ten hotels (55% of ALA) are located within the nation's top 25 lodging metropolitan statistical areas (MSAs), specifically San Antonio, Miami, Nashville, Boston and Denver. Prior to the Coronavirus outbreak, the portfolio had exhibited stable NCF performance near and over $27 million. However, the 2020 NCF declined to a low of $6 million before steadily recovering to approximately $19 million by year end 2022. The trailing twelve month period ending September 2023 NCF did not improve from that of 2022 and was approximately $19 million as well. The portfolio's total revenue increased by approximately $4 million between 2022 and the trailing twelve month period ending September 2023 but expenses increased by the same amount and causing the cash flow to remain essentially flat. Furthermore, the trailing twelve month period ending September 2023 revenues rebounded to levels close to those of 2018 and 2019, however, the significant increase in operating expenses over the same time has caused the cash flow to be well below levels at securitization. Moody's Ratings NCF is now $19 million compared to $23 million at securitization. The first mortgage balance of $258 million represents a Moody's LTV of 151%. Moody's first mortgage stressed DSCR at a 9.25% constant is 0.80x. As of the April 2024 remittance date, the loan remained current on its debt service payments and there are minimal outstanding interest shortfalls totaling $1,824 affecting Cl. G. HILDENE TRUPS 2019-P12B: Moody's Affirms Ba1 Rating on Cl. B Notes ------------------------------------------------------------------ Moody's Ratings has affirmed the ratings on the following notes issued by Hildene TruPS Resecuritization 2019-P12B, LLC : US$58,124,000 Class A Notes due 2033 (the "Class A Notes"), Affirmed Aa2 (sf); previously on March 27, 2024 Upgraded to Aa2 (sf) US$47,583,000 Class B Notes due 2033 (the "Class B Notes"), Affirmed Ba1 (sf); previously on March 27, 2024 Upgraded to Ba1 (sf) Hildene TruPS Resecuritization 2019-P12B, LLC (the "Issuer"), originally issued in March 2019, is backed by a collection of the Class B-1, Class B-2, and Class B-3 notes issued by Preferred Term Securities XII, Ltd. (the "Underlying TruPS CDO"). The Underlying TruPS CDO is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank trust preferred securities. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These affirmations reflect the steady performance associated with the over-collateralization levels provided for the Issuer's notes and the portfolio of the Underlying TruPS CDO. Based on Moody's Ratings calculation, the OC ratio for the Issuer's Class A and Class B notes are currently 170.2% and 117.9%, respectively, unchanged from the OC ratios as of the most recent rating action on this transaction in March 2024. The affirmations also take into account the upsizing of the Issuer's notes that have gone effective as of April 9, 2024, where the Issuer purchased additional Class B-1, B-2 and B-3 notes of the Underlying TruPS CDO and issued additional Class A and Class B notes in the same proportion. The key model inputs Moody's Ratings used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's Ratings analyzed the underlying collateral pool of the Underlying TruPS CDO as having a performing par (after treating deferring securities as performing if they meet certain criteria) of $319.9 million, defaulted/deferring par of $108.6 million, a weighted average default probability of 7.70% (implying a WARF of 954), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's Ratings considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. HILDENE TRUPS T3C: Moody's Assigns Ba2 Rating to $7MM Cl. B Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Hildene TruPS Resecuritization T3C, LLC (the "Issuer"). Moody's rating action is as follows: US$26,500,000 Class A Notes due 2034, Assigned A3 (sf) US$7,000,000 Class B Notes due 2034, Assigned Ba2 (sf) The notes listed 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 Trapeza CDO III, LLC (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 June 25, 2003: US$26,250,000 of the $31,250,000 Class C-1 Notes due January 2034 (current outstanding balance including deferred interest of $35,831,391) (the "Class C-1 Notes") US$8,250,000 of the $31,250,000 Class C-2 Notes due January 2034 (urrent outstanding balance including deferred interest of $35,831,391) (the "Class C-2 Notes") The Class C-1 Notes and the Class C-2 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 a stress scenario of default of the largest bank exposure in the portfolio. This stress scenario was an important qualitative consideration. Furthermore, the analysis of the Class A Notes took into consideration the default probability of the notes. 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: $84,445,000 Weighted Average Rating Factor (WARF): 931 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 7.47 years Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The 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. HILDENE TRUPS T9B: Moody's Assigns B3 Rating to $13MM Cl. B Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Hildene TruPS Resecuritization T9B, LLC (the "Issuer"). Moody's rating action is as follows: US$33,000,000 Class A Notes due 2040, Assigned Baa3 (sf) US$13,000,000 Class B Notes due 2040, Assigned B3 (sf) The Class A Notes and Class B Notes listed 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 Trapeza CDO IX, 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 January 18, 2006: US$20,149,259 of the $24,918,363 Floating Rate Class B-1 Fourth Priority Secured Notes due Jan 2040 (current outstanding balance including deferred interest of $1,918,363), (the "Class B-1 Notes") US$10,834,071 of the $10, 834,071 Floating Rate Class B-2 Fourth Priority Secured Notes due Jan 2040 (current outstanding balance including deferred interest of $834,071) (the "Class B-2 Notes") US$27,693,889 of the $27, 693,889 Floating Rate Class B-3 Fourth Priority Secured Notes due Jan 2040 (current outstanding balance including deferred interest of $2,693,889) (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 interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The transaction also includes an interest diversion feature from and after the May 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 Q4-2023 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, Moody's 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: $164,053,448 Weighted Average Rating Factor (WARF): 1210 Weighted Average Spread (WAS): 1.63% Weighted Average Coupon (WAC): 8.06% Weighted Average Life (WAL): 8.48 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. HILTON GRAND 2024-1B: Fitch Assigns 'BB-sf' Rating on Class D Notes ------------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to notes issued by Hilton Grand Vacations Trust 2024-1B (HGVT 2024-1B). Entity/Debt Rating Prior ----------- ------ ----- Hilton Grand Vacations Trust 2024-1B A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BB-sf New Rating BB-(EXP)sf TRANSACTION SUMMARY The notes are backed by a pool of fixed-rate timeshare loans originated by Bluegreen Vacations Corporation (Bluegreen), which is a wholly owned subsidiary of Hilton Grand Vacations Inc. (HGV). This is HGV's 10th term securitization and the first to include timeshare loans originated by Bluegreen following HGV's acquisition of Bluegreen on Jan. 17, 2024. HGV is currently in the process of integrating Bluegreen and its business and operations, although Bluegreen and its properties will continue to operate as a separate business for the foreseeable future pending such integration. KEY RATING DRIVERS Borrower Risk — Stronger Collateral: The HGVT 2024-1B pool has a weighted average (WA) Fair Isaac Corp. (FICO) score of 741, up from 735 in BXG Receivables Note Trust (BXG) 2023-A. The upgrade loans from existing owners have increased to 70.7%, from 60.5% in BXG 2023-A and 52.0% in BXG 2022-A. This is a credit positive as these upgrade loans have shown better default performance relative to the non-upgrade loans originated to the new borrowers. Additionally, the pool does not have loans made to foreign obligors, consistent with BXG 2023-A. The WA original term of 120 months and seasoning of nine months are generally in line with BXG 2023-A. Forward-Looking Approach on CGD Proxy — Weakening Performance: The Bluegreen managed portfolio performance showed notable increases in cumulative gross defaults (CGDs) in the recent 2015-2022 vintages, which are outpacing those of the 2009-2014 vintages. Similarly, recent ABS transactions (since BXG 2015-A) are performing weaker than earlier transactions (issued since 2010). Fitch's base case CGD proxy is 22.50% for HGVT 2024-1B. Payment Structure — Higher Credit Enhancement Structure: Initial hard credit enhancement (CE) is 66.75%, 44.75%, 27.50% and 14.50% for class A, B, C and D notes, respectively. CE is higher for class A, B and C notes relative to BXG 2023-A. Hard CE comprises overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 6.5% per annum. Available CE is sufficient to support stressed 'AAAsf', 'Asf', 'BBBsf' and 'BB-sf' multiples of Fitch's CGD proxy of 22.50%. Similar to the BXG 2023-A transaction, HGVT 2024-1B has a prefunding account that is expected to hold roughly 5.2% of the aggregated collateral balance to buy eligible subsequent timeshare loans that conform to specified requirements. Originator/Seller/Servicer Operational Review — Adequate Origination/Servicing: Bluegreen has demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and loss performance of the managed portfolio and prior securitizations. 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 that are higher than the base case and would likely result in declines of CE and remaining default coverage 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. Therefore, Fitch conducts sensitivity analysis 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 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. Additionally, Fitch conducts increases of 1.5x and 2.0x to the CGD proxy, which represents 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 Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CGD is 20% less than the projected proxy, the expected ratings would be maintained for class A notes at a stronger rating multiple. For class B, C and D notes the multiples would increase, resulting in potential upgrades of four notches, two notches and four notches, respectively. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with due diligence information from Ernst & Young LLP. The due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and recalculation of certain characteristics with respect to 150 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. 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. JP MORGAN 2013-LC11: Moody's Lowers Rating on Cl. B Certs to Ba3 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on three classes and has affirmed the ratings on five classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11, Commercial Mortgage Pass-Through Certificates, Series 2013-LC11 as follows: Cl. A-S, Affirmed A1 (sf); previously on Sep 29, 2023 Downgraded to A1 (sf) Cl. B, Downgraded to Ba3 (sf); previously on Sep 29, 2023 Downgraded to Ba1 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Sep 29, 2023 Downgraded to B3 (sf) Cl. D, Affirmed C (sf); previously on Sep 29, 2023 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Sep 29, 2023 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Sep 29, 2023 Affirmed C (sf) Cl. X-A*, Affirmed A1 (sf); previously on Sep 29, 2023 Downgraded to A1 (sf) Cl. X-B*, Downgraded to B3 (sf); previously on Sep 29, 2023 Downgraded to Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on the principal and interest (P&I) class, Cl. A-S, was affirmed because of its significant credit support and the expected principal paydowns from the remaining loans in the pool. Class A-S has already paid down 73% from its original balance and is now the most senior outstanding class. It benefits from payment priority from any principal paydowns. The ratings on two P&I classes Cl. B and Cl. C were downgraded primarily due to higher anticipated losses and the increased risk of interest shortfalls as a result of the full exposure to specially serviced and troubled loans. As of the April 2024 remittance statement, all the five remaining loans in the pool have passed their original maturity dates and four of them (79% of the pool) are in special servicing. Furthermore, the largest loan, World Trade Center I & II (31% 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 World Trade Center I & II Loan and the exposure to loans in special servicing, interest shortfalls have impacted up to Cl. D as of the April 2024 remittance statement. Since all the remaining loans are in special servicing or corrected loan previously in special servicing, the interest shortfalls are expected to continue and may increase if the loans remain delinquent on debt service payments. The ratings on three P&I classes, Cl. D, Cl. E, and Cl. F, were affirmed because the ratings are consistent with Moody's expected loss. The rating on one interest only (IO) class, Cl. X-A, was affirmed based on the credit quality of the referenced class. Cl. X-A originally referenced Cl.A-1, Cl.A-2, Cl.A-3, Cl. A-4, Cl. A-5, Cl. A-SB and Cl. A-S. However, Cl. A-S is the only outstanding referenced class and all other classes have now paid off in full. The rating on one IO class, Cl. X-B, was downgraded due to a decline in the credit quality of its referenced classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 52.8% of the current pooled balance, compared to 47.5% at Moody's last review. Moody's base expected loss plus realized losses is now 12.7% of the original pooled balance, compared to 11.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, 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 rating all classes except interest-only classes 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 79% of the pool is in special servicing. Moody's has identified an additional troubled loan representing 21% of the pool. 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 loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the April 17, 2024 distribution date, the transaction's aggregate certificate balance has decreased by 76% to $317 million from $1.32 billion at securitization. The certificates are collateralized by five mortgage loans, all of which have passed their original maturity dates. The sole non-specially serviced loan is a corrected loan which was previously in special servicing. Three of the four specially serviced loans are real estate owned (REO). The sole non-specially serviced loan is the Chandler Crossings Portfolio loan ($67.5 million – 21.3% of the pool), which is secured by three student housing properties totaling 852 units (2,772 beds) located in East Lansing, Michigan. The properties were built between 2001 and 2003 and are located approximately 2.5 miles from the Michigan State campus. The portfolio was collectively 62% leased as of June 2022, compared to 80% in December 2020 and 90% in December 2019. Property performance has declined, and the NOI DSCR as of June 2022 was only 0.59X compared to 0.86X in September 2021. The loan had transferred to special servicing in February 2023 due to maturity default. After receiving a two-year extension, the loan was returned to the master servicer in November 2023 and is currently scheduled to mature in July 2025. The most recent appraisal from March 2023 valued the property 43% below the value at securitization. As of the April 2024 remittance, the loan remained current and has amortized by 21% since securitization. The loan is on the master servicer watchlist and Moody's has recognized this as a troubled loan. The largest specially serviced loan is the World Trade Center I & II loan ($96.8 million – 30.5% of the pool), which is secured by two adjacent 28-story and 29-story Class A office buildings totaling 770,000 square feet (SF) and located in the CBD of Denver, Colorado. The property is also encumbered with $17.6 million of additional mezzanine financing held outside of the trust. The property's performance has declined significantly since securitization as a result of both lower revenue and higher operating expenses. The loan transferred to special servicing in July 2020 after two major tenants vacated the property and became REO in July 2022. As of December 2023, the property was only 32% occupied. The most recent appraisal from December 2022 valued the property 53% below the value at securitization, and 16% below the appraised value as of January 2022. The loan has been deemed non-recoverable by the master servicer since the February 2024 remittance report and was last paid through its June 2022 payment date. The second largest specially serviced loan is the Pecanland Mall loan ($73.2 million – 23.1% of the pool), which is secured by a 433,200 SF component of a 965,238 SF super-regional mall in Monroe, Louisiana. Current non-collateral anchor tenants include Dillard's, J.C. Penney, and Belk. Property performance generally improved from securitization through 2017, but has since declined. The loan had previously transferred to special servicing in September 2020 due to payment delinquencies, however, the loan was reinstated to the master servicer effective in March 2022 as a corrected mortgage loan. This loan transferred back to special servicing in February 2023 due to imminent maturity default ahead of its March 2023 maturity date. The property's 2023 NOI was 7% lower than its 2022 level and 27% lower than the levels at securitization. As of December 2023, the collateral was 88% occupied and the in-line space was 95% occupied (including temporary tenants). The loan had an in-place NOI DSCR of 1.34X as of December 2023. Per the servicer commentary, a keeper was appointed in October 2023 and deed in lieu documents are in negotiations. The most recent appraisal from March 2023 valued the property 67% below the value at securitization, and as of the April 2024 remittance, the master servicer has recognized a 50% appraisal reduction based on the current loan balance. As of the April 2024 remittance, the loan remained current and has amortized by 19% since securitization. The third largest specially serviced loan is the Dulles View loan ($48.3 million – 15.2% of the pool), which is secured by two eight-story, Class A, LEED Gold Certified office buildings located in Herndon, Virginia. The buildings are connected by a common two-story glass atrium across from the Washington-Dulles International Airport. The loan had previously transferred to special servicing in February 2018 due to imminent default associated with significant tenant turnover. Occupancy at the property had declined to 48% in December 2018 from 93% in December 2017. However, occupancy has consistently trended higher since 2019, with the most recent occupancy at 75% in January 2024. The loan was returned to the master servicer in February 2019 as a corrected loan but transferred back to special servicing in March 2023 due to imminent maturity default ahead of its April 2023 maturity date. While occupancy has improved since 2019, the property's 2023 NOI was 24% lower than securitization levels. Per the servicer commentary, the foreclosure sale was completed in December 2023 and the loan became REO in January 2024. The most recent appraisal from May 2023 valued the property 50% below the value at securitization. As of the April 2024 remittance, the loan was last paid through its February 2024 payment date and has amortized by 20% since securitization. The fourth specially serviced loan is the Tysons Commerce Center Loan ($31.3 million – 9.9% of the pool), which is secured by a single, eight-story, multi-tenant office building totaling 181,542 SF located fifteen miles west of downtown Washington D.C. The property was 66% leased as of December 2023 compared to 68% in 2021, 75% in 2020, and 96% at securitization. Due to the decrease in occupancy, the property's revenue and NOI have declined since 2018; and year-end 2023 NOI was 26% below securitization levels. The loan transferred to special servicing in December 2022 because it failed to pay off at its scheduled maturity date and is in default. The loan became REO in April 2024. The most recent appraisal from June 2023 valued the property 64% below the value at securitization, and as of the April 2024 remittance, the master servicer has recognized a 47% appraisal reduction based on the current loan balance. The loan was last paid through its March 2024 payment date and has amortized by 12% since securitization. JP MORGAN 2019-9: Moody's Upgrades Rating on 2 Tranches From Ba3 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 19 bonds from four US residential mortgage-backed transactions (RMBS), backed by prime jumbo mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2019-6 Cl. B-3, Upgraded to Aa1 (sf); previously on Jul 6, 2023 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Jul 6, 2023 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to A2 (sf); previously on Dec 13, 2021 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2019-7 Cl. B-3, Upgraded to Aa1 (sf); previously on Jul 6, 2023 Upgraded to Aa3 (sf) Cl. B-3-A, Upgraded to Aa1 (sf); previously on Jul 6, 2023 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to A1 (sf); previously on Jul 6, 2023 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa2 (sf); previously on Sep 27, 2019 Definitive Rating Assigned B2 (sf) Issuer: J.P. Morgan Mortgage Trust 2019-8 Cl. B-3, Upgraded to Aa1 (sf); previously on Jul 6, 2023 Upgraded to A1 (sf) Cl. B-3-A, Upgraded to Aa1 (sf); previously on Jul 6, 2023 Upgraded to A1 (sf) Cl. B-4, Upgraded to Aa3 (sf); previously on Jul 6, 2023 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to A2 (sf); previously on Dec 13, 2021 Upgraded to B1 (sf) Cl. B-5-Y, Upgraded to A2 (sf); previously on Dec 13, 2021 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2019-9 Cl. B-2, Upgraded to Aaa (sf); previously on Jul 6, 2023 Upgraded to Aa1 (sf) Cl. B-2-A, Upgraded to Aaa (sf); previously on Jul 6, 2023 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa1 (sf); previously on Jul 6, 2023 Upgraded to A1 (sf) Cl. B-3-A, Upgraded to Aa1 (sf); previously on Jul 6, 2023 Upgraded to A1 (sf) Cl. B-4, Upgraded to Aa3 (sf); previously on Jul 6, 2023 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to A2 (sf); previously on Dec 13, 2021 Upgraded to Ba3 (sf) Cl. B-5-Y, Upgraded to A2 (sf); previously on Dec 13, 2021 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying 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 remaining rated classes in these deals as those classes are already at the highest achievable levels within Moody's rating scale. Principal Methodologies 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 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. JP MORGAN 2021-INV5: Moody's Hikes Rating on Cl. B-5 Certs to B2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 24 bonds from three US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2021-INV5 Cl. A-5, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-A, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-X*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-INV7 Cl. A-5, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-A, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-X*, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned B3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-INV8 Cl. A-5, Upgraded to Aaa (sf); previously on Dec 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-A, Upgraded to Aaa (sf); previously on Dec 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-5-X*, Upgraded to Aaa (sf); previously on Dec 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Dec 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Dec 30, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Dec 30, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Dec 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Dec 30, 2021 Definitive Rating Assigned B3 (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 Ratings 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 remaining rated classes in these deals as those classes are already at the highest achievable levels within Moody's rating scale. 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 Ratings 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 Ratings 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. JPMBB COMMERCIAL 2015-C28: DBRS Cuts Rating on E Certs to B(low) ---------------------------------------------------------------- DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C28 issued by JPMBB Commercial Mortgage Securities Trust 2015-C28 as follows: -- Class X-D to BBB (low) (sf) from BBB (sf) -- Class D to BB (high) (sf) from BBB (low) (sf) -- Class X-E to B (sf) from BB (low) (sf) -- Class E to B (low) (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- 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 AA (sf) -- Class B at AA (low) (sf) -- Class X-C at A (sf) -- Class C at A (low) (sf) -- Class EC at A (low) (sf) -- Class F at CCC (sf) Morningstar DBRS changed the trends on Classes X-D, D, X-E, and E to Negative from Stable. All other trends are Stable, with the exception of Class F, which is assigned a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss projections for the pool, primarily attributed to the Pinnacle Office Shops and Parking loan (Prospectus ID#13, 2.5% of the pool), which transferred to the special servicer in August 2023. With this review, Morningstar DBRS considered liquidation scenarios for that loan and the transaction's other specially serviced loan, Horizon Outlet Shoppes Portfolio (Prospectus ID#12, 2.2% of the pool), resulting in total implied losses exceeding $36.0 million. Those losses would erode the nonrated Class G balance by approximately 85.0%, significantly reducing credit support to the lowest rated principal bonds in the transaction, particularly the Class D, E and F certificates. Outside of the specially serviced loans, the pool's second and third largest loans, Shops at Waldorf Center (Prospectus ID#2; 9.2% of the pool) and The Club Row Building (Prospectus ID#6; 5.5 % of the pool) continue to exhibit increased default risk, details of which are outlined below. In the analysis for this review, Morningstar DBRS stressed those loans with an elevated probability of default (POD) penalty and/or loan-to-value ratio (LTV) to reflect the risk of maturity default. The result of that analysis further supports the credit rating downgrades and Negative trends assigned with this review. As of the March 2024 remittance, 54 of the original 67 loans remain in the pool, with a trust balance of $814.4 million, representing a collateral reduction of 28.7% since issuance. Since Morningstar DBRS' last review, the Sleepy's Market loan, which was previously in special servicing, was liquidated from the trust at a realized loss of approximately $1.4 million, generally in line with Morningstar DBRS' expectation. Eighteen loans, representing 16.7% of the pool balance, are fully defeased, and seven loans, representing 11.8% of the pool balance, are on the servicer's watchlist. The Horizon Outlet Shoppes Portfolio loan transferred to special servicing in March 2020, for imminent monetary default. At issuance, the portfolio consisted of three outlet malls in Wisconsin, Washington, and Indiana, all of which became real estate owned in August 2021. The two smaller properties, Prime Outlets at Freemont in Indiana and Prime Outlets at Burlington in Washington, have been sold. Prime Outlets at Burlington was sold in March 2023 for $9.5 million with net proceeds totaling $8.8 million, and Prime Outlets at Fremont was sold in May 2022 for $4.2 million with net proceeds totaling $3.9 million. The remaining asset is Prime Outlets at Oshkosh, a 270,500-square-foot (sf) anchored retail property in Oshkosh, Wisconsin. According to the December 2023 rent roll, the property was 59.6% occupied, relatively unchanged from the prior year, but considerably below the issuance figure of 90.4%. Net cash flow (NCF) has followed a similar downward trajectory with the year-end (YE) 2023 servicer reported figure of $929,492 (a debt service coverage ratio (DSCR) of 0.84 times (x)), reflecting a 66.2% decline from the issuance figure of $2.7 million. The most recent servicer commentary notes that the property is not currently listed for sale. The November 2023 appraised value of $9.1 million represents a 6.2% and 79.8% decline from the December 2022 and issuance appraised values of $9.7 million and $45.0 million, respectively, and is well below the current whole-loan amount of $35.6 million. In the analysis for this review, Morningstar DBRS assumed a full loss to the loan, based on the remaining trust exposure and the expected proceeds at liquidation implied by a haircut to the most recent appraisal. The Pinnacle Office Shops and Parking loan is secured by a 249,888-sf office property in Jackson, MS. The loan transferred to the special servicer in August 2023 for monetary default and, as of the March 2024 reporting, is flagged as delinquent, having last paid in September 2023. Per the December 2023 rent roll, the property was 33.9% occupied, a significant decline from the prior year's occupancy rate of 60.4%. The decline in occupancy was primarily driven by the departure of the former largest tenant, Jones Walker LLP (23.0% of the NRA; lease expiration in December 2023). The most recent servicer commentary notes that foreclosure is expected in the second quarter of 2024 given the borrower has not submitted a workout proposal and has stated an unwillingness to cover shortfalls moving forward. According to the October 2023 appraisal, the property reported an as-is value of $6.0 million, a considerable decline from issuance appraised value of $34.5 million. Operating performance at the property has consistently declined since issuance with the loan's DSCR remaining well below break-even since YE2021. Morningstar DBRS liquidated the loan in its analysis based on a haircut to the most recent appraised value, resulting in a loss severity slightly in excess of 85.0%. The largest loan on the servicer's watchlist, The Club Row Building, is secured by a Class B office building in Midtown Manhattan. The loan was added to the servicer's watchlist in September 2023 for a low DSCR. Occupancy at the property declined to 72.6% as of September 2023 from 86.3% in 2020 following the departure of several tenants. Notably, the property had exposure to WeWork (7.6% of NRA), which filed for bankruptcy in November 2023 and placed the subject lease on its rejection list. The tenant has since vacated its space, reducing the property's occupancy to 65.4%. The loan most recently reported a Q3 2023 A-note DSCR of 1.51x; however, when excluding WeWork's rent, Morningstar DBRS estimates the DSCR could fall to approximately 1.10x. Re-leasing vacant space could prove difficult given the subject's Class B construction and declining demand for office space. There are reserves in place to fund potential costs should leases be signed, with $1.7 million in a rollover reserve and $331,471 in lockbox receipts as of March 2024. Morningstar DBRS estimates the collateral's as-is value has declined significantly from issuance, with a balloon LTV ratio well over 100.0%, suggesting the likelihood of refinance at maturity in January 2025 remains high. Morningstar DBRS analyzed the loan with an elevated probability of default penalty and stressed LTV ratio, resulting in an expected loss that was approximately 70.0% greater than the pool average. The second largest loan in the pool, Shops at Waldorf Center, is secured by a 497,000-sf anchored retail property in Waldorf, Maryland, approximately 30 miles south of Washington, D.C. The loan transferred to special servicing in July 2020 for imminent monetary default. A loan modification was executed in November 2022, and the loan subsequently returned to the master servicer in February 2023. The terms of the loan modification included a conversion to interest-only (IO) payments through the deferral period, ending in May 2024, in addition to a one-year extension option that pushes the fully extended maturity date to April 2026 from April 2025. The property was 76.3% occupied as of December 2023, down from 81.6% the prior year and 89.5% at issuance. The reported YE2023 NCF was $4.8 million (a DSCR of 1.5x), compared with $5.1 million (a DSCR of 1.1x) the prior year and $6.2 million (a DSCR of 1.4x) at issuance. The loan's modification to IO payments was responsible for the improvement in the DSCR; however, as debt service obligations increase with the continuation of principal and interest payments in May 2024, Morningstar DBRS expects the loan's coverage to deteriorate given cash flow has trended downward, as evidenced over the last few reporting periods. The three largest tenants at the property, PetSmart (30,900 sf; lease expiration in January 2025), LA Fitness (30,253 sf; lease expiration in June 2028) and Bob's Discount Furniture (30,103 sf; lease expiration in March 2023) comprise approximately 19.0% of the total NRA. Per the most recent rent roll on file, dated September 2023, tenant leases representing 14.3% of the NRA have expired, or are scheduled to expire within the next 12 months (including the current largest tenant, PetSmart). The property's average rental rate of approximately $20.0 per sf (psf) is considerably below the Q4 2023 average effective rental rate of $24.89 psf for retail properties in suburban Maryland, while the property's vacancy rate of 23.7% is elevated when compared with the 2023 market average of 7.7%, as reported by Reis. The most recent appraisal dated July 2022 valued the property at $93.7 million, slightly above the September 2021 value of $90.2 million, but lower than the issuance appraised value of $113.1 million. Although occupancy and cash flow at the property have declined, and upcoming tenant rollover is of concern, Morningstar DBRS notes that the July 2022 appraisal value is well above the loan's current balance of $75.3 million. In addition, the loan's fully extended maturity date in 2026, will provide the sponsor time to backfill vacant space and work toward stabilization. Given the collateral's declining performance, Morningstar DBRS analyzed this loan with an elevated LTV ratio and increased POD penalty, resulting in an expected loss that was more than 2.5x the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2015-C31: DBRS Cuts Rating on Class E Certs to Csf ------------------------------------------------------------------- DBRS Limited downgraded its credit ratings on eight classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C31 issued by JPMBB Commercial Mortgage Securities Trust 2015-C31 as follows: -- Class X-B to A (high) (sf) from AA (sf) -- Class B to A (sf) from AA (low) (sf) -- Class X-C to BB (high) (sf) from BBB (high) (sf) -- Class C to BB (sf) from BBB (sf) -- Class EC to BB (sf) from BBB (sf) -- Class D to CCC (sf) from B (high) (sf) -- Class X-D to CCC (sf) from BB (low) (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class F at C (sf) The trends on Classes B, C, X-B, X-C, and EC are Negative. Classes D, E, F, and X-D have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating downgrades reflect the increased loss projections from the loans in special servicing, primarily driven by the two largest specially serviced loans, Civic Opera Building (Prospectus ID#1, 10.6% of the pool) and the Sunblet Portfolio (Prospectus ID#3, 8.4% of the pool), as further discussed below. Morningstar DBRS continues to project significant losses related to the specially serviced loans, which together represent 20.1% of the pool, as reflected by the distressed credit ratings assigned to Classes D, E, F, and X-D. While Morningstar DBRS does not currently expect losses will exceed the Class D bond, the vast majority of remaining loans in the pool are scheduled to mature in the second half of 2025. In addition to the office-backed loans that are being liquidated, Morningstar DBRS has identified four additional loans representing 12.3% of the pool that could pose possible refinance risk. Additionally, Morningstar DBRS' credit ratings are constrained by Morningstar DBRS' expectation of accruing interest shortfalls prior to repayment, which has also contributed to Morningstar DBRS' downgrades and trend changes. Interest shortfalls currently total $3.3 million, up from a total interest shortfall amount of $1.2 million at the time of the last credit rating action. Unpaid interest continues to accrue month over month, driven by advances deemed non-recoverable in addition to special servicing fees and appraisal subordinate entitlement reduction (ASER) from the loans 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. As of the March 2024 remittance, 49 loans of the original 58 remain outstanding with a pool balance of $763.9 million, representing a collateral reduction of 25.6% since issuance. Of the remaining loans, 16 loans, representing 26.3% of the pool balance, have fully defeased. Four loans are in special servicing, totaling 20.1% of the pool balance, including the two of the top three loans. Outside of defeased loans, loans backed by office properties make up approximately 32.0% of the pool balance while lodging properties make up approximately 14%. In addition, 10 loans representing 18% of the pool balance are on the servicer's watchlist. All but two of those loans have been flagged for performance and/or credit related reasons. The largest loan in the pool and in special servicing, Civic Opera Building, is secured by the borrower's fee-simple interest in a 915,162-square-foot office property in Chicago's West Loop District and is pari passu with a companion note in the JPMBB 2015-C32 transaction, which is also rated by Morningstar DBRS. The loan transferred to special servicing in June 2020 following the borrower's request for forbearance relief as a result of the coronavirus pandemic. The loan has been delinquent since May 2021, and a receiver has been appointed. According to the most recent servicer commentary from March 2024, the lender has submitted a recourse claim and is continuing with the foreclosure process and is currently in the discovery phase. Occupancy continues to decline and remains well below the 92.4% at issuance. According to the September 2023 rent roll, the property was 56.8% occupied, as compared with the September 2022 figure of 63.7% and the YE2021 figure of 69.4%. The largest tenants are Bnd Civic Wacker, LLC (6.8% of the net rental area (NRA), expiry in November 2033); Teamworking COB LLC (5.2% of the NRA, lease expiry in April 2028); Natural Resources (2.8% of the NRA, expiry in March 2038); and Perficient, Inc. (2.4% of the NRA, expiry in June 2030). There is minimal upcoming rollover risk, with leases representing 5.7% of the NRA scheduled to expire by YE2024. The most recent appraisal obtained by the special servicer, dated December 2023, valued the property at $119.8 million compared with the April 2023 value of $128.3 million, September 2022 value of $159.4 million, and February 2021 figure of $165.0 million. Morningstar DBRS' analysis included a liquidation scenario based on a stress to the December 2023 appraised value to reflect the continuously declining occupancy, upcoming rollover, and weak submarket fundamentals, resulting in an increased projected loss severity approaching 75% with this review. The second-largest loan in special servicing, Sunbelt Portfolio, is secured by the fee-simple interests in a portfolio of three office properties in Birmingham, Alabama, and Columbia, South Carolina. The loan transferred to special servicing in January 2022 for imminent monetary default and with the March 2024 remittance remains current on payments. At last review, the servicer commentary suggested an agreement had been reached with the borrower to return the loan to the master servicer; however, the borrower had recently submitted a short-term payment deferral while the special servicer works with the borrower to use lockbox funds to cover shortfalls. Concurrently, the special servicer is dual tracking the appointment of a receiver. The portfolio has experienced precipitous occupancy declines in recent years, with the most recent figure showing the properties were 64.4% occupied as of September 2023, compared with 72.2% occupancy as of YE2021. Due to declining occupancy, cash flows have fallen, with the September 2023 debt service coverage ratio (DSCR) at 0.79 times (x), down from 1.38x in YE2021. Largest tenants as of the September 2023 rent roll include Nelson Mullins Riley & Scarbou (11.0% of the NRA, lease expiry in July 2030), Shipt Inc (8.4% of the NRA, lease expiry in October 2030), and Burr & Forman LLP (7.9% of the NRA, lease expiry in December 2034). Through YE2024, there is minimal rollover concern at approximately 4.0% of the NRA. To date, there is no updated appraisal for the subject, which was valued at $203.3 million at issuance; however, Morningstar DBRS expects the value to have declined. The portfolio's location within secondary and tertiary markets, declining occupancy rates, upcoming maturity date in July 2025, and general uncertainty with office assets will complicate any workout and eventual refinance or disposition in the near future. Morningstar DBRS' analysis included a liquidation scenario based on a stress to the issuance appraised value, resulting in a projected loss severity approaching 30% with this review. Another office loan of concern, Highland Landmark I (Prospectus ID#5, 5.0% of the pool) has been identified as a possible refinance risk as it approaches maturity in August 2025. The loan is secured by a suburban Class A office property in Downers Grove, Illinois. The subject was added to the servicer's watchlist in December 2023 for a cash trap activation tied to the eventual departure of the large tenant, Advocate Health Center (68% of the NRA) at its April 2024 lease expiration. As of the September 2023 rent roll, the subject was 85% occupied but occupancy is expected to drop to approximately 17% taking into account the Advocate Health Center's departure. Based on the March 2024 reserve report, $12.4 million has been trapped and is currently being held in the rollover account. Although a new appraisal has not been completed to date, Morningstar DBRS expects a significant value decline, which will inevitably complicate takeout financing efforts in 2025. The loan was analyzed with an increased probability of default (POD) for an expected loss (EL) more than double the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. JPMCC COMMERCIAL 2016-JP2: DBRS Cuts Class F Certs Rating to Csf ---------------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2016-JP2 issued by JPMCC Commercial Mortgage Securities Trust 2016-JP2 as follows: -- Class C to BBB (low) (sf) from A (low) (sf) -- Class D to B (high) (sf) from BBB (low) (sf) -- Class E to CCC (sf) from B (high) (sf) -- Class F to C (sf) from CCC (sf) -- Class X-C to BB (low) (sf) from BBB (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 AA (sf) -- Class B at AA (low) (sf) Morningstar DBRS also changed the trends on Classes A-S, B, C, D, X-A, X-B, and X-C to Negative from Stable. Classes E and F have credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating downgrades reflect Morningstar DBRS' increased loss projections regarding the specially serviced loan, Hagerstown Premium Outlets (Prospectus ID#9, 3.5% of the current trust balance), which reported depressed performance for several years prior to its recent transfer to special servicing in October 2023. The loan was previously in special servicing in 2020 because of challenges arising from the coronavirus pandemic before transferring back to the master servicer in 2021. For this review, the loan was analyzed with a liquidation scenario based on a stressed haircut to the September 2020 value, resulting in a loss approaching $20.0 million and eroding the majority of the non-rated Class NR balance. The loan is further discussed below. The Negative trends are reflective of the increased credit risk profile of loans backed by office properties, which is the second-largest property concentration, comprising 26.0% of the current pool balance. 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 elevated probability of default (POD) penalties, as applicable. The resulting weighted-average (WA) expected loss for these loans was approximately 58% higher than the pool's WA expected loss. The credit rating confirmations reflect the continued performance of the remaining loans in the transaction, which have generally experienced minimal changes since the last credit rating action and reported a WA debt service coverage ratio (DSCR) of 1.71 times (x) based on the most recent year-end financials available. As of the March 2024 remittance, 42 of the original 47 loans remained in the trust, with an aggregate balance of $777.9 million, representing a collateral reduction of 17.2% since issuance. There are nine fully defeased loans, representing 21.0% of the current pool balance. There is one loan with the special servicer, representing 3.5% of the current pool balance, as well as eight loans on the servicer's watchlist, representing 22.9% of the current pool balance. Since the last credit rating action, one loan that was previously in special servicing, 693 Fifth Avenue (Prospectus ID#3), was liquidated in June 2023 with no loss to the trust. The sole loan in special servicing, Hagerstown Premium Outlets, is secured by an open-air retail outlet center in Hagerstown, Maryland, approximately 70 miles northwest of Washington, D.C. This loan is pari passu with DBJPM 2016-C1, which is also rated by Morningstar DBRS. The property is owned and operated by Simon Property Group. As previously mentioned, the loan was most recently transferred to special servicing as the loan defaulted on its September 2023 payment, with the special servicer dual-tracking foreclosure and a potential loan modification as requested by the borrower. The cash flows have been depressed for several years, with the DSCR hovering near or just below breakeven since 2021. The occupancy rate has also been precipitously declining in recent years, most notably beginning with the loss of Nike Factory Store in 2019 and Wolf's Furniture in 2020, both anchor stores. As of the June 2023 financials, the property was 54% occupied compared with 40.4% at YE2022 and 90.4% at issuance. Near-term rollover risk is high, with leases representing 31.0% of the net rentable area (NRA) having expired or expiring in the next 12 to 18 months. In the last several reviews when the loan was with the master servicer, Morningstar DBRS liquidated the loan, based on a value considering that an outlet mall in a tertiary location that has lost major anchor tenants and has consistently underperformed has a very high likelihood of default. The transfer back to the special servicer was expected, and for this review, the loan was liquidated based on a stressed haircut to the September 2020 value, resulting in a loss severity approaching 70%. Another loan of concern, 100 East Pratt (Prospectus ID#5, 6.2% of the current trust balance), is secured by a 662,708-square-foot LEED Gold-certified Class A office property in downtown Baltimore. The subject serves as the headquarters for the largest tenant, T. Rowe Price Associates, Inc. (71% of NRA), but several news sources have noted that the tenant is moving its newly constructed headquarters to Harbor Point in Baltimore. The tenant has a one-time lease termination option in July 2024 that requires 18 months' notice, which is likely to be executed. In addition, the same amount of space was listed as available for lease by Cushman & Wakefield. Morningstar DBRS has requested an update from the servicer. The borrower is required to pay a $20.0 million termination fee, and a cash flow sweep would be initiated at the 18-month mark. Details on whether a cash flow sweep was initiated and the balance of the cash management reserve were requested from the servicer. Based on the YE2023 financials, the loan reported a DSCR of 2.08x; however, when accounting for the departure of T. Rowe Price Associates, Inc., Morningstar DBRS expects the figure to drop well below breakeven. Reis indicates a softening submarket as office properties within the Central Baltimore City submarket reported a Q4 2023 vacancy rate of 20.5%, up from the Q4 2023 vacancy rate of 18.8%. Considering the significant headwinds to backfilling a large vacant space in a challenging submarket, as well as the low investor demand for this property type, Morningstar DBRS analyzed this loan with an elevated POD to increase the loan's expected loss, resulting in an expected loss that was almost double the pool's WA expected loss. At issuance, Morningstar DBRS shadow-rated one loan, The Shops at Crystals (Prospectus ID#6; 6.4% of the pool), as investment grade to reflect the above-average property quality and strong sponsorship. With this review, Morningstar DBRS confirms that the performance of the loan remains consistent with investment-grade characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. KAWARTHA CAD: DBRS Gives Prov. BB(high) on Boreal 2024-1 E Notes ---------------------------------------------------------------- DBRS, Inc. assigned a provisional credit rating of BB (high) to the Boreal Series 2024-1 Class E Notes (the Class E Notes) contemplated to be issued by Kawartha CAD Ltd. (the Issuer) referencing the executed Junior Loan Portfolio Financial Guarantees (the Financial Guarantee) to be dated on or about April 15, 2024, between the Issuer as Guarantor and Bank of Montreal (BMO; rated AA with a Stable trend by Morningstar DBRS) as Beneficiary with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO. The credit rating on the Class E Notes addresses the timely payment of interest and ultimate payment of principal on or before the Scheduled Termination Date (as defined in the Financial Guarantee). The payment of the interest due to the Class E Notes is subject to the Beneficiary's ability to pay the Guarantee Fee Amount (as defined in the Financial Guarantee). To assess portfolio credit quality, Morningstar DBRS may provide a credit estimate, internal assessment, or ratings mapping of BMO's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. Morningstar DBRS' credit rating on the Class E Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the timely payment of interest (the Guarantee Fee Amount) and ultimate payment of principal on or before the Scheduled Termination Date. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CREDIT RATING RATIONALE/DESCRIPTION The provisional credit rating is the result of Morningstar DBRS' review of the transaction structure and draft Financial Guarantees of Kawartha CAD Ltd., a corporation established under the Canada Business Corporations Act. Kawartha CAD Ltd., Boreal 2024-1 is a synthetic risk transfer transaction with BMO as the Beneficiary. In its analysis, Morningstar DBRS considered the following: (1) The draft Financial Guarantee to be dated on or about April 15, 2024. (2) The integrity of the transaction structure and the form and sufficiency of available credit enhancement. (3) The credit quality of the underlying collateral, subject to the Replenishment Criteria. (4) The ability of the Class E Notes to withstand projected collateral loss rates under various stress scenarios. (5) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. (6) Morningstar DBRS' assessment of the origination, servicing, and management capabilities of BMO. Morningstar DBRS analyzed the transaction using its CMBS Insight Model and CLO Insight Model, based on certain reference portfolio characteristics, including Eligibility Criteria and Replenishment Criteria, as defined in the Financial Guarantee. The reference portfolio consists of well-diversified CRE secured loans across various obligors. The analysis produced satisfactory results, which supported the credit rating on the Class E Notes. Notes: The principal methodologies applicable to the credit ratings are Global Methodology for Rating CLOs and Corporate CDOs and the CLO Insight Model version 1.0.1.0. KAWARTHA CAD: DBRS Gives Prov. BB(high) on Tranche E ---------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Senior Tranche, the Tranche B, the Tranche C, the Tranche D, and the Tranche E (collectively, the Tranche Amounts) of Kawartha CAD Ltd. (the Issuer) pursuant to Schedule 1 of the executed Junior Loan Portfolio Financial Guarantee (the Financial Guarantee) dated April 15, 2024, between the Issuer as Guarantor and the Bank of Montreal (BMO) as Beneficiary with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO (rated AA with a Stable trend by Morningstar DBRS): -- Senior Tranche at AAA (sf) -- Tranche B at AA (low) (sf) -- Tranche C at A (sf) -- Tranche D at BBB (low) (sf) -- Tranche E at BB (high) (sf) The provisional credit ratings on the Tranche Amounts address the likelihood of a reduction to the respective tranche notional amounts resulting from obligor defaults within the guaranteed portfolio during the period from the Effective Date until the Scheduled Termination Date. For obligors within the guaranteed portfolio, default events are limited to payment default, insolvency, and restructuring events. The provisional credit ratings on the Tranche Amounts take into consideration only the creditworthiness of the reference portfolio. The provisional credit ratings neither address counterparty risk nor the likelihood of any event of default or termination event under the agreement occurring. BMO bought protection under the Financial Guarantee for certain issued notes in respect of such Protected Tranche (as defined in the Financial Guarantee). Morningstar DBRS' provisional credit ratings on the Tranche Amounts are expected to remain provisional until there is an executed Financial Guarantee agreement covering the payment obligations and exchange of risk in respect of such Tranche Amounts. BMO may have no intention of executing such a Financial Guarantee. Morningstar DBRS will maintain and monitor the provisional credit ratings throughout the life of the transaction or while it continues to receive performance information. To assess portfolio credit quality, Morningstar DBRS may provide a credit estimate, internal assessment, or ratings mapping of BMO's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not credit ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a credit rating to a facility sufficient to assess portfolio credit quality. Morningstar DBRS' credit ratings on the Tranche Amounts address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are a reduction to the respective Tranche Initial Notional Amounts (as defined in the Financial Guarantee) resulting from obligor defaults within the guaranteed portfolio during the period from the Effective Date until the Scheduled Termination Date. 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. RATING RATIONALE The provisional credit ratings are the result of Morningstar DBRS' review of the transaction structure and Financial Guarantee of Kawartha CAD Ltd., a corporation established under the Canada Business Corporations Act. Kawartha CAD Ltd., Boreal 2024-1 is a synthetic risk transfer transaction with BMO as the Beneficiary. In its analysis, Morningstar DBRS considered the following: (1) The Financial Guarantee. (2) The integrity of the transaction structure and the form and sufficiency of available credit enhancement. (3) The credit quality of the underlying collateral, subject to the Replenishment Criteria. (4) The ability of the Tranche Amounts to withstand projected collateral loss rates under various stress scenarios. (5) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. (6) Morningstar DBRS' assessment of the origination, servicing, and management capabilities of BMO. Morningstar DBRS analyzed the transaction using its CMBS Insight Model and CLO Insight Model, based on certain reference portfolio characteristics, including Eligibility Criteria and Replenishment Criteria, as defined in the Financial Guarantee. The reference portfolio consists of well-diversified CRE secured loans across various obligors. The analysis produced satisfactory results, which supported the credit ratings on the Tranche Amounts. KKR CLO 13: Moody's Upgrades Rating on $7MM Class F-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by KKR CLO 13 Ltd.: US$24,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Upgraded to Aaa (sf); previously on November 6, 2023 Upgraded to Aa1 (sf) US$21,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), Upgraded to Baa2 (sf); previously on November 6, 2023 Upgraded to Baa3 (sf) US$7,000,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class F-R Notes"), Upgraded to B1 (sf); previously on July 15, 2022 Upgraded to B2 (sf) KKR CLO 13 Ltd., originally issued in December 2015 and refinanced in March 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2020. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since November 2023. The Class A-1-R notes were paid in full by $15.1 million, and Class B-1-R notes have been paid down by approximately 19.1% or $9.0 million since then. Based on Moody's calculation, the OC ratios for the Class D-R, Class E-R and Class F-R notes are currently 152.28%, 121.23% and 113.52%, respectively, versus the November 2023 levels of 138.84%, 115.90% and 109.85%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since November 2023. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 3359 compared to 2988 in November 2023. No actions were taken on the Class B-1-R and Class C-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $124,346,535 Defaulted par: $2,178,406 Diversity Score: 32 Weighted Average Rating Factor (WARF): 3359 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.61% Weighted Average Recovery Rate (WARR): 47.52% Weighted Average Life (WAL): 2.69 years Finally, Moody's notes that it also considered the information in the April 2024 payment report which became available immediately prior to the release of this announcement. 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. MADISON PARK LVIII: Fitch Assigns 'BBsf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LVIII, Ltd. Entity/Debt Rating ----------- ------ Madison Park Funding LVIII, Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Madison Park Funding LVIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Credit Suisse 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/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.52% first-lien senior secured loans and has a weighted average recovery assumption of 74.05%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AAAsf' for class A, between 'BB+sf' and 'AAsf' for class B, between 'B+sf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A 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 Madison Park Funding LVIII, 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. MADISON PARK LVIII: Moody's Assigns B3 Rating to $250,000 F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Madison Park Funding LVIII, Ltd. (the "Issuer" or "Madison Park LVIII"). Moody's rating action is as follows: US$320,000,000 Class A Floating Rate Senior Notes due 2037, Assigned Aaa (sf) US$250,000 Class F Deferrable Floating Rate Junior 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. Madison Park LVIII 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 non-senior secured loans. The portfolio is approximately 70% ramped as of the closing date. Credit Suisse Asset Management, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued four 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: 70 Weighted Average Rating Factor (WARF): 3165 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. MADISON PARK XXXVII: Fitch Assigns 'BB+sf' Rating on Cl. ER2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding XXXVII, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Madison Park Funding XXXVII, Ltd. AR2 LT NRsf New Rating BR2 LT AA+sf New Rating CR2 LT Asf New Rating D-1A LT BBB-sf New Rating D-1B LT BBB-sf New Rating D-2 LT BBB-sf New Rating ER2 LT BB+sf New Rating F LT NRsf New Rating TRANSACTION SUMMARY Madison Park Funding XXXVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Credit Suisse Asset Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $597 million (excluding defaulted obligation) 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 95.94% first-lien senior secured loans and has a weighted average recovery assumption of 74.32%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class BR2, between 'B+sf' and 'BBB+sf' for class CR2, 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 ER2. 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 BR2, 'AA+sf' for class CR2, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class ER2. 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 Madison Park Funding XXXVII, 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. MADISON PARK XXXVII: Moody's Assigns B3 Rating to $250,000 F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Madison Park Funding XXXVII, Ltd. (the "Issuer"). Moody's rating action is as follows: US$378,000,000 Class A-R2 Floating Rate Senior Notes due 2037, Assigned Aaa (sf) US$250,000 Class F Deferrable Floating Rate Junior Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of loans that are not senior secured. Credit Suisse Asset Management, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. 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: Portfolio Par: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3175 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MAGNETITE LTD XVII: Moody's Assigns B3 Rating to $400,000 F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Magnetite XVII, Limited (the "Issuer"). Moody's rating action is as follows: US$256,000,000 Class A-R2 Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$400,000 Class F Deferrable Mezzanine Floating Rate Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. Blackrock Financial Management, Inc. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, four other classes of notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score 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: Portfolio par: $398,538,979 Defaulted par: $3,236,163 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3202 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC):5.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MAGNETITE XVII: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Magnetite XVII, Limited reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Magnetite XVII, Limited A-R 55954EAQ2 LT PIFsf Paid In Full AAAsf A-R2 LT NRsf New Rating B-R2 LT Asf New Rating C-R2 LT Asf New Rating D-R2 LT BBB-sf New Rating E-R2 LT BBsf New Rating F LT NRsf New Rating TRANSACTION SUMMARY Magnetite XVII, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by BlackRock Financial Management, Inc. that originally closed in March 2016 and had its first full refinancing in July 2018. This is the second refinancing where the existing notes will be redeemed in full on April 22, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.67% first-lien senior secured loans and has a weighted average recovery assumption of 75.18%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 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 required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R2 notes, between 'B+sf' and 'BBB+sf' for class C-R2 notes, between less than 'B-sf' and 'BB+sf' for class D-R2 notes, and between less than 'B-sf' and 'B+sf' for class E-R2 notes. 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-R2 notes, 'AAsf' for class C-R2 notes, 'Asf' for class D-R2 notes, and 'BBB+sf' for class E-R2 notes. Key Rating Drivers and Rating Sensitivities are further described in the new issue report. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Magnetite XVII, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MARBLE POINT XIX: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, C-R, D-R, and E-R replacement debt from Marble Point CLO XIX Ltd./Marble Point CLO XIX LLC, a CLO originally issued in February 2021 that is managed by Marble Point CLO Management LLC. At the same time, S&P withdrew its ratings on the original class A, C, D, and E debt following payment in full on the April 19, 2024, refinancing date. S&P also affirmed its ratings on the class X and B 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 for the new debt was enacted, ending April 19, 2025. -- The reinvestment period was not extended. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were not extended. -- The weighted average life test was not extended. -- No additional assets were purchased on the April 19, 2024, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 19, 2024. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $248.00 million: Three-month CME term SOFR + 1.40% -- Class C-R, $22.00 million: Three-month CME term SOFR + 2.50% -- Class D-R, $23.00 million: Three-month CME term SOFR + 4.00% -- Class E-R, $14.00 million: Three-month CME term SOFR + 7.50% Original Debt -- Class X, $2.00 million: Three-month CME term SOFR + 0.85% + CSA(i) -- Class A, $248.00 million: Three-month CME term SOFR + 1.44% + CSA(i) -- Class B, $56.00 million: Three-month CME term SOFR + 1.90% + CSA(i) -- Class C, $22.00 million: Three-month CME term SOFR + 2.60% + CSA(i) -- Class D, $23.00 million: Three-month CME term SOFR + 3.90% + CSA(i) -- Class E, $14.00 million: Three-month CME term SOFR + 7.50% + CSA(i) -- Subordinated notes, $39.00 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Marble Point CLO XIX Ltd./Marble Point CLO XIX LLC Class A-R, $248.00 million: AAA (sf) Class C-R, $22.00 million: A (sf) Class D-R, $23.00 million: BBB- (sf) Class E-R, $14.00 million: BB- (sf) Ratings Withdrawn Marble Point CLO XIX Ltd./Marble Point CLO XIX LLC Class A to NR from AAA (sf) Class C to NR from A (sf) Class D to NR from BBB- (sf) Class E to NR from BB- (sf) Ratings Affirmed Marble Point CLO XIX Ltd./Marble Point CLO XIX LLC Class X, $0.33 million: AAA (sf) Class B, $56.00 million: AA (sf) Other Outstanding Debt Marble Point CLO XIX Ltd./Marble Point CLO XIX LLC Subordinated notes, $39.00 million: NR NR--Not rated. MED COMMERCIAL 2024-MOB: Moody's Assigns (P)Ba1 Rating to E Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of CMBS securities, to be issued by MED Commercial Mortgage Trust 2024-MOB, Commercial Mortgage Pass-Through Certificates, Series 2024-MOB: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa1 (sf) Cl. C, Assigned (P)A2 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba1 (sf) Cl. HRR, Assigned (P)Ba2 (sf) RATINGS RATIONALE The certificates are collateralized by a single, floating rate loan collateralized by the borrower's fee simple or leasehold interests in a portfolio of 34 medical office building properties encompassing 1.9 million SF. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Portfolio is comprised of 34 medical office properties located across 23 markets in 13 states. New York is the largest state concentration (by ALA) as it is home to six properties representing 29.4% of ALA, 18.6% of NRA, and 32.8% of UW NOI. The Portfolio's largest individual property is 95 Crystal Run MOB, representing 12.1% of the ALA. No tenant aside from Crystal Run Healthcare contributes more than 6.6% of base rent or 5.1% of NRA. The collateral properties combine to offer approximately 1,944,300 SF of NRA. Property sizes range between 9,000 SF and 127,253 SF, and average approximately 57,188 SF. Construction dates for properties range from 1978 to 2013, with a weighted average year built of 2003. Six of the properties operate subject to ground leases. The locations of the individual properties benefit from their unique and superior proximity to hospital demand drivers as 22 properties (62.5% of ALA) are located directly on a hospital campus. With regard to the 12 properties off-campus, 8 properties (28.8% of ALA) are anchored by a health system affiliation. The remaining four properties (8.7% of ALA) within the Portfolio are considered off campus properties without an affiliated health system. 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, we 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 1.14X and Moody's first mortgage actual stressed DSCR is 0.95X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $450,500,000 represents a Moody's LTV ratio of 102.4% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 91.9% 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 1.50. Notable strengths of the transaction include: their location relative to demand drivers, geographic diversity and tenant granularity, investment grade tenancy, multiple property pooling, and experienced sponsorship. Notable concerns of the transaction include: property age, floating-rate interest-only loan profile, recent decline in portfolio occupancy and NOI, property release provisions, and 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. MELLO MORTGAGE 2024-SD1: Fitch Assigns 'BB(EXP)' Rating on M2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Mello Mortgage Capital Acceptance 2024-SD1 (MMCA 2024-SD1). Entity/Debt Rating ----------- ------ Mello Mortgage Capital Acceptance 2024-SD1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating M2 LT BB(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating CERT LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The MMCA 2024-SD1 notes are supported by 436 loans with a balance of $150.05 million and an aggregate loan age of 26 months (based on the transaction documents) as of the cutoff date. Each loan in the pool is a scratch & dent (S&D) loan that was ultimately not deliverable to Fannie Mae, Freddie Mac (GSEs), or a third-party purchaser; or resulted in a repurchase demand or voluntary buyout request from Ginnie Mae as further described in the PPM due to various underwriting defects. This is the first Mello S&D transaction to be rated by Fitch. The loans were originated (and will be serviced) by loanDepot.com, LLC (loanDepot). loanDepot is assessed by Fitch as an 'Acceptable' originator and servicer. The notes are secured by a pool of recently originated and seasoned fixed- and adjustable-rate, fully amortizing and interest only (IO), performing, reperforming and non-performing mortgage loans secured by first liens primarily on one- to four-family residential properties; planned unit developments (PUDs); condominiums; manufactured housing; and co-operative shares. 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 10.7% 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 increased 5.5% YoY nationally as of December 2023, despite modest regional declines, but are still being supported by limited inventory. Nonprime Credit Quality and Less than Full Documentation (Negative): The collateral consists of 436 loans, totaling $150 million (including $229 thousand deferred principal), and seasoned approximately 26 months in aggregate. The borrowers have a relatively weak credit profile (711 Fitch model FICO and 46% DTI which takes into account various adjustments for improper DTI calculations) and high leverage (83% sLTV). The pool consists of 85.7% of loans where the borrower maintains a primary residence, while 11.5% is an investor property (including 2.2% with occupancy and citizenship misrepresentation treated as investor property), and the remaining 2.8% as second home. Additionally, 78.5% of the loans were originated through a retail channel. Approximately 78% are designated as QM loan, while 6.6% are HPQM and 4.1% are Non-QM. And while 92.3% of the loans are current as of the cutoff date, the overall pool characteristics resemble nonprime collateral. As determined by Fitch, approximately 59.3% of the loans were underwritten to less than full documentation (including 42.9% with income/employment/asset verification and loan documentation defects treated as no documentation). The tape indicated 98.3% underwritten to full documentation and the remaining 1.7% to a streamline refinance program. Overall, Fitch increased the PD on the non-full documentation loans to reflect the additional risk. Guideline Exception Loans (Negative): Each loan in the pool was flagged with certain documentation deficiencies and misrepresentation or exceptions to guidelines at origination, which prevented the sale of the loans to a GSE or another purchaser. The exceptions ranged from those that are immaterial to Fitch's analysis (MI issues, loan seasoning and other VA eligibility-related issues), to those that are handled by Fitch's model due to the tape attributes (prior delinquencies and LTVs above thresholds) to loans with potential compliance exceptions that received loss adjustments (loans with miscalculated DTIs and potential ATR issues). In addition, there are loans with missing documentation that may extend foreclosure timelines or increase loss severity, which Fitch is able to account for in its loss analysis. Of this, about 98.4% by loan count received a final overall due diligence grade of 'C' or 'D'. Sequential Deal Structure with Overcollateralization and No Advancing (Mixed): The transaction utilizes a sequential payment structure, with a feature that re-allocates interest from the more junior classes to pay principal on the more senior classes to the extent the transaction is still outstanding after the 84th payment date (April 2031). The amount of interest paid out as principal to the more senior class, is added to the balance of the impacted junior class(es). Offsetting this positive is that the transaction will not write-down the bonds due to potential losses or under-collateralization. During periods of adverse performance, the subordinate bonds will continue to be paid interest from available funds, at the expense of principal payments that otherwise would have supported the more senior bonds, while a more traditional structure would have seen subordinate classes written down and accrue a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by the reallocation of available funds after the 84th payment date. The coupons on the notes are based on the lower of the available fund cap (AFC) or the stated coupon. If the AFC is paid it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (AFC) and what should have been paid based on the stated coupon. If the issuer fails to redeem the notes by the expected redemption date, the coupons will step up by 100bps; after the credit event, by an additional 200bps. Given this, a larger portion of available funds will be required to make interest payments on the notes, which may increase the probability of an AFC on the note rates and may result in undercollateralization. The class B notes will be issued as principal only (PO) and will not be entitled to any interest payments. The Trust Certificate will represent a 100% equity interest in the issuer and will not have a principal balance or an interest rate. The transaction will have an overcollateralization amount of $7.5 million on the closing date or approximately 5.0% of the collateral UPB, which will provide subordination and protect the classes from losses. Note amounts will not be written down by realized losses although in certain situations, the proceeds may be insufficient to cover the payment of all interest and principal due on the notes. Additionally, the servicer will not be advancing delinquent monthly payments of principal and interest. 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. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 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 41.9%, at 'AAAsf'. 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 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 environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators 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. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis together with the scratch and dent (S&D) defects noted. Given the 100% S&D collateral and the overlap in due diligence findings and S&D exceptions, Fitch focused on the S&D defect treatments, which were deemed more punitive. This is reflected in the 'AAAsf' expected loss of 33.25%. ESG CONSIDERATIONS Mello Mortgage Capital Acceptance 2024-SD1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated overall operational risk, which resulted in an increase in expected losses. While the reviewed originator and servicing party did not have a material impact on the expected losses, the Tier 2 representations and warranties (R&W) framework with an unrated counterparty 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. MFA TRUST 2024-NQM1: Fitch Gives 'Bsf' Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates to be issued by MFA 2024-NQM1 Trust (MFA 2024-NQM1). Entity/Debt Rating Prior ----------- ------ ----- MFA 2024-NQM1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The MFA 2024-NQM1 certificates are supported by 715 nonprime loans with a total balance of approximately $365 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Excelerate Capital, Citadel Servicing Corporation d/b/a Acra Lending and others. Loans were aggregated by MFA Financial, Inc (MFA). Loans are currently serviced by Planet Home Lending and Citadel Servicing Corporation whose loans are subserviced by ServiceMac LLC. Post-pricing structure was received on Apr. 17 - The structure was revised to reflect the shift in interest rates on Apr. 10th. The balance for the A-1 class decrease $913k and the money was redirected to the A-3, B-1, B-2 and B-3 classes. Specifically, the A-3 class increased $182k, the B-1 class increased $183k, the B-2 class increased $1k and the B-3 class increased $547k. The C/E, relative to the prelim structure, increased 25 bps for the A-1 and A-2 classes, 20 bps for the A-3 and M-1 classes, 15 bps for the B-1 and B-2 classes and remained unchanged for the B-3 classes. The coupon, relative to the prelim structure, increased between approximately 30bps-38bps for the A-1 - B-2 classes which decreased the XS to 119bps, approximately 27bps lower than the prelim structure. The coupons for the B-1, B-2 and B-3 classes remained unchanged. There are no changes to Fitch proposed ratings. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.1% above a long-term sustainable level (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. Nonqualified Mortgage Credit Quality (Negative): The collateral consists of 715 loans totaling $365.2 million and seasoned at approximately 9 months in aggregate as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 725 Fitch model FICO and moderate leverage with a 75.4% sustainable loan-to-value ratio (sLTV). The pool is 53.0% comprised of loans where the borrower maintains a primary residence, while 47.0% comprises investor properties or second homes as calculated by Fitch. Additionally, 62.6% are nonqualified mortgages (non-QM) while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types, including second liens, foreign nationals and nonstandard property types. Fitch's expected loss in the 'AAAsf' stress is 25.0%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 88.4% of loans in the pool were underwritten to less than full documentation and 52.7% were underwritten to a bank statement program for verifying income. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay Rule (ATR Rule, or "the Rule"). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by 389 basis points (bps), compared with a deal of 100% fully documented loans. High Percentage of Debt Service Coverage Ratio Loans (Negative): There are 307 debt service coverage ratio (DSCR) products in the pool (42.9% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported nonzero DTI. Further no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 36.68% in the 'AAAsf' stress. Modified Sequential Payment Structure with No Advancing (Mixed): The structure differs from the previous MFA 2023-NQM4 transaction. The principal waterfall was modified to prioritize principal to the A-1 class prior to the A-2 receiving interest when a trigger event is in effect, which differs from the previous transaction which prioritized interest to the A-1 and A-2 notes before the A-1 received principal. The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. MFA 2024-NQM1 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. As additional analysis to its rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut, based on the most common historical modification rate, on 40% (the historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Canopy, Clayton, Consolidated Analytics, Covius, Evolve, Infinity, IngletBlair, Maxwell and Selene. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 48bps reduction to 'AAAsf' losses. 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. MIDOCEAN CREDIT XII: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XII Ltd. - Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO XII Ltd A-1 59803TAA9 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 59803TAC5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 59803TAE1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 59803TAG6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 59803TAL5 LT PIFsf Paid In Full BBBsf D-2 59803TAN1 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 59804HAA4 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating TRANSACTION SUMMARY MidOcean Credit CLO XII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by MidOcean Credit RR Manager LLC that originally closed in April 2023. The CLO's secured notes will be refinanced in whole on April 18, 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 $350 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 22.72, versus a maximum covenant, in accordance with the initial expected matrix point of 29. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.34% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.45% 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 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a two-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 P&I waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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-1-R, between 'BBBsf' 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, these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R; and between 'BBB+sf' and 'BB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Fitch does not provide ESG relevance scores for MidOcean Credit CLO XII 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. MONROE CAPITAL 2017-1: Moody's Ups Rating on $30MM E Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Monroe Capital MML CLO 2017-1, Ltd.: US$31,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class D Notes"), Upgraded to A1 (sf); previously on October 27, 2023 Upgraded to A3 (sf) US$30,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on October 26, 2017 Definitive Rating Assigned Ba3 (sf) Monroe Capital MML CLO 2017-1, Ltd., originally issued in October 2017 and partially refinanced in May 2021 is a managed cashflow SME CLO. The notes are collateralized primarily by a portfolio of small and medium enterprise loans. The transaction's reinvestment period ended in October 2021. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2023. The Class A-R notes have been paid down by approximately 35% or $22.6 million since then. Based on Moody's calculation, the OC ratios for the Class D and Class E notes (before applying excess Caa haircuts) are currently 146.78% and 120.44%, respectively, versus October 2023 levels of 138.54% and 116.64%, respectively. No actions were taken on the Class A-R, Class B, and Class C 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: $201,031,793 Defaulted par: $4,288,591 Diversity Score: 36 Weighted Average Rating Factor (WARF): 4438 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.70% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 3.0 years Par haircut in OC tests and interest diversion test: 2.56% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, and 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. MORGAN STANLEY 2014-C18: Fitch Lowers Rating on 300-E Certs to CCC ------------------------------------------------------------------ Fitch Ratings has downgraded the ratings of five classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2014-C18 (MSBAM 2014-C18). The Rating Outlooks on four of these classes are Negative. Fitch has only rated the 300 North LaSalle B Note (300 North LaSalle rake certificates) issued by MSBAM 2014-C18. These certificates are subordinate in right of payment of interest and principal to the 300 North LaSalle A notes and derive their cash flow solely from the 300 North LaSalle Street loan. The 300 North LaSalle rake certificates are generally not subject to losses from any of the other loans collateralizing the MSBAM 2014-C18 transaction. Fitch does not rate any other classes issued by MSBAM 2014-C18. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2014-C18 - 300 North LaSalle Rake 300-A 61763XBF2 LT Asf Downgrade AA-sf 300-B 61763XBH8 LT BBBsf Downgrade A-sf 300-C 61763XBK1 LT BBsf Downgrade BBB-sf 300-D 61763XBM7 LT Bsf Downgrade BB-sf 300-E 61763XBP0 LT CCCsf Downgrade Bsf KEY RATING DRIVERS Decline in Performance and Market Conditions: The downgrades to classes 300-A, 300-B, 300-C, 300-D, and 300-E reflect a lower Fitch sustainable net cash flow (NCF) since the prior rating action reflecting the continued deterioration of Chicago office market fundamentals and expected property occupancy as well as the significant refinance risk as the loan approaches its August 2024 maturity. The largest tenant, Kirkland & Ellis, LLP (K&E), is departing in February 2025, and represents 50.9% of the NRA. The Negative Outlooks on classes 300-A, 300-B, 300-C, and 300-D reflect the potential for further downgrades should Fitch's sustainable NCF and value decline further as a result of lack of leasing momentum after K&E begins to vacate their spaces at the property. As of the October 2023 rent roll, occupancy was 94.2% compared with 92.6% at December 2022 and 96.6% at January 2022. The four largest tenants occupy approximately 76.8% of the net rentable area (NRA) and 81.1% of the total base rent. Kirkland & Ellis, LLP (50.9% of NRA; lease expiration in February 2025), The Boston Consulting Group (11.4%; December 2024), Quarles and Brady LLP (7.7%; lease expiration in March 2031) and GTCR Leasing, LLC (6.8%; lease expiration in March 2029). Approximately 4.6% of the NRA and 4.7% of base rent rolls prior to the loan's August 2024 loan maturity; however, occupancy is expected to decline after K&E departs in 2025. K&E Rollover; Recent Leasing: K&E has exercised their early termination option and will end their lease on Feb. 28, 2025. As a result of the early termination, the tenant has posted a $51.2 million ($75 psf of K&E's space) letter of credit into a reserve account to be used for re-leasing costs related to the vacated space. The tenant represents 53.3% of the base rents. Fitch's analysis includes 1/10th credit in the Fitch NCF for the K&E reserve. The second largest tenant (148k sf; 11.4% of NRA), BCG, is expected to vacate at lease expiration in December 2024, four months after loan maturity. As of July 2023, media reports indicated that Winston & Strawn LLP has signed a lease to backfill the entire BCG space, and according to the October 2023 rent roll, the 15-year lease will commence on July 2026. According to the servicer, the tenant will have with an initial free rent period of 18 months and will commence paying a base rent of $43.05 psf in January 2028, compared with the base rent of $41.57 psf that BCG is currently paying. Winston & Strawn has a termination option beginning in June 2038 with notice by March 2037. Fitch Sustainable NCF: Fitch's updated NCF of $30.6 million is 17.5% below Fitch's base case NCF of $37.1 million at the last rating action and 22.2% below Fitch's issuance NCF of $39.4 million, largely due to an increased vacancy and expense assumption, particularly real estate taxes, and a lower expense reimbursement ratio assumption. The 29.4% vacancy assumption applied with this review reflects the midpoint of the submarket vacancy (25.4%) and availability rate (33.0%) for the 4- and 5-star office submarket, per CoStar as of 1Q24. Fitch's analysis incorporates leases in place per the October 2023 rent roll, with vacant units grossed up to tiered rental rates for different suites ranging from $40-$50 psf and based on recent leasing activity, as well as credit for tenants that will be paying rent once free rent periods expire. The lower of in-place rents and tiered rental rate assumptions per recent leasing activity were applied for tenants with lease expirations prior to or shortly after the August 2024 loan maturity. Fitch's NCF assumed a lease-up of the property to an 70.8% occupancy at rents in line with recent leasing and in-place rents at the property averaging $42.23 psf. Fitch applied a lower expense reimbursement ratio assumption of 70%, which is lower than 94% at the prior rating action and 101% at the Fitch issuance analysis. The River North office submarket of Chicago reported a high availability rate of 33.0% per CoStar as of 1Q24, suggesting softened demand and possibility that more tenants may reduce their footprint and/or vacate their spaces as leases expire. The servicer-reported TTM NCF debt service coverage ratio (DSCR) as of March 2023 was 1.57x, compared with 1.71x in the TTM period ended June 2022, and 1.73x in the TTM period ended June 2021. The non-rated senior portion of the debt began amortizing in August 2019. The annual debt service payment of the whole loan was approximately $27.0 million for FY 2022. High Asset Quality and Market Positioning; ESG Factor: 300 North LaSalle, which was constructed in 2009, is a 60-story, class A, LEED Platinum certified, central business district office building in the central business district of Chicago. The property is located along the north bank of the Chicago River in the River North neighborhood and features high-quality amenities. 300 North LaSalle was assigned a property quality grade of 'A' at issuance. The sponsor, The Irvine Company, continues to proactively manage the asset with plans for a $30 million renovation which will include the expansion of the Chicago Cut steakhouse and updates to common areas and amenities. According to the servicer, the project has been delayed until the summer of 2024 or early 2025, as the borrower is requesting to discuss the capital improvements with the servicer. High Fitch Leverage: The whole loan has a Fitch-stressed DSCR and loan-to-value of 0.75x and 119.9%, respectively. Fitch incorporated a Fitch-stressed capitalization rate of 8.50%, up from 8.25% at the prior rating action and 7.75% at issuance, to account for deteriorating office conditions and migration of tenants to newly developed product in the market. The whole loan Fitch-stressed DSCR and loan-to-value was 1.00x and 89% at issuance. Loan Structural Features: A DSCR trigger period will commence upon an event of default or the DSCR dropping below 1.20x. During a DSCR trigger period, the borrower is required to fund several reserve accounts. The 10-year loan was interest-only for the first five years of its term. In August 2019, it began amortizing on a 30-year schedule for the remainder of the loan term. Currently, paydown from amortization has only been allocated to the non-rated A-1, A-2 and A-3 bonds. Continued amortization will result in a scheduled 9.6% reduction of the original loan balance at maturity. Experienced Sponsorship: The loan is sponsored by The Irvine Company LLC, which dates its history back to 1864 and the Irvine Ranch. Since then, the company has grown to be one of the largest owners and managers of commercial real estate in California. Concentration Risk: The Fitch-rated bonds are secured by a single property and are therefore more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect the potential for additional downgrades of up to one category if Fitch's sustainable NCF and value declines further. Factors that would lead to downgrades would be if leasing momentum slows or reverses course, if new leasing on floors to be vacated by K&E occurs at rates well-below current leasing activity of approximately $42 psf on average and/or occupancy on the office portion does not recover to Fitch's expectations. Downgrades could also factor in a prolonged workout should the loan not refinance at maturity and the sponsor not being able to successfully re-lease vacancies. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely given the current ratings reflect Fitch's view of sustainable performance, but may be possible with significant and sustained improvement in Fitch NCF, positive leasing to occupancy levels, including occupancy well in excess of 70.8% and new leasing on the floors to be vacated by K&E, above rates of $42 psf on average, and the prospect for refinance/payoff is more certain. 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. MORGAN STANLEY 2024-2: Fitch Assigns B-(EXP)sf Rating on B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-2 (MSRM 2024-2). Entity/Debt Rating ----------- ------ MSRM 2024-2 A-1 LT AAA(EXP)sf Expected Rating A-1-IO LT AAA(EXP)sf Expected Rating A-X-IO1 LT AA+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-2-IO LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-IO LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-IO LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-IO LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-IO LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-IO LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-IO LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-IO LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-IO LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-12-IO LT AAA(EXP)sf Expected Rating A-13 LT AA+(EXP)sf Expected Rating A-13-IO LT AA+(EXP)sf Expected Rating A-14 LT AA+(EXP)sf Expected Rating A-14-IO LT AA+(EXP)sf Expected Rating A-15 LT AA+(EXP)sf Expected Rating A-15-IO LT AA+(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-3-A LT BBB-(EXP)sf Expected Rating B-3-X LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2024-2 (MSRM 2024-2) as indicated above. This is the 19th post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust (MSRM) shelf and includes their most recent transaction that is closing in April 2024 (MSRM 2024-INV2). The first MSRM transaction was issued in 2014. This is also the 17th MSRM transaction to comprise loans from various sellers that were acquired by Morgan Stanley in its prime-jumbo aggregation process and their fourth prime transaction in 2024. The certificates are supported by 363 prime-quality loans with a total balance of approximately $328.72 million as of the cut-off date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The largest originators are Rocket Mortgage at 17.5% and Guaranteed Rate at 13.2%, with all other originators making up less than 10% of the overall pool. The servicers for this transaction are Shellpoint servicing 82.0% of the loans, Specialized Loan Servicing, LLC (SLS) servicing 16.8% of the loans, and PennyMac (which includes PennyMac Corp. and PennyMac Loan Services) servicing 1.2% of the loans. Nationstar Mortgage LLC (Nationstar) will be the master servicer. Of the loans, 99.9% qualify as Safe Harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The remaining 0.1% are higher-priced QM (HPQM) APOR loans. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC). As with other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.9% 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. High Quality Prime Mortgage Pool (Positive): The collateral consists of 100% first-lien, prime-quality mortgage loans with terms of mainly 30 years. More specifically, the collateral consists of 15- or 30-year, fixed-rate fully amortizing loans seasoned at approximately 6.0 months in aggregate as determined by Fitch (four months per the transaction documents). Of the loans, 65.9% were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles with a 769 WA FICO according to Fitch's analysis (FICO scores range from 663 to 818) and represent either owner-occupied homes or second homes. Of the pool, 90.9% of loans are collateralized by single-family homes, including single-family, planned unit development (PUD) and single-family attached homes, while condominiums make up the remaining 9.0% and multifamily homes make up 0.2%. There are no investor loans in the pool, which Fitch views favorably. The WA combined loan-to-value ratio (CLTV) is 73.9%, which translates into an 81.0% sustainable LTV (sLTV) as determined by Fitch. The 73.9% CLTV is driven by the large percentage of purchase loans (92.0%), which have a WA CLTV of 74.8%. A total of 157 loans are over $1.0 million, and the largest loan totals $3.0 million. Fitch considered 100% of the loans in the pool to be fully documented loans. 18 loans in the collateral pool for this transaction have an interest rate buydown feature. Fitch increased its loss expectations on these loans to address the potential payment shock that the borrower may face. Lastly, eight loans in the pool comprise nonpermanent residents, and none of the loans in the pool were made to foreign nationals. Based on historical performance, Fitch found that nonpermanent residents performed in line with U.S. citizens; as a result, this loan did not receive additional adjustments in the loss analysis. Approximately 38% of the pool is concentrated in California with moderate MSA concentration for the pool as a whole. The largest MSA concentration is in the Los Angeles MSA (12.2%), followed by the San Diego MSA (6.8%) and the San Francisco MSA (6.5%). The top three MSAs account for 25.5% of the pool. There was no adjustment for geographic concentration. Loan Count Concentration (Negative): The loan count for this pool (363 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the WA number (WAN) of loans is less than 300; in this pool, the WAN is 280. The loan count concentration for this pool results in a 1.03x penalty, which increases loss expectations by 26 basis points (bps) at the 'AAAsf' rating category. Shifting-Interest Structure and Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction. Although full principal and interest (P&I) advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicers look to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicers are unable to. If the master servicer is not able to advance, then the securities administrator (Citibank, N.A.) will advance. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 2.15% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.30% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were 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 stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 41.5% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, 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 modelling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis based on the findings. Due to the fact that there was 100% due diligence provided and there were no material findings, Fitch reduced the 'AAAsf' expected loss by 0.34%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC and Consolidated Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. 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 ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MOUNTAIN VIEW XVI: S&P Assigns BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, A-2R, B-R, C-R, D-R, and E-R replacement debt and the new class X debt from Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC, a CLO originally issued in November 2022 that is managed by Seix Investment Advisors, a subsidiary of Virtus Fixed Income Advisers LLC. At the same time, S&P withdrew its ratings on the original class A, B, C-1, C-2, D, and E debt following payment in full on the April 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 proposed supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R debt was issued at a lower weighted average cost of debt than the original notes. -- The replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R debt was issued at a floating spread. -- The stated maturity and the reinvestment period was extended by one and a half years. -- A new non-call period was established, which will expire on but excluding the payment date in October 2025. -- The class X debt issued in connection with this refinancing will be paid down beginning with the payment date in July 2024. -- The target par amount was increased to $400.00 million from $300.00 million. -- The refinancing increased the leverage in the transaction to 13.31 from 9.79. Although the leverage has increased, the cash flows for all the tranches have cushion. -- In connection with the refinancing, the issuer is adding provisions related to workout assets. Replacement And Original Debt Issuances Replacement debt -- Class X, $3.00 million: Three-month CME term SOFR + 1.05% -- Class A-1R, $246.00 million: Three-month CME term SOFR + 1.46% -- Class A-2R, $14.00 million: Three-month CME term SOFR + 1.80% -- Class B-R, $44.00 million: Three-month CME term SOFR + 2.20% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.80% -- Class D-R (deferrable), $24.00 million: Three-month CME term SOFR + 4.19% -- Class E-R (deferrable), $14.00 million: Three-month CME term SOFR + 7.33% Original debt -- Class A, $180.00 million: Three-month CME term SOFR + 2.50% -- Class B, $48.00 million: Three-month CME term SOFR + 3.60% -- Class C-1 (deferrable), $11.10 million: Three-month CME term SOFR + 5.25% -- Class C-2 (deferrable), $5.40 million: 9.17% -- Class D (deferrable), $15.75 million: Three-month CME term SOFR + 6.27% -- Class E (deferrable), $9.00 million: Three-month CME term SOFR + 9.08% 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 Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC Class X, $3.00 million: AAA (sf) Class A-1R, $246.00 million: AAA (sf) Class A-2R, $14.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Ratings Withdrawn Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC Class A to 'NR' from 'AAA (sf)' Class B to 'NR' from 'AA (sf)' Class C-1 (deferrable) to 'NR' from 'A (sf)' Class C-2 (deferrable) to 'NR' from 'A (sf)' Class D (deferrable) to 'NR' from 'BBB- (sf)' Class E (deferrable) to 'NR' from 'BB- (sf)' Other Debt Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC Subordinated notes, $27.50 million: NR NR--Not rated. MSBAM COMMERCIAL 2016-C28: DBRS Cuts Rating on E1 Certs to CCCsf ---------------------------------------------------------------- DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C28 issued by MSBAM Commercial Mortgage Securities Trust 2016-C28 as follows: -- Class D to B (high) (sf) from BB (high) (sf) -- Class X-D to BB (low) (sf) from BBB (low) (sf) -- Class E1 to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at AA (high) (sf) -- Class C at A (sf) -- Class E-2 at CCC (sf) -- Class E at CCC (sf) -- Class F-1 at CCC (sf) -- Class F-2 at CCC (sf) -- Class F at CCC (sf) -- Class E-F at CCC (sf) -- Class G-1 at C (sf) -- Class G-2 at C (sf) -- Class G at C (sf) -- Class EFG at C (sf) In addition, Morningstar DBRS changed the trends on Classes B, C, D, X-B, and X-D to Negative from Stable. All other classes carry Stable trends, with the exception of Classes E-1, E-2, E, F-1, F-2, F, E-F, G-1, G-2, G, and EFG, which have ratings that typically do not carry a trend in Commercial Mortgage-Backed Securities (CMBS) transactions. The credit rating downgrades and Negative trends reflect the increased liquidated loss projections for the three loans in special servicing, which collectively represent 15.6% of the pool balance. Of particular concern is the largest loan in special servicing, Princeton Pike Corporate Center (Prospectus ID#5, 6.4% of the pool), which recently transferred to the special servicer in February 2024 for imminent monetary default. In addition, Morningstar DBRS has concerns with the largest office property in the pool, the Navy League Building (Prospectus ID#4, 7.4% of the pool), which continues to struggle with a below break-even debt service coverage ratio (DSCR) and a low occupancy rate for the collateral property. As of the March 2024 remittance, 37 of the original 42 loans remain in the pool, representing a collateral reduction of 19.2%. In addition, 14.8% of the current pool balance has been fully defeased. The pool consists primarily of loans backed by retail and office properties, representing 40.6% and 28.9% of the pool balance, respectively. In addition to the three loans previously mentioned in special servicing, there are nine loans, representing 19.4% of the pool balance, on the servicer's watchlist. Princeton Pike Corporate Center is secured by an eight-building suburban office complex in the Trenton suburb of Lawrenceville, New Jersey. The loan transferred to special servicing in February 2024 for imminent monetary default after the borrower indicated the inability to cover debt service and operating expenses. As of the March 2024 reporting, the loan was reported current. The collateral occupancy rate has fallen significantly, reported at only 59.5% as of the September 2023 rent rolls, a further decline from the already low September 2022 figure of 75.5%. The occupancy decline over those 12 months was due to seven tenants, representing 8.9% of total net rentable area (NRA), having vacated or downsized their space since September 2022. The occupancy rate could decline even further as in the next 12 months, nine tenants representing 20.7% of NRA, are scheduled to roll. According to Reis, office properties within the Trenton market reported average rental and vacancy rates of $32.3 per square foot (psf) and 17.0%, respectively, for the full-year 2023 period. The subject's vacancy rate of just over 40% and average rental rate of $30.10 psf lag the market, but Morningstar DBRS expects the availability rate within the submarket could be much higher than the reported vacancy rate given the shift in demand for office space, particularly within suburban markets. The annualized September 2023 net cash flow (NCF) was $7.1 million (reflecting a DSCR of 1.16x), compared with the YE2022 figure of $9.2 million (a DSCR of 1.50x) and the Morningstar DBRS NCF of $10.8 million. The drop in cash flow was attributed to a drop in occupancy, although Morningstar DBRS notes that multiple tenants vacated their space throughout 2023, suggesting the full year 2023 and the 2024 cash flows could show even further declines. and as such may not be accurately reflected in the financial reporting. Given the significant performance declines for the underlying collateral, as well as the loan's status as specially serviced, Morningstar DBRS analyzed this loan with a liquidation scenario, with a resulting loss severity in excess of 30.0%. The second-largest loan in special servicing is Princeton South Corporate Center (Prospectus ID#6, 5.8% of the pool), which is secured by two four-story suburban office buildings in Trenton, New Jersey. The property is approximately six miles west of Princeton Pike Corporate Center. The loan transferred to special servicing in February 2022 for insufficient cash flows to cover operating expenses and debt service. A receiver was ultimately appointed in June 2022, and a foreclosure sale was held in November 2023. The title was transferred to the trust, and by January 2024 the asset was declared real-estate owned (REO). An updated appraisal valued the property at $34.9 million as of February 2023, a slight increase from the YE2022 value of $29.0 million, but well below the issuance appraised value of $72.0 million. A liquidation scenario based on the more conservative 2022 value was considered for this review, resulting in a loss severity of approximately 60.0%. The last loan in special servicing, DoubleTree by Hilton – Cleveland, OH (Prospectus ID#13, 3.3% of the pool) is secured by a 379-key full-service hotel in Cleveland, built in 1974 and renovated in 2008. The loan transferred to special servicing in October 2019 for imminent monetary default and is currently due for the June 2021 loan payment. A receiver was appointed in January 2020, and according to recent servicer commentary, the workout strategy includes a plan to engage a hotel brokerage firm to market the property for sale in the near term. Based on the most recent appraisal dated October 2022, the property was valued at $26.3 million, a sharp decline from the issuance value of $40.0 million. For this review, DBRS Morningstar analyzed the loan with a liquidation scenario, resulting in a loss severity of approximately 80.0%. The Navy League Building, which is the largest office loan in the pool, is secured by a 191,000-sf office building in Arlington, Virginia, built in 2005. The loan was added to the servicer's watchlist in January 2021 for a low occupancy and DSCR after the second-largest tenant vacated the property. Since then, the borrower has provided updates to the servicer that note ongoing discussions to backfill three vacant spaces totaling 47,000 sf; however, as of April 2023, none of the leases had been executed. Since the low DSCR triggered cash management in 2019, $5.2 million has been swept in lockbox receipts as of March 2024. There is also a replacement reserve balance of $332,187. Although cash flows have increased from YE2022, they remain below the Morningstar DBRS NCF with a DSCR that has remained below break-even since 2020. The property was 56.5% occupied according to the YE2023 reporting, in line with the September 2022 figure but well below the 99.6% occupancy at issuance. Given the difficulty the property is facing with regard to leasing and the inability to cover operating expenses and debt service with the current levels of rental income, Morningstar DBRS applied both a stressed loan-to-value ratio and increased probability of default for this review to increase the expected loss, which was nearly twice the pool average in that scenario. At issuance, Penn Square Mall (Prospectus ID#1, 11.7% of the pool) was shadow-rated investment grade. With this review, DBRS Morningstar confirmed that the performance of this loan remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER BERMAN 29: S&P Affirms BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-L loans and B-1R replacement debt from Neuberger Berman Loan Advisers CLO 29 Ltd./Neuberger Berman Loan Advisers CLO 29 LLC, a CLO originally issued in September 2018 that is managed by Neuberger Berman Loan Advisers LLC. At the same time, S&P withdrew its ratings on the class A-1, A-2 and B-1 debt following payment in full on the April 19, 2024, refinancing date (the class A-1 notes will be paid down by $25.69 million to $275.60 million on the closing date; the remaining class A-1 and A-2 balances were combined into the class A-L loan balance). S&P also affirmed its ratings on the class B-2, C, D, and E debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the newly issued debt was set to Oct. 18, 2024. Replacement And Outstanding Debt Issuances Replacement debt -- Class A-L Loans, $295.60 million: Three-month term SOFR + 1.20% -- Class B-1R, $45.00 million: Three-month term SOFR + 1.80% Outstanding debt (balances as reported within March 2024 trustee report) -- Class A-1, $301.29 million: Three-month term SOFR + 1.39161% -- Class A-2, $20.00 million: Three-month term SOFR + 1.66161% -- Class B-1, $45.00 million: Three-month term SOFR + 1.96161% The class A-1 notes will be paid down by $25.69 million to $275.60 million on the closing date; the remaining class A-1 and A-2 balances were combined into the class A-L loan balance. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions." On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E debt. Given the overall credit quality of the portfolio and the passing coverage tests, S&P affirmed its rating on the class E debt. 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 Assigned Neuberger Berman Loan Advisers CLO 29 Ltd./ Neuberger Berman Loan Advisers CLO 29 LLC Class A-L loans, $295.60 million: AAA (sf) Class B-1R, $45.00 million: AA (sf) Ratings Affirmed Neuberger Berman Loan Advisers CLO 29 Ltd./ Neuberger Berman Loan Advisers CLO 29 LLC Class B-2: AA (sf) Class C: A (sf) Class D: BBB- (sf) Class E: BB- (sf) Ratings Withdrawn Neuberger Berman Loan Advisers CLO 29 Ltd./ Neuberger Berman Loan Advisers CLO 29 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) Other Outstanding Debt Neuberger Berman Loan Advisers CLO 29 Ltd./ Neuberger Berman Loan Advisers CLO 29 LLC Subordinated notes: NR NR--Not rated. NEUBERGER BERMAN 55: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 55, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 55, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AA+sf New Rating AA(EXP)sf C LT A+sf New Rating A(EXP)sf D LT WDsf Withdrawn BBB-(EXP)sf D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Neuberger Berman Loan Advisers CLO 55, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV LLC. 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. Fitch has assigned final ratings to class B, C, and E with ratings that are one notch higher than their respective expected ratings, due to better recovery expectations resulting from concentration limitation of senior secured loans increased from 90.0% to 92.5%. Fitch has withdrawn the expected rating on the class D notes, which were rated 'BBB-(EXP)sf'/Stable, because the class D-1 and class D-2 notes were issued instead of the originally anticipated class D notes. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.31% first-lien senior secured loans and has a weighted average recovery assumption of 73.8%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the P&I waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2; and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes; 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, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2; and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 55, 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. NEUBERGER BERMAN 55: Moody's Assigns B3 Rating to $100,000 F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Neuberger Berman Loan Advisers CLO 55, Ltd. (the "Issuer"). Moody's rating action is as follows: US$341,000,000 Class A-1 Senior Secured Floating Rate Notes due 2036, Definitive Rating Assigned Aaa (sf) US$100,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Neuberger Berman Loan Advisers CLO 55, Ltd. 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, secured senior bonds, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. Neuberger Berman Loan Advisers IV 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: $550,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3079 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. NEUBERGER BERMAN XXII: Fitch Assigns BB-(EXP) Rating on E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Neuberger Berman CLO XXII, Ltd Reset Transaction. Entity/Debt Rating ----------- ------ Neuberger Berman CLO XXII, Ltd. - Reset A-1-R2 LT AAA(EXP)sf Expected Rating A-2-R2 LT AAA(EXP)sf Expected Rating B-R2 LT AA(EXP)sf Expected Rating C-R2 LT A(EXP)sf Expected Rating D-1-R2 LT BBB-(EXP)sf Expected Rating D-2-R2 LT BBB-(EXP)sf Expected Rating E-R2 LT BB-(EXP)sf Expected Rating TRANSACTION SUMMARY Neuberger Berman CLO XXII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Investment Advisers LLC that originally closed in August 2018. The CLO's secured notes will be refinanced on May 15, 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 $399.5 million (excluding defaults) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.84, versus a maximum covenant, in accordance with the initial expected matrix point of 24.84. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.44% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.69% versus a minimum covenant, in accordance with the initial expected matrix point of 73.69%. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1R2, between 'A-sf' and 'AAAsf' for class A-2-R2, between 'BB+sf' and 'AA-sf' for class B-R2, between 'B+sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BBB-sf' for class D-2-R2, and between less than 'B-sf' and 'BB-sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1-R2, 'A+sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Neuberger Berman CLO XXII. 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 IV: DBRS Gives BB(low) Rating on Class D Notes ----------------------------------------------------------- DBRS, Inc. assigned final credit ratings to New Mountain Guardian IV Income Rated Feeder II, Ltd. (the Feeder Fund). These credit ratings include AA (low) for the Class A Senior Secured Deferrable Floating Rate Notes due 2037, A (low) for the Class B Senior Secured Deferrable Floating Rate Notes due 2037, BBB (low) for the Class C Senior Secured Deferrable Floating Rate Notes due 2037, and BB (low) for the Class D Senior Secured Deferrable Floating Rate Notes due 2037. All ratings have Stable trends. The aforementioned ratings address the ultimate payment of interest and the ultimate payment of principal on or before maturity. KEY CREDIT RATING CONSIDERATIONS CREDIT RATING DRIVERS If the composition of the fund were to be of a higher credit quality than anticipated, or include a higher percentage of senior secured first lien loans to corporate borrowers, the rating could be upgraded. The rating would be downgraded if the asset analysis assessment is weaker than anticipated which could be driven by: (1) weaker than expected credit risk of investments, (2) lesser diversity of portfolio investments than planned, and/or (3) a persistently lower ACR than anticipated without a credible plan to remediate. CREDIT RATING RATIONALE The Class A Notes, Class B Notes, Class C Notes and Class D Notes (together, the Rated Notes) are issued by the Feeder Fund. The Feeder Fund will also issue unrated Class E Notes and Income Notes. The Feeder Fund invests in New Mountain Guardian IV Income Fund, L.L.C. (NMG Income or the Main Fund) through its purchase of BDC shares in the Main Fund. The Main Fund is an unlevered vehicle that, in combination with New Mountain Guardian IV BDC, L.L.C., is part of the fourth fund (Fund IV) in a series of private credit funds managed by New Mountain Capital, LLC (NMC). NMC focuses on direct lending to U.S. middle and upper middle market companies and intends to pursue the same investment strategy with Fund IV as with its predecessor funds where NMC has demonstrated expertise. NMG Income is targeting capital commitments of $500 million, with commitments totaling $224 million to date. The Main Fund will look to make approximately 80 investments. The investment portfolio will include first- and second-lien loans, as well as a small portion of mezzanine loans. Fund IV held its first close in June 2023, and final close is expected to be 12 months from the initial closing. The Main Fund will have a four-year investment period following the closing period and a two-year amortization period, with up to two one-year extension options. The Feeder Fund assets will increase in size as the Main Fund calls capital to make investments. To the extent the Feeder Fund's assets increase, the capital structure of the Feeder Fund is expected to be maintained in a ratio of 56.83% Class A Notes, 11.36% Class B Notes, 4.52% Class C Notes, 5.66% Class D Notes, 10.01% Class E Notes, and 11.63% Income Notes. It is expected that the Feeder Fund will apply cash flows received in connection with its BDC shares in the Main Fund so as to maintain the leverage ratio on the Rated Notes. During the amortization period, interest and principal on the Class A Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes will be paid sequentially. The ratings on the Rated Notes are supported by the Feeder Fund's BDC shares in the Main Fund, which is considered a strategic investment vehicle managed by NMC. The Main Fund is an unlevered vehicle that is part of Fund IV in a series of funds managed by NMC, where the previous funds have demonstrated a strong investment and performance track record. Given NMC's demonstrated track record of underwriting and risk management, as well as successful fundraising for Fund IV, Morningstar DBRS has confidence in the ability to ramp NMG Income as anticipated. Morningstar DBRS has made certain assumptions around the expected asset composition and credit quality of the Main Fund investment portfolio as it ramps to a diversified pool. Morningstar DBRS has constructed an expected investment portfolio based on NMC's historical track record in the fund series, sample loan tape of investments, and expectations for NMG Income. For the Class A Notes, Morningstar DBRS utilized specific documentation parameters including eligibility criteria, concentration limits, overcollateralization tests, among other factors to construct a worst-case scenario in assigning the credit rating. Specifically, Morningstar DBRS uses its CLO Insight Model as a tool to analyze the loan portfolio based on investment-level characteristics that drive assumptions around probability of default and recoveries for each investment. These characteristics include the credit quality, domicile, maturity, obligor, industry diversity, and seniority of each debt investment. Morningstar DBRS has privately assessed the credit quality of the debt investments made into the Main Fund, and these results have been in line with expectations. As investments are made within NMG Income, Morningstar DBRS will continue to assess the credit quality of a majority of the investments in the portfolio. These portfolio characteristics are aggregated to determine the fund asset coverage ratio (Fund ACR) ranges applicable to the Rated Notes. The investments within NMG Income, which support net cash proceeds to the Feeder Fund, are expected to benefit from the track record, relationships, and expertise of NMC. NMC has demonstrated a strong historical track record in the private credit sector, specifically with expertise in direct lending to middle market and upper middle market companies based in the U.S. NMC focuses on downside protection and collateral preservation with an average loan-to-value ratio of approximately 35%. While the Main Fund is a business development company (BDC), it has a term and is not intended to be perpetual. It is similar to a GP/LP fund, but with additional regulatory requirements that increase transparency. Benefiting the Feeder Fund, the Main Fund (as a BDC) is required to distribute at least 90% of its income to maintain its BDC status and 98% of its income for beneficial tax treatment. NMG Income utilizes a subscription facility provided by BMO Bank, N.A. to manage capital calls, with each draw under the subscription line required to be repaid within 6 months. The current size of the subscription line is $52,800,000 and can be upsized to $125,000,000. The capacity of the subscription line may increase after the Feeder Fund closes. The advance rate under the subscription loan agreement will not exceed 50% of uncalled capital commitments to the Main Fund. NMC expects to paydown the subscription loan facility once NMG Income is fully called. Morningstar DBRS analysis, which incorporates the aforementioned analytical factors, implies a rating of "AA" for the Class A Notes, "A" for the Class B Notes, "BBB" for the Class C Notes, and "BB" for the Class D Notes. This rating level incorporates an investment-grade internal fund manager assessment, anticipated fund composition, and quantitative modelling. Morningstar DBRS has conservatively utilized the mid-point within the Fund ACR range for the Class A Notes, based on the relatively higher implied rating of AA. Given the aforementioned factors, including the strong fund manager assessment and extensive track record, Morningstar DBRS has utilized the low end within the Fund ACR ranges for the Class B, C and D Notes. The AA (low) rating on the Class A Notes, A (low) rating on the Class B Notes, BBB (low) rating on the Class C Notes, and BB (low) rating on the Class D Notes are each one notch lower than the implied ratings mentioned above because of the effective subordination of the Rated Notes claim on the Main Fund assets. Notes: All figures are in U.S. dollars unless otherwise noted. NEW RESIDENTIAL 2024-RTL1: DBRS Finalizes B Rating on M2 Notes -------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2024-RTL1 (the Notes) issued by New Residential Mortgage Loan Trust 2024-RTL1 (NRMLT 2024-RTL1 or the Issuer) as follows: -- $399.0 million Class A1 at A (low) (sf) -- $34.0 million Class A2 at BBB (low) (sf) -- $18.7 million Class M1 at BB (low) (sf) -- $23.2 million Class M2 at B (sf) The A (low) (sf) credit rating reflects 20.20% of credit enhancement provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 13.40%, 9.65%, and 5.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Mortgage-Backed Notes, Series 2024-RTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by: -- 251 mortgage loans with a total principal balance of approximately $480,044,073; and -- Approximately $19,955,926 in the Accumulation Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. NRMLT 2024-RTL1 represents the second RTL securitization issued by the Sponsor, Rithm Capital Corp. Genesis Capital, LLC is the Originator, Seller, and Servicer for the transaction. Founded in 2013, Genesis, a wholly-owned subsidiary of Rithm, is a business-purpose lender that provides financing solutions to developers and investors of non-owner-occupied single-family and multifamily properties. The revolving portfolio generally consists of first-lien, fixed- and adjustable-rate, interest-only (IO) balloon RTL with original terms to maturity of six to 36 months. A small subset of the population may be fully amortizing with original terms to maturity of up to120 months. The loans may 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 735. -- A maximum NZ WA loan-to-cost (LTC) ratio of 80.0%. -- A maximum NZ WA as repaired loan-to-value ratio (ARV LTV) of 67.0%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation 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. RTLs 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, RTLs are short-term IO balloon loans with the full amount of principal (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 NRMLT 2024-RTL1 revolving portfolio, RTLs 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 (rehab) 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 reserve 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 NRMLT 2024-RTL1 eligibility criteria, unfunded commitments are limited to 60.0% of the portfolio by the assets of the issuer, which includes (1) the unpaid principal balance (UPB) and (2) amounts in the Accumulation Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in October 2026, the Class A1 and A2 fixed rates will step up by 1.000%. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicer will also satisfy Disbursement Requests, which include: -- Construction draw requests: borrower-requested draws for approved construction, repairs, restoration, and protection of the property -- Interest reserve amount requests: for loans with interest reserve accounts, borrower-requested draws to cover interest payments for the related mortgage loan, subject to certain conditions. The Servicer will satisfy such Disbursement Requests by (1) directing the release of funds from certain reserve accounts or (2) making Disbursement Request Advances. The Servicer will be entitled to reimburse itself for Disbursement Request Advances from time to time from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a maximum effective advance rate of approximately 95.0%, which ensures a minimum level of overcollateralization for the bonds until the amortization period begins. In addition, the transaction incorporates a Class A Minimum Credit Enhancement Test during the reinvestment period, which if breached, redirects available funds to pay down Classes A1 and A2, sequentially, prior to replenishing the Accumulation Account, to maintain the minimum CE. The transaction also employs the Expense Reserve Account, which 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. Historically, Genesis RTL originations have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated Genesis' historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the related Rating Report for more details. Other Transaction Features Optional Redemption On or after the Payment Date in April 2026, the Issuer has the option to redeem the outstanding Notes at the Redemption Price, which is equal to par plus interest and fees. Depositor Repurchase Option The Depositor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans. During the reinvestment period, if the Depositor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default 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. U.S. Credit Risk Retention As the Sponsor, Rithm or one or more majority-owned affiliates, will initially retain a 5% eligible horizontal residual interest in the securities (Class XS Notes) to satisfy the credit risk retention requirements. Notes: All figures are in US Dollars unless otherwise noted. NRPL 2023-RPL1: DBRS Confirms B Rating on Class B-2 Notes --------------------------------------------------------- DBRS, Inc. reviewed 17 classes in three U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of non-qualified, re-performing, and seasoned collateral. Of the 17 classes reviewed, Morningstar DBRS confirmed all 17 credit ratings. Ratings CIM Trust 2023-I1 Mortgage-Backed Notes, Series 2023-I1, A-1 AAA (sf) Confirmed Mortgage-Backed Notes, Series 2023-I1, A-2 AA (sf) Confirmed Mortgage-Backed Notes, Series 2023-I1, A-3 A (sf) Confirmed Mortgage-Backed Notes, Series 2023-I1, M-1 BBB (sf) Confirmed NRPL 2023-RPL1 Trust Mortgage-Backed Notes, Series 2023-RPL1, Class A-1 AAA (sf) Confirmed Mortgage-Backed Notes, Series 2023-RPL1, Class A-2 AA (sf) Confirmed Mortgage-Backed Notes, Series 2023-RPL1, Class M-1 A (sf) Confirmed Mortgage-Backed Notes, Series 2023-RPL1, Class M-2 BBB (sf) Confirmed Mortgage-Backed Notes, Series 2023-RPL1, Class B-1 BB (sf) Confirmed Mortgage-Backed Notes, Series 2023-RPL1, Class B-2 B (sf) Confirmed New Residential Mortgage Loan Trust 2023-1 Mortgage-Backed Notes, Series 2023-1, Class A AAA (sf) Confirmed Mortgage-Backed Notes, Series 2023-1, Class B-1 AA (sf) Confirmed Mortgage-Backed Notes, Series 2023-1, Class B-2 A (sf) Confirmed Mortgage-Backed Notes, Series 2023-1, Class B-3 BBB (sf) Confirmed Mortgage-Backed Notes, Series 2023-1, Class B-4 BB (sf) Confirmed Mortgage-Backed Notes, Series 2023-1, Class B-5A B (sf) Confirmed Mortgage-Backed Notes, Series 2023-1, Class B-5B B (sf) Confirmed The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on March 3, 2023. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology. OCEAN TRAILS CLO VII: S&P Affirms B- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings placed its ratings on 46 classes from 22 CLO transactions on CreditWatch, including 30 ratings placed on CreditWatch with positive implications and 16 ratings placed on CreditWatch with negative implications. The transactions are all in their amortization phase, except for Barings CLO Ltd. 2019-II, which is in its reinvestment phase until April 2026. The transactions include 17 CLOs backed by broadly syndicated speculative-grade (rated 'BB+' and below) loans and five CLOs backed by middle market speculative-grade loans. The CreditWatch positive placements primarily reflect the transactions' increased support following paydowns to senior classes. Most of the 30 classes placed on CreditWatch positive are in the senior part of their respective capital structure. The continued paydowns to the senior notes of the CLOs increased the overcollateralization support to these classes. The CreditWatch placement also considered these classes' indicative cash flow results, the transactions exposure to 'CCC' rated collateral, and the portfolio concentration. S&P also notes that while paydowns to senior notes are generally a positive for the credit enhancement of the senior portion of the capital structure, increased exposure to lower quality assets and portfolio concentration in these amortizing transactions can increase the credit risk of the junior CLO notes. This was the case for most the 16 classes with ratings placed on CreditWatch negative, which are in the 'BBB' (two classes), 'BB' (seven), 'B' (six), and 'CCC' (one) rating categories. The CreditWatch placement primarily reflects the decline in the classes' overcollateralization levels, which is primarily due to a combination of par losses, increased defaults, and increased haircuts due to excess exposure to 'CCC' collateral. In addition, S&P considered other factors, such as indicative cash flow runs, current exposure to collateral rated 'CCC' and lower, and an estimate of the classes' current overcollateralization ratios without 'CCC' haircuts in relation to the overall market average. S&P intends to resolve these CreditWatch placements within 90 days, following a committee review. S&P will continue to monitor the transactions it rates and takes rating actions, including CreditWatch placements, as S&P deems appropriate. Ratings list RATING ISSUER CLASS CUSIP TO FROM Diamond CLO 2019-1 Ltd. D-R 25257AAU8 AA+ (sf)/Watch Pos AA+ (sf) Diamond CLO 2019-1 Ltd. E 25257BAA0 BB (sf)/Watch Pos BB (sf) OCP CLO 2014-7 Ltd. A-2-RR 67107KBB1 AA (sf)/Watch Pos AA (sf) OCP CLO 2014-7 Ltd. B-1-RR 67107KBD7 A (sf)/Watch Pos A (sf) OCP CLO 2014-7 Ltd. B-2-RR 67107KBH8 A (sf)/Watch Pos A (sf) Palmer Square CLO 2014-1 Ltd. A-2-R2 69688XAU5 AA (sf)/Watch Pos AA (sf) Palmer Square CLO 2014-1 Ltd. B-R2 69688XAW1 A (sf)/Watch Pos A (sf) Palmer Square CLO 2014-1 Ltd. C-R2 69688XAY7 BBB- (sf)/Watch Pos BBB- (sf) Atlas Senior Loan Fund IX, Ltd. D 04941VAJ4 BBB- (sf)/Watch Pos BBB- (sf) Atlas Senior Loan Fund IX, Ltd. E 04941WAA1 B- (sf)/Watch Pos B- (sf) ALM 2020 LTD. A-2 00166FAG1 AA (sf)/Watch Pos AA (sf) ALM 2020 LTD. B 00166FAJ5 A (sf)/Watch Pos A (sf) Golub Capital Partners CLO 17(M)-R Ltd. 17 A-2-R-1 38175JAC1 AA (sf)/Watch Pos AA (sf) Golub Capital Partners CLO 17(M)-R Ltd. 17 A-2-R-2 38175JAE7 AA (sf)/Watch Pos AA (sf) Golub Capital Partners CLO 17(M)-R Ltd. 17 B-R 38175JAG2 A (sf)/Watch Pos A (sf) Golub Capital Partners CLO 17(M)-R Ltd. 17 C-R 38175JAJ6 BBB- (sf)/Watch Pos BBB- (sf) Golub Capital Partners CLO 25(M)-R Ltd. B-R 38175NAC2 AA (sf)/Watch Pos AA (sf) Golub Capital Partners CLO 25(M)-R Ltd. C-R 38175NAE8 A (sf)/Watch Pos A (sf) Golub Capital Partners CLO 25(M)-R Ltd. D-R 38175NAG3 BBB- (sf)/Watch Pos BBB- (sf) Golub Capital Partners CLO 38(M), Ltd. B 38175DAC4 AA (sf)/Watch Pos AA (sf) Golub Capital Partners CLO 38(M), Ltd. C 38175DAE0 A (sf)/Watch Pos A (sf) Golub Capital Partners CLO 38(M), Ltd. D 38175DAG5 BBB- (sf)/Watch Pos BBB- (sf) Golub Capital Partners CLO 24 (M)-R Ltd. 24(M) B-R 38174YAC9 AA (sf)/Watch Pos AA (sf) Golub Capital Partners CLO 24 (M)-R Ltd. 24(M) C-R 38174YAE5 A (sf)/Watch Pos A (sf) Golub Capital Partners CLO 24 (M)-R Ltd. 24(M) D-R 38174YAG0 BBB- (sf)/Watch Pos BBB- (sf) Dryden 36 Senior Loan Fund B-R3 26249KBB6 AA (sf)/Watch Pos AA (sf) Dryden 36 Senior Loan Fund C-R3 26249KBD2 A (sf)/Watch Pos A (sf) Dryden 36 Senior Loan Fund D-R3 26249KBF7 BBB- (sf)/Watch Pos BBB- (sf) BlueMountain Fuji US CLO II Ltd. D 09629HAA2 BB- (sf)/Watch Neg BB- (sf) Romark WM-R Ltd. F 77587CAE2 B- (sf)/Watch Neg B- (sf) Barings CLO Ltd. 2019-II D-R 06761JAE4 BB- (sf)/Watch Neg BB- (sf) Carlyle Global Market Strategies CLO 2014-4-R, Ltd. E 14314TAB4 B- (sf)/Watch Neg B- (sf) Voya CLO 2013-1, Ltd. C-R 92917CAN2 BBB- (sf)/Watch Neg BBB- (sf) Voya CLO 2013-1, Ltd. D-R 92917DAA8 B (sf)/Watch Neg B (sf) Voya CLO 2018-1, Ltd. D 92917BAA2 BB- (sf)/Watch Neg BB- (sf) Voya CLO 2018-2 Ltd. E 92917TAA3 BB- (sf)/Watch Neg BB- (sf) Voya CLO 2018-2 Ltd. F 92917TAC9 B- (sf)/Watch Neg B- (sf) Voya CLO 2015-3, Ltd. C-R 92913UAW6 BBB- (sf)/Watch Neg BBB- (sf) Voya CLO 2015-3, Ltd. D-R 92913DAJ3 B+ (sf)/Watch Neg B+ (sf) Octagon Investment Partners 33 Ltd. D 67579NAA7 BB- (sf)/Watch Neg BB- (sf) Cook Park CLO Ltd. E 21623RAA1 BB- (sf)/Watch Neg BB- (sf) Tralee CLO IV Ltd. B 89300FAC0 AA (sf)/Watch Pos AA (sf) Tralee CLO IV Ltd. C 89300FAE6 A (sf)/Watch Pos A (sf) Tralee CLO IV Ltd. E 89300FAJ5 BB- (sf)/Watch Neg BB- (sf) Tralee CLO IV Ltd. F 89300FAL0 CCC+ (sf)/Watch Neg CCC+ (sf) Ocean Trails CLO VII E 67515VAA6 B- (sf)/Watch Neg B- (sf) OCP CLO 2024-32: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to OCP CLO 2024-32 Ltd./OCP CLO 2024-32 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 Onex Credit Partners LLC, a subsidiary of Onex Corp. 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 OCP CLO 2024-32 Ltd./OCP CLO 2024-32 LLC Class A-1, $256.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B-1, $24.00 million: AA (sf) Class B-2, $8.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Preference shares, $3.15 million: Not rated Subordinated notes, $36.85 million: Not rated OCWEN LOAN 2023-HB1: DBRS Confirms B Rating on Class M5 Notes ------------------------------------------------------------- DBRS, Inc. reviewed 82 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 82 classes reviewed, Morningstar DBRS upgraded 20 credit ratings, and confirmed 62 credit ratings. Ocwen Loan Investment Trust 2023-HB1 -- Asset-Backed Notes, Series 2023-HB1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2023-HB1, Class M1 upgraded to AA (high) (sf) from AA (low) (sf) -- Asset-Backed Notes, Series 2023-HB1, Class M2 upgraded to A (high) (sf) from A (low) (sf) -- Asset-Backed Notes, Series 2023-HB1, Class M3 upgraded to BBB (sf) from BBB (low) (sf) -- Asset-Backed Notes, Series 2023-HB1, Class M4 upgraded to BB (sf) from BB (low) (sf) -- Asset-Backed Notes, Series 2023-HB1, Class M5 confirmed at B (sf) These credit rating actions reflect asset performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' credit rating actions are based on the following analytical considerations: -- Key performance measures, as reflected in credit enhancement increases since deal inception and running total cumulative loss percentages. -- The pools backing the reviewed RMBS transactions consist of RM collateral. Morningstar DBRS notes that Reverse Mortgage Funding, LLC (RMF) filed for Chapter 11 bankruptcy protection on November 30, 2022. Subsequently, RMF obtained court approvals and funding to allow it to continue its servicing operations, including collecting servicing fees and making advances. In accordance with the analysis outlined in the above press release, Morningstar DBRS made adjustments to its surveillance reviews of the rated RMF securitizations to account for a potential servicing transfer. The adjustments pertain to (1) increases in servicing fees and (2) to the extent applicable, such fees and reimbursement of servicing advances being moved to the top of the waterfall, ahead of any payments to the notes. The resulting credit rating actions reflect the incorporation of the above adjustments. Morningstar DBRS recognizes the uncertainties surrounding RMF's bankruptcy proceedings and the potential challenges it may have on the rated securitizations as described above. Morningstar DBRS will continue to monitor the ongoing developments in the bankruptcy proceedings and transaction performance, conduct pool-level credit analysis, and take appropriate credit rating actions as warranted. RM LOANS Lenders typically offer RM loans to people who are at least 62 years old. Through RM loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required if (1) the borrower dies, (2) the borrower sells the related residence, (3) the borrower no longer occupies the related residence for a period (usually a year), (4) it is no longer the borrower's primary residence, (5) a tax or insurance default occurs, or (6) the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. RMs are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. Notes: All figures are in U.S. dollars unless otherwise noted. OFSI BSL XIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO 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 OFS CLO Management III LLC, a wholly owned subsidiary of OFS Capital Management. The preliminary ratings are based on information as of April 19, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC Class X, $1.50 million: AAA (sf) Class A-1, $180.00 million: AAA (sf) Class A-J, $12.00 million: AAA (sf) Class B, $36.00 million: AA (sf) Class C (deferrable), $18.00 million: A (sf) Class D-1 (deferrable), $16.50 million: BBB (sf) Class D-2 (deferrable), $4.50 million: BBB- (sf) Class E (deferrable), $7.50 million: BB- (sf) Subordinated notes, $25.00 million: Not rated OHA CREDIT 18: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to OHA Credit Funding 18 Ltd./OHA Credit Funding 18 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 Oak Hill Advisors L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned OHA Credit Funding 18 Ltd./OHA Credit Funding 18 LLC Class A-1, $279.00 million: AAA (sf) Class A-2, $9.00 million: AAA (sf) Class B-1, $39.00 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D-1 (deferrable), $24.75 million: BBB (sf) Class D-2 (deferrable), $6.75 million: BBB- (sf) Class E (deferrable), $13.50 million: BB- (sf) Subordinate notes, $37.45 million: Not rated OHA CREDIT XII: S&P Assigns BB- (sf) Rating on Class E-R2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R2, B-1-R2, B-2-R2, C-R2, D-1-R2, D-2-R2, and E-R2, replacement debt from OHA Credit Partners XII Ltd./OHA Credit Partners XII LLC, a CLO managed by Oak Hill Advisors L.P. that was originally issued in January 2016 and underwent a first refinancing in June 2018. At the same time, S&P withdrew its ratings on the class A-1R, B-R, C-R, D-R, E-R and F-R debt following payment in full on the April 23, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 23, 2026. -- The reinvestment period was extended to April 23, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended by approximately 6.75 years to April 23, 2037. Since the June 2018 transaction has exited its reinvestment period and has been amortizing, additional assets will be purchased following the April 23, 2024, refinancing date to bring the target initial par amount back to $600 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 23, 2024. The required minimum overcollateralization and interest coverage ratios were amended. Additional subordinated notes were issued on the refinancing date. The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement and June 2018 Debt Issuances Replacement debt -- Class A-1-R2, $367.25 million: Three-month CME term SOFR + 1.50% -- Class A-2-R2, $40.75 million: Three-month CME term SOFR + 1.70% -- Class B-1-R2, $37.00 million: Three-month CME term SOFR + 1.95% -- Class B-2-R2, $11.00 million: 5.79% -- Class C-R2 (deferrable), $36.00 million: Three-month CME term SOFR + 2.40% -- Class D-1-R2 (deferrable), $36.00 million: Three-month CME term SOFR + 3.50% -- Class D-2-R2 (deferrable), $6.00 million: Three-month CME term SOFR + 4.65% -- Class E-R2 (deferrable), $18.00 million: Three-month CME term SOFR + 6.25% June 2018 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: 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 OHA Credit Partners XII Ltd./OHA Credit Partners XII LLC Class A-1-R2, $367.25 million: AAA (sf) Class A-2-R2, $40.75 million: Not rated Class B-1-R2, $37.00 million: AA (sf) Class B-2-R2, $11.00 million: AA (sf) Class C-R2 (deferrable), $36.00 million: A (sf) Class D-1-R2 (deferrable), $36.00 million: BBB- (sf) Class D-2-R2 (deferrable), $6.00 million: BBB- (sf) Class E-R2 (deferrable), $18.00 million: BB- (sf) Ratings Withdrawn OHA Credit Partners XII Ltd./OHA Credit Partners XII LLC Class A-1R to NR from AAA (sf) Class B-R to NR from AA (sf) Class C-R (deferrable) to NR from A (sf) Class D-R (deferrable) to NR from BBB- (sf) Class E-R (deferrable) to NR from BB- (sf) Class F-R (deferrable) to NR from B- (sf) Other Debt OHA Credit Partners XII Ltd./OHA Credit Partners XII LLC Subordinated notes(i), $72.40 million: Not rated (i)The original subordinated notes will be upsized to $72.40 million from $42.00 million, and the maturity date will be extended to match the newly issued debt. PRESTIGE AUTO 2021-1: DBRS Confirms BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. upgraded three credit ratings and confirmed 14 credit ratings from four Prestige Auto Receivables Trust transactions. Rating Action ------ ------ Prestige Auto Receivables Trust 2020-1 Class D Notes AAA (sf) Confirmed Class E Notes AAA (sf) Confirmed Prestige Auto Receivables Trust 2021-1 Class B Notes AAA (sf) Confirmed Class C Notes AAA (sf) Upgraded Class D Notes BBB (low) (sf) Confirmed Class E Notes BB (sf) Confirmed Prestige Auto Receivables Trust 2022-1 Class A-2 Notes AAA (sf) Confirmed Class A-3 Notes AAA (sf) Confirmed Class B Notes AAA (sf) Confirmed Class C Notes AA (sf) Upgraded Class D Notes BBB (sf) Confirmed Class E Notes BB (sf) Confirmed Prestige Auto Receivables Trust 2023-1 Class A-2 Notes AAA (sf) Confirmed Class B Notes AAA (sf) Upgraded Class C Notes A (high) (sf) Confirmed Class D Notes BBB (high) (sf) Confirmed Class E Notes BB (sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. -- The transaction capital structures and form and sufficiency of available credit enhancement. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- For Prestige Auto Receivables Trust 2020-1, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at a multiple of coverage commensurate with the credit ratings. -- For Prestige Auto Receivables Trust 2021-1, Prestige Auto Receivables Trust 2022-1, and Prestige Auto Receivables Trust 2023-1, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at a multiple of coverage commensurate with the credit ratings. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. PROGRESS RESIDENTIAL 2024-SFR2: DBRS Finalizes BB Rating on F Certs ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) issued by Progress Residential 2024-SFR2 Trust (PROG 2024-SFR2 or the Issuer): -- $362.5 million Class A at AAA (sf) -- $74.5 million Class B at AA (high) (sf) -- $58.3 million Class C at A (sf) -- $82.2 million Class D at BBB (high) (sf) -- $45.6 million Class E1 at BBB (sf) -- $31.6 million Class E2 at BBB (low) (sf) -- $47.4 million Class F at BB (sf) The AAA (sf) credit rating on the Class A Certificates reflects 53.2% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), A (sf), BBB (high) (sf), BBB (sf), BBB (low) (sf), and BB (sf) credit ratings reflect 43.6%, 36.0%, 25.4%, 19.5%, 15.5%, and 9.3% of credit enhancement, respectively. Other than the classes specified above, Morningstar DBRS does not rate any other classes in this transaction. The PROG 2024-SFR2 certificates are supported by the income streams and values from 2,557 rental properties. The properties are distributed across 11 states and 22 metropolitan statistical areas (MSAs) in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion value, 57.35% of the portfolio is concentrated in three states: Florida (24.0%), Arizona (19.7%), and Texas (13.6%). The average value is $353,129. The average age of the properties is roughly 20 years as of cut-off date. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $774.3 million. The Sponsor intends to satisfy its risk-retention obligations under the U.S. Risk Retention Rules, EU Risk Retention Requirements, and UK Risk Retention Requirements by Class G, which is 9.3% of the initial total issuance balance, either directly or through a majority-owned affiliate. Morningstar DBRS finalized its provisional ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria. (For more details, see dbrs.morningstar.com.) Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. Morningstar DBRS assigned the provisional ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times. Furthermore, Morningstar DBRS reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to Morningstar DBRS. (For more details, see the Property Manager and Servicer Summary section.) Morningstar DBRS also conducted a legal review and found no material rating concerns. (For details, see the Scope of Analysis section of the related Presale Report.) Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts and Principal Distribution Amounts. In addition, the associated financial obligations for the classes E1, E2, and F Certificates includes Deferred Interest Distribution Amounts. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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-RCF2: DBRS Finalizes BB(high) Rating on Class M2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Asset-Backed Notes, Series 2024-RCF2 (the Notes) issued by PRPM 2024-RCF2, LLC (PRPM 2024-RCF2 or the Trust) as follows: -- $150.9 million Class A-1 at AAA (sf) -- $18.0 million Class A-2 at AA (high) (sf) -- $17.0 million Class A-3 at A (high) (sf) -- $14.0 million Class M-1 at BBB (high) (sf) -- $20.3 million Class M-2 at BB (high) (sf) The AAA (sf) rating on the Class A-1 Notes reflects 40.15% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), and BB (high) (sf) ratings reflect 33.00%, 26.25%, 20.70%, and 12.65% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of newly originated and seasoned, performing and reperforming, first-lien residential mortgages, to be funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 1,006 loans with a total principal balance of $252,136,195 as of the Cut-Off Date (February 29, 2024). Morningstar DBRS calculated the portfolio to be approximately 44 months seasoned on average, though the age of the loans is quite dispersed, ranging from four months to 447 months. Approximately 32.7% of the loans had origination guideline or document deficiencies, which prevented these loans from being sold to Fannie Mae, Freddie Mac, or another purchaser, and the loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, consequently increasing expected losses on the mortgage pool. Home Point Financial (Home Point) originated 12.2% of the pool. The remaining originators each accounted for less than 10.0% of the pool. In the portfolio, 7.9% of the loans are modified. The modifications happened less than two years ago for 73.7% of the modified loans. Within the portfolio, 111 mortgages have non-interest-bearing deferred amounts, equating to 0.5% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (18.1%) are not subject to or exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (78.1%), QM Rebuttable Presumption (2.7%), and Non-QM (1.1%) by UPB. PRP-LB V, LLC (the Sponsor) acquired the mortgage loans prior to the up-coming Closing Date and, through a wholly owned subsidiary, PRP Depositor 2024-RCF2, LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, PRP-LB V, LLC or one of its majority-owned affiliates will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2024-RCF2 is the fourth scratch & dent rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and non-performing securitizations. SN Servicing Corporation (SNSC; 94.6%) and Fay Servicing, LLC (Fay Servicing; 5.4%) will act as the Servicers of the mortgage loans. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in March 2026. Additionally, a failure to pay the Notes in full by the Payment Date in March 2029 will trigger a mandatory auction of the underlying certificates. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year and subsequently auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Redemption Date. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in March 2028, the Class A-1 and the other offered Notes will be entitled to its initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in July 2029 or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Notes: All figures are in US Dollars unless otherwise noted. RCKT MORTGAGE 2024-CES3: Fitch Assigns Bsf Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2024-CES3 (RCKT 2024-CES3). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2024-CES3 A-1 74942AAJ2 LT AAAsf New Rating AAA(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf A-2 74942AAC7 LT AAsf New Rating AA(EXP)sf A-3 74942AAK9 LT AAsf New Rating AA(EXP)sf A-4 74942AAL7 LT Asf New Rating A(EXP)sf A-5 74942AAM5 LT BBBsf New Rating BBB(EXP)sf A1-A 74942AAA1 LT AAAsf New Rating AAA(EXP)sf A1-B 74942AAB9 LT AAAsf New Rating AAA(EXP)sf B-1 74942AAF0 LT BBsf New Rating BB(EXP)sf B-1A 74942AAN3 LT BBsf New Rating BB(EXP)sf B-1B 74942AAQ6 LT BBsf New Rating BB(EXP)sf B-2 74942AAG8 LT Bsf New Rating B(EXP)sf B-3 74942AAH6 LT NRsf New Rating NR(EXP)sf B-X-1A 74942AAP8 LT BBsf New Rating BB(EXP)sf B-X-1B 74942AAR4 LT BBsf New Rating BB(EXP)sf LT-R 74942AAU7 LT NRsf New Rating NR(EXP)sf M-1 74942AAD5 LT Asf New Rating A(EXP)sf M-2 74942AAE3 LT BBBsf New Rating BBB(EXP)sf R 74942AAT0 LT NRsf New Rating NR(EXP)sf XS 74942AAS2 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by 5,541 closed-end second-lien loans with a total balance of approximately $448 million as of the cut-off 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. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an 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 5,541 loans totaling $448 million and seasoned at approximately three months in aggregate, as calculated by Fitch (zero 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 736; a 38.4% debt-to-income (DTI) ratio; and moderate leverage, with a sustainable loan-to-value (sLTV) ratio of 78.0%. Of the pool loans, 99.1% consist of those where the borrower maintains a primary residence and 0.9% represent second homes, while 93.9% of loans were originated through a retail channel. Additionally, 59.3% of loans are designated as qualified mortgages (QMs) and 18.0% are higher-priced QMs (HPQMs). 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 weighted average coupon (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 charge-off feature described below), there was a higher current percentage and a higher rate modification assumption, as a result. 180-Day Charge-off 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 charge-off 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(s) to its analysis: a 5% PD credit to the 25.1% of the pool by loan count in which diligence was conducted. This adjustment(s) resulted in a 22bps reduction to the 'AAAsf' expected loss. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS ESG CONSIDERATIONS RCKT 2024-CES3 has an ESG Relevance Score of '4 [+]' for Transaction Parties & Operational Risk due to lower operational risk considering R&W, transaction due diligence and originator and servicer results in a decrease in expected losses, which 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. REGATTA XXVIII: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XXVIII Funding Ltd. Entity/Debt Rating Prior ----------- ------ ----- Regatta XXVIII Funding Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA+sf New Rating AA+(EXP)sf B-2 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 Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Regatta XXVIII Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.78, versus a maximum covenant, in accordance with the initial expected matrix point of 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 98.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.62% versus a minimum covenant, in accordance with the initial expected matrix point of 75.37%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity 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 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B-1, between 'BB+sf' and 'A+sf' for class B-2, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-1, 'AAAsf' for class B-2, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Dryden 78 CLO, Ltd. (reset). 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. ROCKFORD TOWER 2024-1: S&P Assigns BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Rockford Tower CLO 2024-1 Ltd./Rockford Tower 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 Rockford Tower Capital Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Rockford Tower CLO 2024-1 Ltd./Rockford Tower 2024-1 LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $18.00 million: AAA (sf) Class B, $46.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $18.00 million: BBB (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $36.90 million: Not rated SALUDA GRADE 2024-FIG5: DBRS Finalizes BB(low) Rating on E Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2024-FIG5 (the Notes) issued by Saluda Grade Alternative Mortgage Trust 2024-FIG5 (GRADE 2024-FIG5 or the Issuer): -- $189.2 million Class A Notes at AAA (sf) -- $11.2 million Class B Notes at AA (low) (sf) -- $10.0 million Class C Notes at A (low) (sf) -- $10.5 million Class D Notes at BBB (low) (sf) -- $14.7 million Class E Notes at BB (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 23.65% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), and BB (low) (sf) credit ratings reflect 19.15%, 15.10%, 10.85%, and 4.90% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 3,961 loans (individual HELOC draws), which correspond to 3,483 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $247,818,553 and a total current credit limit of $278,890,595 as of the Cut-Off Date (March 31, 2024). The portfolio, on average, is four months seasoned, though seasoning ranges from one to 39 months. All the HELOCs are current and 99.8% have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2024-FIG5 represents the fifth Figure Lending LLC (Figure) HELOC securitization by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). Figure is the Loan Seller of the transaction, the Originator of most of the HELOCs in the pool (46.5%), and the Servicer of all the loans. Figure-originated HELOCs are included in two unrated securitizations (GRADE 2020-FIG1 and GRADE 2021-FIG2) and two rated securitizations (GRADE 2023-FIG3 and GRADE 2023-FIG4) sponsored by Saluda Grade, and five securitizations (FLOC 2020-1, FIGRE 2023-HE1, FIGRE 2023-HE2, FIGRE 2023-HE3, and FIGRE 2024-HE1) sponsored by Figure. These transactions' performance to date is satisfactory. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. A financial services and technology company, Figure Technologies leverages technology, including blockchain, for the origination and servicing of loans, loan payments, and loan sales. In addition to the home equity line of credit (HELOC) product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. HELOC FEATURES In this transaction, all loans are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from three to 25 years and are no longer allowed to draw. During the draw period and the repayment period, the outstanding principal balance is fully amortized over the remaining term of the HELOC. All HELOCs in this transaction are fixed-rate loans with no interest-only payment periods, and no loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average utilization rate of approximately 96.4% after four months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate, floored at the original rate. Relative to traditional HELOCs, the loans in the pool are all fixed-rate, fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including five- to 10-year terms. CERTAIN UNIQUE FACTORS IN HELOC ORIGINATION PROCESS Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Figure uses a property valuation provided by an automatic valuation model (AVM) instead of a full property appraisal. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. TRANSACTION AND OTHER COUNTERPARTIES In addition to the Figure-originated HELOCs, the mortgages were originated by Homebridge Financial Services, Inc. and its affiliates (17.9%), The Loan Store, Inc. (11.1%), as well as other originators (together, the White Label Partner Originators), each comprising less than 10.0% of the pool by balance. The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Figure will service all loans within the pool for a servicing fee of 0.25% per year. Figure services HELOC loans until they become 60 days delinquent or other circumstances arise that require special handling including bankruptcy, initiation of foreclosure on the senior lien, or litigation, at which time they are transferred to the special servicer, Specialized Loan Servicing LLC. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Indenture Trustee, Paying Agent, Note Registrar, and Certificate Registrar. WSFS Bank will also serve as the Custodian and the Delaware Trustee. DRAW FUNDING MECHANISM This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class G Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $991,274 (0.40% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in May 2029, the Reserve Account Required Amount will be 0.40% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in May 2029 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0, at which point the funds will be released through the transaction waterfall. Monthly Excess Cashflows will be used to fund the Reserve Account if it is not at the Reserve Account Required Amount. If Monthly Excess Cashflows are insufficient, the Class G Certificate holder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the Servicer is still obligated to fund draws even if collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account, and second, from the collections in subsequent collection periods. Saluda Grade, as a holder of the Class G Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class G Certificates' balance will be increased by the amount of any Net Draws funded by the Class G Certificate holder. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Saluda Grade. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. ADDITIONAL CASH FLOW ANALYTICS FOR HELOCS Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association delinquency method will be charged off. TRANSACTION STRUCTURE The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses, delinquencies, and excess spread. If a Credit Event is in effect, principal distributions are made sequentially. The Excess Spread Trigger Event is occurring on any payment date on or after the payment date in February 2025 (after the first nine payment dates), when the three-month average excess spread, as described in the Cash Flow Structure and Features section of the related report, does not exceed 4.50%. The Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. The class principal balance of the Class CE Notes will equal the overcollateralization (OC) amount; represented on any payment date by the excess, if any, of (1) the aggregate UPB of the loans over (2) the aggregate class principal balances of Class A, B, C, D, and E Notes and Class G Certificates outstanding. The class principal balance of the Class CE Notes is subject to an OC floor of 1.00% of the Cut-Off Date UPB of the loans and will not exceed the original class principal balance of the Class CE Notes (about 4.90% of the Cut-Off Date UPB of the loans). Principal can be paid to Class CE in reduction of its class principal balance so long as the Minimum OC Trigger Event is not occurring. OTHER TRANSACTION FEATURES The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any date when the Fixed Rate Notes (Class A, B, C, D, and E Notes) balance falls to or below 20% of the Cut-Off Date UPB, the Issuer, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. SALUDA GRADE 2024-FIG5: DBRS Gives Prov. BB(low) Rating on E Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2024-FIG5 (the Notes) to be issued by Saluda Grade Alternative Mortgage Trust 2024-FIG5 (GRADE 2024-FIG5 or the Issuer): -- $189.2 million Class A Notes at AAA (sf) -- $11.2 million Class B Notes at AA (low) (sf) -- $10.0 million Class C Notes at A (low) (sf) -- $10.5 million Class D Notes at BBB (low) (sf) -- $14.7 million Class E Notes at BB (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 23.65% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), and BB (low) (sf) credit ratings reflect 19.15%, 15.10%, 10.85%, and 4.90% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 3,961 loans (individual HELOC draws), which correspond to 3,483 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $247,818,553 and a total current credit limit of $278,890,595 as of the Cut-Off Date (March 31, 2024). The portfolio, on average, is four months seasoned, though seasoning ranges from one to 39 months. All the HELOCs are current and 99.8% have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2024-FIG5 represents the fifth Figure Lending LLC (Figure) HELOC securitization by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). Figure is the Loan Seller of the transaction, the Originator of most of the HELOCs in the pool (46.5%), and the Servicer of all the loans. Figure-originated HELOCs are included in two unrated securitizations (GRADE 2020-FIG1 and GRADE 2021-FIG2) and two rated securitizations (GRADE 2023-FIG3 and GRADE 2023-FIG4) sponsored by Saluda Grade, and five securitizations (FLOC 2020-1, FIGRE 2023-HE1, FIGRE 2023-HE2, FIGRE 2023-HE3, and FIGRE 2024-HE1) sponsored by Figure. These transactions' performance to date is satisfactory. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. A financial services and technology company, Figure Technologies leverages technology, including blockchain, for the origination and servicing of loans, loan payments, and loan sales. In addition to the home equity line of credit (HELOC) product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. HELOC FEATURES In this transaction, all loans are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from three to 25 years and are no longer allowed to draw. During the draw period and the repayment period, the outstanding principal balance is fully amortized over the remaining term of the HELOC. All HELOCs in this transaction are fixed-rate loans with no interest-only payment periods, and no loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average utilization rate of approximately 96.4% after four months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate, floored at the original rate. Relative to traditional HELOCs, the loans in the pool are all fixed-rate, fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including five- to 10-year terms. CERTAIN UNIQUE FACTORS IN HELOC ORIGINATION PROCESS Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Figure uses a property valuation provided by an automatic valuation model (AVM) instead of a full property appraisal. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the presale report for details. TRANSACTION AND OTHER COUNTERPARTIES In addition to the Figure-originated HELOCs, the mortgages were originated by Homebridge Financial Services, Inc. and its affiliates (17.9%), The Loan Store, Inc. (11.1%), as well as other originators (together, the White Label Partner Originators), each comprising less than 10.0% of the pool by balance. The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Figure will service all loans within the pool for a servicing fee of 0.25% per year. Figure services HELOC loans until they become 60 days delinquent or other circumstances arise that require special handling including bankruptcy, initiation of foreclosure on the senior lien, or litigation, at which time they are transferred to the special servicer, Specialized Loan Servicing LLC. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Indenture Trustee, Paying Agent, Note Registrar, and Certificate Registrar. WSFS Bank will also serve as the Custodian and the Delaware Trustee. DRAW FUNDING MECHANISM This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class G Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $991,274 (0.40% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in May 2029, the Reserve Account Required Amount will be 0.40% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in May 2029 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0, at which point the funds will be released through the transaction waterfall. Monthly Excess Cashflows will be used to fund the Reserve Account if it is not at the Reserve Account Required Amount. If Monthly Excess Cashflows are insufficient, the Class G Certificate holder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the Servicer is still obligated to fund draws even if collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account, and second, from the collections in subsequent collection periods. Saluda Grade, as a holder of the Class G Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class G Certificates' balance will be increased by the amount of any Net Draws funded by the Class G Certificate holder. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Saluda Grade. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. ADDITIONAL CASH FLOW ANALYTICS FOR HELOCS Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association delinquency method will be charged off. TRANSACTION STRUCTURE The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses, delinquencies, and excess spread. If a Credit Event is in effect, principal distributions are made sequentially. The Excess Spread Trigger Event is occurring on any payment date on or after the payment date in February 2025 (after the first nine payment dates), when the three-month average excess spread, as described in the Cash Flow Structure and Features section of the presale report, does not exceed 4.50%. The Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. The class principal balance of the Class CE Notes will equal the overcollateralization (OC) amount; represented on any payment date by the excess, if any, of (1) the aggregate UPB of the loans over (2) the aggregate class principal balances of Class A, B, C, D, and E Notes and Class G Certificates outstanding. The class principal balance of the Class CE Notes is subject to an OC floor of 1.00% of the Cut-Off Date UPB of the loans and will not exceed the original class principal balance of the Class CE Notes (about 4.90% of the Cut-Off Date UPB of the loans). Principal can be paid to Class CE in reduction of its class principal balance so long as the Minimum OC Trigger Event is not occurring. Please see Cash Flow Structure and Features section of the presale report for more details. OTHER TRANSACTION FEATURES The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any date when the Fixed Rate Notes (Class A, B, C, D, and E Notes) balance falls to or below 20% of the Cut-Off Date UPB, the Issuer, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. SCULPTOR CLO XXXII: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sculptor CLO XXXII Ltd./Sculptor CLO XXXII 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 Sculptor Loan Advisors 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 Sculptor CLO XXXII Ltd./Sculptor CLO XXXII LLC Class A-1, $252.00 million: AAA (sf) Class A-2, $4.00 million: AAA (sf) Class B-1, $28.00 million: AA (sf) Class B-2, $20.00 million: AA (sf) Class C (deferrable), $22.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB+ (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $42.39 million: Not rated SLC STUDENT 2004-1: Moody's Downgrades Rating on 2 Tranches to B1 ----------------------------------------------------------------- Moody's Ratings has taken action on seven classes of notes issued by six student loan securitizations serviced 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 transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: SLC Student Loan Trust 2004-1 Cl. A-7, Downgraded to B1 (sf); previously on Jun 27, 2023 Downgraded to Ba2 (sf) Cl. B, Downgraded to B1 (sf); previously on Jun 27, 2023 Downgraded to Ba2 (sf) Issuer: SLC Student Loan Trust 2005-2 Cl. B, Downgraded to Baa3 (sf); previously on Apr 19, 2022 Downgraded to A2 (sf) Issuer: SLC Student Loan Trust 2005-3 Cl. A-4, Downgraded to A1 (sf); previously on May 5, 2014 Affirmed Aaa (sf) Issuer: SLC Student Loan Trust 2007-1 Cl. A-4, Upgraded to Aaa (sf); previously on Nov 1, 2016 Downgraded to A1 (sf) Issuer: SLC Student Loan Trust 2009-2 Cl. A, Downgraded to A3 (sf); previously on May 5, 2014 Affirmed Aaa (sf) Issuer: SLC Student Loan Trust 2009-3 Cl. A, Downgraded to Baa1 (sf); previously on Sep 16, 2016 Confirmed at Aaa (sf) RATINGS RATIONALE The rating actions are primarily driven by the updated performance of the 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 consider the change in the weighted average remaining term in these transactions. Due to the significant increases in forbearance previously, the weighted average remaining terms continue to rise for certain transactions reducing collateral pool amortization rates and increasing the risk of notes not paying down by their legal final maturity dates. The rating downgrades to B1 on the Class A-7 and Class B notes in SLC Student Loan Trust 2004-1 reflect the uncertainty regarding the Navient's willingness and ability to support the notes by paying them off prior to their legal final maturity dates. Based on Moody's cashflow modeling projection, in Moody's most likely scenario that does not consider sponsor support, these notes will not pay off prior to their legal final dates. The transaction documents include a 10% optional call provision which, if exercised by the sponsor, would pay down the notes. Although, Navient has previously supported other similar transactions by exercising the optional call provision or doing additional loan purchases, more recently, Navient did not support some deals due to limited current market interest in FFELP loans. The rating downgrades to B1 reflect the higher likelihood for these notes to miss pay off by their legal final maturity dates should Navient not exercise the optional call provision prior to those dates. Moody's analysis on the Class B notes also considered the potential suspension of interest payments on these notes due to the increased likelihood of failure of the Class A notes to pay down by their legal final maturity date and the low likelihood of the recoupment of those payments prior to the Class B notes' legal final maturity date. The rating action on the Class A notes from SLC Student Loan Trust 2009-3 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. 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 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, 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. SOUND POINT XXVIII: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its rating to the class A-1-R replacement debt from Sound Point CLO XXVIII Ltd./Sound Point CLO XXVIII LLC, a CLO originally issued in December 2020 that is managed by Sound Point Capital Management L.P. At the same time, S&P withdrew its ratings on the original class A-1 debt following payment in full on the April 25, 2024, refinancing date. S&P also affirmed its ratings on the class A-2, B, C, D, and E 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 refinanced class was extended to Oct. 25, 2024. -- No additional assets were purchased on the April 25, 2024, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 25, 2024. -- 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 E debt (which was not refinanced) than the rating action on the debt reflects. However, we affirmed our 'BB- (sf)' rating on the class E debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction has entered its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down." Replacement And December 2020 Debt Issuances Replacement debt -- Class A-1-R, $295.00 million: Three-month CME term SOFR + 1.28% -- December 2020 debt -- Class A-1, $295.00 million: Three-month CME term SOFR + 1.54% 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." Rating Assigned Sound Point CLO XXVIII Ltd./Sound Point CLO XXVIII LLC Class A-1-R, $295.00 million: AAA (sf) Rating Withdrawn Sound Point CLO XXVIII Ltd./Sound Point CLO XXVIII LLC Class A-1 to NR from AAA (sf) Ratings Affirmed Sound Point CLO XXVIII Ltd./Sound Point CLO XXVIII LLC Class A-2, $15.00 million: AAA (sf) Class B, $70.00 million: AA (sf) Class C, $30.00 million: A (sf) Class D, $27.50 million: BBB- (sf) Class E, $18.75 million: BB- (sf) Other Debt Sound Point CLO XXVIII Ltd./Sound Point CLO XXVIII LLC Subordinated notes, $48.00 million: NR NR--Not rated. SYCAMORE TREE 2023-3: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2a-R, D-2b-R, and E-R replacement debt from Sycamore Tree CLO 2023-3 Ltd., a CLO originally issued in April 2023 that is managed by Sycamore Tree CLO Advisors L.P. 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 April 22, 2024 refinancing date. The replacement debt will be issued via a 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, D-2a-R, D-2b-R, and E-R debt is expected to be issued at a lower weighted average cost of debt than the original debt. -- The original class D debt is expected to be replaced by the class D-1-R and D-2-R debt. The class D-2-R debt will be junior to the class D-1-R debt. -- The replacement class D-2-R debt will be split into floating-rate debt (the class D-2a-R debt) and fixed-rate debt (the class D-2b-R debt). -- The stated maturity will be extended by approximately 2.00 years. -- The reinvestment period and non-call period will be re-established to April 2029 and April 2026, respectively. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to April 2037. The weighted average life test will be updated to approximately 9.00 years after the refinancing date. -- The required minimum interest diversion test, overcollateralization, and interest coverage ratios will be amended. -- In connection with the refinancing, the issuer is adding provisions related to Uptier Priming Debt. -- A portion of the proceeds remaining from the replacement note issuance will be used to purchase additional collateral. -- There will be additional subordinated notes ($6.35 million) issued on the refinancing date. -- There is a new effective date, and the first payment date following the April 22, 2024,refinancing date is July 20, 2024. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $336.00 million: Three-month CME term SOFR + 1.65% -- Class A-2-R, $10.50 million: Three-month CME term SOFR + 1.82% -- Class B-R, $52.50 million: Three-month CME term SOFR + 2.15% -- Class C-R (deferrable), $31.50 million: Three-month CME term SOFR + 2.60% -- Class D-1-R (deferrable), $31.50 million: Three-month CME term SOFR + 4.25% -- Class D-2a-R (deferrable), $3.25 million: Three-month CME term SOFR + 5.50% -- Class D-2b-R (deferrable), $2.00 million: 9.6280% -- Class E-R (deferrable), $13.125 million: Three-month CME term SOFR + 7.29% -- Subordinated notes, $47.350 million(i): Not applicable (i)Subordinated notes balance includes the existing $41.00 million and the additional $6.350 million. Original debt -- Class A-1, $246.00 million: Three-month CME term SOFR + 2.20% -- Class A-2, $8.00 million: Three-month CME term SOFR + 2.65% -- Class B-1, $32.00 million: Three-month CME term SOFR + 3.00% -- Class B-2, $14.00 million: 6.55% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 3.95% -- Class D (deferrable), $22.00 million: Three-month CME term SOFR + 5.91% -- Class E (deferrable), $14.00 million: Three-month CME term SOFR + 8.66% -- Subordinated notes, $41.00 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sycamore Tree CLO 2023-3 Ltd./Sycamore Tree CLO 2023-3 LLC Class A-1-R, $336.00 million: AAA (sf) Class A-2-R, $10.50 million: AAA (sf) Class B-R, $52.50 million: AA (sf) Class C-R (deferrable), $31.50 million: A (sf) Class D-1-R (deferrable), $31.50 million: BBB- (sf) Class D-2a-R (deferrable), $3.25 million: BBB- (sf) Class D-2b-R (deferrable), $2.00 million: BBB- (sf) Class E-R (deferrable), $13.125 million: BB- (sf) Ratings Withdrawn Sycamore Tree CLO 2023-3 Ltd./Sycamore Tree CLO 2023-3 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: to NR from 'A (sf)' Class D: to NR from 'BBB- (sf)' Class E: to NR from 'BB- (sf)' Other Debt Sycamore Tree CLO 2023-3 Ltd./Sycamore Tree CLO 2023-3 LLC Subordinated notes, $47.350 million(i): NR (i)Subordinated notes balance includes the existing $41.00 million and the additional $6.350 million debt. NR--Not rated. SYCAMORE TREE 2024-5: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sycamore Tree CLO 2024-5 Ltd./Sycamore Tree CLO 2024-5 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 Sycamore Tree CLO Advisors L.P., the CLO manager affiliate of Sycamore Tree Capital Partners. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Sycamore Tree CLO 2024-5 Ltd./Sycamore Tree CLO 2024-5 LLC Class A-1, $310.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $50.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $12.50 million: BB- (sf) Subordinated notes, $46.93 million: Not rated SYMPHONY CLO 43: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO 43, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 43, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1a LT AA+sf New Rating AA+(EXP)sf B-1b LT AA+sf New Rating AA+(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Symphony CLO 43, 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 $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 24.74, 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% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.51% versus a minimum covenant, in accordance with the initial expected matrix point of 74.1%. Portfolio Composition (Positive): 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 (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. Fitch believes 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-2 notes, between 'BB+sf' and 'AA-sf' for class B-1a and B-1b notes, between 'BB+sf' and 'A+sf' for class B-2 notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 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-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-1a and B-1b notes, 'AAAsf' for class B-2 notes, 'AA+sf' for class C notes, 'A+sf' for class D-1 notes, 'Asf' for class D-2 notes, and 'BBB+sf' 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 assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Symphony CLO 43, 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. THUNDERBOLT II: Fitch Affirms 'Bsf' Rating on Series B Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on Thunderbolt II Aircraft Lease Limited (TBOLT II) series A and B notes. Fitch has also affirmed the ratings on Thunderbolt III Aircraft Lease Limited (TBOLT III) series A and B notes. Fitch has revised the Ratings Outlook to Stable from Negative for both transactions. Entity/Debt Rating Prior ----------- ------ ----- Thunderbolt III Aircraft Lease Limited A 88607AAA7 LT BBsf Affirmed BBsf B 88607AAB5 LT Bsf Affirmed Bsf Thunderbolt II Aircraft Lease Limited Series A 886065AA9 LT BBsf Affirmed BBsf Series B 886065AB7 LT Bsf Affirmed Bsf TRANSACTION SUMMARY The ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structure to withstand rating-specific stresses under Fitch's criteria and cash flow modeling. Lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, all inform Fitch's modeled cash flows and coverage levels. Fitch's updated rating assumptions for airlines are based on a variety of performance metrics and airline characteristics. Since Fitch's prior review, transaction performance has generally stabilized. Rent collections have stabilized, with delinquencies cleared in TBOLT II. However, delinquencies remain in TBOLT III. The series A and B notes in both transactions continue to receive timely interest. Series A notes have been receiving principal; series B notes have not received principal since March 2020 for both transactions. TBOLT II series A principal shortfall decreased to 16% from 17% versus scheduled, while the series B principal shortfall increased to 65% from 56% since the prior review in September 2023. TBOLT III series A principal shortfall decreased to 18% from 21%, while the series B shortfall increased to 56% from 48% versus scheduled. Improvement in shortfalls was mainly driven by stabilizing rental collections. One engine in TBOLT II was sold, with one aircraft pending sale in TBOLT III. Receipt of a portion of the insurance proceeds related to the ex-Russian leased aircraft in each pool also contributed to the improvement. Overall Market Recovery The global commercial aviation market continues to recover. Total passenger traffic in February 2024 surpassed 2019 levels by 5.7%, as measured in revenue passenger kilometers (RPKs). This recovery reflects a 21.5% annual increase in global RPKs. Domestic RPKs surpassed pre-pandemic levels by 13.7%, while international traffic surpassed 2019 levels by 0.9%. Asia Pacific lead the growth in traffic, with markets that had experienced earlier rebounds also displaying solid growth. Aircraft ABS transaction servicers are reporting strong demand for aircraft, particularly those with maintenance green time remaining, and increased lease rates. Macro Risks While the commercial aviation market has recovered significantly over the past 12 months, it will continue to face risks, including workforce shortages, supply chain issues, geopolitical risks, and recessionary concerns that would impact passenger demand. In addition, there remains uncertainty regarding inflationary pressures despite some improvements. Most of these events would lead to greater credit risk due to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft. All of these factors would cause downward pressure on future cash flows needed to meet debt service. KEY RATING DRIVERS Asset Values: TBOLT II mean maintenance-adjusted base value (MABV) declined 9% between the December 2022 and December 2023 appraisals (controlling for sale of one engine). The December 2023 mean MABV was $304 million. LTVs increased to 77% and 99% from 74% and 93% at the prior review for the series A and B notes, respectively TBOLT III mean MABV declined approximately 5% between the June 2022 and June 2023 appraisals (controlling for the sale of one aircraft). The June 2023 mean MABV was $317 million. LTVs decreased to 75% and 94% from 82% and 101% at prior review for the series A and B notes, respectively. Including the Maintenance Reserve Accounts, funded at approximately $39 million and $42 million for TBOLT II and III, respectively, LTVs on the series A and B notes are 68% and 88% for TBOLT II and 67% and 83% for TBOLT III. The Fitch values for the TBOLT II and TBOLT III pools are $300 million and $299 million, respectively. Fitch used the most recent appraisal as of December 2023 and June 2023, for TBOLT II and TBOLT III respectively, and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch employs a methodology whereby it varies the type of value per aircraft based on the remaining leasable life: 3 years of Leasable Life, but >15 years old: Maintenance-adjusted base value < 15 years old: Half-life base value Fitch also applies a haircut to residual values that vary based on rating stress level beginning at 5% at 'Bsf' and increasing to 15% at 'Asf'. Tiered Collateral Quality: The TBOLT II pool consist of 14 narrowbody aircraft and 1 widebody aircraft with the majority characterized as mid-life aircraft with a weighted-average [WA] age of 13.1 years. The TBOLT III pool consists of 15 narrowbody aircraft and 1 widebody aircraft with a WA age of 14.1 years. Fitch utilizes three tiers when assessing the desirability and liquidity of aircraft collateral: Tier One, which is the most liquid, and Tier Three which is the least liquid. As aircraft in the pool reach an age of 15 and then 20 years, pursuant to Fitch's criteria, the aircraft tier will migrate one level lower. The weighted average, age-adjusted, tiers for TBOLT II and TBOLT III are 1.6 and 1.5, respectively. Pool Concentration: Both of the subject pools have acceptable concentration with 15 and 16 aircraft on lease to 13 lessees. As the pool ages and Fitch models aircraft being sold at the end of their leasable lives (generally 20 years), pool concentration will increase. Pursuant to Fitch's criteria, it further stresses cash flows based on the effective aircraft count. Concentration haircuts vary by rating level and are applied at stresses higher than CCCsf. Lessee Credit Risk: Fitch considers the credit risk posed by both pools of lessees to be moderate, as there have been delinquencies in both pools over the last year. Currently, TBOLT II lessees are paying in line with expectations. Delinquencies remain in the TBOLT III pool. Thunderbolt II is reasonably diversified across regions with 47% exposure to Emerging Asia Pacific, 19% to Emerging Europe & CIS, 15% to Developed Europe, 10% to Emerging Middle East & Africa, and 10% to Developed North America. Thunderbolt III is diversified across regions with 29% exposure to Emerging Europe & CIS, 21% to Emerging Asia Pacific, 16% to Developed Europe, 16% to Emerging South & Central America, 15% to Developed Asia Pacific, and 4% to Emerging Middle East & Africa. Operation and Servicing Risk: Fitch deems the servicer, Air Lease Corporation, to be qualified based on its experience as a lessor, overall servicing capabilities and historical ABS performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - An increase in delinquencies, lower lease rates, or sales of aircraft below Fitch's projections could lead to a downgrade. - The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry ratings lower than the senior tranche and below the ratings at close. - Fitch also considers jurisdictional concentrations per the "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. - Fitch's base case scenario assumes receipt of insurance proceeds for aircraft seized in Russia in 2022 (there was one such aircraft in each pool). Fitch assumed insurance proceeds of 40%-50% of aircraft value at the 'BBsf' and 'Bsf' stress levels and lesser amounts at the higher rating levels. Additional insurance proceeds, beyond those already received, were excluded for both of the down sensitivities discussed below. - Fitch ran sensitivities related to lessee credit quality given past performance and uncertainty around lessee payment performance moving forward. Fitch assigns a credit rating of 'CCC' or lower to a high percentage of lessees in both pools. The sensitivity assumed all current lessees are rated 'CC' and all future lessees are rated 'CCC.' This scenario resulted in model-implied ratings (MIR) 1 or 2 notches lower for the series A and B notes for both transactions. - Additionally, Fitch ran a rent sensitivity in which it decreased rents up to a maximum of 25% as the aircraft age. In this scenario, the MIRs decreased by one or two notches for the series A and B notes in both transactions. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade. - Given Fitch assigns a credit rating of 'CCC' or lower to a high percentage of lessees in both pools, an up sensitivity was run. The sensitivity assumed all current and future lessees are rated 'B'. This scenario resulted in no changes to MIR for either transaction. 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. TIAA CLO I: S&P Affirms B+ (sf) Rating on Class E-R Notes --------------------------------------------------------- S&P Global Ratings assigned its rating to the class A-RR replacement debt from TIAA CLO I Ltd./TIAA CLO I LLC, a CLO originally issued in June 2016 that is managed by Teachers Advisors LLC. At the same time, S&P withdrew its rating on the class A-R debt following payment in full on the April 22, 2024, refinancing date (the class A-R notes will be paid to $222.10 million on the closing date). S&P also affirmed its ratings on the class B-1-R, B-2-RR, C-R, D-R, and E-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 debt was set to Oct. 22, 2024. Replacement And Outstanding Debt Issuances Replacement debt -- Class A-RR, $222.10 million: Three-month term SOFR + 1.25% Outstanding debt (balances as reported within March 2024 trustee report) -- Class A-R, $260.22 million: Three-month term SOFR + 1.46161% The class A-R notes will be paid down to $222.10 million on the closing date. 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." 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. Rating Assigned TIAA CLO I Ltd./TIAA CLO I LLC Class A-RR, $222.10 million: AAA (sf) Ratings Affirmed TIAA CLO I Ltd./TIAA CLO I LLC Class B-1-R: AA (sf) Class B-2-RR: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) Class E-R: B+ (sf) Rating Withdrawn TIAA CLO I Ltd./TIAA CLO I LLC Class A-R to NR from AAA (sf) Other Outstanding Debt TIAA CLO I Ltd./TIAA CLO I LLC Subordinated notes: NR NR--Not rated. TOWD POINT 2024-1: DBRS Gives Prov. B(low) Rating on B2 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2024-1 (the Notes) to be issued by Towd Point Mortgage Trust 2024-1 (the Trust): -- $495.7 million Class A1 at AAA (sf) -- $12.9 million Class A2 at AA (high) (sf) -- $16.7 million Class M1 at A (high) (sf) -- $2.7 million Class M2 at BBB (high) (sf) -- $4.3 million Class B1 at BB (high) (sf) -- $3.5 million Class B2 at B (low) (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 7.90% of credit enhancement provided by subordinated certificates. The AA (high) (sf) A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (low) (sf) credit ratings reflect 5.50%, 2.40%, 1.90%, 1.10% and 0.45% of credit enhancement, respectively. This transaction is a securitization of a portfolio of seasoned prime performing first-lien mortgages funded by the issuance of asset-backed notes (the Notes). The Notes are backed by 832 loans with a scheduled total principal balance of $538,271,886 as of the Cut-Off Date (March 1, 2024). The portfolio is approximately 85 months seasoned with all loans seasoned for more than 24 months. The portfolio contains 1.0% modified loans, and modifications happened more than two years ago for all of the modified loans. Within the pool, none of the mortgages have non-interest-bearing deferred amounts. As of the Cut-Off Date, 97.2% of the pool is current, and 2.8% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, none of the pool is in bankruptcy. Approximately 94.1% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method or since origination. Approximately 18.0% of the pool is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. Morningstar DBRS assumed 1.3% of the loans to be designated as Temporary QM Safe Harbor or QM Safe Harbor and 80.7% to be Non-QM based upon the Third Party Due-Diligence review. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from U.S. Bank National Association and are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. (Cerberus). Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, FirstKey, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. All of the loans will be serviced by Select Portfolio Servicing, Inc. (SPS). The SPS aggregate servicing fee rate for each payment date is 0.09% per annum. In its analysis, Morningstar DBRS applied a higher servicing fee rate. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until the loans become 180 days delinquent under the MBA delinquency method or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make certain advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain nonperforming loans or real estate-owned (REO) properties to unaffiliated third parties individually or in bulk sales. Such sales require an asset sale price to at least equal a minimum reserve amount of the product of (1) 83.25% and (2) the current principal amount of the mortgage loans or REO properties as of the sale date. When the aggregate pool balance of the mortgage loans is reduced to less than 20% of the Cut-Off Date balance, the Call Option Holder (TPMT 2024-1 COH, LLC, an affiliate of the Sponsor, the Seller, the Asset Manager, the Depositor, and the Risk Retention Holder) will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meet a minimum price. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the Call Option Holder may purchase all of the mortgage loans, REO properties, and other properties from the Issuer, as long as the aggregate proceeds meet a minimum price. The transaction allows for the issuance of Class A1 Loans in which the Issuer may enter into a Credit Agreement to borrow up to the balance of the Class A1 Loans from Class A1 Lenders on the Closing Date. For the TPMT 2024-1 transaction, the Class A1 Loans will not be issued at closing. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid from principal proceeds until the Class A1 and A2 Notes are retired. Notes: All figures are in US dollars unless otherwise noted. UNITED AUTO 2024-1: S&P Assigns Prelim BB (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to United Auto Credit Securitization 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 April 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 64.4%, 56.3%, 47.2%, 35.7%, and 29.6% 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 2.70x, 2.30x, 1.95x, 1.50x, and 1.25x of S&P's 23.50% expected cumulative net loss (ECNL) for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x our 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 our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of United Auto Credit Corp. (UACC) as servicer, and its view of the company's underwriting and 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 benchmarks. -- The transaction's payment and legal structures. Preliminary Ratings Assigned United Auto Credit Securitization Trust 2024-1 Class A, $139.311 million: AAA (sf) Class B, $45.030 million: AA (sf) Class C, $37.050 million: A (sf) Class D, $54.910 million: BBB (sf) Class E, $39.520 million: BB (sf) VELOCITY COMMERCIAL 2024-2: DBRS Finalizes B(high) on 3 Classes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed Certificates, Series 2024-2 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2024-2 (VCC 2024-2 or the Issuer) as follows: -- $181.2 million Class A at AAA (sf) -- $19.6 million Class M-1 at AA (low) (sf) -- $16.7 million Class M-2 at A (low) (sf) -- $19.5 million Class M-3 at BBB (sf) -- $23.3 million Class M-4 at BB (high) (sf) -- $10.8 million Class M-5 at BB (low) (sf) -- $14.5 million Class M-6 at B (high) (sf) -- $181.2 million Class A-S at AAA (sf) -- $181.2 million Class A-IO at AAA (sf) -- $19.6 million Class M1-A at AA (low) (sf) -- $19.6 million Class M1-IO at AA (low) (sf) -- $16.7 million Class M2-A at A (low) (sf) -- $16.7 million Class M2-IO at A (low) (sf) -- $19.5 million Class M3-A at BBB (sf) -- $19.5 million Class M3-IO at BBB (sf) -- $23.3 million Class M4-A at BB (high) (sf) -- $23.3 million Class M4-IO at BB (high) (sf) -- $10.8 million Class M5-A at BB (low) (sf) -- $10.8 million Class M5-IO at BB (low) (sf) -- $14.5 million Class M6-A at B (high) (sf) -- $14.5 million Class M6-IO at B (high) (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect 38.35% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BB (high) (sf), BB (low) (sf), and B (high) (sf) ratings reflect 31.70%, 26.05%, 19.45%, 11.55%, 7.90% and 3.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2024-2 is a securitization of a portfolio of newly originated and seasoned fixed and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Thirteen of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner occupied, commercial real-estate. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2024-2 (the Certificates). The Certificates are backed by 705 mortgage loans with a total principal balance of $295,088,078 as of the Cut-Off Date (March 1, 2024). Approximately 52.6% of the pool comprises residential investor loans, about 39.2% of traditional SBC loans, and about 8.2% are the SBA 504 loans mentioned above. Most of the loans in this securitization (85.2%) were originated by Velocity Commercial Capital, LLC (Velocity or VCC). The remaining 29 loans (14.8%) were originated by New Day, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the 13 SBA 504 loans which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day originated loans, underwriting was based on business cashflows but loans were secured by real estate, For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances more than USD 750,000 for purchase transactions and more than USD 500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. On January 5, 2024, a suit was filed in the U.S. District Court for the Central District of California by Harvest Small Business Finance, LLC and Harvest Commercial Capital, LLC against certain employees of New Day Business Finance LLC and Velocity Commercial Capital, LLC d/b/a New Day Commercial Capital, LLC (New Day) alleging violations of the Defend Trade Secrets Act, the California Uniform Trade Secrets Act and the California Unfair Competition Law. New Day has indicated that it does not believe that this suit is material. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 29 New Day originated loans (including the 13 SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PHH will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent P&I until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA (high) with a Negative trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net weighted-average coupon shortfalls (Net WAC Rate Carryover Amounts). Please see the Cash Flow Structure and Features section of the report for more details. CMBS Methodology – Small Balance Commercial (SBC) Loans The collateral for the SBC portion of the pool consists of 236 individual loans secured by 236 commercial and multifamily properties with an average cut-off date loan balance of $490,219. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its North American CMBS Multi-Borrower Rating Methodology (the CMBS Methodology). The commercial mortgage-backed securities (CMBS) loans have a weighted-average (WA) fixed interest rate of 11.6%. This is approximately in line with the VCC 2024-1 transaction, 30 basis points (bps) lower than the VCC 2023-4 transaction, 40 bps lower than the VCC 2023-3 transaction, 20 bps higher than the VCC 2023-2 transaction, 110 bps higher than the VCC 2023-1 transaction, 230 bps higher than the VCC 2022-5 transaction, and more than 330 bps higher than the VCC 2022-4, VCC 2022-3, and VCC 2022-2 transactions, highlighting the recent increase in interest rates. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, nine loans, representing 6.8% of the SBC pool, have an initial interest-only (IO) period of 60 or 120 months. All of the SBC loans were originated between November 2015 and February 2024 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 1.1 months. The SBC pool has a WA original term length of 358 months, or approximately 30 years. Based on the current loan amount, which reflects 30 bps of amortization, and the current appraised values, the SBC pool has a WA LTV of 62.7%. However, Morningstar DBRS made LTV adjustments to 35 loans that had an implied capitalization rate more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 67.6%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in Morningstar DBRS' Rating North American CMBS Interest-Only Certificates methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one third of the total default rate), and the term default rate was approximately 11%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its rating, Morningstar DBRS estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising-interest-rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, more than 68.0% of the deal has an Issuer net operating income debt service coverage ratio less than 1.0 times, which is in line with the VCC 2024-1 transaction but a larger composition than previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 714 for the SBC loans, which is relatively similar to prior transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $490,219, a concentration profile equivalent to that of a transaction with 120 equal-size loans, and a top 10 loan concentration of 18.2%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (28.1% of the SBC pool) and office (19.4% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent 47.5% of the SBC pool balance. Morningstar DBRS applied a 22.4% reduction to the net cash flow (NCF) for retail properties and a 30.0% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, two were Average + quality (1.7%), 26 were Average quality (35.8%), 37 were Average – quality (42.6%), 13 were Below Average quality (17.6%), and two were Poor quality (2.3%). Morningstar DBRS assumed unsampled loans were Average – quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received and reviewed appraisals for the top 30 loans, which represent 36.4% of the SBC pool balance. These appraisals were issued between October 2023 and February 2024 when the respective loans were originated. Morningstar DBRS was able to perform a loan-level cash flow analysis on the top 30 loans. The NCF haircuts for the top 30 loans ranged from -3.9% to -100.0%, with an average of -22.7%. No ESA reports were provided nor required by the Issuer; however, all of the loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No Probable Maximum Loss (PML) information or earthquake insurance requirements are provided. Therefore, a loss given default penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 11.6%, which is indicative of the broader increased interest rate environment and represents a large increase over previous VCC deals. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan between September 2023 and December 2023. If any loan has more than two late payments within this period or was currently 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This did not occur for any loans of the SBC pool. SBA 504 Loans The transaction includes 13 SBA 504 loans, totaling approximately $24.2 million or 8.2% of the aggregate 2024-2 collateral pool . These are owner-occupied, 1st lien CRE-backed loans, originated via the U.S. Small Business Administration's 504 loan program ('SBA 504') in conjunction with community development companies ('CDC'), made to small businesses, with the stated goal of community economic development. These 13 SBA 504 loans are fixed rate with 360 month original terms and are fully amortizing. The loans were originated between Sept 1, 2023 and February 29, 2024 via New Day which will also act as sub-servicer of the loans, The total outstanding principal balance as of the cutoff date is approximately $24.2 million, with an average balance of $1.86 million. The weighted average interest rate is 9.713%. The loans are subject to prepayment penalties of 5%,4%, 3%, 2% and 1% respectively in the first five years from origination. These loans are for properties which are owner-occupied by the small business owner. Weighted average loan to value is 46.599%. Weighted average debt service coverage ratio is 1.66x and the weighted average FICO of this sub-pool. For these loans, Morningstar DBRS applied its Rating U.S. Structured Finance Transactions methodology, Small Business, Appendix (XVIII). As there is limited historical information for the originator, we utilized proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan to value, and market rank. These were input into our proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. Residential Mortgage-Backed Securities (RMBS) Methodology The collateral pool consists of 456 mortgage loans with a total balance of approximately $155.2 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to No Ratio program guidelines for business-purpose loans. Notes: All figures are in US Dollars unless otherwise noted. VELOCITY COMMERCIAL 2024-2: DBRS Gives Prov. B(high) on 3 Tranches ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Certificates, Series 2024-2 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2024-2 (VCC 2024-2 or the Issuer) as follows: -- $181.2 million Class A at AAA (sf) -- $19.6 million Class M-1 at AA (low) (sf) -- $16.7 million Class M-2 at A (low) (sf) -- $19.5 million Class M-3 at BBB (sf) -- $23.3 million Class M-4 at BB (high) (sf) -- $10.8 million Class M-5 at BB (low) (sf) -- $14.5 million Class M-6 at B (high) (sf) -- $181.2 million Class A-S at AAA (sf) -- $181.2 million Class A-IO at AAA (sf) -- $19.6 million Class M1-A at AA (low) (sf) -- $19.6 million Class M1-IO at AA (low) (sf) -- $16.7 million Class M2-A at A (low) (sf) -- $16.7 million Class M2-IO at A (low) (sf) -- $19.5 million Class M3-A at BBB (sf) -- $19.5 million Class M3-IO at BBB (sf) -- $23.3 million Class M4-A at BB (high) (sf) -- $23.3 million Class M4-IO at BB (high) (sf) -- $10.8 million Class M5-A at BB (low) (sf) -- $10.8 million Class M5-IO at BB (low) (sf) -- $14.5 million Class M6-A at B (high) (sf) -- $14.5 million Class M6-IO at B (high) (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect 38.35% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BB (high) (sf), BB (low) (sf), and B (high) (sf) ratings reflect 31.70%, 26.05%, 19.45%, 11.55%, 7.90% and 3.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2024-2 is a securitization of a portfolio of newly originated and seasoned fixed and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Thirteen of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner occupied, commercial real-estate. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2024-2 (the Certificates). The Certificates are backed by 705 mortgage loans with a total principal balance of $295,088,078 as of the Cut-Off Date (March 1, 2024). Approximately 52.6% of the pool comprises residential investor loans, about 39.2% of traditional SBC loans, and about 8.2% are the SBA 504 loans mentioned above. Most of the loans in this securitization (85.2%) were originated by Velocity Commercial Capital, LLC (Velocity or VCC). The remaining 29 loans (14.8%) were originated by New Day, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the 13 SBA 504 loans which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day originated loans, underwriting was based on business cashflows but loans were secured by real estate, For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances more than USD 750,000 for purchase transactions and more than USD 500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. On January 5, 2024, a suit was filed in the U.S. District Court for the Central District of California by Harvest Small Business Finance, LLC and Harvest Commercial Capital, LLC against certain employees of New Day Business Finance LLC and Velocity Commercial Capital, LLC d/b/a New Day Commercial Capital, LLC (New Day) alleging violations of the Defend Trade Secrets Act, the California Uniform Trade Secrets Act and the California Unfair Competition Law. New Day has indicated that it does not believe that this suit is material. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 29 New Day originated loans (including the 13 SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PHH will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent P&I until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA (high) with a Negative trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net weighted-average coupon shortfalls (Net WAC Rate Carryover Amounts). Please see the Cash Flow Structure and Features section of the report for more details. CMBS Methodology – Small Balance Commercial (SBC) Loans The collateral for the SBC portion of the pool consists of 236 individual loans secured by 236 commercial and multifamily properties with an average cut-off date loan balance of $490,219. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its North American CMBS Multi-Borrower Rating Methodology (the CMBS Methodology). The commercial mortgage-backed securities (CMBS) loans have a weighted-average (WA) fixed interest rate of 11.6%. This is approximately in line with the VCC 2024-1 transaction, 30 basis points (bps) lower than the VCC 2023-4 transaction, 40 bps lower than the VCC 2023-3 transaction, 20 bps higher than the VCC 2023-2 transaction, 110 bps higher than the VCC 2023-1 transaction, 230 bps higher than the VCC 2022-5 transaction, and more than 330 bps higher than the VCC 2022-4, VCC 2022-3, and VCC 2022-2 transactions, highlighting the recent increase in interest rates. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, nine loans, representing 6.8% of the SBC pool, have an initial interest-only (IO) period of 60 or 120 months. All of the SBC loans were originated between November 2015 and February 2024 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 1.1 months. The SBC pool has a WA original term length of 358 months, or approximately 30 years. Based on the current loan amount, which reflects 30 bps of amortization, and the current appraised values, the SBC pool has a WA LTV of 62.7%. However, Morningstar DBRS made LTV adjustments to 35 loans that had an implied capitalization rate more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 67.6%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in Morningstar DBRS' Rating North American CMBS Interest-Only Certificates methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one third of the total default rate), and the term default rate was approximately 11%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its rating, Morningstar DBRS estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising-interest-rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, more than 68.0% of the deal has an Issuer net operating income debt service coverage ratio less than 1.0 times, which is in line with the VCC 2024-1 transaction but a larger composition than previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 714 for the SBC loans, which is relatively similar to prior transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $490,219, a concentration profile equivalent to that of a transaction with 120 equal-size loans, and a top 10 loan concentration of 18.2%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (28.1% of the SBC pool) and office (19.4% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent 47.5% of the SBC pool balance. Morningstar DBRS applied a 22.4% reduction to the net cash flow (NCF) for retail properties and a 30.0% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, two were Average + quality (1.7%), 26 were Average quality (35.8%), 37 were Average – quality (42.6%), 13 were Below Average quality (17.6%), and two were Poor quality (2.3%). Morningstar DBRS assumed unsampled loans were Average – quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received and reviewed appraisals for the top 30 loans, which represent 36.4% of the SBC pool balance. These appraisals were issued between October 2023 and February 2024 when the respective loans were originated. Morningstar DBRS was able to perform a loan-level cash flow analysis on the top 30 loans. The NCF haircuts for the top 30 loans ranged from -3.9% to -100.0%, with an average of -22.7%. No ESA reports were provided nor required by the Issuer; however, all of the loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No Probable Maximum Loss (PML) information or earthquake insurance requirements are provided. Therefore, a loss given default penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 11.6%, which is indicative of the broader increased interest rate environment and represents a large increase over previous VCC deals. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan between September 2023 and December 2023. If any loan has more than two late payments within this period or was currently 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This did not occur for any loans of the SBC pool. SBA 504 Loans The transaction includes 13 SBA 504 loans, totaling approximately $24.2 million or 8.2% of the aggregate 2024-2 collateral pool . These are owner-occupied, 1st lien CRE-backed loans, originated via the U.S. Small Business Administration's 504 loan program ('SBA 504') in conjunction with community development companies ('CDC'), made to small businesses, with the stated goal of community economic development. These 13 SBA 504 loans are fixed rate with 360 month original terms and are fully amortizing. The loans were originated between Sept 1, 2023 and February 29, 2024 via New Day which will also act as sub-servicer of the loans, The total outstanding principal balance as of the cutoff date is approximately $24.2 million, with an average balance of $1.86 million. The weighted average interest rate is 9.713%. The loans are subject to prepayment penalties of 5%,4%, 3%, 2% and 1% respectively in the first five years from origination. These loans are for properties which are owner-occupied by the small business owner. Weighted average loan to value is 46.599%. Weighted average debt service coverage ratio is 1.66x and the weighted average FICO of this sub-pool For these loans, Morningstar DBRS applied its Rating U.S. Structured Finance Transactions methodology, Small Business, Appendix (XVIII). As there is limited historical information for the originator, we utilized proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan to value, and market rank. These were input into our proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. Residential Mortgage-Backed Securities (RMBS) Methodology The collateral pool consists of 456 mortgage loans with a total balance of approximately $155.2 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. VERUS SECURITIZATION 2024-3: S&P Assigns B- (sf) on B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2024-3's mortgage-backed notes. The note issuance is an RMBS transaction backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,346 loans backed by 1,374 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. Of the 1,346 loans, seven are cross-collateralized loan backed by 35 properties. S&P said, "After we assigned preliminary ratings, the bond sizes for class M-1 was reduced and for class B-1 was increased. This resulted in a higher credit enhancement for class M-1. Additionally, the class B-1 note rate was determined at pricing to have a fixed coupon subject to a cap of the pool's net weighted average coupon. The ratings we assigned are unchanged from our preliminary ratings on all classes." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, prior credit events, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On Oct. 13, 2023, we updated our market outlook as it relates to the 'B' projected archetypal loss level, and therefore revised and lowered our 'B' foreclosure frequency to 2.50% from 3.25%, which reflects the level prior to April 2020, preceding the COVID-19 pandemic. The update reflects our benign view of the mortgage and housing markets as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting. Per our latest macroeconomic update, the U.S. economy continues to outperform expectations following consecutive quarters of contraction in the first half of 2022." Ratings Assigned Verus Securitization Trust 2024-3(i) Class A-1, $425,367,000: AAA (sf) Class A-2, $51,664,000: AA (sf) Class A-3, $91,273,000: A (sf) Class M-1, $49,942,000: BBB- (sf) Class B-1, $29,620,000: BB- (sf) Class B-2, $25,143,000: B- (sf) Class B-3, $15,844,550: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. VOYA CLO 2022-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2022-4, Ltd.'s reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2022-4, Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 92920LAC1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 92920LAE7 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 92920LAG2 LT PIFsf Paid In Full BBB-sf D-2 92920LAJ6 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 92920MAA3 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating X LT AAAsf New Rating TRANSACTION SUMMARY Voya CLO 2022-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC that originally closed in November 2022. The CLO secured notes will be refinanced in whole on Apr. 22, 2024 (the first refinancing date) from proceeds of new secured notes. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.73, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.91% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 77.12% versus a minimum covenant, in accordance with the initial expected matrix point of 74.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 'BBBsf' 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 X and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R; and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2022-4, 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. WARWICK CAPITAL 3: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Warwick Capital CLO 3 Ltd./Warwick Capital CLO 3 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 Warwick Capital CLO Management LLC--Management Series, a subsidiary of Warwick Capital Partner LLP. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Warwick Capital CLO 3 Ltd./Warwick Capital CLO 3 LLC Class A-1, $248.0 million: AAA (sf) Class A-2, $8.0 million: AAA (sf) Class B-1, $38.0 million: AA (sf) Class B-2, $10.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $14.0 million: BB- (sf) Subordinated notes, $38.1 million: Not rated WELLS FARGO 2016-C33: DBRS Confirms B(low) Rating on Cl. F Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C33 issued by Wells Fargo Commercial Mortgage Trust 2016-C33 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-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 Class X-D, Class D, Class X-E, Class E, Class X-F, and Class F to Negative from Stable. The trends on all remaining classes remain Stable. The trend changes reflect Morningstar DBRS' increased loss projections, primarily driven by the loans in special servicing, one of which reported an updated appraisal for the collateral property since the prior rating action, indicating further value decline. In the analysis for this review, Morningstar DBRS liquidated two of the three loans in special servicing, with cumulative projected losses totaling $12.2 million. Those losses would erode the non-rated Class G balance by approximately 40.0%, significantly reducing credit support to the lowest rated principal bonds in the transaction, supporting the Negative trends for those classes. The increased risks for the pool also include a sizeable concentration of loans secured by office properties, which represent 26.7% of the pool balance, including the largest loan on the servicer's watchlist, Brier Creek Corporate Center I & II (Prospectus ID#7; 3.8% of the pool), details of which are outlined below. Morningstar DBRS notes that a select number of those loans could see reduced commitment from the respective borrowers and/or face difficulty securing replacement financing as performance declines from issuance and softening market conditions have likely eroded property values. These factors further support the Negative trends assigned with this review. As of the March 2024 remittance, 67 of the original 79 loans remain in the pool, with a trust balance of $521.8 million, representing collateral reduction of 26.7% since issuance. To date, the trust has incurred less than $1.0 million of losses, which have been contained to the nonrated Class G certificate. Five loans, representing 7.0% of the pool balance, are on the servicer's watchlist and three loans, representing 5.9% of the pool balance are in special servicing. In addition, 15 loans, representing 18.5% of the pool balance, are fully defeased. The largest loan in special servicing, Omni Office Centre (Prospectus ID#10; representing 2.7% of the pool) is secured by two suburban Class B office buildings totaling 294,090 square feet (sf) in the Detroit suburb of Southfield, Michigan. The loan transferred to the special servicer in August 2022 for imminent default. The former largest tenant, Blue Cross Blue Shield (BCBS), which previously occupied approximately 40.0% of the net rentable area (NRA), vacated the property in January 2020, ahead of its June 2022 lease expiration date, but continued paying rent through the remainder of the lease term. BCBS' departure triggered a cash flow sweep; however, according to the servicer, funds were insufficient to cover the July 2022 payment and the loan defaulted at that time. The borrower was no longer willing to contribute additional capital toward the property and subsequently transitioned the asset to the lender. A receiver was appointed by the court in October 2023. According to an asset status report (ASR), dated February 2024, the property was 17.6% occupied, down from 81.0% at issuance. Given the steep decline in occupancy, net cash flow (NCF) and the debt service coverage ratio (DSCR) have remained negative over the last few reporting periods. A June 2023 appraisal valued the property at $8.1 million, lower than the October 2022 value of $9.5 million and a drastic 66.3% decline from the issuance appraised value of $24.0 million. In the analysis for this review, Morningstar DBRS maintained a conservative approach and applied a haircut to the most recent appraisal value, resulting in a loss severity in excess of 70.0%. The smallest loan in special servicing, Holiday Inn Express & Suites Columbia (Prospectus ID#30; 1.3% of the pool), is secured by a 73-room hotel located in Columbia, Tennessee. The loan transferred to the special servicer in May 2020 for imminent monetary default and the collateral has been real estate owned since May 2021. The lender has successfully executed an updated franchise agreement with InterContinental Hotels Group and has engaged a property management company to assist with stabilizing operations. The most recent servicer commentary notes that a property sale is expected to take place during the second quarter of 2024. A November 2023 appraisal valued the property at $9.0 million, slightly higher than the September 2022 appraisal value of $8.9 million but considerably lower than the issuance appraised value of $12.3 million. Morningstar DBRS' analysis includes a liquidation scenario based on a conservative stress to the most recent appraised value, resulting in a projected loss severity slightly below 30.0%. Brier Creek Corporate Center I & II, is secured by two Class B office buildings totaling 180,995 sf in Raleigh Park, North Carolina. The loan is being monitored for low occupancy and DSCR, following the departure of the two former largest tenants, Stock Building Supply (SBS) and UCB Biosciences (UCB), in 2020 and 2021, respectively. Those tenants cumulatively occupied 75.0% of the NRA. The loan was structured with a cash flow sweep in the event either SBS or UCB failed to extend their leases at least 12 months prior to the expiration date; however it is unlikely any meaningful cash was swept considering the loan has been reporting negative net cash flows since 2021. Per a September 2023 rent roll, Brier Creek 1 (90,488 sf) was 12.8% occupied and Brier Creek II (90,467) was 63.2% occupied, reflecting a blended occupancy rate of 37.9%. The top three tenants are Attindas Hygiene Partners (12.8% of combined NRA, lease expiring in March 2026), OnRamp Access (6.6% of NRA, lease expiring in January 2025), and ProKidney (4.3% of NRA, lease expiring in July 2027). The servicer noted that the borrower continues to market the property and despite cash flow strains, remains committed to the asset. According to Reis, office properties located in the Research Triangle Park submarket reported a Q4 2023 vacancy rate of 21.9%, compared with the Q4 2022 vacancy rate of 19.7%. Given the continued concerns with performance trends, lack of leasing activity, and the soft submarket, Morningstar DBRS expects a considerable decline in value for these assets. In the analysis for this review, Morningstar DBRS analyzed the loan with an elevated probability of default penalty and stressed loan-to-value ratio, resulting in an expected loss that was almost four times the pool average. One loan, 225 Liberty Street (Prospectus ID#3, 7.8% of the pool) is shadow-rated investment grade by Morningstar DBRS. The trust loan represents a portion of a $900 million whole loan secured by a 2.4 million sf office property located in the Downtown West submarket of Manhattan. The subject $40.5 million Note A-1F is part of the senior loan amount of $459 million, with the remainder of the whole loan in a subordinate B note securitized in the 225 Liberty Street Trust 2016-225L single asset single borrower (SASB) transaction, which is also rated by Morningstar DBRS. Notably, Morningstar DBRS placed all classes of the SASB transaction Under Review with Negative Implications in January 2024 as part of a larger rating action to address concerns with office property types. For further information on that rating action, please see the press release dated January 9, 2024 on the Morningstar DBRS website. The loan is sponsored by Brookfield Financial Properties, L.P. and benefits from the collateral property's stable occupancy rate since issuance, which has generally hovered between 90% and 95%. The in-place cash flows have declined, however, due to increased expenses from issuance. As the analysis for the Under Review action for the SASB transaction remains ongoing, the shadow rating for the subject debt was maintained with this review; however, Morningstar DBRS notes the results of that analysis, including any changes to the cap rate, Morningstar DBRS Net Cash Flow, or other inputs considered as part of the LTV sizing, could affect the shadow rating going forward. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2016-C34: DBRS Lowers Rating on 2 Tranches to Csf ------------------------------------------------------------- DBRS, Inc. downgraded credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C34 issued by Wells Fargo Commercial Mortgage Trust 2016-C34 as follows: -- Class D to B (sf) from B (high) (sf) -- Class E to C (sf) from CCC (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class A-3FX at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class B at A (high) (sf) -- Class C at BBB (high) (sf) -- Class G at C (sf) The trends on Classes B, C, D, and X-B were changed to Negative from Stable. Classes E, F, and G do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. All other classes have Stable trends. The credit rating downgrades to Classes D, E and F reflect increased loss projections for the loans in special servicing, primarily driven by the largest loan in the pool, Regent Portfolio (Prospectus ID#1, 12.0% of the pool). As of the March 2024 remittance, five loans, representing 18.6% of the pool, are in special servicing—three of which Morningstar DBRS liquidated from the pool, resulting in a cumulative projected loss approaching $30 million, which would erode the entirety of the balances on the nonrated Class H, Class G, and would result in the partial loss to Class F. The resulting credit deterioration, in addition to a number of loans identified by Morningstar DBRS as being at increased risk of maturity default, has contributed to the Negative trends placed on Classes B, C, D, and X-B. According to the March 2024 remittance, 62 of the original 68 loans remain in the pool, representing a 20.5% collateral reduction since issuance. Thirteen loans, representing 10.7% of the pool, have been fully defeased and 12 loans, representing 22.6% of the pool, are on the servicer's watchlist. The pool is primarily concentrated in retail and lodging properties, which represent 29.5% and 17.8% of the pool respectively, with office properties making up 13.3% of the pool. The largest loan in special servicing is secured by the Regent Portfolio, a portfolio of 13 buildings in New Jersey, New York, and Florida consisting of traditional office, medical office, and warehouse spaces. The loan sponsor is also the primary owner of the portfolio's largest tenant, Sovereign Medical Services Inc. The loan transferred to special servicing in June 2019 and the borrower filed for bankruptcy in February 2020. In February 2022, a consensual bankruptcy was agreed upon, whereby the borrower was given six months to pay off the loan, with the option of a three-month extension. Following the initial six-month period, the borrower did not exercise the extension option and as of January 2023, the loan became real estate owned. Since the loan's transfer to special servicing, three of the underlying properties have been sold at prices that, on average, fell to 46.9% lower than the respective issuance appraised values. Proceeds have reportedly been used to recover outstanding advances and pay past due debts. Updated appraised values for the remaining assets have not been provided, and the lack of updated financial reporting has made it difficult to determine current performance. Morningstar DBRS expects the disposition timeline for the remaining properties may be extended and proceeds are likely to fall short of the total loan exposure. In its analysis, Morningstar DBRS liquidated the loan, resulting in a projected loss severity approaching 35%. The second-largest loan in special servicing, Nolitan Hotel (Prospectus ID#8, 3.8% of the pool), is secured by a 57-room, full-service boutique hotel in New York City. The loan transferred to special servicing in December 2020 for payment default. At the time of the last credit rating action, the special servicer was dual tracking the loan for foreclosure; however, the borrower has recently submitted a proposal for reinstatement. The lender and borrower are currently working through a preferred equity structure, according to servicer commentary. The most recent appraised value, dated December 2022, valued the subject at $36.8 million, which is slightly less than the issuance value of $39.5 million. According to the trailing 12 months ended October 31, 2023, STR, the hotel's performance has not restabilized to pre- coronavirus pandemic levels. Despite this, the December 2022 appraised value suggests a low loan-to-value ratio of 57.2%, suggesting that the ultimate resolution may not result in a loss to the trust. However, given the history of default and underperformance, Morningstar DBRS maintained an elevated probability of default (POD) in its analysis, resulting in an expected loss (EL) that was more than 25% greater than the pool average. Outside of the loans in special servicing, Morningstar DBRS identified eight loans, representing 28.7% of the deal balance, as being at increased risk of default, exacerbated by concentrated rollover, performance declines, and submarket pressures. Where applicable, Morningstar DBRS increased the POD penalties for these loans. The WA EL for these loans was more than 9% higher than the WA EL for the pool. Should additionally loans default as they near maturity or should assets wallow in special servicing, Morningstar DBRS' loss projections may increase. Notes: All figures are in U.S dollars unless otherwise noted. WFRBS COMMERCIAL 2012-C10: DBRS Cuts Rating on Class D Certs to Csf ------------------------------------------------------------------- DBRS Limited downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2012-C10 issued by WFRBS Commercial Mortgage Trust 2012-C10 as follows: -- Class D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at AA (low) (sf) -- Class X-B at BBB (high) (sf) -- Class C at BBB (sf) -- Class E at C (sf) -- Class F at C (sf) Morningstar DBRS also changed the trends on Classes X-B and C to Stable. Classes D, E, and F no longer carry a trend given all are assigned credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) ratings. The credit rating downgrade reflects the increased loss projections for the four remaining loans in the pool, the largest of which is the only loan not currently in special servicing and is backed by an office property with declining performance. All specially serviced loans are past their maturity in 4Q 2022. At the last credit rating action in April 2023, Morningstar DBRS downgraded Classes E and F to C (sf). Morningstar DBRS' analysis was based on a liquidation scenario applied to the remaining loans in the pool, which resulted in approximately $89.1 million in total losses, which would result in full write down of the nonrated Class G, as well as Classes E and F, which are rated C (sf), and a partial write down of Class D, supporting the downgrade to C (sf) with this review. The projected losses remain contained to the lower portion of the remaining capital stack, with sufficient cushion deemed to be remaining for Classes B and C, supporting the Stable trends on these Classes. Since Morningstar DBRS' last surveillance review, two specially serviced loans, Animas Valley Mall (Prospectus ID#6) and Towne Mall (Prospectus ID#12), were liquidated from the trust at a cumulative realized loss of $10.5 million, which was contained to the unrated Class G certificate and was collectively lower than Morningstar DBRS' loss expectations for those two loans. In addition, an underperforming loan in Republic Plaza (Prospectus ID#1; 35.9% of the pool), was returned to the master servicer as a corrected mortgage with the loan maturity extended until March 2026. The largest loan in special servicing, Dayton Mall (Prospectus ID#3; 31.1% of the pool) is backed by a regional mall in Dayton, Ohio, and has reported performance declines since the peak of the COVID-19 pandemic, with debt service coverage ratios (DSCRs) reported well below breakeven for the past few years. The non-collateral anchors are an operational Macy's and a non-owned vacant Sears box that was recently sold to Crossroads Church based in Cincinnati. The collateral anchor tenant is JCPenney, which occupies 178,676 square feet (sf) (representing 22.9% of the collateral NRA), with other major tenants, including Morris Furniture, Dick's sporting Goods and Ross Dress for Less. Per recent leasing update provided by the servicer, DSW and Dick's Sporting Goods have extended their leases for another five years through 2028. The receiver is also working toward retaining existing tenants and increasing occupancy. Per a January 2024 rent roll, the occupancy rate has increased to 90.0%; however, Morningstar DBRS notes that the majority of the leases signed in 2023 are short term, and there is a significant number of lease expirations scheduled over the next 12 to 18 months. The August 2023 appraisal valued the property at $43.9 million, up slightly from the August 2022 value of $40.2 million; however, significantly lower than issuance value of $132 million. Morningstar DBRS maintained a stressed haircut to the most recent appraisal in a liquidation scenario, resulting in loss severity approaching 63%. The second remaining loan in special servicing, Rogue Valley Mall (Prospectus ID#5;19.9% of the pool) is secured by a mall in Medford, Oregon. The property was 82.7% occupied per September 2023 financials with a DSCR of 1.13 times (x), down from 92.9% occupancy and 1.39x DSCR in YE2021. The special servicer is currently dual-tracking foreclosure while continuing negotiations with the borrower regarding a possible extension to allow time to refinance the loan. The largest collateral tenant is JCPenney (18.9% of NRA, lease expiry October 2026). Noncollateral tenants include Macy's and Kohl's. The property was reappraised in February 2023 for an appraised value of $32.5 million, which represents a 59.4% decline from the issuance value of $80.0 million. Morningstar DBRS' analysis included a liquidation scenario based on a stress to the most recent appraised value, resulting in a projected loss severity exceeding 50%. The largest loan in the pool, Republic Plaza, is secured by a 1.3 million-sf, Class A office property in downtown Denver. The building also features 48,371 sf of ground-floor retail space. The loan transferred to special servicing in November 2022 for imminent default. A modification was finalized in June 2023, the terms of which included an extension of the maturity date to March 2026 and a change to interest-only debt service payments through the extended term. The loan transferred back to the master servicer as a corrected mortgage, which also called for the loan to be cash managed through maturity. The borrower also made a principal payment of $6 million and contributed equity to the leasing reserve. According to the March 2024 loan-level reserve report, the loan had approximately $20.3 million held between replacement and leasing reserves. The property has been reporting occupancy declines for the past several years because of tenant departures and downsizing with additional leases scheduled to roll by YE2024. Per the YE2023 financials, the DSCR was reported at 1.16x with an occupancy rate of 67%, down from the YE2022 occupancy rate of 79% and DSCR of 1.29x. At last review, Morningstar DBRS had projected the occupancy to decline based on high rollover and tenant downsizing in 2023. The largest tenant, Ovintiv USA Inc., is giving back approximately 72,000 sf while extending its remaining 18.8% of the NRA through April 2026. Per the Cushman and Wakefield website, there is approximately 371,933 sf (27.8% of the NRA) being marketed for lease at an average rental rate of $28 per sf (psf). As per Reis, office properties in the Central Business District submarket reported a vacancy rate of 25.0% with an average effective rental rate of $34.9 psf as of YE2023. The December 2022 appraisal value of $298.1 million represents a 44.3% decline from the issuance value of $535.4 million. Although the loan has been modified and is back with the master servicer, Morningstar DBRS believes a loss at resolution remains likely. As such, the loan was analyzed with a liquidation scenario, which is based on a stressed haircut to the most recent appraised value given the upcoming tenant rollover, resulting in a loss severity approaching 17%. Using these value estimates, Morningstar DBRS concluded that there are likely to be sufficient funds to repay classes B and C, with losses affecting Classes D, E, F, and G. Morningstar DBRS notes that given the pool concentration and prior default of the remaining loans, there is increased propensity of interest shortfalls for investment-grade rated bonds. Should the performance of the assets deteriorate further and vacancies remain unfilled, Morningstar DBRS' value estimates may be reduced, and classes could be subject to downgrade pressure. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Fitch Gives Various Ratings 3 Wells Fargo Transactions ---------------------------------------------------------- Fitch Ratings, on April 22, 2024, has affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2018-C43 (WFCM 2018-C43) and 14 classes of Wells Fargo Commercial Mortgage Trust 2018-C45 (WFCM 2018-C45) transactions. Fitch has revised the Rating Outlooks for classes E and F in WFCM 2018-C43 to Negative from Stable. Fitch has also downgraded two classes and affirmed 13 classes of Wells Fargo Commercial Mortgage Trust 2018-C44 (WFCM 2018-C44). Fitch assigned a Negative Outlook to class E-RR following the downgrade and revised the Outlooks to Negative from Stable for classes A-S, B, X-B, C, D and X-D. Entity/Debt Rating Prior ----------- ------ ----- Wells Fargo Commercial Mortgage Trust 2018-C45 A-3 95001NAX6 LT AAAsf Affirmed AAAsf A-4 95001NAY4 LT AAAsf Affirmed AAAsf A-S 95001NBB3 LT AAAsf Affirmed AAAsf A-SB 95001NAW8 LT AAAsf Affirmed AAAsf B 95001NBC1 LT AAsf Affirmed AAsf C 95001NBD9 LT A-sf Affirmed A-sf D 95001NAC2 LT BBBsf Affirmed BBBsf E-RR 95001NAE8 LT BBB-sf Affirmed BBB-sf F-RR 95001NAG3 LT BBsf Affirmed BBsf G-RR 95001NAJ7 LT Bsf Affirmed Bsf H-RR 95001NAL2 LT CCCsf Affirmed CCCsf X-A 95001NAZ1 LT AAAsf Affirmed AAAsf X-B 95001NBA5 LT A-sf Affirmed A-sf X-D 95001NAA6 LT BBBsf Affirmed BBBsf WFCM 2018-C43 A-3 95001LAT9 LT AAAsf Affirmed AAAsf A-4 95001LAU6 LT AAAsf Affirmed AAAsf A-S 95001LAX0 LT AAAsf Affirmed AAAsf A-SB 95001LAS1 LT AAAsf Affirmed AAAsf B 95001LAY8 LT AAsf Affirmed AAsf C 95001LAZ5 LT A+sf Affirmed A+sf D 95001LAC6 LT BBB-sf Affirmed BBB-sf E 95001LAE2 LT BB-sf Affirmed BB-sf F 95001LAG7 LT B-sf Affirmed B-sf X-A 95001LAV4 LT AAAsf Affirmed AAAsf X-B 95001LAW2 LT A+sf Affirmed A+sf X-D 95001LAA0 LT BBB-sf Affirmed BBB-sf WFCM 2018-C44 A-2 95001JAT4 LT AAAsf Affirmed AAAsf A-3 95001JAU1 LT AAAsf Affirmed AAAsf A-4 95001JAW7 LT AAAsf Affirmed AAAsf A-5 95001JAX5 LT AAAsf Affirmed AAAsf A-S 95001JBA4 LT AAAsf Affirmed AAAsf A-SB 95001JAV9 LT AAAsf Affirmed AAAsf B 95001JBB2 LT AA-sf Affirmed AA-sf C 95001JBC0 LT A-sf Affirmed A-sf D 95001JAC1 LT BBB-sf Affirmed BBB-sf E-RR 95001JAE7 LT BB-sf Downgrade BB+sf F-RR 95001JAG2 LT CCCsf Downgrade B-sf G-RR 95001JAJ6 LT CCCsf Affirmed CCCsf X-A 95001JAY3 LT AAAsf Affirmed AAAsf X-B 95001JAZ0 LT AA-sf Affirmed AA-sf X-D 95001JAA5 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 4.5% in WFCM 2018-C43, 8.1% in WFCM 2018-C44 and 4.8% in WFCM 2018-C45. Fitch Loans of Concerns comprise four loans (12.1% of the pool) in WFCM 2018-C43, 11 loans (32.9%) in WFCM 2018-C44 including four specially serviced loans (14.7%) and 10 loans (26%) in WFCM 2018-C45 including one specially serviced loan (6.9%). Affirmations and Stable Outlooks in WFCM 2018-C43 and WFCM 2018-C45 reflect generally stable performance since Fitch's prior rating action. The revisions to Outlook Negative from Stable for classes E and F in WFCM 2018-C43 reflect the office exposure in the pool (29.4%). The downgrades to classes E-RR and F-RR and Negative Outlooks on classes A-S, B, X-B, C, D, X-D and E-RR in WFCM 2018-C44 reflect new transfers to special servicing, uncertainty of recoveries and office exposure in the pool (10 loans, 34.7%). The two largest contributors to overall loss expectations in the WFCM 2018-C43 transaction are both loans secured by office properties. Southpoint Office Center (FLOC, 5.4%), considered a FLOC given the low NOI DSCR and high vacancy, is comprised of a 14-story, Class A, LEED Silver certified office tower in Bloomington, MN. Wells Fargo (previously 18% of NRA) vacated in 2020 at lease expiration significantly decreasing the base rent for the property. Per the September 2023 rent roll, the property vacancy rate was 31.7% and the weighted average rent PSF was $14.20. Fitch's base case 'Bsf' ratings case loss of 33% (prior to concentration add-ons) reflects a 10% stress to the YE 2023 NOI and an increased probability of default. The second largest contributor to expected loss is 35 Waterview Boulevard (FLOC, 3.2%), considered a FLOC given the low NOI DSCR and high vacancy, is secured by a 172,498-sf suburban office property located in Parsippany, NJ. Occupancy continues to decrease dropping to 72% as of YE 2023 from 76% at YE 2022 and 87% at YE 2020. The fourth largest tenant, Citrix Systems (6.1% of NRA), vacated at lease expiration November 2022 and FYI Systems Inc. (3.3% of NRA) vacated at lease expiration January 2023. Both spaces remain vacant. Nuwave Investment Management (4.1% of NRA) vacated at lease expiration February 2023; the space was re-leased, but the new tenant is paying lower rent. Fitch's base case 'Bsf' ratings case loss of 34% (prior to concentration add-ons) reflects a stress to the YE 2023 NOI, which is 44% below YE 2022, and an increased probability of default. The largest contributors to overall loss expectations in the WFCM 2018-C44 transaction are all specially serviced loans, including two transfers since Fitch's last rating action. Dulaney Center (FLOC, 6.2%) transferred to special servicing in October 2023 for imminent monetary default. The loan is secured by a 316,348-sf, two-building suburban office center located in Towson, MD. Occupancy and cash flow have been declining since 2019 as a result of lease rollovers. The YE 2022 NOI was 27% below YE 2019, and as of June 2023 the property was 67% occupied. Per CoStar, the Towson office submarket had an 11.5% vacancy rate, 14.5% availability rate and $22.50 market asking rent. The subject property was 33% vacancy with average in-place rents of $28.67. Fitch's base case 'Bsf' ratings case loss of 30% (prior to concentration add-ons) reflects a 10% stress to the YE 2022 NOI and a 10% cap rate. The second and third largest contributors to expected losses are two New York City properties. 1442 Lexington Ave (FLOC, 1.6%) transferred to special servicing in May 2020. The loan is secured by a 17-unit, seven story multifamily property located on the Upper East Side/Carnegie Hill in Manhattan. The special servicer continues to pursue a foreclosure strategy. Fitch's base case 'Bsf' ratings case loss of 74% (prior to concentration add-ons) reflects a haircut to the most recent appraisal value. Prince and Spring Street Portfolio (FLOC, 4.1%) transferred to special servicing in December 2020 due to pandemic related hardship. The lender continues to pursue foreclosure. The collateral is a portfolio of three mixed-use retail/multifamily properties located in the NoLita neighborhood of Manhattan. As of the September 2023 rent roll, the portfolio occupancy was 95.7%. Fitch's base case 'Bsf' ratings case loss of 25% (prior to concentration add-ons) reflects a haircut to the most recent appraisal value. The fourth largest contributor to expected loss is 3200 North First Street (FLOC, 2.7%) which transferred to special servicing in December 2023 for imminent default. The loan is secured by an 85,017-sf office and flex-industrial property located in San Jose, CA which is 100% vacant. NIO USA, Inc., vacated at lease expiration in September 2023. NIO USA, Inc. utilized the space as its North American headquarters and recently moved to the Broadcom Building which is approximately 0.3 miles away. Fitch's base case 'Bsf' ratings case loss of 24% (prior to concentration add-ons) reflects a dark value analysis. Two FLOCs secured by office properties in WFCM 2018-C45 have the potential for future increases in expected losses. The largest contributor to overall loss expectations in is Parkway Center (FLOC, 6.9%) which transferred to special servicing in November 2022 after the borrower sent a proposal for a loan modification. The loan is secured by a six-building, 588,913-sf suburban office park property in Pittsburgh, PA. Per the September 2023 rent roll, occupancy was 64% compared to 58% at YE 2022 and 80% at YE 2021. Occupancy has declined due to two large tenants, McKesson (8.3% of the NRA) and Alorica (6.5%), vacating. Per the September 2023 rent roll, rollover included 11.2% of NRA in 2024, 2% in 2025 and 2.4% in 2026. Per the servicer, the lender executed a whole building lease with Allegheny County for 40,000-sf for a 15-year term starting at $24.80 psf with occupancy starting in January 2025. This would bring occupancy to approximately 71% based on the September 2023 rent roll. Fitch's base case 'Bsf' ratings case loss of 23% (prior to concentration add-ons) reflects a haircut to the most recent appraisal value. The fourth largest contributor to overall loss expectations in WFCM 2018-C45 is 5800 North Course Office (FLOC, 1.1%), a fully vacant 78,450-sf suburban office building located in Houston, TX previously occupied by Altran Financial LP on a lease through December 2025. Per CoStar, the property is 100% vacant and YE 2022 NOI declined sharply to 91% below YE 2021. The loan was returned from the special servicer effective January 2024 and has been reinstated and is current as of March 2024. The loan initially transferred to special servicing in January 2022 due to litigation issues. Fitch's base case 'Bsf' ratings case loss of 25% (prior to concentration add-ons) reflects a haircut to the most recent appraisal value. Defeasance: The WFCM 2018-C43 transaction includes 10 loans (11.7% of the pool) that have fully defeased, while WFCM 2018-C44 has four defeased loans (5.5% of the pool), and WFCM 2018-C45 has six defeased loans (5.7%). Change to Credit Enhancement: As of the March 2024 remittance report, the aggregate balances of the WFCM 2018-C43, WFCM 2018-C44 and WFCM 2018-C45 transactions have been reduced by about 13.8%, 5.9% and 10.5%, respectively, since issuance. Loan maturities are concentrated in 2028 with 38 loans for 86.3% of the pool in WFCM 2018-C43, 36 loans for 97.2% of the pool in WFCM 2018-C44 and 38 loans for 100% of the pool in WFCM 2018-C45. Interest Shortfalls: Interest shortfalls of about $95,200 are affecting the non-rated class G in WFCM 2018-C43, $2 million are affecting the non-rated H-RR class in WFCM 2018-C44 and $287,500 are affecting the non-rated J-RR class in WFCM 2018-C45. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the specially serviced loans or significant increases in exposure, limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Elevated risk office loans include Southpoint Office Center and 35 Waterview Boulevard in WFCM 2018-C43 and Parkway Center and 5800 North Course Office in WFCM 2018-C45. Of concern in WFCM 2018-C-44 are the specially serviced Dulaney Center, 1442 Lexington Ave, Prince and Spring Street Portfolio and 3200 North First Street loans. Downgrades to distressed classes would occur should additional loans transfer to special servicing and/or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Fitch Lowers 19 Classes on 3 US CMBS BMARK 2019 Vintage Deals ----------------------------------------------------------------- Fitch Ratings has downgraded 19 and affirmed 29 classes from three U.S. CMBS 2019 vintage conduit transactions in the Benchmark shelf. The Rating Outlooks for 14 classes across the three transactions were revised to Negative from Stable, and 13 classes were assigned Negative Outlooks following their rating downgrades. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2019-B12 A-2 08162FAB9 LT AAAsf Affirmed AAAsf A-3 08162FAC7 LT AAAsf Affirmed AAAsf A-4 08162FAD5 LT AAAsf Affirmed AAAsf A-5 08162FAF0 LT AAAsf Affirmed AAAsf A-AB 08162FAE3 LT AAAsf Affirmed AAAsf A-S 08162FAG8 LT AAAsf Affirmed AAAsf B 08162FAH6 LT AA-sf Affirmed AA-sf C 08162FAJ2 LT BBBsf Downgrade A-sf D 08162FAN3 LT BB+sf Downgrade BBBsf E 08162FAP8 LT BB-sf Downgrade BBB-sf F-RR 08162FAQ6 LT B-sf Downgrade BB-sf G-RR 08162FAR4 LT CCCsf Downgrade B-sf X-A 08162FAK9 LT AAAsf Affirmed AAAsf X-B 08162FAL7 LT BBBsf Downgrade A-sf X-D 08162FAM5 LT BB-sf Downgrade BBB-sf BMARK 2019-B13 A-1 08162DAA6 LT AAAsf Affirmed AAAsf A-2 08162DAB4 LT AAAsf Affirmed AAAsf A-3 08162DAD0 LT AAAsf Affirmed AAAsf A-4 08162DAE8 LT AAAsf Affirmed AAAsf A-M 08162DAG3 LT AAAsf Affirmed AAAsf A-SB 08162DAC2 LT AAAsf Affirmed AAAsf B 08162DAH1 LT AA-sf Affirmed AA-sf C 08162DAJ7 LT A-sf Affirmed A-sf D 08162DAR9 LT BBBsf Affirmed BBBsf E 08162DAT5 LT BBsf Downgrade BBB-sf F 08162DAV0 LT Bsf Downgrade BB-sf G-RR 08162DAX6 LT CCCsf Downgrade B-sf X-A 08162DAF5 LT AAAsf Affirmed AAAsf X-B 08162DAK4 LT A-sf Affirmed A-sf X-D 08162DAM0 LT BBsf Downgrade BBB-sf X-F 08162DAP3 LT Bsf Downgrade BB-sf Benchmark 2019-B11 A-2 08162BBB7 LT AAAsf Affirmed AAAsf A-3 08162BBC5 LT AAAsf Affirmed AAAsf A-4 08162BBD3 LT AAAsf Affirmed AAAsf A-5 08162BBE1 LT AAAsf Affirmed AAAsf A-S 08162BBJ0 LT AAAsf Affirmed AAAsf A-SB 08162BBF8 LT AAAsf Affirmed AAAsf B 08162BBK7 LT AA-sf Affirmed AA-sf C 08162BBL5 LT A-sf Affirmed A-sf D 08162BAJ1 LT BB+sf Downgrade BBBsf E 08162BAL6 LT B+sf Downgrade BBsf F 08162BAN2 LT CCCsf Downgrade Bsf G 08162BAQ5 LT CCsf Downgrade CCCsf X-A 08162BBG6 LT AAAsf Affirmed AAAsf X-B 08162BBH4 LT A-sf Affirmed A-sf X-D 08162BAA0 LT B+sf Downgrade BBsf X-F 08162BAC6 LT CCCsf Downgrade Bsf X-G 08162BAE2 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' ratings case losses are 5.46% in BMARK 2019-B11, 4.49% in BMARK 2019-B12 and 4.90% in BMARK 2019-B13, each of which have increased since Fitch's prior rating action. Across the three transactions, Fitch has identified 33 loans as Fitch Loans of Concern (FLOCs) due to performance declines, major tenant vacancy and lease rollover concerns. The weighted-average concentration of FLOCs is 27.8% (ranging from 26.5% to 28.4%). Across the three transactions, six loans are in special servicing, which include three (6.6% of the pool) loans in BMARK 2019-B11; one loan in BMARK 2019-B12 (0.8%); and two loans (2.0%) in BMARK 2019-B13. Downgrades reflect increased pool loss expectations across the three transactions driven by performance deterioration of FLOCs, most notably for the 57 East 11th Street (1.9%), Weston I &II (4.6%), and Central Tower Office (3.3%) loans in BMARK 2019-B11, the 250 Livingston loan in BMARK 2019-B12 and hotel loans Delta Hotels Chesapeake Norfolk (1.6%) and Hotel Indigo Birmingham (1.0%) in BMARK 2019-B13. Seven of the downgraded classes were from BMARK 2019-B11, which has a FLOC concentration of 28.3%. The largest contributors to expected loss are the two specially serviced loans, Greenleaf at Howell (2.4%) and 57 East 11th Street (1.9%), as well as the performing Weston I &II (4.6%). The Outlook revisions to Negative from Stable in BMARK 2019-B11 reflect the high concentration of office loans within the pool (45.0%) with multiple loans with major tenant rollover, occupancy declines and softening submarket conditions. Without performance stabilization of the FLOCs including office loans with major tenant departures, downgrades of one category or more are possible. Seven of the downgraded classes were from BMARK 2019-B12, which has a FLOC concentration of 28.4%. The largest contributors to expected loss are 250 Livingston (4.4%), Woodlands Mall (6.7%) and the specially serviced Greenleaf at Howell (0.8%). The Outlook revision to Negative from Stable in BMARK 2019-B12 reflect the overall office concentration of 27.1%, major tenant departure for the 250 Livingston loan and the potential for further declines in performance, as well as rollover concerns with additional office loans in the pool. Downgrades of up to one category are possible. An additional five of the downgraded classes were from BMARK 2019-B13, which has a FLOC concentration of 26.5%. The largest contributors to loss are Sunset North (8.0%), 900 & 990 Steward Avenue (4.8%) and specially serviced loan Hotel Indigo Birmingham (1.0%). The Outlook revisions to Negative from Stable in BMARK 2019-B13 reflect the overall office concentration of 27.3%, deteriorating hotel performance (Delta Hotel Chesapeake Norfolk and Hotel Indigo Birmingham) with refinance concerns for loans with near-term maturities coupled with major tenant lease expirations (Northpoint Tower and The BC Remedy Building, combined 3.7%). Fitch Loans of Concern The 250 Livingston loan in the BMARK 2019-B12 transaction is secured by a 370,305-sf office property located in Brooklyn, NY that was built in 1910 and renovated in 2013. The largest tenant at the property, The City of New York (92.5% of NRA) has exercised its option to terminate the lease by the end of August 2025. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 21.6% factors a higher probability of default to account for the expected departure of the largest tenant coupled with weakening market conditions with CoStar reporting a vacancy rate of 19.5% in the Downtown Brooklyn office submarket. The 57 East 11th Street loan in the BMARK 2019-B11 transaction is secured by a 64,460-sf office building located in the Greenwich Village neighborhood of New York City. The property was formerly 100% occupied by WeWork. The servicer noted that WeWork stopped paying rent in October 2023 and is no longer operating at the subject after rejecting the lease during bankruptcy proceedings. The loan transferred to special servicing in February 2024 due to payment delinquency. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 34.1% reflects a higher probability of default due to the fully vacated space and loan default. The Greenleaf at Howell loan in the BMARK 2019-B11 and BMARK 2019-B12 transactions is secured by a 228,545-sf retail property located in Howell, NJ that was built in 2014. The loan transferred to special servicing in September 2020. A loan modification has been executed. As of April 2024, the loan status is current. The property's second largest tenant, Xscape Cinemas (25.0% of the NRA), vacated the property prior to lease expiration. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 47.7% reflects a discount to the most recently reported appraisal value equating to a stressed value of $127 psf. WeWork Exposure: In addition to the 57 East 11th Street loan noted above, the Sunset North loan in the BMARK 2019-B13 transaction has exposure to WeWork. The loan is secured by a 464,061-sf office building in Bellevue, WA with WeWork as the third largest tenant accounting for 17% of the square footage. Near-term Maturities: The BMARK 2019-B11 transaction has three loans totaling $85.7 million (8.1%) with a loan maturity in 2024, which include specially serviced loan Hilton Melbourne (2.3%). The BMARK 2019-B12 transaction has seven loans totaling $276.9 million (20.0%) with a loan maturity in 2024, three of which are secured by office properties (10.8%). The BMARK 2019-B13 transaction has six loans totaling $104.5 million (11.2%) with a loan maturity in 2024, which include the 47 Clinton Street loan (0.9%) that transferred to special servicing in January 2024 for maturity default. A forbearance was executed in March 2024. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance including 250 Livingston, 57 East 11th Street, Weston I &II, Central Tower Office, and/or with greater certainty of losses on the specially serviced loans and/or other FLOCs. Downgrades to distressed ratings of 'CCCsf' through 'CCsf' would occur should additional loans transfer to special servicing and/or default, as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' through 'CCsf' are not expected, but possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Fitch Withdraws Ratings in 9 CDOs/CMBS Deals ------------------------------------------------ Fitch Ratings, on April 17, 2024, downgraded nine and affirmed 53 distressed classes from nine transactions, including two multiborrower CMBS, three CREL CDOs and four CRE CDOs with exposure to CMBS. Fitch has also subsequently withdrawn all ratings in these nine transactions. The Entities involved are: - Credit Suisse Commercial Mortgage Trust Series 2008-C1 - Crest 2004-1, Ltd./Corp. - Nomura CRE CDO 2007-2, Ltd./LLC - Gramercy Real Estate CDO 2005-1, Ltd./LLC - CT CDO IV Ltd. - Credit Suisse First Boston Mortgage Securities Corp. 2004-C3 - Sorin Real Estate CDO I, Ltd./Corp. - Anthracite 2004-HY1 Ltd. / Corp. - CapitalSource Real Estate Loan Trust 2006-A A list of the Affected Ratings is available at: https://tinyurl.com/4smuvej5 Fitch has withdrawn the ratings as they are no longer considered by Fitch to be relevant to the agency's coverage due to the transaction no longer being outstanding, no collateral remaining or significant undercollateralization of the remaining classes. KEY RATING DRIVERS The downgrades to 'Dsf' from 'Csf' in Sorin Real Estate CDO I reflect these classes incurring a partial or full principal loss following the sale and liquidation of the remaining collateral. The trustee provided notice of an event of default dated as of June 21, 2023 and notice of an acceleration, liquidation and suspension of payments dated as of Sept. 1, 2023. A majority of the notes of the senior class directed the trustee to declare the principal, and accrued and unpaid interest on all of the notes to be immediately due and payable. A majority of the notes of the senior class also directed the trustee to sell and liquidate the collateral. The downgrades to 'Dsf' from 'Csf' in Anthracite 2004-HY1 reflect no remaining collateral to repay the outstanding classes' balance. The downgrades to 'Dsf' from 'Csf' in Credit Suisse Commercial Mortgage Trust Series 2008-C1 reflect these classes incurring a partial or full principal loss following the resolution of the last remaining REO Killeen Mall asset, which was liquidated with a $51.1 million loss (nearly 64% loss severity on the original $82 million loan balance). Classes affirmed at 'Csf' indicate default is considered inevitable; these classes are undercollateralized. Classes affirmed at 'Dsf' indicate they are non-deferrable classes that have experienced interest payment shortfalls. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Negative rating sensitivities do not apply as the ratings have been withdrawn. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Positive rating 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. 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. Following the withdrawal of the ratings for these transactions, Fitch will no longer be providing the associated ESG Relevance Scores. [*] Moody's Raises 9 Note Classes From 6 National Collegiate Trusts ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of nine classes of notes in six National Collegiate Student Loan Trust (NCSLT) securitizations backed by private (i.e. not government-guaranteed) student loans. The loans are serviced primarily by the Pennsylvania Higher Education Assistance Agency (PHEAA) with U.S. Bank National Association acting as the special servicer. The administrator for all NCSLT securitizations is Goal Structured Solutions, Inc. Moody's has also upgraded the ratings of Class 6-A-1 and Class 6-A-IO certificates in Student Loan ABS Repackaging Trust, Series 2007-1 (SLART 2007-1). Deutsche Bank Trust Company Americas is the administrator and indenture trustee for this SLART transaction. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. Complete rating action is as follows: Issuer: National Collegiate Student Loan Trust 2005-3 Cl. A-5-1, Upgraded to Baa3 (sf); previously on Jan 12, 2018 Confirmed at B1 (sf) Cl. A-5-2, Upgraded to Baa3 (sf); previously on Jan 12, 2018 Confirmed at B1 (sf) Cl. B, Upgraded to Ca (sf); previously on Jan 12, 2018 Downgraded to C (sf) Issuer: National Collegiate Student Loan Trust 2006-1 Cl. A-5, Upgraded to B2 (sf); previously on Jan 12, 2018 Downgraded to Caa1 (sf) Issuer: National Collegiate Student Loan Trust 2006-3 Cl. A-5, Upgraded to Baa3 (sf); previously on Jan 12, 2018 Downgraded to B2 (sf) Cl. B, Upgraded to Caa3 (sf); previously on Jun 3, 2013 Downgraded to C (sf) Issuer: National Collegiate Student Loan Trust 2006-4 Cl. A-4, Upgraded to Ba3 (sf); previously on Aug 23, 2019 Upgraded to B2 (sf) Issuer: National Collegiate Student Loan Trust 2007-1 Cl. A-4, Upgraded to B1 (sf); previously on Jan 12, 2018 Downgraded to Caa2 (sf) Issuer: National Collegiate Student Loan Trust 2007-2 Cl. A-4, Upgraded to Caa1 (sf); previously on Jan 12, 2018 Downgraded to Caa2 (sf) Issuer: Student Loan ABS Repackaging Trust, Series 2007-1 Cl. 6-A-1, Upgraded to Baa3 (sf); previously on Jan 12, 2018 Confirmed at B1 (sf) Cl. 6-A-IO*, Upgraded to Baa3 (sf); previously on Jan 12, 2018 Confirmed at B1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The upgrades in NCSLT securitizations are primarily driven by the continued build-up in credit enhancement as a result of the rapid pay down of the senior notes due to sequential pay structures. For these tranches, subordination and overcollateralization supporting the notes have increased, allowing the tranche to achieve higher rating levels. The rating actions also considered the significant uncertainty related to the high litigation risk faced by the transactions, given potential negative impact from extraordinary fees charged to the trusts, the potential deterioration in performance of underlying pools due to servicer transfer, a significant restriction on NCSLT's ongoing ability to enforce debt obligations, implementation of the monetary penalty as outlined in the CFPB proposed consent judgment, and further disgorgement of prior recoveries from current cash flow. Moody's expected lifetime default as a percentage of original pool balance ranges from 40.25% to 56.50%. The default expectation reflects updated performance trends on the underlying pools. The rating upgrades of SLART 2007-1, Class 6-A-1 and Class 6-A-IO certificates reflect upgrades to the underlying securities from NCSLT 2005-3. 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. Methodology Underlying the Rating Action: The principal methodology used in rating all deals except Student Loan ABS Repackaging Trust, Series 2007-1 and interest-only classes was "Moody's Approach to Rating US Private Student Loan-Backed Securities" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Among the factors that could drive the ratings up are lower defaults and net losses on the underlying student loan pools than Moody's expects as well as positive outcome for trusts with regard to mentioned lawsuits. Down Among the factors that could drive the ratings down are higher defaults and net losses on the underlying student loan pools than Moody's expects as well as negative outcome for trusts with regard to mentioned lawsuits. [*] Moody's Takes Action on $153MM of US RMBS Issued 2021-2022 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 61 bonds from three US residential mortgage-backed transactions (RMBS). Citigroup Mortgage Loan Trust 2022-INV1 is backed by almost entirely agency eligible investor (INV) mortgage loans. RATE Mortgage Trust 2022-J1 is backed by prime jumbo mortgage loans. Rate Mortgage Trust 2021-HB1 is backed by agency eligible high balance mortgage loans. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2022-INV1 Cl. A-4, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4A, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4B, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO1*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO1W*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO2*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO2W*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IO3*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4-IOX*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4W, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO1*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO1W*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO2*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO2W*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO3*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-5-IOX*, Upgraded to Aaa (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1-IO*, Upgraded to Aa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1-IOW*, Upgraded to Aa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1-IOX*, Upgraded to Aa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1W, Upgraded to Aa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned A3 (sf) Cl. B-2-IO*, Upgraded to A2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned A3 (sf) Cl. B-2-IOW*, Upgraded to A2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned A3 (sf) Cl. B-2-IOX*, Upgraded to A2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned A3 (sf) Cl. B-2W, Upgraded to A2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-3-IO*, Upgraded to Baa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-3-IOW*, Upgraded to Baa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-3-IOX*, Upgraded to Baa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-3W, Upgraded to Baa2 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Feb 9, 2022 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Feb 9, 2022 Definitive Rating Assigned B3 (sf) Issuer: Rate Mortgage Trust 2021-HB1 Cl. A-31, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-34, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-35, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-36, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-32*, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-33*, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-34*, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-35*, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-36*, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-37*, Upgraded to Aaa (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-X-1, Upgraded to Aa2 (sf); previously on Dec 14, 2021 Definitive Rating Assigned Aa3 (sf) Issuer: RATE Mortgage Trust 2022-J1 Cl. A-1, Upgraded to Aaa (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-2, Upgraded to Aaa (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-3, Upgraded to Aaa (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-17, Upgraded to Aaa (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-18, Upgraded to Aaa (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-19, Upgraded to Aaa (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Feb 4, 2022 Definitive Rating Assigned B3 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Feb 4, 2022 Definitive Rating Assigned Aa3 (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 Ratings updated loss expectations on the underlying pools. 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. Rate Mortgage Trust 2021-HB1 and RATE Mortgage Trust 2022-J1 feature a structural deal mechanism that the servicer and the securities administrator will not advance principal and interest to loans that are 120 days or more delinquent. The interest distribution amount will be reduced by the interest accrued on the stop advance mortgage loans (SAML) and this interest reduction will be allocated reverse sequentially first to the subordinate bonds, then to the senior support bond, and then pro-rata among senior bonds. Once a SAML is liquidated, the net recovery from that loan's liquidation is included in available funds and thus follows the transaction's priority of payment. The recovered accrued interest on the loan is used to repay the interest reduction incurred by the bonds that resulted from that SAML. Elevated delinquency levels in these transactions will increase the risk of interest shortfalls due to stop advancing. 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 transactions' originators and servicers. 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 Ratings 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 Ratings 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 $80.5MM of US RMBS Issued 2005-2007 -------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: RASC Series 2005-KS12 Trust Cl. M-3, Upgraded to Aaa (sf); previously on Jun 29, 2023 Upgraded to Baa1 (sf) Issuer: RASC Series 2007-KS2 Trust Cl. A-I-4, Upgraded to Baa1 (sf); previously on Jun 29, 2023 Upgraded to B2 (sf) Cl. A-II, Upgraded to Baa2 (sf); previously on Jun 29, 2023 Upgraded to Ba2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's Ratings updated loss expectations on the underlying pools. The rating upgrades are a result of 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 and credit enhancement. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's Ratings 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 Ratings expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 249 Classes From 60 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 249 ratings from 60 U.S. RMBS transactions issued between 2000 and 2006. The review yielded 207 withdrawals, 40 affirmations, and two discontinuances. A list of Affected Ratings can be viewed at: https://rb.gy/d2hh6w 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 missed interest payments or interest shortfalls; -- Available subordination and/or overcollateralization; and -- A small loan count. 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. "We withdrew our ratings on 207 classes from 51 transactions due to the small number of loans remaining in the related group or structure. 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 | Structured Finance | General: Global Methodology For Rating Interest-Only Securities," published April 15, 2010, on seven classes and our principal-only criteria, "Criteria | Structured Finance | RMBS: Methodology For Surveilling U. S. RMBS Principal-Only Strip Securities For Pre-2009 Originations," published Oct. 11, 2016, on seven classes, which resulted in rating withdrawals. "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." [*] S&P Takes Various Actions on 49 Classes From 20 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 49 ratings from 20 U.S. RMBS transactions issued between 2001 and 2007. The review yielded two upgrades, five downgrades, two withdr*awals, and 40 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/sqveza 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; -- An increase or decrease in available credit support; -- Available subordination and/or overcollateralization; -- Expected duration; -- A small loan count; -- Reduced interest payments due to loan modifications; and -- Payment priority. 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. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than S&P had previously anticipated. Most of these classes are also receiving all of the principal payments or are next in the payment priority when the more senior class pays down. 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. "We lowered our ratings on five classes from four transactions that 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 addition, we withdrew our ratings on two classes from one transaction due to the small number of loans remaining in the related group. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***