/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240526.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, May 26, 2024, Vol. 28, No. 146 Headlines 1988 CLO 4: S&P Assigns BB+ (sf) Rating on Class E Notes AIMCO CLO 21: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ANCHORAGE CAPITAL 29: Fitch Assigns 'BB-sf' Rating on Class E Notes APIDOS LOAN 2024-1: Fitch Assigns 'BB+sf' Rating on Class E Notes ARES LXXI: Fitch Assigns 'B-sf' Final Rating on Class F Notes BACM 2016-UBS10: Fitch Lowers Rating on Two Classes to B- BALLYROCK CLO 26: S&P Assigns Prelim BB- (sf) Rating on D Notes BANK 2017-BNK7: Fitch Alters Outlook on 'B-sf' Rating to Negative BBCMC MORTGAGE 2017-C1: Fitch Alters Outlook on B-sf Rating to Neg. BENCHMARK 2024-V7: Fitch Assigns B-(EXP)sf Rating on Cl. J-RR Certs BIRCH GROVE: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes BMO 2024-5C4: Fitch Assigns 'B-sf' Rating on Cl. G-RR Certificates BMP COMMERCIAL 2024-MF23: Fitch Gives B+(EXP) Rating on HRR Certs BRYANT PARK 2024-23: S&P Assigns BB- (sf) Rating on Class E Notes CHASE HOME 2024-5: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs CHASE HOME 2024-RPL2: Fitch Assigns 'B(EXP)' Rating on B-2 Certs COLUMBIA CENT 33: S&P Assigns Prelim BB- (sf) Rating on E Notes DRYDEN 42: Fitch Assigns 'B-(EXP)' Rating on Class F-RR Notes DRYDEN CLO 64: Moody's Cuts Rating on $12MM Class F Notes to Caa2 EBET INC: Incurs $5.05 Million Net Loss in Second Quarter ELMWOOD CLO IV: S&P Assigns B- (sf) Rating on Class F-R Notes FANNIE MAE 2024-R04: S&P Assigns Prelim 'BB' Rating on 1B-1 Notes FUTURE FINTECH: Incurs $3.32 Million Net Loss in First Quarter GCAT TRUST 2024-NQM2: Fitch Assigns 'B-(EXP)sf' Rating on B-2 Certs GENERATE CLO 15: S&P Assigns BB- (sf) Rating on Class E Notes GENERATE CLO 5: Fitch Assigns 'BB+sf' Rating on Class E-R Notes HILDENE TRUPS P26BC: Moody's Assigns B1 Rating to $40MM Cl. B Notes HOTWIRE FUNDING 2024-1: Fitch Gives BB(EXP) Rating on Cl. C Notes INVESCO US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes JPMCC 2019-COR4: Fitch Affirms CCC Rating on Class H-RR Certs KKR CLO 29: S&P Assigns BB- (sf) Rating on Class E-R Notes LBA TRUST 2024-BOLT: Fitch Assigns B(EXP) Rating on Cl. HRR Certs MADISON PARK XXXI: Fitch Assigns BB+(EXP) Rating on Cl. E-R Notes MADISON PARK XXXI: S&P Assigns Prelim B- (sf) Rating on F-R Notes MCF CLO VIII: S&P Assigns BB- (sf) Rating on Class E-R Notes MOBIQUITY TECHNOLOGIES: Incurs $1.04-Mil. Net Loss in First Quarter MOSAIC SOLAR 2023-3: Fitch Affirms 'BB-sf' Rating on Class D Notes NANO MAGIC: Incurs $746K Net Loss in First Quarter NEUBERGER BERMAN II: Fitch Assigns 'BB-sf' Rating on Class E Notes NEUBERGER BERMAN XXII: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes NEW RESIDENTIAL 2024-RPL1: Fitch Assigns Bsf Rating on Cl B-5 Notes OCTAGON 28: Fitch Assigns 'BB-sf' Final Rating on Class E-RR Notes OFSI BSL IX: S&P Affirms BB- (sf) Rating on Class E Notes OHA LOAN 2013-1: S&P Assign BB- (sf) Rating on Class E-R3 Notes PENNANTPARK CLO II: S&P Assigns BB- (sf) Rating Class E-R Notes RAD CLO 16: Fitch Assigns 'BB-sf' Rating on Class E-R Notes REGATTA VIII: Fitch Assigns 'B-sf' Rating on Class F Notes REMARK HOLDINGS: Incurs $13.79 Million Net Loss in First Quarter RR 8: S&P Assigns Prelim BB- (sf) Rating on Class D-R Notes SANDSTONE PEAK III: S&P Assigns Prelim BB- (sf) Rating on E Notes SCIENTIFIC ENERGY: Posts $384,534 Net Income in First Quarter SEQUOIA MORTGAGE 2015-2: Moody's Ups Rating on B-4 Certs From Ba1 SEQUOIA MORTGAGE 2024-5: Fitch Assigns 'BB-sf' Rating on B4 Certs SLM STUDENT 2023-11: Fitch Lowers Rating on Class B Notes to 'Bsf' SYMPHONY CLO 30: Fitch Assigns 'BB-sf' Rating on Class E-R Notes TRESTLES CLO II: Fitch Assigns 'Bsf' Rating on Class F-R Notes TRINITAS CLO XIV: S&P Affirms BB- (sf) Rating on Class E Notes TRINITAS CLO XXVIII: S&P Assigns BB- (sf) Rating on Class E Notes UBS COMMERCIAL 2019-CF1: Fitch Lowers Rating on Two Classes to CCC VERUS SECURITIZATION 2024-4: S&P Assigns 'B-' Rating on B-2 Notes VIDEO RIVER: Reports $1.53 Million Net Income in First Quarter VOYA CLO 2015-3: Fitch Assigns 'B-sf' Rating on Class E-R Notes VOYA CLO 2015-3: S&P Affirms 'B+ (sf)' Rating on Class D-R Notes [*] Moody's Takes Action on $189MM of US RMBS Issued 2000-2007 [*] Moody's Takes Action on $79.9MM of US RMBS Issued 2006-2007 ********* 1988 CLO 4: S&P Assigns BB+ (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 AIMCO CLO 21: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks on AIMCO CLO 21, Ltd. Entity/Debt Rating ----------- ------ AIMCO CLO 21, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY AIMCO CLO 21, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.02% first-lien senior secured loans and has a weighted average recovery assumption of 74.94%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ANCHORAGE CAPITAL 29: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 29, Ltd. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 29, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Anchorage Capital CLO 29, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.71, 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 98.2% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.62% versus a minimum covenant, in accordance with the initial expected matrix point of 72.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB-sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C-1, between 'B-sf' and 'A-sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'B+sf' for class E, and less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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-1, 'AA+sf' for class C-2, 'A+sf' for class D-1, 'A+sf' for class D-2, 'BBB+sf' for class E, and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Anchorage Capital CLO 29, 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. APIDOS LOAN 2024-1: Fitch Assigns 'BB+sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos Loan Fund 2024-1 Ltd. Entity/Debt Rating ----------- ------ Apidos Loan Fund 2024-1 Ltd A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D LT BBB+sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Apidos Loan Fund 2024-1 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. 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% first-lien senior secured loans and has a weighted average recovery assumption of 74.13%. 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 1.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'AA-sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D, and '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 Apidos Loan Fund 2024-I Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARES LXXI: Fitch Assigns 'B-sf' Final Rating on Class F Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Ares LXXI CLO Ltd. Entity/Debt Rating Prior ----------- ------ ----- Ares LXXI CLO Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT B-sf New Rating B-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Ares LXXI CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.33, 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 98.51% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.5% versus a minimum covenant, in accordance with the initial expected matrix point of 74.43%. 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the 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, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, between less than 'B-sf' and 'B+sf' for class E and less than 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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, 'BBB+sf' for class E and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Ares LXXI 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. BACM 2016-UBS10: Fitch Lowers Rating on Two Classes to B- --------------------------------------------------------- Fitch Ratings has affirmed 10 classes of Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 (BACM 2016-UBS10) commercial mortgage pass-through certificates; affirmed five classes of Morgan Stanley Capital I Trust (MSCI) Commercial Mortgage Pass-Through Certificates, series 2016-UBS9 and affirmed all classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C29 commercial mortgage pass-through certificates. Fitch has also downgraded four classes of BACM 2016-UBS10 and revised the Rating Outlook on class C to Negative from Stable. Fitch has additionally downgraded eight classes in MSCI 2016-UBS9 and revised the Outlook on class A-S to Negative from Stable. The Outlooks on class D and X-D in MSBAM 2016-C29 have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2016-C29 A-3 61766EBD6 LT AAAsf Affirmed AAAsf A-4 61766EBE4 LT AAAsf Affirmed AAAsf A-S 61766EBH7 LT AAAsf Affirmed AAAsf A-SB 61766EBC8 LT AAAsf Affirmed AAAsf B 61766EBJ3 LT AA-sf Affirmed AA-sf C 61766EBK0 LT A-sf Affirmed A-sf D 61766EAL9 LT BBB-sf Affirmed BBB-sf E 61766EAN5 LT B-sf Affirmed B-sf F 61766EAQ8 LT CCCsf Affirmed CCCsf X-A 61766EBF1 LT AAAsf Affirmed AAAsf X-B 61766EBG9 LT AA-sf Affirmed AA-sf X-D 61766EAA3 LT BBB-sf Affirmed BBB-sf X-E 61766EAC9 LT B-sf Affirmed B-sf X-F 61766EAE5 LT CCCsf Affirmed CCCsf MSCI 2016-UBS9 A-3 61766CAD1 LT AAAsf Affirmed AAAsf A-4 61766CAE9 LT AAAsf Affirmed AAAsf A-S 61766CAG4 LT AAAsf Affirmed AAAsf A-SB 61766CAF6 LT AAAsf Affirmed AAAsf B 61766CAK5 LT A-sf Downgrade AA-sf C 61766CAL3 LT BBB-sf Downgrade A-sf D 61766CAV1 LT Bsf Downgrade BB-sf E 61766CAX7 LT CCCsf Downgrade B-sf F 61766CAZ2 LT CCsf Downgrade CCCsf X-A 61766CAH2 LT AAAsf Affirmed AAAsf X-B 61766CAJ8 LT A-sf Downgrade AA-sf X-D 61766CAM1 LT Bsf Downgrade BB-sf X-E 61766CAP4 LT CCCsf Downgrade B-sf BACM 2016-UBS10 A-3 06054MAD5 LT AAAsf Affirmed AAAsf A-4 06054MAE3 LT AAAsf Affirmed AAAsf A-S 06054MAH6 LT AAAsf Affirmed AAAsf A-SB 06054MAC7 LT AAAsf Affirmed AAAsf B 06054MAJ2 LT AA-sf Affirmed AA-sf C 06054MAK9 LT A-sf Affirmed A-sf D 06054MAW3 LT BB-sf Downgrade BBB-sf E 06054MAY9 LT B-sf Downgrade Bsf F 06054MBA0 LT CCCsf Affirmed CCCsf X-A 06054MAF0 LT AAAsf Affirmed AAAsf X-B 06054MAG8 LT AA-sf Affirmed AA-sf X-D 06054MAL7 LT BB-sf Downgrade BBB-sf X-E 06054MAN3 LT B-sf Downgrade Bsf X-F 06054MAQ6 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 11.5% in BACM 2016-UBS10, 8.5% in MSCI 2016-UBS9 and 7.7% in MSBAM 2016-C29. Fitch Loans of Concern (FLOCs) comprise eight loans (36.1% of the pool) in BACM 2016-UBS10 including three specially serviced loans (14.4%) all of which are performing, nine loans (41%) in MSCI 2016-UBS9 including one performing specially serviced loan (8.4%) and nine loans (29.6%) in MSBAM 2016-C29 including three specially serviced loans (3.4%). The downgrades of eight classes in MSCI 2016-UBS9 and four classes in BACM 2016-UBS10 are due to increased pool loss expectations, influenced by the performance deterioration of overlapping FLOCs including 2100 Ross and Princeton Pike Corporate Center, alongside unique contributors like 525 Seventh Avenue in the former, and Belk Headquarters in the latter. The Negative Outlooks reflect the high office concentration comprising approximately 35% of both pools and declining performance trends and refinanceability concerns on the office collateral. The affirmations of all classes in MSBAM 2016-C29 reflect the relatively stable pool performance and loss expectations since the last rating action. The Negative Outlooks reflect possible downgrades with further performance deterioration on the FLOCs, primarily Grove City Premium Outlets (8.2%), Crossings at Halls Ferry (1.3%), Gulfport Premium Outlets (2.5%) and 696 Centre (2.1%). Largest contributors to Loss: The largest contributor to overall pool loss expectations in BACM 2016-UBS10 is the Belk Headquarters loan, the property is 100% leased to Belk through March 2031 and served as Belk's headquarters since 1989. In July 2021, Belk announced it was looking to sublease its headquarters after the decision to shift to predominantly remote work for corporate employees. The building remains vacant with no sublease proposals received to date. The loan transferred back to special servicing at the request of the borrower in December 2022, to negotiate for a deed-in-lieu of foreclosure and a potential purchase and sale agreement. The loan remains current as of the May 2024 distribution date. The loan matures in April 2026. Fitch's 'Bsf' ratings case loss of 54% reflects a value of $24.7 million, which equates to a stressed value of $52 psf. The elevated base case loss reflects the binary nature of the current resolution. Should talks of a potential purchase and sale agreement fail to materialize, a prolonged workout is possible. Fitch applied an additional sensitivity to the Belk Headquarters loan which contributes to the Negative Outlooks. One of the largest contributors to loss in the MSCI 2016-UBS9 and BACM 2016-UBS10 transaction is the 2100 Ross loan, which is secured by a 33-story, 843,728-sf office building located in the Arts District of downtown Dallas, TX. The property's largest tenants include Lockton Companies (11.7% of NRA; leased through March 2026), Netherland, Sewell & Associates (7.3%; September 2025), Prudential Mortgage Capital (6.5%, April 2027) and Merrill Lynch, Pierce, Fenner and Smith (5.6%, July 2027). Occupancy for the property was 62.4% as of the December 2023 rent roll, compared with 63% at YE 2022, 81% at YE 2020 and 2021 and 82% at YE 2019. Upcoming rollover at the property includes 4.9% in 2025 and 16.3% in 2026. The servicer-reported NOI DSCR as of YE 2023 was 1.14x, down from 1.35x at YE 2022, 1.52x at YE 2021, 1.56x at YE 2020 and 1.39x at YE 2019. According to CoStar as of 1Q2024, the Dallas CBD office submarket had a vacancy rate of 27% and a market rent of $30. Fitch stressed property value of approximately $74 psf is based on a 10% cap rate and a haircut to the YE 2023 NOI with an increased probability of default due to the property's significant performance declines and uncertainty with the loans ability to refinance at its February 2026 maturity. The next largest contributor to loss in all three transactions is the Princeton Pike Corporate Center loan, which is secured by an 818,140-sf suburban office property consisting of eight buildings located in Lawrence Township, NJ. The loan re-emerged from special servicing in September 2021 with a loan modification allowing for the conversion of debt service to interest-only (IO) payments and the implementation of an ongoing cash trap for the remainder of the loan term. However, the loan transferred back to special servicing in February 2024 due to imminent default. Occupancy has fallen to 60% as of YE 2023, compared with 74% at YE 2022 and 77% at YE 2021. The property occupancy has been steadily declining since its peak in 2018 at 91%. According to servicer updates, the borrower is planning to make another modification proposal. Workout discussions are ongoing. Fitch stressed property value of approximately $98 psf is based on a 11% cap rate and a 20% haircut to the YE 2022 NOI to reflect occupancy declines and an increased probability of default due to the loans performance and specially serviced status. Defeasance: The BACM 2016-UBS10 transaction includes eight loans (16% of the pool) that have fully defeased, while MSCI 2016-UBS9 has seven defeased loans (20% of the pool), and MSBAM 2016-C29 has 21 defeased loans (24.5%). Change to Credit Enhancement: As of the March 2024 remittance report, the aggregate balances of the BACM 2016-UBS 10 have been reduced by 34.3%. The deal has incurred $1 million in realized losses to date and interest shortfalls of $401,000 are currently affecting the non-rated class H. As of the April 2024 distribution date, MSCI 2016-UBS9 and MSBAM 2016-C29 transactions have been reduced by about 20% and 16% respectively, since issuance. MSBAM 2016-C29 has incurred $2.8 million in realized losses to date and interest shortfalls of $32,000 and $1.2MM are currently affecting the non-rated classes G and H, respectively. MSCI 2016-UBS9 has incurred no realized losses to date and $65,000 of interest shortfalls to the non-rated class H. 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 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' category is possible with higher than expected losses from continued underperformance of the FLOCs, in particular retail and office loans with deteriorating performance, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. These elevated risk loans include 2100 Ross, Princeton Pike Corporate Center, 525 Seventh Avenue, Grove City Premium Outlets, 696 Centre and Belk Headquarters. 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 credit enhancement (CE) from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, including 2100 Ross, Princeton Pike Corporate Center, 525 Seventh Avenue, Grove City Premium Outlets and Belk Headquarters. 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 and special serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCsf' and 'CCCsf' are unlikely, but possible with better than expected recoveries on specially serviced loans and/or significantly higher improved performance of the 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. BALLYROCK CLO 26: S&P Assigns Prelim BB- (sf) Rating on D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 26 Ltd./Ballyrock CLO 26 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 Ballyrock Investment Advisors LLC, which will engage Fidelity Management & Research Co. LLC as a subadvisor. The preliminary ratings are based on information as of May 21, 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Ballyrock CLO 26 Ltd./ Ballyrock CLO 26 LLC Class A-1a, $352.00 million: AAA (sf) Class A-1b, $11.00 million: AAA (sf) Class A-2, $55.00 million: AA (sf) Class B (deferrable), $33.00 million: A (sf) Class C-1 (deferrable), $30.25 million: BBB (sf) Class C-2 (deferrable), $8.25 million: BBB- (sf) Class D (deferrable), $16.50 million: BB- (sf) Subordinated notes, $56.50 million: Not rated BANK 2017-BNK7: Fitch Alters Outlook on 'B-sf' Rating to Negative ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of BANK 2017-BNK6 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK6 (BANK 2017-BNK6). The Rating Outlook for classes D and X-D were revised to Negative from Stable. The Outlook on classes E and X-E remain Negative. Fitch has also affirmed 15 classes of BANK 2017-BNK7 Commercial Mortgage Pass-Through Certificates Series 2017-BNK7. Fitch has also revised the Outlook to Negative from Stable on six of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK6 A-3 060352AD3 LT AAAsf Affirmed AAAsf A-4 060352AE1 LT AAAsf Affirmed AAAsf A-5 060352AF8 LT AAAsf Affirmed AAAsf A-S 060352AJ0 LT AAAsf Affirmed AAAsf A-SB 060352AC5 LT AAAsf Affirmed AAAsf B 060352AK7 LT AA-sf Affirmed AA-sf C 060352AL5 LT A-sf Affirmed A-sf D 060352AV3 LT BBB-sf Affirmed BBB-sf E 060352AX9 LT B-sf Affirmed B-sf F 060352AZ4 LT CCCsf Affirmed CCCsf X-A 060352AG6 LT AAAsf Affirmed AAAsf X-B 060352AH4 LT A-sf Affirmed A-sf X-D 060352AM3 LT BBB-sf Affirmed BBB-sf X-E 060352AP6 LT B-sf Affirmed B-sf X-F 060352AR2 LT CCCsf Affirmed CCCsf BANK 2017-BNK7 A-3 06541XAC4 LT AAAsf Affirmed AAAsf A-4 06541XAE0 LT AAAsf Affirmed AAAsf A-5 06541XAF7 LT AAAsf Affirmed AAAsf A-S 06541XAJ9 LT AAAsf Affirmed AAAsf A-SB 06541XAD2 LT AAAsf Affirmed AAAsf B 06541XAK6 LT AA-sf Affirmed AA-sf C 06541XAL4 LT A-sf Affirmed A-sf D 06541XAV2 LT BBB-sf Affirmed BBB-sf E 06541XAX8 LT BB-sf Affirmed BB-sf F 06541XAZ3 LT B-sf Affirmed B-sf X-A 06541XAG5 LT AAAsf Affirmed AAAsf X-B 06541XAH3 LT AA-sf Affirmed AA-sf X-D 06541XAM2 LT BBB-sf Affirmed BBB-sf X-E 06541XAP5 LT BB-sf Affirmed BB-sf X-F 06541XAR1 LT B-sf Affirmed B-sf KEY RATING DRIVERS Overall Stable 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.1% for BANK 2017-BNK6 in line with Fitch's prior rating action and 3.8% in BANK 2017-BNK7, which reflects a slight increase since Fitch's prior rating action. The BANK 2017-BNK6 transaction includes 11 loans (25.9% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including one specially serviced loan, Trumbull Marriott (2.3%). The BANK 2017-BNK7 transaction has six FLOCs (20.8%), including one loan, First Stamford Place (2.2%) in special servicing. The Negative Outlook on the classes D, E, X-D and X-E in BANK 2017-BNK6 reflect deterioration in performance of the Hall Office G4 (2.0%), specially serviced Trumbull Marriott (2.3%), and maturity refinance concerns of the Westchester One (4.7%) loan. The Negative Outlook on classes D, E, F, X-D, X-E and X-F in BANK 2017-BNK7 reflect performance concerns, lack of stabilization and/or a prolonged workout of the FLOCs, particularly, the Redondo Beach Hotel Portfolio (5.1%), specially serviced First Stamford Place (2.2%), and maturity refinance concerns of the 411 East Wisconsin (4.7%) loan. Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2017-BNK6 is the specially serviced Trumbull Marriott (2.3%) loan, which is secured by a five-story, 325-key, full service Marriott hotel located in Trumbull, CT. The loan transferred to the special servicer in May 2020 due to Imminent Monetary Default. The borrower defaulted on payments and the loan was reported as 90+ Days delinquent as of the April 2024 financial reporting. A receiver was appointed in December 2021 and has engaged a broker to market the property for sale. According to the February 2024 STR report, the hotel occupancy, ADR and RevPAR was 55.7%, $144.12, and $80.34, respectively, for the TTM ended February 2024. The RevPAR penetration index was 76.6%. Fitch's 'Bsf' case loss of 91.2% (prior to a concentration adjustment) is based on a 10% haircut to the most recent February 2024 appraisal valuation. The second largest contributor to expected losses in BANK 2017-BNK6 is the Hall Office G4 (2.0%) loan, which is secured by a 121,630-sf suburban office property located in Frisco, TX. The property was 16% occupied as of the January 2024 rent roll, with The University of North Texas reported as the only tenant. Occupancy declined due to several major tenants vacating. Randstad (Previously 34.9% of NRA) leased through April 2021, vacated the property in August 2021, and Schlumberger Technology Corp. (Previously 33.4% of NRA) leased through February 2022, vacated upon lease expiry. The servicer-reported NOI DSCR was -0.20x as of the trailing-nine-months ended September 2023, compared with -0.12x at YE 2022, 1.45x at YE 2021 and 1.62x at issuance. The loan was reported as current as of the April 2024 financial reporting and reported $2.1 million or $17 psf in total reserves for the same period. According to CoStar, the property lies within the Frisco/The Colony Office Submarket of the Dallas-Fort Worth, TX market area. As of 1Q24, average rental rates were $37.86 psf and $30.90 psf for the submarket and market, respectively. Vacancy for the submarket and market was 11.0% and 18.0%, respectively. Fitch's 'Bsf' case loss of 39.3% (prior to a concentration adjustment) is based on a 10.0% cap rate and 50% stress to the YE 2021 NOI, and factors in an increased probability of default due to the low occupancy and loan's heightened maturity default risk. The largest contributor to overall loss expectations in the BANK 2017-BNK7 transaction is the Redondo Beach Hotel Portfolio (5.1%) loan, which is secured by a two-property, 319-key limited-service/extended stay hotel portfolio located in Redondo Beach, CA. Portfolio performance continues to recover but remains below levels prior to the pandemic. The YE 2023 NOI increased 13.4% compared to the YE 2022 NOI but remains 35.5% below the YE 2019 NOI. The hotel portfolios' December 2023 occupancy, ADR and RevPAR were 75.3%, $162.20, and $122.15, respectively. The Hilton Garden Inn STR reported occupancy, ADR, RevPAR for the TTM ended September 2023 of 70%, $162, and $114, respectively. The hotel reported penetration rates of 84%, 100%, and 84% for occupancy, ADR, and RevPAR, respectively for the same period. Fitch requested for an updated STR report for the Residence Inn hotel, but this was not provided. Fitch's 'Bsf' case loss of 17.3% (prior to a concentration adjustment) is based on a 11.50% cap rate to the YE 2023 NOI. The second largest contributor to expected losses in BANK 2017-BNK7 is the specially serviced First Stamford Place (2.2%) loan, which is secured by three office buildings totaling 810,475-sf and located in Stamford, CT. The loan transferred to the special servicer in December 2023 due to Imminent Monetary Default. The special servicer is dual tracking a foreclosure, including the acceleration of the loan and appointment of a receiver, along with a possible loan modification with the borrower. The property's major tenants include; Odyssey Reinsurance Company (10.4% of NRA, leased through September 2033); Franklin Templeton Companies, LLC (9.3%, September 2035), Partner Reinsurance Company (6.6%, January 2029); United Rentals, Inc (5.5%, July 2030), and E&Y (4.2%, January 2025). The property was 74.8% occupied as of the January 2024 rent roll, 71.4% at YE 2022, 75.3% at YE 2021 and 81.7% at YE 2020. Near term lease rollover includes 4.0% of NRA in 2024 across four leases, and 6.6% of NRA in 2025 across nine leases. NOI DSCR was 1.34x as of YE 2023, compared to 1.91x at YE 2022, 2.47x at YE 2021 and 2.93x at YE 2020. The loan was reported as current as of April 2024 financial reporting. According to CoStar, the property lies within the Stamford Office Submarket of the Stamford, CT market area. As of 1Q24, average rental rates were $39.07 psf and $34.50 psf for the submarket and market, respectively. Vacancy for the submarket and market was 23.9% and 15.2%, respectively. Fitch's 'Bsf' case loss of 32.6% (prior to a concentration adjustment) is based on a 10.0% cap rate and 5% stress to the YE 2022 NOI, and factors in an increased probability of default due to the deterioration in performance. Increase in Credit Enhancement: As of the April 2024 distribution date, the aggregate balances of the BANK 2017-BNK6 and BANK 2017-BNK7 transactions have been reduced by 10.3% and 7.9%, respectively, since issuance. The BANK 2017-BNK6 transaction includes seven loans (5.5% of the pool) that have fully defeased while one loan, Sundance West Apartments (1.4% of the pool) is fully defeased in BANK 2017-BNK7. Interest Shortfalls: To date, the BANK 2017-BNK6 and BANK 2017-BNK7 transactions have not incurred any realized principal losses. Interest shortfalls totaling $1.9 million are impacting the class F, non-rated class G and Risk Retention class RRI in the BANK 2017-BNK6 transaction and interest shortfalls totaling $21,884 are impacting the non-rated class G and Risk Retention class RRI in the BANK 2017-BNK7 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the '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 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 classes with Negative Outlooks in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOC. Downgrades to these classes are likely if the Trumbull Marriott (BANK 2017-BNK6) and First Stamford Place (BANK 2017-BNK7) loans remain 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 to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased credit enhancement (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. BBCMC MORTGAGE 2017-C1: Fitch Alters Outlook on B-sf Rating to Neg. ------------------------------------------------------------------- Fitch Ratings has affirmed all 14 classes of BBCMS Mortgage Trust 2017-C1 commercial mortgage pass-through certificates. The Rating Outlooks for classes A-S, B, C, D, E, X-B, X-D, and X-E have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2017-C1 A-3 07332VBC8 LT AAAsf Affirmed AAAsf A-4 07332VBD6 LT AAAsf Affirmed AAAsf A-S 07332VBE4 LT AAAsf Affirmed AAAsf A-SB 07332VBB0 LT AAAsf Affirmed AAAsf B 07332VBF1 LT AA-sf Affirmed AA-sf C 07332VBG9 LT A-sf Affirmed A-sf D 07332VAA3 LT BBsf Affirmed BBsf E 07332VAC9 LT B-sf Affirmed B-sf F 07332VAE5 LT CCCsf Affirmed CCCsf X-A 07332VBJ3 LT AAAsf Affirmed AAAsf X-B 07332VBH7 LT AA-sf Affirmed AA-sf X-D 07332VAL9 LT BBsf Affirmed BBsf X-E 07332VAN5 LT B-sf Affirmed B-sf X-F 07332VAQ8 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Fitch's current ratings incorporate a 'Bsf' rating case loss of 7.10%, up from 6.13% at the prior rating action. There are 12 Fitch Loans of Concerns (FLOCs, 39.2% of the pool), including two specially serviced loans (2.8%). The Negative Outlooks on classes A-S, B, C, D, E, X-B, X-D and X-E reflect possible downgrades of up to one rating category with continued performance deterioration or lack of stabilization of the office FLOCs, including Center West (4%), Gateway Plaza at Meridian (2.1%), Alhambra Towers (8.2%) and 1166 Avenue of the Americas (7.5%). The Negative Outlooks also consider the high office concentration within the pool (44%) and incorporate an additional sensitivity scenario that assumed an increased probability of default on the 1166 Avenue of the Americas loan (7.5%) due to concerns with significant upcoming rollover, resulting in a 'Bsf' sensitivity rating case loss of 7.7%. FLOCs: The largest contributor to modeled losses, Center West (4%), is secured by a 351,789-sf office building located in Los Angeles, CA. The loan was flagged as a FLOC due to continued performance deterioration. Occupancy has been historically below 60% and has steadily declined since YE 2019. As of September 2023, the servicer-reported occupancy and NOI DSCR were 32% and 0.70x, respectively compared to 43% and 1.56x at YE 2021, and 57% and 1.72x at YE 2019. The largest tenant is Wells Fargo (4.8% of NRA; upcoming lease expiry in July 2024; Fitch-rated A+/Stable/F1). Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 40.6% reflects a 10% cap rate, 10% stress to the YE 2022 NOI and factors a higher probability of default. The second largest contributor to modeled losses, Gateway Plaza at Meridian (2.1%), is secured by 138,687-sf suburban office property located in Englewood, CO. The loan transferred to special servicing in June 2023 and the asset became real estate-owned (REO) in November 2023. At issuance, the property was 96% occupied, but has experienced significant occupancy declines due to tenants vacating upon lease expiration. According to the servicer, the property is currently 100% vacant. Fitch was not provided an updated value on the asset. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 55% reflects an estimated Fitch dark value of approximately $50/sf. The largest FLOC and largest loan, Alhambra Towers (8.2%), is secured by a 174,250-sf office property located in Coral Gables, FL. The loan remains a FLOC as occupancy has remained in the mid-70% range since 2021 following the loss of several tenants. However, several new leases have reportedly been signed and occupancy is expected to increase to 93% by June 2024. The largest in-place tenants are Quest Workspaces 121 Alhambra, LLC (12.9% NRA) and American Tower (7.3% NRA). As of YE 2023, the servicer-reported occupancy and NOI DSCR were 82% and 0.80x, respectively. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 10.1% reflects a 9% cap rate and 20% stress to the YE 2022 NOI due to limited information on the lease terms for the newly signed tenants that have not taken occupancy. The second largest FLOC is 1166 Avenue of the Americas (7.5%)., which is secured by floors 2-6 totaling 196,241-sf (11.1% of the building's total square footage) of an office property located is in Midtown Manhattan built in 1974. The top three tenants are DE Shaw & Co (43.5% NRA; lease expiry in June 2024), Sprint (20%, January 2027) and Arcesium (20%, June 2024). Per the master servicer, De Shaw & Co. is expected to vacate at lease expiration. Arcesium's plans are unknown at this time. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 8.1% reflects an 8% cap rate, 25% stress to the YE 2023 NOI to account for the expected occupancy decline and factors a 50% probability of default. In addition to the base case analysis, Fitch performed a sensitivity scenario that increases the probability of default to 100% given heightened default risk and concerns the loan may transfer to special servicing. Fitch's 'Bsf' sensitivity case loss for the loan increases to 16.1% (prior to concentration add-ons), which contributed to the Negative Outlook revisions. Increased Credit Enhancement (CE): As of the May 2024 remittance, the pool's aggregate balance has been paid down by 13.6% to $739.3 million from $857.5 million. There are 12 loans (45.8% of pool) that are full-term, interest-only (IO). Thirty-two loans (44.6%) were partial IO loans, all of which have exited their initial IO period. Ten loans (9.6%) have fully defeased. 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 CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly beyond Fitch's expectations from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration. A downgrade of up to one category to the junior 'AAAsf', 'AAsf' and 'Asf' categories is possible should performance of the Center West, Gateway Plaza at Meridian, Alhambra Towers and 1166 Avenue of the Americas loans deteriorate further or fail to stabilize. A downgrade of these classes is also possible with a special servicing transfer of the 1166 Avenue of the Americas loan. Downgrades to the 'BBsf' and 'Bsf' rated categories are possible with higher than expected losses from continued underperformance of the FLOCs, in particular the office loans with deteriorating performance and/or prolonged resolutions and greater certainty of losses on the specially serviced loans and/or FLOCs noted above. A downgrades to 'CCCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and sustained improved performance on the FLOCs, including Center West, Gateway Plaza at Meridian, Alhambra Towers and 1166 Avenue of the Americas. Upgrades to the 'Asf' 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 specially serviced loans are better than expected, and there is sufficient CE to the classes. Upgrades to 'CCCsf' rated 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. BENCHMARK 2024-V7: Fitch Assigns B-(EXP)sf Rating on Cl. J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2024-V7 Mortgage Trust commercial mortgage pass-through certificates series V7 as follows: Entity/Debt Rating ----------- ------ BMARK 2024-V7 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-RR LT BB(EXP)sf Expected Rating G-RR LT BB-(EXP)sf Expected Rating J-RR LT B-(EXP)sf Expected Rating K-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 AA-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating - $1,650,000 class A-1 'AAAsf'; Outlook Stable; - $125,000,000d class A-2 'AAAsf'; Outlook Stable; - $441,784,000d class A-3 'AAAsf'; Outlook Stable; - $568,434,000a class X-A 'AAAsf'; Outlook Stable; - $126,882,000a,b class X-B 'AA-sf'; Outlook Stable; - $86,280,000 class A-S 'AAAsf'; Outlook Stable; - $40,602,000 class B 'AA-sf'; Outlook Stable; - $29,437,000b class C 'A-sf'; Outlook Stable; - $26,392,000a,b class X-D 'BBB-sf'; Outlook Stable; - $18,271,000b class D 'BBBsf'; Outlook Stable; - $8,121,000b class E 'BBB-sf'; Outlook Stable; - $8,120,000b,c class F-RR 'BBsf'; Outlook Stable; - $10,151,000b,c class G-RR 'BB-sf'; Outlook Stable; - $11,166,000b,c class J-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following class: - $31,467,000b,c class K-RR; - $9,481,000b,e Combined VRR Interest. Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes F-RR, G-RR, J-RR and K-RR certificates comprise the transaction's horizontal risk retention interest. (d) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $566,784,000 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 $250,000,000 (net of the vertical risk retention interest), and the expected class A-3 balance range is $316,784,000 to $566,784,000 (net of the vertical risk retention interest). Fitch's certificate balances for classes A-2 and A-3 reflect the midpoints of each range. (e) 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 May 15, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 27 fixed-rate, commercial mortgage loans with an aggregate principal balance of $821,890,000 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 80 commercial properties. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sachs Mortgage Company, Bank of Montreal and Barclays Capital Real Estate Inc. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is expected to be K-Star Asset Management LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. These certificates are expected to follow a sequential paydown structure. The transaction's closing date is expected to be May 30, 2024. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analysis on 22 loans totaling 96.5% of the pool by balance. Fitch's resulting net cash flow (NCF) of $248.6 million represents an 8.6% variance from the issuer's underwritten NCF of $271.8 million. Higher Fitch Leverage: The pool has higher leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 92.5% is higher than the YTD 2024 and 2023 averages of 86.6% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 10.4% is lower than the YTD 2024 and 2023 averages of 11.2% and 10.9%, respectively. Office Concentration: In general, the pool has higher property type diversity compared to recent Fitch transactions; the pool's effective property type count of 4.5 is higher than the YTD 2024 and 2023 averages of 4.2 and 4.0, respectively. However, the largest property type concentration is office (35.9% of the pool), which is higher than the YTD 2024 and 2023 office averages of 16.6% and 27.6%, respectively. In particular, the office concentration includes the top three loans (26.8% of the pool) and four of the largest 10 loans (32.3% of the pool). The second largest property type concentration is industrial (17.3%), which is higher than the YTD 2024 and 2023 averages of 8.5% and 14.1%, respectively. The third largest property type is multifamily (16.6%), which is lower than the YTD 2024 average of 21.7% and higher than the 2023 average of 9.3%. Pools that have a greater concentration by property type are at a greater risk of losses, all else equal. Therefore, Fitch raises the overall losses for pools with effective property type counts below five property types. Investment-Grade Credit Opinion Loans (COLs): Three loans representing 18.3% of the pool received an investment-grade credit opinion. 28-40 West 23rd Street (9.7%) received a standalone credit opinion of 'BBB+sf*', GNL Industrial Portfolio (4.9%) received a standalone credit opinion of 'BBB-sf*', and Garden State Plaza (3.7%) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage is higher than the YTD 2024 and 2023 averages of 15.0% and 17.8%, respectively. The pool's Fitch LTV and DY, excluding COLs, are 99.1% and 9.7%, respectively. High Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 65.1% of the pool, higher than the YTD 2024 and 2023 averages of 62.0% and 63.7%, respectively. The pool's effective loan count of 18.6 is below the YTD 2024 and 2023 averages of 21.3 and 20.6, respectively. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down 0.2%, which is below the YTD 2024 and 2023 averages of 0.9% and 1.4%, respectively. The pool has 25 interest-only loans, or 91.0% of pool by balance, which is below the YTD 2024 average of 94.6% and higher than the 2023 average of 84.5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'Bsf' / 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / B-sf'; - 10% NCF Increase: 'AAA-sf' / 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBBsf' / 'BBsf' / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of this report. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BIRCH GROVE: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO Ltd. A-1-RR LT NRsf New Rating A-2-RR LT AAAsf New Rating A-R 09075JAL3 LT PIFsf Paid In Full AAAsf B-RR LT AAsf New Rating C-RR LT Asf New Rating D-1-RR LT BBB-sf New Rating D-2-RR LT BBB-sf New Rating E-RR LT BB-sf New Rating F-RR LT NRsf New Rating TRANSACTION SUMMARY Birch Grove CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio with a target par amount of approximately $400 million of primarily first lien senior secured leveraged loans (including 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 24.6, 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 94.42% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.36% versus a minimum covenant, in accordance with the initial expected matrix point of 73.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-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-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'Bsf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR, between less than 'B-sf' and 'BB+sf' for class D-2-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'A+sf' for class D-1-RR, 'Asf' for class D-2-RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Birch Grove CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BMO 2024-5C4: Fitch Assigns 'B-sf' Rating on Cl. G-RR Certificates ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2024-5C4 Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2024-5C4 as follows: - $5,172,000a class A-1 'AAAsf'; Outlook Stable; - $100,000,000a class A-2 'AAAsf'; Outlook Stable; - $481,066,000a 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 'AAAsf'; 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 not rate the following classes: - $30,358,671a,c,d class J-RR. - $25,461,000e 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 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. Since Fitch published its expected ratings on April 19, 2024, a change has occurred. The balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-$286,297,000 (net of the vertical risk retention interest), and the initial aggregate certificate balance of the A-3 class was expected to be in the range of 294,768,000- $581,066,000 (net of the vertical risk retention interest). The final class balances for classes A-2 and A-3 are $100,000,000 and $481,066,000, respectively. Classes B and C were finalized as WAC classes that are not expected to contribute any cash flow to class X-B. Therefore, Fitch has updated the rating of class X-B to 'AAAsf' from 'A-(EXP)sf' to reflect the rating of the lowest reference tranche whose payable interest has an impact on class X-B, in accordance with Fitch's criteria. 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 Midland Loan Services and the special servicer is Argentic Services Company LP. Computershare Trust Company, N.A. is the trustee and certificate administrator. These certificates will follow a sequential paydown structure. 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. BMP COMMERCIAL 2024-MF23: Fitch Gives B+(EXP) Rating on HRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to BMP Commercial Mortgage Trust 2024-MF23, Commercial Mortgage Pass-Through Certificates Series 2024-MF23: - $623,200,000 class A 'AAAsf'; Outlook Stable; - $99,100,000 class B 'AA-sf'; Outlook Stable; - $77,800,000 class C 'A-sf'; Outlook Stable; - $109,600,000 class D 'BBB-sf'; Outlook Stable; - $159,050,000 class E 'BB-sf'; Outlook Stable; - $56,250,000a class HRR 'B+sf'; Outlook Stable. (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 interests in a trust that holds a two-year, floating-rate, interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple interest in a portfolio of 23 multifamily properties with a total of 7,300 units located across six states (Florida, Texas, Colorado, Utah, Arizona and Georgia). The properties were constructed between 1983 and 2023. The portfolio is 95.4% leased as of the March 2024 rent roll. Loan proceeds, together with approximately $486.0 million in cash equity, will be used to acquire the properties for $1.55 billion, pay closing costs and fund a $30.0 million upfront letter of credit (LOC). The certificates will follow a pro rata paydown structure for the initial 30% of the loan amount and a standard senior sequential paydown structure thereafter. The borrowers' have a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding and there is no event of default (EOD) on the mortgage loan, any voluntary prepayments will be applied pro rata between both the mortgage and the mezzanine loan. The loan is expected to be originated by Citi Real Estate Funding Inc., Barclays Capital Real Estate Inc., Goldman Sachs Bank USA and JPMorgan Chase Bank, National Association. KeyBank National Association will act as servicer and Torchlight Loan Services, LLC will act as special servicer. Wilmington Savings Fund Society, FSB will act as trustee. Citibank, N.A. will act as certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The transaction is expected to close on June 4, 2024. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $79.6 million. This is 8.1% lower than the issuer's NCF and 4.2% lower than the YE23 NCF. Fitch applied a 7.5% cap rate, resulting in a Fitch value of $1.06 billion. High Fitch Leverage: The $1.125 billion total mortgage loan ($154,110/unit) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.83x, 106.0% and 7.1%, respectively. The loan represents approximately 69.4% of the as-portfolio appraised value of $1.62 billion. Diverse Portfolio: The portfolio is secured by 7,300 units across 23 garden-style multifamily properties located in six states and eleven MSAs. The portfolio is granular, with no property comprising more than 7.4% of the total units or 7.1% of allocated loan amount (ALA). No state or market represents more than 45.6% or 26.0% of the ALA, respectively. Institutional Sponsorship: The loan sponsor is Brookfield Strategic Real Estate Partners V. The sponsor and guarantors are affiliates of Brookfield. Brookfield and its affiliates had over $900 billion of total assets under management as of its Dec. 31, 2023 quarterly report, of which $276 billion is related to real estate. The sponsor has significant cash equity remaining in the deal. The portfolio will be managed by Brookfield Property Management LLC, a Brookfield affiliate. Over the next five years, the sponsor plans to invest $105.0 million in renovations to the portfolio; $30 million of which is reserved at closing in the form of a letter of credit (LOC). 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 net cash flow (NCF): - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf' - 10% NCF Decline: 'AAsf'/'BBB+sf '/'BBB-sf'/'BBsf'/'Bsf'/'B-sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf '/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf' - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBB+sf'/'BBsf'/'BB-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 PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, which 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. BRYANT PARK 2024-23: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bryant Park Funding 2024-23 Ltd./Bryant Park Funding 2024-23 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 Marathon Asset Management 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 notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Bryant Park Funding 2024-23 Ltd./Bryant Park Funding 2024-23 LLC Class A-1 loans, $126.50 million: AAA (sf) Class A-1A, $121.50 million: AAA (sf) Class A-1B(i), $0.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $46.00 million: AA (sf) Class C-1 (deferrable), $14.00 million: A (sf) Class C-2 (deferrable), $10.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $10.00 million: BB- (sf) Subordinated notes, $38.30 million: Not rated (i)Class A-1B will be funded if all or a portion of the class A-1 loans are converted. In that case, class A-1B will increase by the amount converted from the class A-1 loan balance. Once a conversion is exercised, the class A-1B notes cannot be converted to class A-1 loans. CHASE HOME 2024-5: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2024-5 (Chase 2024-5). Entity/Debt Rating ----------- ------ Chase 2024-5 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(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-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2024-5 (Chase 2024-5) as indicated above. The certificates are supported by 478 loans with a total balance of approximately $548.44 million as of the cutoff date. The scheduled balance as of the cutoff date is $548.18 million. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All the mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 99.8% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR); the remaining 0.2% qualify as rebuttable presumption QM (APOR). There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 10.4% above a long-term sustainable level (vs. 11.1% on a national level as of 4Q23, down 0% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 5.5% yoy nationally as of February 2024, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of high-quality, fixed-rate, fully amortizing loans with maturities of up to 30 years; 99.8% of the loans qualify as SHQM APOR; the remaining 0.2% qualify as rebuttable presumption QM (APOR). The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of 9.0 months, according to Fitch. The pool has a WA FICO score of 773, as determined by Fitch and is based on the original FICO for newly originated loans and the updated FICO for loans seasoned 12 months or more, which is indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 79.5% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 73.9%, translating to a sustainable LTV (sLTV) ratio of 78.6%, represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 99.1% of the loans are nonconforming and the remaining 0.9% are conforming loans. All the loans are designated as QM loans. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes and planned unit developments (PUDs) constitute 93.9% of the pool; condominiums make up 4.2%; and co-ops make up 1.0%. The remaining 0.9% (three loans) are two to four family homes. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (94.8%), cashout refinances (0.6%) and rate-term refinances (4.6%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 23.1% are concentrated in California, followed by Texas and Florida. The largest MSA concentration is in the San Francisco-Oakland-Fremont, CA MSA (8.3%), followed by the Seattle-Tacoma-Bellevue, WA MSA (7.2%) and the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (6.3%). The top three MSAs account for 21.7% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby 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 servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable; the servicer is expected to advance delinquent P&I on loans that enter into a coronavirus pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association is the trustee that will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. CE Floor (Positive): A CE or senior subordination floor of 1.10% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.60% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.11% at the 'AAAsf' stress due to 56.1% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 56.1% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Chase 2024-5 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in Chase 2024-5, including strong transaction due diligence, the entirety of the pool is originated by an 'Above Average' originator, and the entirety of the pool is serviced by an 'RPS1-' servicer. All of these attributes result in a reduction in expected losses. This has a positive impact on the transaction's credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2024-RPL2: Fitch Assigns 'B(EXP)' Rating on B-2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2024-RPL2 (Chase 2024-RPL2). Entity/Debt Rating ----------- ------ Chase 2024-RPL2 A-1-A LT AAA(EXP)sf Expected Rating A-1-B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 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 B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating B-X LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by Chase Home Lending Mortgage Trust 2024-RPL2 (Chase 2024-RPL2), as indicated above. The transaction is expected to close on May 30, 2024. The certificates are supported by one collateral group that consists of 2,307 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $531.95 million, which includes $60.5 million, or 11.4%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the statistical calculation date. All of the loans in the transaction were originated by J.P. Morgan Chase Bank, EMC or Washington Mutual Bank and all loans have been held by J.P. Morgan Chase since origination or acquisition of Washington Mutual Bank. All the loans have been serviced by J.P. Morgan Chase Bank N.A. since origination or acquisition of Washington Mutual. Chase is considered an 'Above Average' originator by Fitch. JPMorgan Chase Bank, N.A., rated 'RPS1-' by Fitch, is the named servicer for the transaction. 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 certificates until the most senior certificates outstanding are paid in full. The servicer will not be advancing delinquent monthly payments of P&I. There is no LIBOR exposure in the transaction. The collateral is 98.4% fixed rate and 1.6% step loans and the A-1 bonds are fixed rate and capped at the net weighted average coupon (WAC)/available fund cap and classes A-2, M-1, M-2, B-1, B-2, B-3, and B-4 are based on the net WAC/available fund cap. The B-5 is a principal only class. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 10.4% above a long-term sustainable level (versus 11.1% on a national level as of 4Q23, down 0% 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 had increased 5.5% yoy nationally as of February 2024 despite modest regional declines, but are still being supported by limited inventory. Seasoned Performing and Reperforming Credit Quality (Mixed): The collateral consists of 2,307 seasoned, reperforming fully amortizing and balloon, fixed-rate and step-rate mortgage loans secured by first liens on primarily one- to four-family residential properties, planned unit developments (PUDs), condominiums, townhouses, manufactured homes, cooperatives, mixed use properties, and land, totaling $531.95 million and seasoned approximately 217 months in aggregate, according to Fitch (215 months per the transaction documents). The loans were originated mainly by Chase (33.1%), EMC (0.1%) and Washington Mutual (66.8%). The vast majority of the loans originated by Washington Mutual and EMC were modified by Chase after they were acquired. All loans have been serviced by J.P. Morgan Chase Bank N.A. since origination or since the loans were acquired from Washington Mutual and EMC. The borrower profile is typical of recent seasoned RPL transactions that Fitch has seen. The borrowers have a moderate credit profile (683 FICO, according to Fitch, and 714 per the transaction documents) and low current leverage with an updated loan-to-value (LTV) of 42.8% per the transaction documents (original LTV of 76.0% as determined by Fitch) and a sustainable LTV (sLTV) as determined by Fitch of 47.9%. Borrower debt-to-income ratios (DTIs) were not provided, so Fitch assumed each loan had a 45% DTI in its analysis. Of the pool, 99.1% of the loans have been modified, with 22.7% borrower retention modifications. In its analysis, Fitch only considered 76.5% of the pool as having a modification, since these modifications were made due to credit issues. Fitch does not consider loans that have a borrower retention modification as having been modified in its analysis. As of the cutoff date, the pool is 100% current; 83.6% of loans have been clean current for at least 24 months, with 24.4% clean current for 24 months and 59.2% clean current for 36 months. The pool consists of 88.6% of loans where the borrower maintains a primary residence, while 11.4% are investment properties or second homes. Fitch viewed the high percentage of primary residences as a positive feature in its analysis. There is one loan in the pool with a potential principal reduction amount (PRA) that totals $2,445. Since this amount will be forgiven, Fitch increased its loss expectation by this amount (the increase in loss was not material). Seven loans in the pool were affected by a natural disaster and incurred minor damage with a maximum repair cost of $10,000. Since the damage rep carves out loans that have damages of less than $30,000, Fitch reduced the updated property value of these seven loans by the amount of the estimated damage as determined by the property inspection. As a result, the sLTV were increased for these loans, which in turn increased the loss severity. Geographic Concentration (Negative): Approximately 37.9% of the pool is concentrated in California. The largest MSA concentrations are in the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (15.0%), the Los Angeles-Long Beach-Santa Ana, CA MSA (14.4%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA (8.6%). The top three MSAs account for 37.9% of the pool. As a result, there was a 1.01x probability of default (PD) penalty for geographic concentration, which increased the 'AAAsf' loss by 0.05%. No Advancing (Positive): The servicer will not be advancing delinquent monthly payments of P&I. Due to P&I advances made on behalf of loans that become delinquent and eventually 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. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated certificates prior to other principal distributions is highly supportive of timely interest payments to those classes with no advancing. Fitch rates to timely interest for 'AAAsf' rated classes and rates to ultimate interest for all other rated classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION There was one criteria variation used in the analysis. The variation was to Fitch's "U.S. RMBS Loan Loss Model Criteria" since Fitch used lower LS floors that start at 20% for the AAA stress and end at 5% at the base case rather than 30% for the AAA stress and end at 10% in the base case in the analysis of this pool due to the seasoning of the loans and the very low LTVs. Using a 30% LS Floor is overly punitive, since almost 40% of the pool will liquidate without a loss under Fitch's analysis if no LS floor is applied at the AAA stress. Not applying this criteria variation would result in a one category difference in the 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 SitusAMC and Clayton. A third-party due diligence review was performed on 24.7% of the loans in the final pool. These loans had a compliance review, servicing comment review, payment history review, and data integrity review completed by SitusAMC and Clayton, which are assessed by Fitch as 'Acceptable' third-party review (TPR) firms. The review scope was consistent with Fitch criteria for due diligence on seasoned and re-performing loans. All loans in the final pool that had a due diligence review completed received a grade of 'A' or 'B' with no material findings. A tax, title and lien review was performed on 690 loans by SitusAMC and 89 loans by Clayton. The review found there are $258,389 in outstanding tax, municipal, and HOA liens (0.05% of the total pool balance). Some loans in the pool have missing or defective documents, which JPMCB is actively tracking down. JPMCB also consulted their foreclosure attorney who confirmed that the majority of the missing documents would not prevent a foreclosure. If JPMCB is not able to obtain the missing documents by the time the loan goes to foreclosure and not able to foreclose, it will repurchase the loan. A pay history review was conducted on a sample of the loans that confirmed the pay strings are accurate. Fitch considered the results of the due diligence in its analysis. Fitch did not adjust its loss expectations for any risks posed by due diligence findings due to the following mitigating factor: JPMCB is the R&W provider that holds an investment-grade rating. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 24.7% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC and Clayton were engaged to perform the review. Loans reviewed under this engagement were given compliance grades. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale for more details. AMC and Clayton also performed a serving comment review, payment history review, and data integrity review of the loans that had a compliance review. 690 loans had a tax and title review performed by SitusAMC and 89 loans by Clayton. JPMorgan Chase has a very robust process for confirming the data in loan tape is accurate based on the documentation they have in the loan files and servicing systems, which is a mitigating factor to the limited data integrity review by SitusAMC and Clayton in addition to the R&W being provided by JPMorgan Chase. 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; however, this information was not provided based on the American Securitization Forum's (ASF) data layout format. Despite this difference in data presentation, Fitch considered the data to be comprehensive. The data contained in the data tape were reviewed by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS Chase 2024-RPL2 has an ESG Relevance Score of '4' [+] for transaction parties and operational risk. Operational risk is well controlled in Chase 2024-RPL2 and includes strong transaction due diligence, and all the pool loans are serviced by a servicer rated 'RPS1-'. All these attributes result in a reduction in expected losses and in conjunction with other factors are relevant to the ratings. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLUMBIA CENT 33: S&P Assigns Prelim BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Columbia Cent CLO 33 Ltd./Columbia Cent CLO 33 Corp.'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 Columbia Cent CLO Advisers LLC. The preliminary ratings are based on information as of May 16, 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 Columbia Cent CLO 33 Ltd./Columbia Cent CLO 33 Corp. Class A-1, $240.00 million: AAA (sf) Class A-J, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C-1 (deferrable), $14.00 million: A (sf) Class C-F (deferrable), $10.00 million: A (sf) Class D-1F (deferrable), $17.00 million: BBB (sf) Class D-1A (deferrable), $5.00 million: BBB (sf) Class D-J (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $39.10 million: Not rated DRYDEN 42: Fitch Assigns 'B-(EXP)' Rating on Class F-RR Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Dryden 42 Senior Loan Fund Reset Transaction. Entity/Debt Rating ----------- ------ DRYDEN 42 SENIOR LOAN FUND X-RR LT AAA(EXP)sf Expected Rating A-1RR LT AAA(EXP)sf Expected Rating A-2RR LT AAA(EXP)sf Expected Rating B-RR LT AA(EXP)sf Expected Rating C-RR LT A(EXP)sf Expected Rating D-1RR LT BBB-(EXP)sf Expected Rating D-2RR LT BBB-(EXP)sf Expected Rating E-RR LT BB-(EXP)sf Expected Rating F-RR LT B-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Dryden 42 Senior Loan Fund (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by PGIM, Inc that originally closed in May 2016 and is being refinanced for the second time. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $347 million (excluded 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 23.28, versus a maximum covenant, in accordance with the initial expected matrix point of 24.83. 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 96.21% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.42% versus a minimum covenant, in accordance with the initial expected matrix point of 74.3%. 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average loan (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 for class X-RR, between 'BBB+sf' and 'AA+sf' for class A-1RR, between 'BBB+sf' and 'AA+sf' for class A-2RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1RR, between less than 'B-sf' and 'BB+sf' for class D-2RR, between less than 'B-sf' and 'B+sf' for class E-RR, and less than 'B-sf' for class F-RR. Ratings did not change for the class X-RR notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-RR, class A-1RR and class A-2RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1RR, 'A-sf' for class D-2RR, 'BBB+sf' for class E-RR, and 'BB+sf' for class F-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 42 Senior Loan Fund. 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. DRYDEN CLO 64: Moody's Cuts Rating on $12MM Class F Notes to Caa2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 64 CLO, Ltd.: US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa3 (sf); previously on March 28, 2023 Upgraded to A1 (sf) US$37,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on May 1, 2018 Assigned Baa3 (sf) Moody's Ratings has also downgraded the ratings on the following notes: US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa2 (sf); previously on May 1, 2018 Assigned B3 (sf) Dryden 64 CLO, Ltd., issued in May 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loan. The transaction's reinvestment period ended in April 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes since May 2023. The Class A notes have been paid down by approximately 7.27% or $28.4 million since then. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class F notes is 102.07%. Moody's also calculates that the deal's exposure to collateral from issuers rated Caa1 or lower has increased to 8.81% from 7.09% as of the last rating action in March 2023. No actions were taken on the Class A, Class B and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $542,657,803 Defaulted par: $17,653,366 Diversity Score: 89 Weighted Average Rating Factor (WARF): 2726 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.28% Weighted Average Recovery Rate (WARR): 47.59% Weighted Average Life (WAL): 4.05 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. EBET INC: Incurs $5.05 Million Net Loss in Second Quarter --------------------------------------------------------- EBET, Inc. filed with the Securities and Exchange Commission its Quarterly Report on Form 10-Q reporting a net loss of $5.05 million on $3.52 million of revenue for the three months ended March 31, 2024, compared to a net loss of $4.01 million on $11.58 million of revenue for the three months ended March 31, 2023. For the six months ended March 31, 2024, the Company reported a net loss of $8.87 million on $7.81 million of revenue, compared to a net loss of $11.57 million on $25.99 million of revenue for the six months ended March 31, 2023. As of March 31, 2024, the Company had $14.55 million in total assets, $70.73 million in total liabilities, and a total stockholders' deficit of $56.18 million. EBET said, "We have a history of and expect to continue to report negative cash flows from operations and a net loss. Our forecasts for 2024 and beyond indicate that we will need additional funding in order to have sufficient financial resources to continue to settle our debts as they fall due. We have taken significant measures to increase the profitability of our business in the short term, but we are not currently generating sufficient cash from our operations to settle our debts as they fall due and continue to require near term financing. These actions include optimizing the efficiency of marketing campaigns, reducing the total number of employees and contractors, terminating software and other immaterial contracts as well as generally reducing the operating costs of the business. These efforts have also resulted in an increased focus on our i-gaming business and a significant reduction in the investment of our esports products and technologies, which resulted in the recognition of an impairment loss on certain intangible assets and fixed assets. As a result of our actions as referenced above, we do not expect to launch our esports products in the short or medium term. These factors raise substantial doubt regarding our ability to continue as a going concern. These financial statements do not include any adjustments to the recoverability and classification of recorded asset amounts and classification of liabilities that might be necessary should we be unable to continue as a going concern. We may seek additional funding through a combination of equity offerings, debt financings, government or other third-party funding, commercialization, marketing and distribution arrangements, other collaborations, strategic alliances and licensing arrangements and delay planned cash outlays or a combination thereof. Management cannot be certain that such events or a combination thereof can be achieved." As of March 31, 2024, the Company has incurred an accumulated deficit of $160,023,445 since inception and has not yet generated any meaningful income from operations. A full-text copy of the Form 10-Q is available for free at: https://www.sec.gov/ix?doc=/Archives/edgar/data/1829966/000168316824003700/ebet_i10q-033124.htm About EBET EBET, Inc., headquartered in Las Vegas, NV, operates platforms to provide a real money online gambling experience focused on i-gaming including casino, sportsbook and esports events. The Company operates under a Curacao gaming sublicense and under operator service agreements with Aspire Global plc allowing EBET to provide online betting services to various countries around the world. Lakewood, CO-based BF Borgers CPA PC, the Company's auditor since 2022, issued a "going concern" qualification in its report dated Jan. 12, 2024, citing that the Company's operating losses raise substantial doubt about its ability to continue as a going concern. ELMWOOD CLO IV: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement debt and new class F-R debt from Elmwood CLO IV Ltd./Elmwood CLO IV LLC, a CLO originally issued in March 2020 that is managed by Elmwood Asset Management LLC. At the same time, S&P withdrew its ratings on the original class X, A, B, C, D, and E debt following payment in full on the May 20, 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 18, 2026. -- The reinvestment period was extended to April 18, 2029. -- The legal final maturity date (for the replacement debt and the existing subordinated notes) was extended to April 18, 2037. -- No additional assets were purchased on the refinancing date, and the target initial par amount remains at $500 million. -- There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 18, 2024. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $320.00 million: Three-month CME term SOFR + 1.46% -- Class B-R, $60.00 million: Three-month CME term SOFR + 1.85% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.30% -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 3.35% -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 6.15% -- Class F-R (deferrable), $7.50 million: Three-month CME term SOFR + 7.50% Original debt -- Class X, $2.00 million: Three-month CME term SOFR + 0.70% + CSA(i) -- Class A, $320.00 million: Three-month CME term SOFR + 1.24% + CSA(i) -- Class B, $60.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C (deferrable), $30.00 million: Three-month CME term SOFR + 2.05% + CSA(i) -- Class D (deferrable), $30.00 million: Three-month CME term SOFR + 3.15% + CSA(i) -- Class E (deferrable), $17.50 million: Three-month CME term SOFR + 6.60% + CSA(i) -- Subordinated notes, $47.20 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 Elmwood CLO IV Ltd./Elmwood CLO IV LLC Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $20.00 million: BB- (sf) Class F-R (deferrable), $7.50 million: B- (sf) Ratings Withdrawn Elmwood CLO IV Ltd./Elmwood CLO IV LLC Class X to NR from 'AAA (sf)' 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 Debt Elmwood CLO IV Ltd./Elmwood CLO IV LLC Subordinated notes, $47.20 million: NR NR--Not rated. FANNIE MAE 2024-R04: S&P Assigns Prelim 'BB' Rating on 1B-1 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Fannie Mae Connecticut Avenue Securities Trust 2024-R04's notes. The note issuance is an RMBS transaction backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, manufactured housing, and cooperatives made primarily to prime borrowers. The preliminary ratings are based on information as of May 20, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and the noteholders in the transaction's performance, which we believe enhance the notes' strength; -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying R&W framework; and -- The potential impact that 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 Fannie Mae Connecticut Avenue Securities Trust 2024-R04 Class 1A-H(i), $17,539,449,120: Not rated Class 1A-1, $220,403,000: A+ (sf) Class 1A-1H(i), $11,600,295: Not rated Class 1M-1, $220,403,000: BBB+ (sf) Class 1M-1H(i), $11,600,295: Not rated Class 1M-2A(ii), $58,774,000: BBB+ (sf) Class 1M-AH(i), $3,093,545: Not rated Class 1M-2B(ii), $58,774,000: BBB (sf) Class 1M-BH(i), $3,093,545: Not rated Class 1M-2C(ii), $58,774,000: BBB (sf) Class 1M-CH(i), $3,093,545: Not rated Class 1M-2(ii), $176,322,000: BBB (sf) Class 1B-1A(ii), $45,240,000: BB+ (sf) Class 1B-AH(i), $24,360,989: Not rated Class 1B-1B(ii), $45,240,000: BB (sf) Class 1B-BH(i), $24,360,989: Not rated Class 1B-1(ii), $90,480,000: BB (sf) Class 1B-2H(i), $139,201,977: Not rated Class 1B-3H(i), $92,801,319: Not rated Related combinable and recombinable notes exchangeable classes(iii) Class 1E-A1, $58,774,000: BBB+ (sf) Class 1A-I1, $58,774,000(iv): BBB+ (sf) Class 1E-A2, $58,774,000: BBB+ (sf) Class 1A-I2, $58,774,000(iv): BBB+ (sf) Class 1E-A3, $58,774,000: BBB+ (sf) Class 1A-I3, $58,774,000(iv): BBB+ (sf) Class 1E-A4, $58,774,000: BBB+ (sf) Class 1A-I4, $58,774,000(iv): BBB+ (sf) Class 1E-B1, $58,774,000: BBB (sf) Class 1B-I1, $58,774,000(iv): BBB (sf) Class 1E-B2, $58,774,000: BBB (sf) Class 1B-I2, $58,774,000(iv): BBB (sf) Class 1E-B3, $58,774,000: BBB (sf) Class 1B-I3, $58,774,000(iv): BBB (sf) Class 1E-B4, $58,774,000: BBB (sf) Class 1B-I4, $58,774,000(iv): BBB (sf) Class 1E-C1, $58,774,000: BBB (sf) Class 1C-I1, $58,774,000(iv): BBB (sf) Class 1E-C2, $58,774,000: BBB (sf) Class 1C-I2, $58,774,000(iv): BBB (sf) Class 1E-C3, $58,774,000: BBB (sf) Class 1C-I3, $58,774,000(iv): BBB (sf) Class 1E-C4, $58,774,000: BBB (sf) Class 1C-I4, $58,774,000(iv): BBB (sf) Class 1E-D1, $117,548,000: BBB (sf) Class 1E-D2, $117,548,000: BBB (sf) Class 1E-D3, $117,548,000: BBB (sf) Class 1E-D4, $117,548,000: BBB (sf) Class 1E-D5, $117,548,000: BBB (sf) Class 1E-F1, $117,548,000: BBB (sf) Class 1E-F2, $117,548,000: BBB (sf) Class 1E-F3, $117,548,000: BBB (sf) Class 1E-F4, $117,548,000: BBB (sf) Class 1E-F5, $117,548,000: BBB (sf) Class 1-X1, $117,548,000(iv): BBB (sf) Class 1-X2, $117,548,000(iv): BBB (sf) Class 1-X3, $117,548,000(iv): BBB (sf) Class 1-X4, $117,548,000(iv): BBB (sf) Class 1-Y1, $117,548,000(iv): BBB (sf) Class 1-Y2, $117,548,000(iv): BBB (sf) Class 1-Y3, $117,548,000(iv): BBB (sf) Class 1-Y4, $117,548,000(iv): BBB (sf) Class 1-J1, $58,774,000: BBB (sf) Class 1-J2, $58,774,000: BBB (sf) Class 1-J3, $58,774,000: BBB (sf) Class 1-J4, $58,774,000: BBB (sf) Class 1-K1, $117,548,000: BBB (sf) Class 1-K2, $117,548,000: BBB (sf) Class 1-K3, $117,548,000: BBB (sf) Class 1-K4, $117,548,000: BBB (sf) Class 1M-2Y, $176,322,000: BBB (sf) Class 1M-2X, $176,322,000(iv): BBB (sf) Class 1B-1Y, $90,480,000: BB (sf) Class 1B-1X, $90,480,000(iv): BB (sf) (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The class 1M-2 noteholders may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes and vice versa. The class 1B-1 noteholders may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes and vice versa. The class 1M-2A, 1M-2B, 1M-2C, 1B-1A, and 1B-1B noteholders may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. (iii)See the offering documents for more detail on possible combinations. (iv)Notional amount. FUTURE FINTECH: Incurs $3.32 Million Net Loss in First Quarter -------------------------------------------------------------- Future FinTech Group Inc. filed with the Securities and Exchange Commission its Quarterly Report on Form 10-Q reporting a net loss of $3.32 million on $5.12 million of revenue for the three months ended March 31, 2024, compared to a net loss of $2.25 million on $3.36 million of revenue for the three months ended March 31, 2023. As of March 31, 2024, the Company had $59.91 million in total assets, $18.29 million in total liabilities, and $41.62 million in total stockholders' equity. Future Fintech stated, "The Company incurred operating losses and had negative operating cash flows and may continue to incur operating losses and generate negative cash flows as the Company implements its future business plan. The Company's operating losses amounted $3.97 million, and it had negative operating cash flows amounted $8.15 million as of March 31, 2024. These factors raise substantial doubts about the Company's ability to continue as a going concern. The Company has raised funds through issuance of convertible notes and common stock. "The ability of the Company to continue as a going concern is dependent upon its ability to successfully execute its new business strategy and eventually attain profitable operations. The accompanying financial statements do not include any adjustments that may be necessary if the Company is unable to continue as a going concern." A full-text copy of the Form 10-Q is available for free at: https://www.sec.gov/ix?doc=/Archives/edgar/data/1066923/000121390024045190/ea0205821-10q_future.htm About Future FinTech Group Inc. Future FinTech Group Inc. is a holding company incorporated under the laws of the State of Florida. The Company historically engaged in the production and sale of fruit juice concentrates (including fruit purees and fruit juices), fruit beverages (including fruit juice beverages and fruit cider beverages) in the PRC. Due to drastically increased production costs and tightened environmental laws in China, the Company had transformed its business from fruit juice manufacturing and distribution to financial technology related service businesses. The main business of the Company includes supply chain financing services and trading in China, asset management business in Hong Kong and cross-border money transfer service in UK. The Company also expanded into brokerage and investment banking business in Hong Kong and cryptocurrency mining farm in the U.S. The Company had a contractual arrangements with a VIE E-Commerce Tianjin in China, which has generated minimal revenue and business since 2021 due to the negative impact caused by COVID-19. The Company started the process to close it down in November 2023 and completed deregistration and dissolution of the VIE with local authority on March 7, 2024. Orange, CA-based Fortune CPA, Inc., the Company's auditor since 2023, issued a "going concern" qualification in its report dated April 16, 2024, citing that the Company has suffered losses from operations. Therefore, the Company has stated substantial doubt about its ability to continue as a going concern. GCAT TRUST 2024-NQM2: Fitch Assigns 'B-(EXP)sf' Rating on B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by GCAT 2024-NQM2 Trust. GCAT 2024-NQM2 utilizes Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report's first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating ----------- ------ GCAT 2024-NQM2 Trust 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 X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by GCAT 2024-NQM2 Trust as indicated above. The certificates are supported by 671 loans with a total balance of approximately $330.7 million as of the cutoff date. All of the loans were originated by Arc Home LLC (Arc), United Wholesale Mortgage, AmWest, Cardinal Financial, Guaranteed Rate and Quontic Bank (Quontic). All loans are either currently or will be serviced by Newrez LLC (dba Shellpoint Mortgage Servicing [SMS]) and AmWest. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.8% above a long-term sustainable level (versus 11.1% on a national level as of 4Q23, remaining unchanged since last quarter). Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices have increased 5.5% yoy nationally as of February 2024, despite modest regional declines, but are still being supported by limited inventory. Non-QM Credit Quality (Negative): The collateral consists of 671 loans totaling $330.7 million and seasoned at approximately five months in aggregate, as calculated by Fitch. The borrowers have a strong credit profile (744 FICO and 38.6% debt-to-income [DTI] ratio, both as calculated by Fitch) and moderate leverage (79.6% sustainable loan-to-value [sLTV] ratio). The pool consists of 64.4% of loans where the borrower maintains a primary residence, while 35.6% of the pool loans involve investor property or a second home. Additionally, 9.3% are designated as qualified mortgage (QM) loans, while 5.4% are higher price QM (HPQM) loans and 55.3% are non-QM loans. For the remaining loans, the Ability-to-Repay (ATR) Rule (or the Rule) does not apply, due to either the loan being an investor property or because the loan was originated through a community development financial institution (CDFI). Loan Documentation (Negative): Approximately 80.9% of the pool loans were underwritten to less than full documentation. Furthermore, 49.2% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule, which 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 underwriting and documentation of the borrower's ability to repay. Additionally, 9.0% is a CPA (cost per action) or P&L product and 18.9% is a debt service coverage ratio product. Limited Advancing (Mixed): The transaction is structured to three months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as there is a lower amount 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 side, as there is limited liquidity in the event of large and extended delinquencies. Advances of delinquent P&I required but not paid by the servicers will be paid by Nationstar. If Nationstar is unable to advance, advances will be made by U.S. Bank Trust Company, National Association, the transaction's paying agent. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. The structure includes a step-up coupon feature where the fixed interest rate for classes A-1, A-2 and A-3 will increase by 100 basis points (bps), subject to the net weighted average coupon, starting on the June 2028 payment date. This reduces the excess spread available to repay losses. On each payment date on or after the step-up date, interest distribution amounts otherwise allocable to the unrated class B-3 certificates, to the extent available, may be used to reimburse any unpaid cap carryover amount for classes A-1, A-2 and A-3. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 53bps 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. GENERATE CLO 15: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Generate CLO 15 Ltd./Generate CLO 15 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Generate Advisors LLC. 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 Generate CLO 15 Ltd./Generate CLO 15 LLC Class A, $238.000 million: NR Class A-L loans(i), $50.000 million: NR Class B, $54.000 million: AA (sf) Class C (deferrable), $27.000 million: A (sf) Class D (deferrable), $27.000 million: BBB- (sf) Class E (deferrable), $16.875 million: BB- (sf) Subordinated notes, $45.000 million: NR (i)The class A-L loans are not convertible into notes. NR--Not rated. GENERATE CLO 5: Fitch Assigns 'BB+sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Generate CLO 5 Ltd. (Reset). Entity/Debt Rating Prior ----------- ------ ----- Generate CLO 5 Ltd. (f/k/a York CLO-5 Ltd.) A 98625LAA0 LT PIFsf Paid In Full AAAsf 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-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating TRANSACTION SUMMARY Generate CLO 5 Ltd. (f/k/a York CLO-5 Ltd.) (the issuer), originally closed in September 2018, is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Generate Advisors, LLC. The existing notes will be refinanced. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $449.5 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. 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 98.98% first-lien senior secured loans and has a weighted average recovery assumption of 74.43%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-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-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-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A-sf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Generate CLO 5 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. HILDENE TRUPS P26BC: Moody's Assigns B1 Rating to $40MM Cl. B Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Hildene TruPS Resecuritization P26BC, LLC (the "Issuer"). Moody's rating action is as follows: US$66,000,000 Class A Notes due 2037, Assigned Baa2 (sf) US$40,000,000 Class B Notes due 2037, Assigned B1 (sf) The Class A Notes and the Class B Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the portfolio of Preferred Term Securities XXVI, 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 June 21, 2007: US$29,357,242 of the $55,178,977 Floating Rate Class B-1 Mezzanine Notes due September 2037 (the "Class B-1 Notes") US$12,709,588 of the $34,544,435 Fixed/Floating Rate Class B-2 Mezzanine Notes due September 2037 (the "Class B-2 Notes") US$54,287,360 of the $66,652,006 Floating Rate Class C-1 Mezzanine Notes due September 2037 (the "Class C-1 Notes") US$18,061,295 of the $36,821,737 Fixed/Floating Rate Class C-2 Mezzanine Notes due September 2037 (the "Class C-2 Notes") The Class B-1 Notes, the Class B-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 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. Given the continuous challenges facing the banking sector and observed sudden credit deterioration of regional banks since early 2023, Moody's conducted additional analysis to evaluate the impact of such potential risk. 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 CDOEdg(TM) cash flow model. For modeling purposes, Moody's used the following base-case assumptions for the Underlying TruPS CDO's portfolio: Par amount: $522,900,000 Weighted Average Rating Factor (WARF): 1130 Weighted Average Spread (WAS): 1.95% Weighted Average Coupon (WAC): 8.0% Weighted Average Life (WAL): 9.2 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 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. HOTWIRE FUNDING 2024-1: Fitch Gives BB(EXP) Rating on Cl. C Notes ----------------------------------------------------------------- Fitch Ratings has issued a presale report for Hotwire Funding LLC's Secured Fiber Network Revenue Notes, Series 2024-1. Fitch expects to rate Hotwire Funding LLC's Secured Fiber Network Revenue Notes, Series 2024-1 as follows: - $442.0 million 2024-1 class A-2 'A(EXP)sf'; Outlook Stable; - $62 million 2024-1 class B 'BBB(EXP)sf'; Outlook Stable; - $124 million 2024-1 class C 'BB(EXP)sf'; Outlook Stable. Fitch's expected ratings incorporate the prefunding amount that may be issued in connection with the transaction. TRANSACTION SUMMARY The transaction is a securitization of the contract payments derived from an existing Fiber to the Home (FTTH) network. Debt is secured by the net cash flow from operations and benefits from a perfected security interest in the securitized assets, which includes conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. The collateral consists of best-in-class fiber lines that support the provision of internet, cable, and telephony services to a portfolio of homeowners' associations (HOAs) and condominium owners' associations (COAs), located predominantly in Florida (96.0% annualized run rate return [ARRR]). These agreements are governed by long-term contracts directly with the associations. Transaction proceeds will be utilized to fund the series 2024-1 prefunding account, fund the applicable securitization transaction reserves, pay transaction fees and expenses, pay the outstanding principal balance of the series 2021-1 class A-1-V notes and for general corporate purposes. The note balances include $250 million of prefunding, allocated among classes A-2, B and C. In connection with the transaction, Fitch expects the 2021-1, class A-1-V will be amended to increase the committed balance to $300 million from $240 million, extend the maturity date to June 2027 and retain its two one-year extension options. The ratings on all existing notes are expected to be affirmed concurrent with the transaction close and the assignment of final ratings. The ratings reflect a structured financial analysis of the cash flows from the ownership interest in the underlying fiber optic network, not an assessment of the corporate default risk of the ultimate parent, Hotwire Communications, LLC. KEY RATING DRIVERS Net Cash Flow (NCF) and Trust Leverage: Fitch Ratings' net cash flow (NCF) on the pool is $195.2 million in the base case, implying a 13.8% haircut to issuer base case NCF. The debt multiple relative to Fitch's NCF on the rated classes is 11.50x in this scenario, versus the debt/issuer NCF leverage of 10.0x. Inclusive of the cash flow required to draw upon the variable funding note (VFN), which will have a $300 million commitment at transaction closing and the $250 million expected prefunding account balance, Fitch NCF flow is $248.4 million, implying a 15.6% haircut to the implied issuer NCF. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale, creditworthiness and diversity of the customer base, long-term contractual cash flow, market position of the sponsor, capability of the operator, limited operational requirements and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn, or the development of an alternative technology for the transmission of data could lead to downgrades; - Fitch's NCF was 13.8% below the issuer's underwritten cash flow as of April 2024. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of Maximum Potential Leverage: class A to 'BBBsf' from 'Asf'; class B to 'BB+sf' from 'BBBsf'; class C to CCCsf' from 'BBsf'. 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, or contract amendments could lead to upgrades; - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of Maximum Potential Leverage: class A to 'Asf' from 'Asf'; class B to 'Asf' from 'BBBsf'; class C to 'BBB-sf' from 'BBsf'; - Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparison of certain characteristics with respect to the portfolio of fiber assets and related contracts in the data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. INVESCO US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2024-2, Ltd. Entity/Debt Rating ----------- ------ Invesco U.S. CLO 2024-2, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Invesco U.S. CLO 2024-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 3 L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.53, 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 96.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.01% versus a minimum covenant, in accordance with the initial expected matrix point of 72.5%. 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D, and '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 Invesco U.S. 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. JPMCC 2019-COR4: Fitch Affirms CCC Rating on Class H-RR Certs ------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of JPMDB Commercial Mortgage Securities Trust 2018-C8 commercial mortgage pass-through certificates (JPMDB 2018-C8). The Rating Outlooks on 13 classes remain Stable. Fitch has also affirmed 15 classes of JPMCC Commercial Mortgage Securities Trust 2019-COR4 commercial mortgage pass-through certificates (JPMCC 2019-COR4). The Rating Outlooks for classes A-S, B, C, D, E, F-RR, X-A, X-B and X-D have been revised to Negative from Stable. The Outlook for class G-RR remains Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2019-COR4 A-1 48128YAS0 LT PIFsf Paid In Full AAAsf A-2 48128YAT8 LT PIFsf Paid In Full AAAsf A-3 48128YAU5 LT AAAsf Affirmed AAAsf A-4 48128YAV3 LT AAAsf Affirmed AAAsf A-5 48128YAW1 LT AAAsf Affirmed AAAsf A-S 48128YBA8 LT AAAsf Affirmed AAAsf A-SB 48128YAX9 LT AAAsf Affirmed AAAsf B 48128YBB6 LT AA-sf Affirmed AA-sf C 48128YBC4 LT A-sf Affirmed A-sf D 48128YAC5 LT BBBsf Affirmed BBBsf E 48128YAE1 LT BBB-sf Affirmed BBB-sf F-RR 48128YAG6 LT BBB-sf Affirmed BBB-sf G-RR 48128YAJ0 LT B-sf Affirmed B-sf H-RR 48128YAL5 LT CCCsf Affirmed CCCsf X-A 48128YAY7 LT AAAsf Affirmed AAAsf X-B 48128YAZ4 LT A-sf Affirmed A-sf X-D 48128YAA9 LT BBB-sf Affirmed BBB-sf JPMDB 2018-C8 A-3 46591AAZ8 LT AAAsf Affirmed AAAsf A-4 46591ABA2 LT AAAsf Affirmed AAAsf A-S 46591ABE4 LT AAAsf Affirmed AAAsf A-SB 46591ABB0 LT AAAsf Affirmed AAAsf B 46591ABF1 LT AA-sf Affirmed AA-sf C 46591ABG9 LT A-sf Affirmed A-sf D 46591AAG0 LT BBsf Affirmed BBsf E 46591AAJ4 LT B+sf Affirmed B+sf F 46591AAL9 LT B-sf Affirmed B-sf G 46591AAN5 LT CCCsf Affirmed CCCsf X-A 46591ABC8 LT AAAsf Affirmed AAAsf X-B 46591ABD6 LT AA-sf Affirmed AA-sf X-D 46591AAA3 LT BBsf Affirmed BBsf X-EF 46591AAC9 LT B-sf Affirmed B-sf X-G 46591AAE5 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Transaction-level 'Bsf' rating case losses are 5.40% in JPMDB 2018-C8 and 6.61% in JPMCC 2019-COR4. The JPMDB 2018-C8 transaction has nine loans (36.6% of the pool) which have been identified as Fitch Loans of Concern (FLOCs), including one loan (4.8%) in special servicing. The JPMCC 2019-COR4 transaction has 12 FLOCs (45.4%), including one loan (2.4%) in special servicing. The affirmations and Stable Outlooks in the JPMDB 2018-C8 transaction reflect generally stable performance and loss expectations since Fitch's prior rating action. Higher loss expectations on the office FLOCs, Meridian Corporate Center and Constitution Plaza, were offset by improved performance and occupancy on several retail loans, Lakewood Forest Plaza and Weslaco Shopping Center, which have experienced significant positive leasing momentum. The Negative Outlooks on classes A-S, B, C, D, E, F-RR, G-RR, X-A, X-B and X-D in JPMCC 2019-COR4 reflect increased pool loss expectations since the prior rating action and possible downgrades of up to one rating category with continued performance deterioration or lack of stabilization of the office, hotel and retail FLOCs, including 400 South El Camino (9.4%), Renaissance Seattle (10.2%), Grand Hyatt Seattle (4.4%), Pier 54 Seattle (3.1%), Inland Empire Office Portfolio I and II (combined, 4.8%), The Strand (1.8%), 3500 Helms (1.5%) and Carlsbad (1.2%). FLOCs; Largest Loss Contributors: The largest contributor to overall pool loss expectations and the largest increase in loss since the prior rating action in JPMDB 2018-C8 is the Meridian Corporate Center loan (5.5%), secured by 11 suburban office properties totaling 691,705 sf located in Durham, NC. The properties were built between 1985-1998 and are all located adjacent to the Research Triangle Park. Performance of the portfolio continues to decline, with December 2023 occupancy falling to 71% from 81% at YE 2022. As a result, the servicer-reported December 2023 NOI DSCR declined to 1.62x from 2.15x at YE 2022. The portfolio has significant upcoming rollover with 40% of the NRA expected to expire over the next three years. Costar is reporting a high current availability rate of 39% for the portfolio. Fitch's 'Bsf' rating case loss of 20.4% (prior to concentration adjustments) reflects a 20% stress to the YE 2023 NOI with a 10% cap rate and also factors a higher probability of default given concerns with the portfolio's high availability rate and rollover risk. The second largest contributor to overall pool loss expectations and the second largest increase in loss since the prior rating action in JPMDB 2018-C8 is the Constitution Plaza loan (4.8%), secured by a 659,315-sf office property in downtown Hartford, CT. The loan transferred to special servicing in May 2023 for maturity default. The special servicer is being dual-tracking foreclosure and receivership with ongoing discussions with the borrower. The property was 78% occupied as of December 2023 with the largest tenant, XL America, leasing 19.1% of the NRA through December 2027. YE 2022 NOI DSCR was 1.62x, in line with issuance. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 22.6% is based on a discount to a recent appraisal value equating to a stressed recovery of $71 psf. The largest contributor to overall pool loss expectations and the largest increase in loss since the prior rating action in JPMCC 2019-COR4 is the 400 South El Camino loan (9.4%), secured by a 145,877-sf office building in San Mateo, CA. Performance of the property has deteriorated with the largest tenant, Alibaba (22% of the NRA), vacating at lease expiration in July 2023. The former second largest tenant, ZS Associates (20% of the NRA), had already vacated at lease expiration in April 2022. As of September 2023, property occupancy had declined to 64% with a NOI DSCR of 1.41x. Fitch's 'Bsf' rating case loss of 21.1% (prior to concentration adjustments) reflects a cap rate of 10%, 15% stress to the YE 2022 NOI and factors a higher probability of default to account for the largest tenant's departure and expected decline in cash flow. The second largest contributor to overall pool loss expectations in JPMCC 2019-COR4 is the Saint Louis Galleria (6.1%), secured by a Brookfield-sponsored, super-regional mall located in St. Louis, MO. This FLOC was flagged due to lagging post-pandemic performance and upcoming rollover concerns. The mall is anchored by Dillard's, Macy's and Nordstrom, which are non-collateral tenants. Property-level NOI has declined since issuance, with the most recent full-year reported YE 2022 NOI remaining approximately 29% below the originator's underwritten NOI and 12% below YE 2020 NOI. The NOI declines are mainly attributed to the lower revenue since the pandemic, where YE 2022 revenue is 20% below YE 2019. As of September 2023, the YTD servicer-reported NOI DSCR was 1.60x, compared with 1.68x at YE 2021. The loan began to amortize in November 2023. Collateral occupancy declined to 90.5% as of September 2023 from 96% at YE 2021 as a result of several tenants vacating at or ahead of their lease expirations. Total mall occupancy was 96.6% as of the September 2023 rent roll. As of September 2022, reported TTM inline comparable tenant sales were $536 psf ($419 psf excluding Apple), compared with $523 psf ($401 psf excluding Apple) as of TTM September 2021 and $364 psf ($294 psf excluding Apple) at YE 2020. Fitch requested an updated tenant sales report, but it was not provided. Fitch's 'Bsf' rating case loss of 12.6% (prior to concentration add-ons) is based on a 7.5% stress to the YE 2022 NOI and an 11.50% cap rate. Seattle MSA FLOCs: In the JPMCC 2019-COR4 transaction, four loans located in the Seattle MSA have been identified as FLOCs due to underperformance or sponsor concerns. Two hotel loans in the pool, which share the same sponsor, the Renaissance Seattle (10.2%) and the Grand Hyatt Seattle (4.4%), continue to underperform issuance expectations. As of YE 2023, the Renaissance Seattle reported occupancy of 62% with NOI DSCR of 1.26x and the Grand Hyatt Seattle reported occupancy of 66% and NOI DSCR of 1.28x. Mixed-used loan, Pier 54 Seattle (3.1%) which consists of 43,808 sf of first floor retail, restaurant and office space, in addition to 21,941 sf of second-floor creative office space, continues to exhibit insufficient cash flow to service the debt since 2020. The property is located along the Seattle waterfront which has been undergoing construction as part of a multi-year re-development project to revitalize the area. The Sorento Flats loan (2.4%), secured by a 156-unit multifamily property in Seattle, transferred to special servicing due to the bankruptcy of the guarantor. YE 2023 NOI DSCR was 1.84x with NOI 24% higher than the originator's underwritten NOI from issuance. Changes in Credit Enhancement (CE): As of the April 2024 distribution date, the aggregate balances of the JPMDB 2018-C8 and JPMCC 2019-COR4 transactions have been paid down by 24.3% and 2.7%, respectively, since issuance. The JPMDB 2018-C8 transaction includes two loans (1.9% of the pool) that have fully defeased and JPMCC 2019-COR4 has two loans (6.4%) that have fully defeased. Cumulative interest shortfalls of $322 thousand are affecting the non-rated class NR-RR in JPMDB 2018-C8 and $47 thousand are affecting the non-rated NR-RR class in JPMCC 2019-COR4. 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 CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly beyond Fitch's expectations from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. A downgrade of up to one category to the junior 'AAAsf', 'AAsf' and 'Asf' categories in JPMCC 2019-COR4 is possible should performance of 400 South El Camino, Renaissance Seattle, Grand Hyatt Seattle, Pier 54 Seattle, Inland Empire Office Portfolio I and II, The Strand, 3500 Helms, and Carlsbad loans, deteriorate further or fail to stabilize Downgrade to the 'BBBsf' category is possible with higher than expected losses from continued underperformance of the FLOCs, in particular the office, hotel and retail loans with deteriorating performance, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs noted above. Downgrades to the 'BBsf' and 'Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs, should additional loans transfer to special servicing or default and as losses are realized or become more certain. 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 sustained improved performance on the FLOCs, including Meridian Corporate Center, Constitution Plaza and Fountaingrove Executive Center in JPMDB 2019-C8, and 400 South El Camino, Saint Louis Galleria, Inland Empire Office Portfolio I and II, The Strand, 3500 Helms, Carlsbad, Renaissance Seattle, Grand Hyatt Seattle, Pier 54 Seattle and Sorento Flats in JPMCC 2019-COR4. 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 and special serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed classes 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. KKR CLO 29: 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-1R, D-2R, and E-R replacement debt from KKR CLO 29 Ltd./KKR CLO 29 LLC, a CLO originally issued in 2021 that is managed by KKR Financial Advisors II LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, E, and F debt following payment in full. 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-1R, D-2R, and E-R debt were issued at a higher spread over three-month SOFR than the original notes. -- A new non-call period was established, which will expire on, but exclude May 14, 2026. -- The reinvestment period was extended approximately 5.3 years to May 14, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended by approximately 5.5 years to July 15, 2037. -- The weighted average life test was extended to nine years from the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $256.00 million: Three-month CME term SOFR + 1.54% -- Class B-R, $48.00 million: Three-month CME term SOFR + 1.90% -- Class C-R, $24.00 million: Three-month CME term SOFR + 2.50% -- Class D-1R, $20.00 million: Three-month CME term SOFR + 3.75% -- Class D-2R, $5.00 million: Three-month CME term SOFR + 5.20% -- Class E-R, $15.00 million: Three-month CME term SOFR + 7.08% Original debt -- Class A, $248.00 million: Three-month CME term SOFR + 1.20% + CSA(i) -- Class B, $56.00 million: Three-month CME term SOFR + 1.50% + CSA(i) -- Class C, $24.00 million: Three-month CME term SOFR + 2.00% + CSA(i) -- Class D, $22.00 million: Three-month CME term SOFR + 3.40% + CSA(i) -- Class E, $15.00 million: Three-month CME term SOFR + 6.75% + CSA(i) -- Class F, $4.00 million: Three-month CME term SOFR + 9.00% + CSA(i) -- Subordinated notes, $37.30 million: Not applicable (i)CSA--Credit spread adjustment. CSA=0.26161%. 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 KKR CLO 29 Ltd./KKR CLO 29 LLC Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-1R, $20.00 million: BBB (sf) Class D-2R, $5.00 million: BBB- (sf) Class E-R, $15.00 million: BB- (sf) Ratings Withdrawn KKR CLO 29 Ltd./KKR CLO 29 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)' Class F to NR from 'B- (sf)' Other Debt KKR CLO 29 Ltd./KKR CLO 29 LLC Subordinated notes, $37.30 million: NR NR--Not rated. LBA TRUST 2024-BOLT: Fitch Assigns B(EXP) Rating on Cl. HRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to LBA Trust 2024-BOLT, Commercial Mortgage Pass-Through Certificates, Series 2024-BOLT: - $314,800,000 class A 'AAAsf'; Outlook Stable; - $103,320,000a class X-CP 'BBB-sf'; Outlook Stable; - $147,600,000a class X-EXT 'BBB-sf'; Outlook Stable; - $51,500,000 class B 'AA-sf'; Outlook Stable; - $39,900,000 class C 'A-sf'; Outlook Stable; - $56,200,000 class D 'BBB-sf'; Outlook Stable; - $86,200,000 class E 'BB-sf'; Outlook Stable; - $21,400,000 class F 'B+sf'; Outlook Stable; - $30,000,000b class HRR 'Bsf'; Outlook Stable. (a) Notional amount and interest only. (b) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in a trust that will hold a $600 million, two-year, floating-rate, IO mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 18 industrial facilities, comprising approximately 9.9 million sf located in nine states and 11 markets. Loan proceeds will be used to refinance approximately $471 million of existing debt, pay $13.0 million in closing costs and return approximately $116.0 million of equity to the sponsor The certificates will follow a pro rata paydown for the initial 30% of the loan amount and a standard senior sequential paydown thereafter. The borrower has a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default (EOD) is continuing, voluntary prepayments will be applied pro rata between the mortgage and the mezzanine loan. The loan is expected to be originated by Morgan Stanley Mortgage Capital Holdings LLC. KeyBank National Association is expected to be the servicer, with CWCapital Asset Management LLC as special servicer. Wilmington Trust, N.A., is expected to act as the trustee and Computershare Trust Company, N.A. is expected to serve as the certificate administrator. Pentalpha Surveillance LLC will act as operating advisor. The transaction is scheduled to close on June 5, 2024. KEY RATING DRIVERS Net Cash Flow: Fitch's estimates stressed net cash flow (NCF) for the portfolio at $39.4 million. This is 6.0% lower than the issuer's NCF and 8.6% higher than YE 2023 NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of $544.0 million. High Fitch Leverage: The $600.0 million whole loan equates to debt of approximately $58 psf, with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 110.3% and 6.6%, respectively. The loan represents approximately 56.5% of the appraised value of $962.1 million. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 18 industrial properties (9.9 million sf) located across nine states and 11 MSAs. The three largest state concentrations are Illinois (1.6 million sf; two properties), South Carolina (1.5 million sf; two properties) and Tennessee (1.4 million sf; two properties). The three largest MSAs are Chicago, IL (16.0% of NRA; 14.9% of ALA); Memphis, TN (13.9% of NRA; 7.5% of ALA); and Baltimore, MD (13.8% of NRA; 16.5% of ALA). The portfolio also exhibits significant tenant diversity as it features 20 distinct tenants, with no tenant occupying more than 13.7%. Institutional Sponsorship and Management: The loan is sponsored by a JV between LBA Logistics and GIC. LBA has approximately 102 million sf of logistics and office assets under management. Of this, 92 million sf are warehouse, distribution, light manufacturing, multi-tenanted business parks and R&D spaces. GIC is headquartered in Singapore with investments in over 40 countries. 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 net cash flow (NCF): - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf' - 10% NCF Decline: 'AAsf'/'BBB+sf '/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'/'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf '/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf' - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBB+sf'/'BBsf'/'BB-sf'/'BB-sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MADISON PARK XXXI: Fitch Assigns BB+(EXP) Rating on Cl. E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the Madison Park Funding XXXI, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Madison Park Funding XXXI, Ltd. A-1-R LT AAA(EXP)sf Expected Rating A-2-RR LT AAA(EXP)sf Expected Rating B-1-R LT AA(EXP)sf Expected Rating B-2-R LT AA(EXP)sf Expected Rating C-R LT A+(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating F-R LT NR(EXP)sf Expected Rating X-R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Madison Park Funding XXXI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas), Inc. that originally closed in October 2018 and was first refinanced in December 2020. The CLO's secured notes will be refinanced on June 13, 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 $796 million, excluding defaults, of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.71% first-lien senior secured loans and has a weighted average recovery assumption of 75.38%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. 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 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Madison Park Funding XXXI, 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 XXXI: S&P Assigns Prelim B- (sf) Rating on F-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R and A-1-R debt and the proposed new class F-R debt from Madison Park Funding XXXI Ltd./Madison Park Funding XXXI LLC, a CLO originally issued in December 2018 that is managed by UBS Asset Management (Americas) LLC (as successor in interest to Credit Suisse Asset Management LLC). The preliminary ratings are based on information as of May 20, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 13, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class X-R, A-1-R, A-2-RR, B-1-R, C-R, D-1-R, D-2-R, 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 B-2-R debt is expected to be issued at fixed coupon. -- The new proposed class F-R debt is expected to be issued at a floating spread over three-month SOFR. -- The stated maturity will be extended by 6.5 years. -- The reinvestment period will be extended to July 23, 2029. -- The non-call period will be extended to July 23, 2026. -- The class X-R debt issued in connection with this refinancing is expected to be paid down using interest proceeds during the first eight payment dates, beginning with the payment date in October 2024. -- Of the identified underlying collateral obligations, 99.39% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 92.64% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. -- There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is in October 2024. -- No additional subordinated notes will be issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class X-R, $8.00 million: Three-month CME term SOFR + 1.100% -- Class A-1-R, $490.80 million: Three-month CME term SOFR + 1.470% -- Class A-2-RR, $37.20 million: Three-month CME term SOFR + 1.800% -- Class B-1-R, $64.00 million: Three-month CME term SOFR + 2.000% -- Class B-2-R, $16.00 million: 6.000% -- Class C-R (deferrable), $48.00 million: Three-month CME term SOFR + 2.450% -- Class D-1-R (deferrable), $48.00 million: Three-month CME term SOFR + 3.750% -- Class D-2-R (deferrable), $8.00 million: Three-month CME term SOFR + 5.250% -- Class E-R (deferrable), $24.00 million: Three-month CME term SOFR + 7.000% -- Class F-R (deferrable), $1.00 million: Three-month CME term SOFR + 9.250% Previously refinanced debt(i) -- Class A-2B-R, $10.00 million: 1.94% -- Class A-2C-R, $5.00 million: Three-month CME term SOFR + 1.45% + CSA(ii) Original debt -- Class X, $3.00 million: Three-month CME term SOFR + 0.60% + CSA(ii) -- Class A-1, $456.00 million: Three-month CME term SOFR + 1.16% + CSA(ii) -- Class A-2A, $45.00 million: Three-month CME term SOFR + 1.50% + CSA(ii) -- Class A-2B, $15.00 million: 4.60% -- Class B, $88.00 million: Three-month CME term SOFR + 1.70% + CSA(ii) -- Class C (deferrable), $48.00 million: Three-month CME term SOFR + 2.20% + CSA(ii) -- Class D (deferrable), $50.00 million: Three-month CME term SOFR + 3.00% + CSA(ii) -- Class E (deferrable), $30.00 million: Three-month CME term SOFR + 5.75% + CSA(ii) -- Subordinated notes, $81.70 million: Residual (i)Not rated by S&P Global Ratings. (ii)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." Preliminary Ratings Assigned Madison Park Funding XXXI Ltd./Madison Park Funding XXXI LLC Class X-R, $8.00 million: AAA (sf) Class A-1-R, $490.80 million: AAA (sf) Class A-2-RR, $37.20 million: NR Class B-1-R, $64.00 million: NR Class B-2-R, $16.00 million: NR Class C-R (deferrable), $48.00 million: NR Class D-1-R (deferrable), $48.00 million: NR Class D-2-R (deferrable), $8.00 million: NR Class E-R (deferrable), $24.00 million: NR Class F-R (deferrable), $1.00 million: B- (sf) Other Debt Madison Park Funding XXXI Ltd./Madison Park Funding XXXI LLC Subordinated notes, $81.70 million: NR NR--Not rated. MCF CLO VIII: 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-R, and E-R replacement debt from MCF CLO VIII Ltd./MCF CLO VIII LLC, a CLO originally issued in June 2018 that is managed by Apogem Capital LLC, a subsidiary of New York Life. At that time, S&P withdrew its ratings on the original debt and assigned ratings to the replacement debt following payment in full. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The stated maturity on the existing subordinated notes was extended to April 18, 2036, from July 18, 2030, to match the stated maturity on the new refinancing notes. -- The reinvestment period was extended to May 15, 2028. It is currently in its amortization period, having ended reinvestment in July 2022, so there was an injection of capital from Madison Capital Funding, which brought the transactions portfolio back up to its target par balance of $325.00 million. -- The non-call period was extended to May 15, 2026. -- There is not an additional effective date, and the first payment date following the May 15, 2024, second refinancing date will be Oct. 18, 2024. -- The weighted average life test was extended to eight years from the second refinancing date. In addition to updating to recent rating agency methodology, the transaction also increased its 'CCC' basket in the coverage test calculations to haircut 'CCC' collateral obligations in excess of 17.5% (rather than in excess of 15%), as well as incorporated purchase allowances for second lien and unsecured loans, debtor-in-possession collateral obligations, and workout related debt obligations and equity securities. Finally, the issuer incorporated allowances for issuer note repurchases as well as contribution acceptances to be used for permitted uses. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $188.500 million: Three-month CME term SOFR + 1.95% -- Class B-R, $32.500 million: Three-month CME term SOFR + 2.40% -- Class C-R (deferrable), $26.000 million: Three-month CME term SOFR + 3.10% -- Class D-R (deferrable), $19.500 million: Three-month CME term SOFR + 5.15% -- Class E-R (deferrable), $17.875 million: Three-month CME term SOFR + 8.00% Original debt -- Class A-1, $157.500 million: Three-month CME term SOFR + 1.37% + CSA(i) -- Class A-2A-R, $21.600 million: Three-month CME term SOFR + 2.40% + CSA(i) -- Class A-2B-R, $10.000 million: 2.55% -- Class B, $28.100 million: Three-month CME term SOFR + 1.75% + CSA(i) -- Class C (deferrable), $24.400 million: Three-month CME term SOFR + 2.30% + CSA(i) -- Class D (deferrable), $18.900 million: Three-month CME term SOFR + 3.50% + CSA(i) -- Class E (deferrable), $23.600 million: Three-month CME term SOFR + 7.33% + CSA(i) -- Subordinated notes, $41.80 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 recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned MCF CLO VIII Ltd./MCF CLO VIII LLC Class A-R, $188.500 million: AAA (sf) Class B-R, $32.500 million: AA (sf) Class C-R (deferrable), $26.000 million: A (sf) Class D-R (deferrable), $19.500 million: BBB- (sf) Class E-R (deferrable), $17.875 million: BB- (sf) Ratings Withdrawn MCF CLO VIII Ltd./MCF CLO VIII LLC Class A-1 to not rated from 'AAA (sf)' Class A-2A-R to not rated from 'AAA (sf)' Class A-2B-R to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C (deferrable) to not rated from 'A (sf)' Class D (deferrable) to not rated from 'BBB- (sf)' Class E (deferrable) to not rated from 'BB- (sf)' Other Outstanding Debt MCF CLO VIII Ltd./MCF CLO VIII LLC Subordinated notes, $41.80 million: Not rated MOBIQUITY TECHNOLOGIES: Incurs $1.04-Mil. Net Loss in First Quarter ------------------------------------------------------------------- Mobiquity Technologies, Inc., filed with the Securities and Exchange Commission its Quarterly Report on Form 10-Q reporting a net loss of $1.04 million on $263,282 of revenues for the three months ended March 31, 2024, compared to a net loss of $1.72 million on $132,224 of revenues for the three months ended March 31, 2023. As of March 31, 2024, the Company had $4.12 million in total assets, $2.54 million in total liabilities, and $1.58 million in total stockholders' equity. Mobiquity said, "The Company has incurred significant losses since its inception in 1998 and has not demonstrated an ability to generate sufficient revenues from the sales of its products and services to achieve profitable operations. There can be no assurance that profitable operations will ever be achieved, or if achieved, could be sustained on a continuing basis. In making this assessment we performed a comprehensive analysis of our current circumstances including: our financial position, our cash flows and cash usage forecasts for the year ended December 31, 2023, and the quarter ended March 31, 2024, and our current capital structure including equity-based instruments and our obligations and debts. "Without sufficient revenues from operations, if the Company does not obtain additional capital, the Company will be required to reduce the scope of its business development activities or cease operations. "These factors create substantial doubt about the Company's ability to continue as a going concern within one year after the date that these consolidated financial statements are issued, as the Company will need additional capital to meet its financial obligations. These consolidated financial statements do not include any adjustments that might be necessary if the Company is unable to continue as a going concern. Accordingly, the consolidated financial statements have been prepared on a basis that assumes the Company will continue as a going concern and which contemplates the realization of assets and satisfaction of liabilities and commitments in the ordinary course of business." A full-text copy of the Form 10-Q is available for free at: https://www.sec.gov/ix?doc=/Archives/edgar/data/1084267/000168316824003689/mobiquity_i10q-033124.htm About Mobiquity Technologies Headquartered in Shoreham, NY, Mobiquity Technologies, Inc., is a next-generation advertising technology, data compliance and intelligence company which operates through its various proprietary software platforms. The Company's product solutions are comprised of three proprietary software platforms: Advertising Technology Operating System (ATOS Platform); Data Intelligence Platform; and publisher Platform for Monetization and Compliance. Margate, Florida-based Assurance Dimensions, the Company's auditor since 2023, issued a "going concern" qualification in its report dated April 8, 2024, citing that the Company has incurred operating losses and has incurred negative cash flows from operations and has an accumulated deficit. These and other factors raise substantial doubt about the Company's ability to continue as a going concern. MOSAIC SOLAR 2023-3: Fitch Affirms 'BB-sf' Rating on Class D Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the Mosaic Solar Loan Trust 2023-3 (Mosaic 2023-3) notes as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Mosaic Solar Loan Trust 2023-3 A 618933AA3 LT AA-sf Affirmed AA-sf B 618933AB1 LT A-sf Affirmed A-sf C 618933AC9 LT BBB-sf Affirmed BBB-sf D 618933AD7 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Mosaic 2023-3 is a securitization of consumer loans backed by residential solar equipment. All the loans were originated by Solar Mosaic, LLC (Mosaic), one of the oldest established solar lenders in the U.S.; it has advanced solar loans since 2014. KEY RATING DRIVERS Performance Within Expectations: As of the April 2024 servicer report, the cumulative default rate (CDR) is consistent with expectations. The 60+ days past due (DPD) levels have consistently remained at .50%. Prepayments have been relatively high over the first 11 months of the transaction, averaging about 9.13%, which is close to its base case assumption of 10%. Fitch expects the prepayments to further increase as more of the loans move towards their Investment Tax Credit (ITC) date. Extrapolated Asset Assumptions Maintained Fitch considered both originator-wide data and previous Mosaic transactions to set a lifetime default expectation of 8.3%. Fitch has also assumed a 30% base case recovery rate. Fitch's rating default rates (RDRs) for 'AA-sf', 'A-sf', 'BBB-sf' and 'BB-sf' are, respectively, 33.5%, 24.9%, 17.8% and 12.6%. Fitch's rating recovery rates (RRRs) are, respectively, 19%, 21.8%, 24.0% and 26.0%. Limited History Determines 'AAsf' Cap: Residential solar loans in the U.S. typically have long terms, many of which are 25 years (and for a small portion, 30 years). For Mosaic, more than eight years of performance data are available, which compares favorably with the other solar ABS that Fitch currently rates, and the solar industry at large. Additionally, this was Mosaic's first deal with a small portion of deferred loans, under tighter underwriting guidelines but with no meaningful track record. Target OC and Amortization Trigger: Class A and B notes amortize based on target overcollateralization (OC) percentages. The target OC is 100% of the outstanding adjusted balance for the first 16 months, ensuring that there is no leakage of funds initially, irrespective of the collateral performance; then it falls to 24.5%. It is currently 33.0%. Should the escalating cumulative loss trigger be breached, the payment waterfall will switch to turbo sequential, deferring any interest payments for class C and D, and, thus, accelerating the senior note deleveraging. The repayment timing of classes C and D is highly sensitive to the timing of a trigger breach. Standard Reputable Counterparties; No Swap: The transaction account is with Wilmington Trust, and the servicer's collection account is with Wells Fargo Bank. Commingling risk is mitigated by transfer of collections within two business days, the high initial ACH share and Wells Fargo's ratings. As both assets and liabilities pay a fixed coupon, there is no need for an interest rate hedge and, thus, no exposure to swap counterparties. Established Specialized Lender: Mosaic is one of the first-movers among U.S. solar loan lenders, with the longest track record among originators of the solar ABS that Fitch rates. Underwriting is mostly automated and in line with those of other U.S. ABS originators. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Asset performance that indicates an implied annualized default rate (ADR) above 1.5% and a simultaneous fall in prepayments activity may put pressure on the rating or lead to a Negative Outlook. Material changes in policy support, the economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also negatively affect the rating. Below, Fitch shows model-implied rating sensitivities to changes in default and/or recovery assumptions. As transaction performance is in line with expectations, the model has not been re-run since closing. Decrease of prepayments (Class A/B/C/D): -50%: 'AA-'/'A-'/'BBB-'/'BB-'. Increase of defaults (Class A/B/C/D): +10%: 'AA-'/'A-'/'BBB-'/'BB-'; +25%: 'A+'/'A-'/'BBB-'/'BB-'; +50%: 'A'/'BBB+'/'BBB-'/'BB-'. Decrease of recoveries (Class A/B/C/D): -10%: 'AA-'/'A-'/'BBB-'/'BB-'; -25%: 'AA-'/'A-'/'BBB-'/'BB-'; -50%: 'AA-'/'A-'/'BBB-'/'BB-'. Increase of defaults and decrease of recoveries (Class A/B/C/D): +10% / -10%: 'AA-'/'A-'/'BBB-'/'BB-'; +25% / -25%: 'A+'/'A-'/'BBB-'/'BB-'; +50% / -50%: 'A-'/'BBB+'/'BB+'/'BB-'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch currently caps ratings in the 'AAsf' category due to limited performance history, while the assigned rating of 'AA-sf' is further constrained by the available credit enhancement (CE). As a result, a positive rating action could result from an increase in CE due to class A deleveraging, underpinned by good transaction performance, for example, through high prepayments and ADR at around 1% or below. The overall economic environment is also an important consideration and Fitch's ABS outlook is generally deteriorating in the short term. Below, Fitch shows Model Implied Rating (MIR) sensitivities, capped at 'AA+sf', to changes in default and/or recovery assumptions. Increase of prepayments (Class A/B/C/D): +50%: 'AA+'/'AA'/'A'/'A-'. Decrease of defaults (Class A/B/C/D): -10%: 'AA+'/'AA'/'A'/'BBB+'; -25%: 'AA+'/'AA+'/'A+'/'A-'; -50%: 'AA+'/'AA+'/'A+'/'A+'. Increase of recoveries (Class A/B/C/D): +10%: 'AA'/'AA-'/'A-'/'BBB+'; +25%: 'AA+'/'AA-'/'A-'/'BBB+'; +50%: 'AA+'/'AA'/'A'/'BBB+'. Decrease of defaults and increase of recoveries (Class A/B/C/D): -10% / +10%: 'AA+'/'AA'/'A'/'BBB+'; -25% / +25%: 'AA+'/'AA+'/'A+'/'A'; -50% / +50%: 'AA+'/'AA+'/'A+'/'A+'. CRITERIA VARIATION This analysis includes a criteria variation due to MIR variations in excess of the limit stated in Fitch's consumer ABS criteria report for new ratings. According to the criteria, the committee can decide to deviate from the MIRs, but if the MIR variation is greater than one notch this will be a criteria variation. The MIR variations for classes B to D are greater than one notch. Given the sensitivity of ratings to model assumptions and conventions, repayment timing, and tranche thickness, the ultimate ratings were constrained by the sensitivity analysis. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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. NANO MAGIC: Incurs $746K Net Loss in First Quarter -------------------------------------------------- Nano Magic Inc. filed with the Securities and Exchange Commission its Quarterly Report on Form 10-Q reporting a net loss of $746,207 on $580,112 of net revenues for the three months ended March 31, 2024, compared to a net loss of $653,037 on $697,029 of net revenues for the three months ended March 31, 2023. As of March 31, 2024, the Company had $2.86 million in total assets, $2.23 million in total liabilities, and $627,031 in total stockholders' equity. Nano Magic said, "As reflected in the unaudited financial statements, the Company had losses from operations and net cash used by operations of $734,874 and $476,043 for the three months ended March 31, 2024, respectively, and negative working capital of $369,388. These factors raise substantial doubt about the Company's ability to continue as a going concern within one year after the date that these unaudited financial statements are issued. Management cannot provide assurance that the Company will ultimately achieve profitable operations, become cash flow positive or raise additional capital. The accompanying financial statements have been prepared assuming that the Company will continue as a going concern, which contemplates the realization of assets and satisfaction of liabilities in the normal course of business. They do not include any adjustments related to the recoverability and/or classification of the recorded asset amounts and/or the classification of the liabilities that might be necessary should the Company be unable to continue as a going concern." A full-text copy of the Form 10-Q is available for free at: https://www.sec.gov/ix?doc=/Archives/edgar/data/891417/000149315224020844/form10-q.htm About Nano Magic Nano Magic, headquartered in Madison Heights, MI, develops, commercializes and markets nanotechnology powered consumer and industrial cleaners and coatings to clean, protect, and enhance products for peak performance. Consumer products include lens and screen cleaners and coatings, anti-fog solutions, and household and automobile cleaners and protective coatings sold direct-to-consumer and in big box retail. Nano Magic also sells branded and private label cleaners and coatings into the optical, safety, and industrial channels. The Company's focus is to expand its direct-to-consumer sales through e-commerce and to grow sales to big box retailers. The Company continues to sell its consumer products directly to opticians and ophthalmologists and small optical retailers. Sterling Heights, Michigan-based UHY LLP, the Company's auditor since 2019, issued a "going concern" qualification in its report dated April 2, 2024, citing that the Company has recurring losses from operations, negative cash flow from operations, and an accumulated deficit. These conditions raise substantial doubt about the Company's ability to continue as a going concern. NEUBERGER BERMAN II: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, Ltd. and publishes new issue report. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, 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 $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 (Neutral): The indicative portfolio consists of 94.35% first-lien senior secured loans and has a weighted average recovery assumption of 71.35%. 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. In addition, second lien loan exposure is slightly higher than other typical Fitch-rated BSL CLOs. 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the 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-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes; and as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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 Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, 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 XXII: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman CLO XXII, Ltd Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman CLO XXII, Ltd. - Reset A-1-R 64131BAF0 LT PIFsf Paid In Full AAAsf A-2-R 64131BAG8 LT PIFsf Paid In Full AAAsf A1-R2 LT AAAsf New Rating AAA(EXP)sf A2-R2 LT AAAsf New Rating AAA(EXP)sf B-R2 LT AAsf New Rating AA(EXP)sf C-R2 LT Asf New Rating A(EXP)sf D-1A-R2 LT BBB-sf New Rating BBB-(EXP)sf D-1B-R2 LT BBB-sf New Rating D2-R2 LT BBB-sf New Rating BBB-(EXP)sf E-R2 LT BB-sf New Rating BB-(EXP)sf 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 24.81, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.96% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.84% versus a minimum covenant, in accordance with the initial expected matrix point of 70.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 44% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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-1-R2, between 'BBB+sf' and 'AAAsf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+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-1-R2 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, 'AAsf' for class C-R2, 'A+sf' for class D-1-R2, 'Asf' 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 RESIDENTIAL 2024-RPL1: Fitch Assigns Bsf Rating on Cl B-5 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed notes issued by New Residential Mortgage Loan Trust 2024-RPL1 (NRMLT 2024-RPL1). Entity/Debt Rating Prior ----------- ------ ----- New Residential Mortgage Loan Trust 2024-RPL1 A LT AAAsf New Rating AAA(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The NRMLT 2024-RPL1 notes are supported by 1,212 seasoned performing and re-performing loans as well as newly originated guideline exception loans that have a balance of $225 million as of the March 31, 2024 cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11% 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. RPL Credit Quality (Negative): The collateral consists of 1,021 seasoned performing and re-performing first and second lien loans, totaling $165 million, and seasoned approximately 204 months in aggregate. This portion of the pool is 73.2% current and 26.8% DQ. Over the last two years 23.4% of loans have been clean current. Additionally, 94.6% of loans have a prior modification. The borrowers have a weak credit profile with a Fitch-calculated weighted average (WA) FICO score of 653, debt-to-income (DTI) ratio of 44% and low leverage of 56% sustainable loan-to-value (sLTV) ratio. This portion of the pool consists of 95% of loans where the borrower maintains a primary residence, while 5% are investment properties or second home. Scratch & Dent Collateral (Negative): The transaction includes a separate cohort of collateral (although all issued as a single pool backing the bonds) comprised of more recently originated agency loans with various guidelines exceptions that prevented sale to the end investor (typically Fannie or Freddie). This subset is approximately 25% of the total collateral ($60.45 million) and is made up of 191 loans and seasoned 33 months in the aggregate. Out of this portion 92.7% is current, although 36% has had a prior delinquency in the past two years. These borrowers have a stronger credit profile (716 FICO) but higher leverage (71.8 sLTV). The most common exceptions were issues around income or employment documentation as well as miscalculated DTIs. No Advancing (Mixed): The deal is structured to no servicer advances for delinquent principal and interest. The limited advancing reduces loss severities as there is a lower amount 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 side as there is limited liquidity in the event of large and extended delinquencies. Sequential Pay Structure (Positive): The transaction utilizes a sequential pay structure. Credit enhancement consists of subordinated notes, the distributions of which will be subordinated to principal and interest payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down additional principal on the notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.1% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on a mix of credit, compliance and property valuation reviews based upon the seasoning of the loans. Fitch considered this information in its analysis and, as a result, made the following adjustments to its analysis: - Loans with a missing or indeterminate HUD-1 received a 5% loss severity add on; - Loans with high cost issues received a 200% loss severity; - Loans with improper DTI calculations were run with a 55% DTI and a 100% loss severity penalty. ESG CONSIDERATIONS NRMLT 2024-RPL1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to due to the adjustment for the Rep & Warranty framework without other operational mitigants, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. OCTAGON 28: Fitch Assigns 'BB-sf' Final Rating on Class E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Octagon Investment Partners 28, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Octagon Investment Partners 28, Ltd. A-1-RR LT AAAsf New Rating AAA(EXP)sf A-2-RR LT AAAsf New Rating AAA(EXP)sf B-RR LT AAsf New Rating AA(EXP)sf C-1-RR LT Asf New Rating C-F-RR LT Asf New Rating C-RR LT WDsf Withdrawn A(EXP)sf D-1-RR LT BBBsf New Rating D-J-RR LT BBB-sf New Rating D-RR LT WDsf Withdrawn BBB-(EXP)sf E-RR LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf X-RR LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Octagon Investment Partners 28, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Octagon Credit Investors, LLC that originally closed in October 2016. This is the second refinancing where the existing notes will be refinanced in whole on May 16, 2024. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $675 million of primarily first lien senior secured leveraged loans. Fitch has withdrawn the expected rating on the class C-RR notes, which were rated 'A(EXP)sf', Outlook Stable, and the expected rating on the class D-RR notes, which were rated 'BBB-(EXP)sf', Outlook Stable because they were cancelled. Fitch has assigned new ratings to the C-1-RR, C-F-RR, D-1-RR, and D-J-RR 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. The weighted average rating factor (WARF) of the indicative portfolio is 24.65, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.91% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.93% versus a minimum covenant, in accordance with the initial expected matrix point of 67.9%. 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a 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-RR, between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'Bsf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR, between less than 'B-sf' and 'BB+sf' for class D-J-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-RR and class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'A+sf' for class D-1-RR, 'Asf' for class D-J-RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Octagon Investment Partners 28, 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. OFSI BSL IX: S&P Affirms BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-1-R, and B-2-R replacement debt from OFSI BSL IX Ltd., a CLO originally issued in July 2018 that is managed by OFS CLO Management LLC. At the same time, S&P withdrew its ratings on the original class A and B debt following payment in full on the May 20, 2024, refinancing date. S&P also affirmed its ratings on the class 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 was extended to Oct. 15, 2024, for the refinancing notes. -- The reinvestment period was not extended and the deal is currently amortizing. -- The legal final maturity date was not extended and remains July 15, 2031. -- There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2024. -- No additional subordinated notes were issued on the refinancing date. -- The original class B debt is expected to be replaced by the class B-1-R and B-2-R debt. The class B-1-R and B-2-R debt will be pari passu. -- The replacement class B-R debt will be split into floating-rate debt (the class B-1-R debt) and fixed-rate debt (the class B-2-R debt). 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 manageable exposure to 'CCC' and 'D' rated collateral, and that the transaction is in its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down. Any increase in defaults or par losses could lead to potential negative rating actions in the future." Replacement And Original Debt Issuances Replacement debt -- Class A-R, $196.92 million: Three-month CME term SOFR + 1.19% -- Class B-1-R, $47.00 million: Three-month CME term SOFR + 1.80% -- Class B-2-R, $5.00 million: 6.2568% Original debt -- Class A, $196.92 million: Three-month CME term SOFR + 1.15% + CSA(i) -- Class B, $52.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C, $24.00 million: Three-month CME term SOFR + 2.00% + CSA(i) -- Class D, $24.00 million: Three-month CME term SOFR + 3.25% + CSA(i) -- Class E, $16.00 million: Three-month CME term SOFR + 6.20% + CSA(i) -- Subordinated notes, $41.75 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. "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 OFSI BSL IX Ltd./OFSI BSL IX LLC Class A-R, $196.92 million: AAA (sf) Class B-1-R, $47.00 million: AA (sf) Class B-2-R, $5.00 million: AA (sf) Ratings Withdrawn OFSI BSL IX Ltd./OFSI BSL IX LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Ratings Affirmed OFSI BSL IX Ltd./OFSI BSL IX LLC Class C: A (sf) Class D: BBB (sf) Class E: BB- (sf) Other Debt OFSI BSL IX Ltd./OFSI BSL IX LLC Subordinated notes, $41.75 million: NR NR--Not rated. OHA LOAN 2013-1: S&P Assign BB- (sf) Rating on Class E-R3 Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R3, B-1-R3, B-2-R3, C-R3, D-1-R3, D-2-R3, and E-R3 replacement debt from OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1 Inc., a CLO originally issued in July 2013 and underwent a first refinancing in March 2017, then a second in August 2018. At the same time, S&P withdrew its ratings on the class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, E-R2, and F-R2 debt following payment in full on the May 21, 2024, refinancing date. The CLO is managed by Oak Hill Advisors L.P., an entity owned by T. Rowe Price. 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-R3, A-2-R3, B-1-R3, B-2-R3, C-R3, D-1-R3, D-2-R3, and E-R3 notes was issued at generally lower spreads over three-month LIBOR than the original notes, and there is a fixed-rate note. -- The stated maturity, reinvestment period, non-call period, and weighted average life test date were extended 5.75 years. -- The transaction documents added the uptier priming debt concept to the transaction and increased the concentration limits for current-pay, debtor-in-possession, and deferrable obligations. -- The indenture also added a restriction to the acquisition of obligations issued by obligors in certain prohibited industries. Replacement And August 2018 Debt Issuances Replacement debt -- Class A-1-R3, $378.00 million: Three-month CME term SOFR + 1.500% -- Class A-2-R3, $27.00 million: Three-month CME term SOFR + 1.700% (Not rated) - Class B-1-R3, $30.00 million: Three-month CME term SOFR + 1.900% -- Class B-2-R3, $21.00 million: 6.122% -- Class C-R3 (deferrable), $36.00 million: Three-month CME term SOFR + 2.350% -- Class D-1-R3 (deferrable), $36.00 million: Three-month CME term SOFR + 3.300% -- Class D-2-R3 (deferrable), $6.00 million: Three-month CME term SOFR + 4.500% -- Class E-R3 (deferrable), $18.00 million: Three-month CME term SOFR + 5.900% August 2018 debt -- Class A-1-R2, $290.00 million: Three-month LIBOR + 1.09% -- Class A-2-R2, $27.50 million: Three-month LIBOR + 1.40% -- Class B-R2, $64.00 million: Three-month LIBOR + 1.60% -- Class C-R2 (deferrable), $29.00 million: Three-month LIBOR + 2.07% -- Class D-R2 (deferrable), $30.20 million: Three-month LIBOR + 3.05% -- Class E-R2 (deferrable), $18.10 million: Three-month LIBOR + 5.50% -- Class F-R2 (deferrable), $8.30 million: Three-month LIBOR + 7.90% 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 OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1 Inc. Class A-1-R3, $378.00 million: AAA (sf) Class A-2-R3, $27.00 million: Not rated Class B-1-R3, $30.00 million: AA (sf) Class B-2-R3, $21.00 million: AA (sf) Class C-R3 (deferrable), $36.00 million: A (sf) Class D-1-R3 (deferrable), $36.00 million: BBB- (sf) Class D-2-R3 (deferrable), $6.00 million: BBB- (sf) Class E-R3 (deferrable), $18.00 million: BB- (sf) Ratings Withdrawn OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1 Inc. Class A-1-R2 to NR from 'AAA (sf)' Class B-R2 to NR from 'AA (sf)' Class C-R2 to NR from 'A (sf)' Class D-R2 to NR from 'BBB- (sf)' Class E-R2 to NR from 'BB- (sf)' Class F-R2 to NR from 'B- (sf)' Other Debt OHA Loan Funding 2013-1 Ltd./OHA Loan Funding 2013-1 Inc. Subordinated notes, $106.60 million: NR NR--Not rated. PENNANTPARK CLO II: S&P Assigns BB- (sf) Rating Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R loans and the A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement debt from PennantPark CLO II Ltd./PennantPark CLO II LLC, a CLO originally issued in January 2021 that is managed by PennantPark Senior Secured Loan Fund I LLC. On the May 20, 2024, refinancing date, the proceeds from the replacement debt were used to redeem the original debt. At that time, S&P withdrew its ratings on the original 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 non-call period will end April 15, 2026. -- The reinvestment period will end April 15, 2028. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 15, 2036. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing 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. "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 PennantPark CLO II Ltd./PennantPark CLO II LLC Class A-1-R, $71.0 million: AAA (sf) Class A-1-R loans, $103.0 million: AAA (sf) Class A-2-R, $5.0 million: AAA (sf) Class B-R, $25.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-R (deferrable), $18.0 million: BBB- (sf) Class E-R (deferrable), $18.0 million: BB- (sf) Ratings Withdrawn PennantPark CLO II Ltd./PennantPark CLO II LLC Class A-1 to not rated from 'AAA (sf)' Class A-1 loans to not rated from 'AAA (sf)' Class A-2 to not rated from 'AAA (sf)' Class B-1 to not rated from 'AA (sf)' Class B-2 to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Debt PennantPark CLO II Ltd./PennantPark CLO II LLC Preferred shares, $36.7 million: Not rated RAD CLO 16: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 16, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Rad CLO 16, Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 75009LAE6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 75009LAG1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 75009LAJ5 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E 75009MAA2 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating TRANSACTION SUMMARY RAD CLO 16, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Irradiant Partners, LP that originally closed in September 2022. The CLO's secured notes were refinanced on May 21, 2024 from the 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 $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 24.59, versus a maximum covenant, in accordance with the initial expected matrix point of 26.79. 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 95.67% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.16% versus a minimum covenant, in accordance with the initial expected matrix point of 73.81%. Portfolio Composition (Neutral): 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 (Positive): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for RAD CLO 16, 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. REGATTA VIII: Fitch Assigns 'B-sf' Rating on Class F Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Regatta VIII Funding Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Regatta VIII Funding Ltd. A 75888KAA2 LT PIFsf Paid In Full AAAsf X LT NRsf New Rating A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating F LT B-sf New Rating TRANSACTION SUMMARY Regatta VIII Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Regatta Loan Management, LLC that originally closed in September 2017. The existing secured notes will be redeemed in full on May 17, 2024. Net proceeds from the issuance of the refinancing secured notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leverage 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 25.5, versus a maximum covenant, in accordance with the initial expected matrix point of 26.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.73% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.65% versus a minimum covenant, in accordance with the initial expected matrix point of 72.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBBsf' and 'AA+sf' for class A-2R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1R notes, between less than 'B-sf' and 'BB+sf' for class D-2R notes, between less than 'B-sf' and 'B+sf' for class E-R notes, and between less than 'B-sf' and 'B-sf' for class F notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the 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 notes, 'AAsf' for class C-R notes, 'A+sf' for class D-1R notes, 'Asf' for class D-2R notes, 'BBB+sf' for class E-R notes, and 'BB+sf' for class F 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 Regatta VIII Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. REMARK HOLDINGS: Incurs $13.79 Million Net Loss in First Quarter ---------------------------------------------------------------- Remark Holdings, Inc., filed with the Securities and Exchange Commission its Quarterly Report on Form 10-Q reporting a net loss of $13.79 million on $387,000 of revenue for the three months ended March 31, 2024, compared to a net loss of $8.16 million on $826,000 of revenue for the three months ended March 31, 2023. As of March 31, 2024, the Company had $10.14 million in total assets, $52.57 million in total liabilities, and a total stockholders' deficit of $42.44 million. Remark said, "Our history of recurring operating losses, working capital deficiencies and negative cash flows from operating activities give rise to, and management has concluded that there is, substantial doubt regarding our ability to continue as a going concern. "We intend to fund our future operations and meet our financial obligations through revenue growth from our AI and data analytics offerings. We cannot, however, provide assurance that revenue, income and cash flows generated from our businesses will be sufficient to sustain our operations in the twelve months following the filing of this Form 10-Q. As a result, we are actively evaluating strategic alternatives including debt and equity financings." Management Commentary "The Clark County School District Board of Trustees has now formally approved Remark as a provider of weapons detection in the fifth largest school district in the US, and such contract win has already led to increased opportunities for our solutions from other entities within Clark County. We expect installations under the contract to begin in the next few weeks," said Kai-Shing Tao, Chairman and chief executive officer of Remark Holdings. "We believe our solutions are well-suited for the use case with respect to CCSD and will soon be used in many more school districts across the US." "We look forward to beginning sales of our Remark AI computer vision solutions on Microsoft's Azure Marketplace very soon, as we near completing the migration of our software solutions for sale via that sales channel," Mr. Tao continued. "Being on Microsoft's sales platform gives us the access and credibility to scale our unique AI models that span more than 10 different industries. We also expect to announce additional Fortune 500 partners to further expand our relationships with resellers that recognize the value of our solutions for many industries and which can accelerate the acceptance of our products and solutions in the industries we target." A full-text copy of the Form 10-Q is available for free at: https://www.sec.gov/ix?doc=/Archives/edgar/data/1368365/000136836524000068/mark-20240331.htm About Remark Holdings Remark Holdings, Inc. (NASDAQ: MARK) -- http://www.remarkholdings.com-- is a diversified global technology business with leading artificial intelligence and data-analytics, as well as a portfolio of digital media properties. The Company's innovative artificial intelligence ("AI") and data analytics solutions continue to gain worldwide awareness and recognition through comparative testing, product demonstrations, media exposure, and word of mouth. The Company continues to see positive responses and increased acceptance of its software and applications in a growing number of industries. Los Angeles, California-based Weinberg & Company, P.A., the Company's auditor since 2020, issued a "going concern" qualification in its report dated April 15, 2024, citing that the Company has suffered recurring losses from operations and negative cash flows from operating activities and has a negative working capital and a stockholders' deficit that raise substantial doubt about its ability to continue as a going concern. RR 8: S&P Assigns Prelim BB- (sf) Rating on Class D-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R replacement debt from RR 8 Ltd./RR 8 LLC, a CLO originally issued in March 2020 that is managed by Redding Ridge Asset Management LLC, an affiliate of Apollo Global Management LLC. The preliminary ratings are based on information as of May 21, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 23, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original class A-1a, A-1b, A-2a, A-2b, B, C, and D debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt are expected to be issued at a floating spread. -- The stated maturity will be extended by 4.25 years and the reinvestment period will be extended by 2.25 years. -- A new non-call period will be established, which will expire on but exclude May 23, 2025. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $304.40 million: Three-month CME term SOFR + 1.35% -- Class A-2-R, $68.75 million: Three-month CME term SOFR + 1.70% -- Class B-R (deferrable), $29.45 million: Three-month CME term SOFR + 2.20% -- Class C-1-R (deferrable), $24.55 million: Three-month CME term SOFR + 3.15% -- Class C-2-R (deferrable), $4.95 million: Three-month CME term SOFR + 4.35% -- Class D-R (deferrable), $18.40 million: Three-month CME term SOFR + 6.25% Original debt -- Class X(i), $2.00 million: Three-month CME term SOFR + 0.60% + CSA(ii) -- Class A-1a, $300.00 million: Three-month CME term SOFR + 1.23% + CSA(ii) -- Class A-1b, $25.00 million: Three-month CME term SOFR + 1.45% + CSA(ii) -- Class A-2a, $35.00 million: Three-month CME term SOFR + 1.75% + CSA(ii) -- Class A-2b (deferrable), $20.00 million: Three-month CME term SOFR + 1.85% + CSA(ii) -- Class B (deferrable), $30.00 million: Three-month CME term SOFR + 2.30% + CSA(ii) -- Class C (deferrable), $27.50 million: Three-month CME term SOFR + 3.30% + CSA(ii) -- Class D (deferrable), $21.25 million: Three-month CME term SOFR + 6.25% + CSA(ii) (i)Class X was paid down on the July 2020 payment date. (ii)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." Preliminary Ratings Assigned RR 8 Ltd./RR 8 LLC Class A-1-R, $304.40 million: AAA (sf) Class A-2-R, $68.75 million: AA (sf) Class B-R (deferrable), $29.45 million: A (sf) Class C-1-R (deferrable), $24.55 million: BBB (sf) Class C-2-R (deferrable), $4.95 million: BBB- (sf) Class D-R (deferrable), $18.40 million: BB- (sf) Other Debt RR 8 Ltd./RR 8 LLC Subordinated notes(i), $52.315 million: Not rated (i)Includes $40.75 million of subordinated notes issued on the March 26, 2020, closing date. SANDSTONE PEAK III: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sandstone Peak III Ltd./Sandstone Peak III 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 Beach Point CLO Management LLC. The preliminary ratings are based on information as of May 21, 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 Sandstone Peak III Ltd./Sandstone Peak III LLC Class A-1, $212.00 million: AAA (sf) Class A-1L, $40.00 million: AAA (sf) Class A-2, $8.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2a (deferrable), $7.00 million: BBB- (sf) Class D-2b (deferrable), $1.00 million: BBB- (sf) Class E (deferrable), $10.00 million: BB- (sf) Subordinated notes, $36.50 million: Not rated SCIENTIFIC ENERGY: Posts $384,534 Net Income in First Quarter ------------------------------------------------------------- Scientific Energy, Inc. filed with the Securities and Exchange Commission its Quarterly Report on Form 10-Q reporting net income of $384,534 on $10.40 million of revenue for the three months ended March 31, 2024, compared to net income of $655,569 on $9.22 million of revenue for the three months ended March 31, 2023. As of March 31, 2024, the Company had $84.72 million in total assets, $15.72 million in total liabilities, and $69.61 million in total stockholders' surplus. Scientific Energy said, "[T]the Company has an accumulated deficit of $11,530,683 as of March 31, 2024. The Company also experienced insufficient cash flows from operations and will be required continuous financial support from the shareholders. The Company will need to raise capital to fund its operations until it is able to generate sufficient revenue to support the future development. Moreover, the Company may be continuously raising capital through the sale of debt and equity securities. "The Company's ability to achieve these objectives cannot be determined at this stage. If the Company is unsuccessful in its endeavors, it may be forced to cease operations. These consolidated financial statements do not include any adjustments that might result from this uncertainty which may include adjustments relating to the recoverability and classification of recorded asset amounts, or amounts and classifications of liabilities that might be necessary should the Company be unable to continue as a going concern. "These factors have raised substantial doubt about the Company's ability to continue as a going concern. There can be no assurances that the Company will be able to obtain adequate financing or achieve profitability." A full-text copy of the Form 10-Q is available for free at: https://www.sec.gov/ix?doc=/Archives/edgar/data/1276531/000137647424000251/scgy-20240331.htm About Scientific Energy Scientific Energy, Inc. is a mobile platform of ordering and delivery services for restaurants or other merchants in Macau. The Company's businesses are built on its platform, Aomi App. The Platform connects restaurants/ merchants with consumers and delivery riders. The Platform is created to serve the needs of these three key areas and to become more intelligent and efficient with every customer order. Hong Kong-based Centurion ZD CPA & Co, the Company's auditor since 2014, issued a "going concern" qualification in its report dated April 16, 2024, citing that the Company has suffered recurring losses from operations and has a net capital deficiency that raise substantial doubt about its ability to continue as a going concern. SEQUOIA MORTGAGE 2015-2: Moody's Ups Rating on B-4 Certs From Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from six US residential mortgage-backed transactions (RMBS) issued by Sequoia Mortgage Trust. The collateral backing these deals consists of 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: Sequoia Mortgage Trust 2015-2 Cl. B-4, Upgraded to A3 (sf); previously on Aug 27, 2020 Downgraded to Ba1 (sf) Issuer: Sequoia Mortgage Trust 2015-3 Cl. B-4, Upgraded to A3 (sf); previously on Jul 18, 2023 Upgraded to Baa1 (sf) Issuer: Sequoia Mortgage Trust 2015-4 Cl. B-4, Upgraded to A3 (sf); previously on Aug 27, 2020 Downgraded to Baa2 (sf) Issuer: Sequoia Mortgage Trust 2016-1 Cl. B-4, Upgraded to A3 (sf); previously on Dec 17, 2021 Upgraded to Ba2 (sf) Issuer: Sequoia Mortgage Trust 2016-2 Cl. B-3, Upgraded to A3 (sf); previously on Jul 18, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Aug 27, 2020 Downgraded to Ba3 (sf) Issuer: SEQUOIA MORTGAGE TRUST 2016-3 Cl. B-3, Upgraded to A3 (sf); previously on Jul 18, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Aug 27, 2020 Downgraded 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 pools. Each of the transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .05% and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 7x for the tranches Moody's upgraded. Moody's analysis applied a greater probability of default stress on loans that have experienced modifications and Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. Moody's analysis on certain bonds, including all of the bonds upgraded, also included an assessment of the existing credit enhancement floor, in place to mitigate the potential default of a small number of loans at the tail end of a transaction. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Over the past few years, Moody's have worked closely with loan servicers to understand and analyze their strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that many of these borrower relief programs, in addition to robust home price appreciation, have contributed to collateral performance being stronger than Moody's past expectations, thus supporting the upgrades. No actions were taken on certain 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. No actions were taken on other rated classes in these deals as those classes are already at the highest achievable levels within Moody's rating scale. Principal Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. SEQUOIA MORTGAGE 2024-5: Fitch Assigns 'BB-sf' Rating on B4 Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2024-5 (SEMT 2024-5). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2024-5 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B3f LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 441 loans with a total balance of approximately $512.7 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (Redwood) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Following the publication of the presale and expected ratings, the issuer notified Fitch of an updated tape, which consisted of two loan drops and updated cutoff balances. In addition, Redwood also provided Fitch with an updated structure to reflect the new balances. There were no changes to the credit enhancement levels to the bonds. Fitch re-ran both its asset and cash flow analysis, and there were no changes to the loss feedback or expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 441 loans totaling approximately $512.7 million and seasoned at approximately four months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted-average Fitch model FICO score of 781 and 35.3% debt-to-income (DTI) ratio, and moderate leverage, with an 80.6% sustainable loan-to-value (sLTV) ratio and 71.8% mark-to-market combined loan-to-value (cLTV) ratio. Overall, the pool consists of 93.8% in loans where the borrower maintains a primary residence, while 6.2% are of a second home; 65.5% of the loans were originated through a retail channel. Additionally, 100.0% of the loans are designated as qualified mortgage (QM) loans. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.5% above a long-term sustainable level (vs. 11.1% on a national level as of 4Q23, flat 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 February 2024 despite modest regional declines, but are still supported by limited inventory. Shifting-Interest Structure (Negative): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement levels are not maintained. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high delinquency scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses 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 negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses 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 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 assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, AMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 15bp reduction to the 'AAA' expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on about 94.8% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton, AMC, and Consolidated Analytics were engaged to perform the review. Loans reviewed under this engagement were given credit, compliance 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 further details. ESG CONSIDERATIONS SEMT 2024-5 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-5 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SLM STUDENT 2023-11: Fitch Lowers Rating on Class B Notes to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has downgraded the SLM Student Loan Trust (SLM) 2003-11 classes A-7 and B notes, SLM 2006-2 class A-6 notes and SLM 2006-5 classes A-6A, A-6B and A-6C notes. The Rating Outlook for the SLM 2006-2 class A-6 notes is Stable. The Outlook for all of the other downgraded classes is Negative. Fitch has also affirmed the ratings of class B notes of SLM 2006-2, class B notes of SLM 2006-5, classes A-6 and B notes of SLM 2006-10 and classes A and B notes of SLM 2012-8. The Outlook for these notes remains Stable. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2003-11 A-7 78442GJT4 LT BBsf Downgrade AAsf B 78442GJY3 LT Bsf Downgrade BBBsf SLM Student Loan Trust 2012-8 A 78447LAA8 LT AA+sf Affirmed AA+sf B 78447LAB6 LT AA+sf Affirmed AA+sf SLM Student Loan Trust 2006-10 A-6 78443BAG1 LT AA+sf Affirmed AA+sf B 78443BAK2 LT Asf Affirmed Asf SLM Student Loan Trust 2006-2 A-6 78442GRX6 LT AAsf Downgrade AA+sf B 78442GRY4 LT Asf Affirmed Asf SLM Student Loan Trust 2006-5 A-6A 83149EAH0 LT AAsf Downgrade AA+sf A-6B 83149EAJ6 LT AAsf Downgrade AA+sf A-6C 83149EAK3 LT AAsf Downgrade AA+sf B 83149EAG2 LT Asf Affirmed Asf TRANSACTION SUMMARY SLM 2003-11: The downgrade of the class A-7 notes reflects increased maturity risk (the risk of not being able to repay the principal due on the notes by legal final maturity). The remaining term of the underlying FFELP student loans has increased over the last 12 months. It was 174.1 months as of the March 2024 distribution period compared to 172.5 months the year prior. Fitch's cashflow modeling results were also driven by stable and increasing interest rate stress scenarios. The increasing interest rates since last its review negatively impacted excess spread and, in combination with the increasing remaining term, higher levels of income-based repayments (IBR) and forbearance, affected the maturity stresses in Fitch's cashflow results. Under all stress scenarios there are no principal shortfalls, and the bonds eventually pay in full. The Negative Outlook reflects the possibility of further negative rating pressure in the next two years if maturity risk for the class A-7 notes continues to increase, particularly if the remaining term does not decrease. The downgrade of the cass B notes to 'Bsf' from 'BBBsf' with a Negative Outlook reflects the deterioration since its last review. The Model Implied Rating for the notes is in line with the new rating. SLM 2006-2: The class A notes are downgraded to 'AAsf' from 'AA+sf' and assigned a Stable Outlook. The class A notes passed 'Asf' credit and 'AA+sf' maturity stresses. Since the legal final maturity date is 17 years away in 2041, maturity risk is low. Fitch's Federal Family Education Loan Program (FFELP) rating criteria allows for a rating tolerance of up to one rating category from the credit stress scenario. The class B notes are affirmed at 'Asf'/Stable. The notes pass 'Asf' credit stresses and 'AA+sf' maturity stresses. SLM 2006-5: The class A notes are downgraded to 'AAsf' from 'AA+sf' and assigned a Negative Outlook. The notes pass all credit and maturity stresses up to 'Asf'. Since legal final maturity date is 16 years away in 2040, maturity risk is still considered to be low. FFELP criteria allows for a rating tolerance of up to one rating category from the credit stress scenario. The class B notes are affirmed at 'Asf'/Stable. The notes pass credit stresses up to 'Asf' and all maturity stresses. SLM 2006-10: The class A notes are affirmed at 'AA+sf'/Stable. The notes pass all credit and maturity stresses. The legal final maturity date is March 25, 2044, which is 20 years away. Therefore, maturity risk is considered low for the notes. Performance has remained stable since the prior review with sufficient credit enhancement. The class B notes are affirmed at 'Asf'/Stable. The notes pass credit stresses up to 'Asf' and all maturity stresses. SLM 2012-8: The class A notes pass credit stresses up to 'AAsf' and all maturity stresses. The legal final maturity date is April 28, 2070, which is over 40 years away. The rating was affirmed at 'AA+sf'/Stable. Performance has remained stable since the prior review with sufficient credit enhancement. The class B notes are affirmed at 'AA+sf'/Stable. The notes pass credit stresses up to 'AAsf' and all maturity stresses. For all transactions, Fitch modeled customized servicing fees instead of Fitch's criteria-defined assumption of $3.25 per borrower, per month, due to higher contractual servicing fees for these transactions. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% 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+'/Stable. Collateral Performance: For all transactions, after applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch applied the standard default timing curve in its credit stress cash flow analysis. Additionally, consolidation from the Public Service Loan Forgiveness Program, which ended in October 2022, drove the short-term inflation of CPR. Further increases are likely in the short term as borrowers are afforded special provisions if they consolidate into the Federal Direct loan program before the end of June. Fitch expects voluntary prepayments to return to historical levels. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. SLM 2003-11: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 14.5% under the base case scenario and a default rate of 39.88% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining the sCDR of 2.30% and the sCPR (voluntary and involuntary prepayments) of 9.00% in cash flow modeling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The TTM levels of deferment, forbearance and IBR are 2.00% (2.28% at May 31, 2023), 10.90% (10.30%) and 27.06% (24.13%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have decreased and the 91-120 DPD have decreased from February, 2023 and are currently 3.04% for 31 DPD and 1.16% for 91 DPD compared to 2.71% and 1.32% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.12%, based on information provided by the sponsor. SLM 2006-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 14.25% under the base case scenario and a default rate of 39.19% under the 'AA' credit stress scenario. Fitch is maintaining the (sCDR) of 2.00% and the sCPR of 6.00% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 2.52% (2.71% at March 31, 2023), 9.96% (9.38%) and 17.29% (16.02%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have increased at March 31, 2024, and are currently 2.52% for 31 DPD and 0.62% for 91 DPD compared to 2.59% and 0.88% at March 31, 2023 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.22%, based on information provided by the sponsor. SLM 2006-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 21.25% under the base case scenario and a default rate of 58.44% under the 'AA' credit stress scenario. Fitch is maintaining the sCDR at 3.00% the sCPR of 7.70% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 2.56% (2.75% at March 31, 2023), 12.16% (11.71%) and 23.22% (21.53%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased and the 91-120 DPD have decreased at March 31, 2024, and are currently 3.18% for 31 DPD and 1.12% for 91 DPD compared to 2.45% and 1.13% at March 31, 2023 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.13%, based on information provided by the sponsor. SLM 2006-10: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 19.25% under the base case scenario and a default rate of 52.94% under the 'AA' credit stress scenario. Fitch is maintaining the sustainable constant default rate (sCDR) of 2.50% and the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 7.70% in cash flow modeling. The trailing-twelve-month (TTM) levels of deferment, forbearance, and income-based-repayment (IBR; prior to adjustment) are 3.30% (3.37% at March 31, 2023), 14.21% (13.35%) and 23.98% (22.68%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have decreased and the 91-120 DPD have increased at March 31, 2024, and are currently 3.14% for 31 DPD and 1.33% for 91 DPD compared to 3.31% and 1.14% at March 31, 2023 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.13%, based on information provided by the sponsor. SLM 2012-8: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 23.50% under the base case scenario and a default rate of 65.31% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining the sCDR of 3.20% the sCPR of 8.50% in cash flow modelling. The TTM levels of deferment, forbearance and IBR are 3.68% (3.52% at April 30, 2023), 12.83% (13.27%) and 26.59% (24.53%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have decreased and the 91-120 DPD have increased from prior review and are currently 3.38% for 31 DPD and 1.29% for 91 DPD compared to 3.39% and 0.92% at April 30, 2023 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.17%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent collection period, 88.8%, 99.2%, 96.0%, 97.2% and 96.5% of the student loans in SLM 2003-11, 2006-2, 2006-5, 2006-10 and 2012-8, respectively, are indexed to SOFR, and the balance of the loans are indexed to the 91-day T-Bill rate. All the notes in the SLM 2003-11, 2006-2, 2006-5 and 2006-10 transactions are indexed to 90-day Average SOFR plus the spread adjustment of 0.26161% and all the notes in the SLM 2012-8 transaction are indexed to 30-day average SOFR plus the spread adjustment of 0.11448%. Fitch applies its standard basis and interest rate stresses to the 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 most recent distribution date, reported total parity is 100.00% for SLM 2003-11, 2006-2, 2006-5 and 2006-10, respectively and 104.68% for 2012-8. Liquidity support is provided by a reserve account currently sized at $3,008,024, $4,524,615.00, $4,524,559.00, $6,034,845.00 and $2,235,626.00 for SLM 2003-11, 2006-2, 2006-5, 2006-10 and 2012-8, respectively. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC for all transactions and a percentage of the loans in SLM 2012-8. Fitch believes Navient to be an adequate servicer due to its extensive track record as one of the largest servicers of FFELP loans. Servicing for the balance of the loans in SLM 2012-8 is performed by Pennsylvania Higher Education Assistance Agency (PHEAA) in its role as sub-servicer. Fitch also believes PHEAA to be an acceptable servicer of FFELP student loans due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 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 Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for most 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 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. SLM Student Loan Trust 2003-11 Current Ratings: class A-7 'Asf'; class B 'BBsf' Current Model-Implied Ratings: class A-7 'AAAsf' (Credit Stress) / 'BBsf' (Maturity Stress); class B 'Bsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'Asf'; class B 'Bsf'; - Default increase 50%: class A 'BBsf'; class B 'Bsf'; - Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'Bsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'Asf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'BBsf; class B 'CCsf'; - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2006-2 Current Ratings: class A-6 'AAsf'; class B 'Asf' Current Model-Implied Ratings: class A-6 'Asf' (Credit Stress) / 'AAAsf' (Maturity Stress); class B 'Asf' (Credit Stress) / 'AAAsf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAsf'; class B 'Asf'; - Default increase 50%: class A 'AAsf'; class B 'Asf'; - Basis Spread increase 0.25%: class A 'AAsf'; class B 'Asf'; - Basis Spread increase 0.5%: class A 'AAsf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAsf'; class B 'Asf'; - CPR decrease 50%: class A 'AAsf'; class B 'Asf'; - IBR Usage increase 25%: class A 'AAsf'; class B 'Asf'; - IBR Usage increase 50%: class A 'AAsf'; class B 'Asf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2006-5 Current Ratings: class A-6A, A-6B & A-6C 'AAsf'; class B 'Asf' Current Model-Implied Ratings: class A-6A, A-6B & A-6C 'AAAsf' (Credit Stress) / 'Asf' (Maturity Stress); class B 'Asf' (Credit Stress) / 'Asf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAsf'; class B 'Asf'; - Default increase 50%: class A 'AAsf'; class B 'Asf'; - Basis Spread increase 0.25%: class A 'AAsf'; class B 'Asf'; - Basis Spread increase 0.5%: class A 'AAsf'; class B 'BBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAsf'; class B 'Asf'; - CPR decrease 50%: class A 'Asf'; class B 'Asf'; - IBR Usage increase 25%: class A 'AAsf'; class B 'Asf'; - IBR Usage increase 50%: class A 'AAsf'; class B 'Asf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2006-10 Current Ratings: class A-6 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-6 'AA+sf' (Credit Stress) / 'AA+sf' (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 'Asf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'Asf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B '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 'Asf'; class B 'BBsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 20012-8 Current Ratings: class A 'AA+sf'; class B 'AA+sf' Current Model-Implied Ratings: class A 'AAsf' (Credit Stress) / 'AA+sf' (Maturity Stress); class B 'AAsf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'AA+sf'; - Default increase 50%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'AA+sf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - CPR decrease 50%: class A 'AA+sf'; class B 'AAsf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'AA+sf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'AA+sf'. - Remaining Term increase 25%: class A 'AA+sf'; class B 'AA+sf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'AA+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SLM Student Loan Trust 2003-11 Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - Default decrease 50%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread decrease 0.5%: class A 'AA+sf'; class B 'AA+sf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'AA+sf'; class B 'AAsf'; - CPR increase 50%: class A 'AA+sf'; class B 'AAsf'; - IBR Usage decrease 25%: class A 'AA+sf'; class B 'AAsf'; - IBR Usage decrease 50%: class A 'AA+sf'; class B 'AAsf'. - Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - Remaining Term decrease 50%: class A 'AA+sf'; class B 'AA+sf'. SLM Student Loan Trust 2006-2 Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AA+sf'; class B 'AAsf'; - Default decrease 50%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread decrease 0.5%: class A 'AAAsf'; class B 'AA+sf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'AA+sf'; class B 'AA+sf'; - CPR increase 50%: class A 'AA+sf'; class B 'AA+sf'; - IBR Usage decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - IBR Usage decrease 50%: class A 'AA+sf'; class B 'AA+sf'. - Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - Remaining Term decrease 50%: class A 'AA+sf'; class B 'AA+sf'. SLM Student Loan Trust 2006-5 Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AA+sf'; class B 'Asf'; - Default decrease 50%: class A 'AA+sf'; class B 'Asf'; - Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'Asf'; - Basis Spread decrease 0.5%: class A 'AA+sf'; class B 'AAsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'Asf'; class B 'Asf'; - CPR increase 50%: class A 'Asf'; class B 'Asf'; - IBR Usage decrease 25%: class A 'Asf'; class B 'Asf'; - IBR Usage decrease 50%: class A 'Asf'; class B 'Asf'. - Remaining Term decrease 25%: class A 'AA+sf'; class B 'AAsf'; - Remaining Term decrease 50%: class A 'AA+sf'; class B 'AAsf'. SLM Student Loan Trust 2006-10 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'AA+sf'; - Default decrease 50%: class B 'AA+sf'; - Basis Spread decrease 0.25%: class B 'AA+sf'; - Basis Spread decrease 0.5%: class B 'AA+sf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'AA+sf'; - CPR increase 50%: class B 'AA+sf'; - IBR Usage decrease 25%: class B 'AA+sf'; - IBR Usage decrease 50%; class B 'AA+sf'. - Remaining Term decrease 25%: class B 'AA+sf'; - Remaining Term decrease 50%: class B 'AA+sf'. SLM Student Loan Trust 20012-8 No upgrade credit or maturity stress sensitivity is provided for the class A and B notes, as they are already at their highest possible model-implied ratings. 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. SYMPHONY CLO 30: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Symphony CLO 30, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 30, Ltd. X LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 87169BAC3 LT PIFsf Paid In Full AAsf B-1-R LT AA+sf New Rating B-2-R LT AAsf New Rating C 87169BAE9 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 87169BAG4 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 87169FAA8 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating TRANSACTION SUMMARY Symphony CLO 30, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC. The CLO originally closed in May 2023, and its secured notes were refinanced on May 14, 2023. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.27, versus a maximum covenant, in accordance with the initial expected matrix point of 26.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.32% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.91% versus a minimum covenant, in accordance with the initial expected matrix point of 75.55%. 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 'BBBsf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf' for class B-1-R, between 'BB+sf' and 'A+sf' for class B-2-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class 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-1-R, 'AAAsf' for class B-2-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R; and 'BBB+sf' for class E-R. 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 Symphony CLO 30, 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. TRESTLES CLO II: Fitch Assigns 'Bsf' Rating on Class F-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Trestles CLO II, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Trestles CLO II, Ltd. A-1 89531MAA0 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-1-R LT AA+sf New Rating B-2-R LT AAsf New Rating C-R LT A+sf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT Bsf New Rating TRANSACTION SUMMARY Trestles CLO II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Aristotle Pacific Capital, LLC which originally closed on June 13, 2018. The secured notes will be refinanced in whole on May 20, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.36, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.62% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.6% versus a minimum covenant, in accordance with the initial expected matrix point of 75.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-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-2-R, between 'BBB-sf' and 'AAsf' for class B-1-R, between 'BB+sf' and 'AA-sf' for class B-2-R, between 'B+sf' and 'A-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, between less than 'B-sf' and 'BB-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-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-1-R, 'AAAsf' for class B-2-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, 'BBB+sf' for class E-R, and 'BBB+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 Trestles CLO II, 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. TRINITAS CLO XIV: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, and C-R replacement debt from Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC, a CLO originally issued in December 2020 that is managed by Trinitas Capital Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-1B, A-2, B, and C debt following payment in full on the May 20, 2024, refinancing date. S&P also affirmed its ratings on the class 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 was extended to Jan. 25, 2025. -- The reinvestment period remains unchanged at Jan. 25, 2026. -- The legal final maturity remains unchanged at Jan. 25, 2034. -- No additional assets were purchased on the May 20, 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 25, 2024. -- No additional subordinated notes were issued on the refinancing date. -- The original class A-1 and A-1B notes were combined to create the replacement class A-1-R debt. -- 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, $330.00 million: Three-month CME term SOFR + 1.34% -- Class A-2-R, $27.50 million: Three-month CME term SOFR + 1.54% -- Class B-R, $60.50 million: Three-month CME term SOFR + 1.95% -- Class C-R (deferrable), $33.00 million: Three-month CME term SOFR + 2.40% Original debt -- Class A-1, $300.00 million: Three-month CME term SOFR + 1.75161% -- Class A-1B, $30.00 million: Three-month CME term SOFR + 1.71161% -- Class A-2, $27.50 million: Three-month CME term SOFR + 2.06161% -- Class B-2, $60.50 million: Three-month CME term SOFR + 2.26161% -- Class C (deferrable), $33.00 million: Three-month CME term SOFR + 3.26161% 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 Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC Class A-1-R, $330.00 million: AAA (sf) Class A-2-R, $27.50 million: AAA (sf) Class B-R, $60.50 million: AA (sf) Class C-R (deferrable), $33.00 million: A (sf) Ratings Withdrawn Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC Class A-1 to NR from 'AAA (sf)' Class A-1B to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC Class D: BBB- (sf) Class E: BB- (sf) Other Debt Trinitas CLO XIV Ltd./Trinitas CLO XIV LLC Subordinated notes, $54.00 million: NR NR--Not rated. TRINITAS CLO XXVIII: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII 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 Trinitas 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 Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII LLC Class A-1(i), $119.50 million: AAA (sf) Class A-1L loans(i), $128.50 million: AAA (sf) Class A-1N(i), $0.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C-1 (deferrable), $9.00 million: A (sf) Class C-2 (deferrable), $15.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $41.80 million: Not rated (i)The class A-1N notes will be issued pari passu to the class A-1 notes and class A-1L loans with a zero balance as of the closing date. Any class A-1L loans converted into note form will be converted into class A-1N notes, with corresponding converted balance subtracted from the balance of the class A-1L loans. The class A-1N notes are not convertible into loan form. UBS COMMERCIAL 2019-CF1: Fitch Lowers Rating on Two Classes to CCC ------------------------------------------------------------------ Fitch Ratings has affirmed 15 classes of UBS Commercial Mortgage Trust 2019-C16 (UBS 2019-C16). Fitch has downgraded six and affirmed 12 classes of CF 2019-CF1 Mortgage Trust commercial mortgage pass-through certificates, series 2019-CF1 (CF 2019-CF1). The Rating Outlook on class D in CF 2019-CF1 has been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CF 2019-CF1 A-1 12529MAA6 LT AAAsf Affirmed AAAsf A-2 12529MAB4 LT AAAsf Affirmed AAAsf A-3 12529MAD0 LT AAAsf Affirmed AAAsf A-4 12529MAE8 LT AAAsf Affirmed AAAsf A-5 12529MAF5 LT AAAsf Affirmed AAAsf A-S 12529MAJ7 LT AAAsf Affirmed AAAsf A-SB 12529MAC2 LT AAAsf Affirmed AAAsf B 12529MAK4 LT AA-sf Affirmed AA-sf C 12529MAL2 LT A-sf Affirmed A-sf D 12529MCY2 LT BBBsf Affirmed BBBsf E 12529MCZ9 LT BB-sf Downgrade BBB-sf F 12529MDA3 LT B-sf Downgrade BB-sf G 12529MDB1 LT CCCsf Downgrade B-sf X-A 12529MAG3 LT AAAsf Affirmed AAAsf X-B 12529MAH1 LT A-sf Affirmed A-sf X-D 12529MCV8 LT BB-sf Downgrade BBB-sf X-F 12529MCW6 LT B-sf Downgrade BB-sf X-G 12529MCX4 LT CCCsf Downgrade B-sf UBS 2019-C16 A-2 90276YAB9 LT AAAsf Affirmed AAAsf A-3 90276YAD5 LT AAAsf Affirmed AAAsf A-4 90276YAE3 LT AAAsf Affirmed AAAsf A-S 90276YAH6 LT AAAsf Affirmed AAAsf A-SB 90276YAC7 LT AAAsf Affirmed AAAsf B 90276YAJ2 LT AA-sf Affirmed AA-sf C 90276YAK9 LT A-sf Affirmed A-sf D 90276YAN3 LT BBB+sf Affirmed BBB+sf D-RR 90276YAQ6 LT BBB-sf Affirmed BBB-sf E-RR 90276YAS2 LT BB+sf Affirmed BB+sf F-RR 90276YAU7 LT BB-sf Affirmed BB-sf G-RR 90276YAW3 LT B-sf Affirmed B-sf H-RR 90276YAY9 LT CCCsf Affirmed CCCsf X-A 90276YAF0 LT AAAsf Affirmed AAAsf X-B 90276YAG8 LT A-sf Affirmed A-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 5.1% in UBS 2019-C16 and 5.4% in CF 2019-CF1. Fitch Loans of Concerns (FLOCs) comprise eight loans (27.9% of the pool) in UBS 2019-C16 including four specially serviced loans (13.2%) and eight loans (27.3%) in CF 2019-CF1 including two specially serviced loans (9.2%). The downgrades in CF 2019-CF1 reflect the increase in pool loss expectations since the last rating action, primarily driven by two FLOCs: 65 Broadway and AC by Marriott San Jose. The Negative Outlooks in CF 2019-CF1 reflect possible downgrades with further performance deterioration on the FLOCs. The affirmations of all classes in UBS 2019-C16 reflect the relatively stable pool performance and loss expectations since the last rating action. The Negative Outlooks reflect the continued concentration of FLOCs. Fitch Loans of Concern; Largest Loss Contributors: The largest increase in loss since the prior rating action and largest contributor to loss in CF 2019-CF1, AC by Marriott San Jose (5.4%), is secured by a 210-room select-service hotel located in San Jose, CA. This FLOC was flagged due to low DSCR. Property performance has struggled to rebound from the pandemic. While performance has slightly improved since the prior rating action, DSCR remains low; the TTM September 2023 NOI DSCR was 1.04x, compared with 0.83x at YE 2022 and -0.19x at YE 2021. Occupancy was 63% as of September 2023, compared with 61% at YE 2022 and well above 39% at YE 2021. Fitch's 'Bsf' rating case loss of 22.3% (prior to concentration add-ons) is based on an 11.25% cap rate and the TTM September 2023 NOI. The second largest increase in loss since the prior rating action and second largest contributor to loss in CF 2019- CF1, is the 65 Broadway loan (6.2%), which is secured by a 355,217-sf office property located in New York, NY. The building has been renovated multiple times, is LEED-certified and qualifies for the Lower Manhattan Energy Program. The loan transferred to special servicing in February 2024 due to imminent default. The loan was not repaid at its scheduled maturity in April 2024. Occupancy has continued to decline, with March 2024 occupancy reported at 66%, compared with 67% at YE 2023 and 75% at YE 2022. Upcoming rollover includes 3.2% of the NRA in 2024, 13.5% in 2025 and 7.2% in 2026. Fitch's 'Bsf' rating case loss of 17.2% (prior to concentration add-ons) is based on a 9.25% cap rate, 10% stress to the TTM September 2023 NOI and a 100% probability of default due to the specially serviced loan status and maturity default. The largest loan in UBS 2019-C16, The Colonnade Office Complex (7.7%), transferred to special serving in September 2023 for Imminent Monetary Default and did not repay at February 2024 maturity. It is secured by 1,080,180 sf suburban office property located in Addison, TX. The two largest tenants are Hilton Domestic Operating Company (13.8%; Jan. 31, 2032) and USP Texas, LP (11.8%; expiration Oct. 31, 2025). Negotiation discussions regarding a potential loan extension with the Borrower are ongoing. In the interim, special servicer has commenced with filing the appropriate motions to obtain a court appointed receiver. The loan experienced the largest change in loss since the prior rating action as losses declined significantly. Fitch's 'Bsf' rating case loss of 1% (prior to concentration add-ons) is based on a stress to the March 2024 appraisal. The second largest increase in loss since the prior rating action in UBS 2019-C16, Cable Park (2.9%), is secured by a 161,310-sf retail property located in Orangevale, CA. Top three tenants are Ross (13.6%; exp Jan. 31, 2029), Goodwill (13.6%; expiration March 31, 2028) and Grocery Outlet (11.2%; expiration Aug. 31, 2028). It was flagged as FLOC due to low DSCR and declining occupancy after CVS (19%) vacated at its July 2022 lease expiration. Current occupancy is 70% compared to 88% at YE 2022. DSCR was 0.59x at YE 2023, down from 1.13x at YE 2022 and 1.52x at YE 2021. Fitch's 'Bsf' rating case loss of 26.2% (prior to concentration add-ons) reflects a 9% cap rate and 7.5% stress to YE 2023 NOI. The third largest increase in loss since the prior rating action in UBS 2019-C16, Quince Diamond Executive Center (1.3%), is secured by 108,827-sf office property located in Gaithersburg, MD. The loan transferred to special servicing in March 2024 for Imminent Monetary Default. A recent appraisal and rent roll were requested but were not provided. Recent AV and RR requested. DSCR and occupancy as of Sept 2023 were 0.69x and 48% respectively. The servicer is still evaluating a resolution strategy. Fitch's 'Bsf' rating case loss of 35.2% (prior to concentration add-ons) is based on 9% cap rate, 10% stress to September 2023 NOI and an increased probability of default. Change to Credit Enhancement: As of the April 2024 remittance report, the aggregate balances of the UBS 2019- C16 and CF 2019-CF1 have been reduced by approximately 12.4% and 1.9%, respectively, since issuance. The UBS 2019-C16 transaction includes four loans (5.4% of the pool) that have fully defeased, while CF 2019-CF1 has three defeased loans (3.4% of the pool). Interest Shortfalls: Interest shortfalls of about $66,000 are affecting the non-rated class NR-RR in UBS 2019-C16 and $234,000 are affecting the non-rated NR-RR class in CF 2019-CF1. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to '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 are possible with continued performance deterioration of the FLOCs, 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 classes rated in the 'BBBsf' category are possible with higher than expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance, and/or if prolonged workouts of loans in special servicing result in deteriorating values and increasing exposures. Elevated risk loans include Cable Park and Quince Diamond Executive Center in UBS 2019-C16 and 65 Broadway and AC by Marriott San Jose in CF 2019- CF1. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories would occur with greater certainty of losses on the specially serviced loans or FLOCs, should additional loans transfer to special servicing or default and as losses are realized or become more certain. Downgrades to distressed 'CCCsf' ratings would occur 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, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, including Cable Park, Quince Diamond Executive Center and 16300 Roscoe in UBS 2019-C16 and 65 Broadway and AC by Marriott San Jose in CF 2019-CF1. Upgrades to classes rated in the 'BBBsf' category 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 and specially serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' is not expected but possible with better than expected recoveries on specially serviced loans and/or performance improvement of the 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. VERUS SECURITIZATION 2024-4: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2024-4'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 1,179 loans backed by 1,182 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 1,179 loans, one is a cross-collateralized loan backed by four properties. S&P said, "After we assigned our preliminary ratings, the class B-1 note rate was determined at pricing to have a fixed coupon subject to the pool's net weighted average coupon rate. 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 2024-4(i) Class A-1, $358,008,000: AAA (sf) Class A-2, $41,985,000: AA (sf) Class A-3, $73,191,000: A (sf) Class M-1, $39,148,000: BBB- (sf) Class B-1, $21,276,000: BB- (sf) Class B-2, $20,709,000: B- (sf) Class B-3, $13,049,982: 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. VIDEO RIVER: Reports $1.53 Million Net Income in First Quarter -------------------------------------------------------------- Video River Networks, Inc., filed with the Securities and Exchange Commission its Quarterly Report on Form 10-Q reporting net income of $1.53 million on $0 of total revenue for the three months ended March 31, 2024, compared to net income of $281,911 on $380,932 of total revenue for the three months ended March 31, 2023. As of March 31, 2024, the Company had $1.56 million in total assets, $34,502 in total liabilities, and $1.53 million in total stockholders' equity. For the period ended March 31, 2024, the Company reported operating revenue of $0 and a one-time income of $1,562,067 from disposition of an operating unit, and an accumulated deficit of $17,859,512. According to the Company, these conditions raise substantial doubt about its ability to continue as a going concern. A full-text copy of the Form 10-Q is available for free at: https://www.sec.gov/ix?doc=/Archives/edgar/data/1084475/000149315224020613/form10-q.htm About Video River Headquartered in Torrance, California, Video River Networks, Inc. is a technology firm that operates and manages a portfolio of Electric Vehicles, Artificial Intelligence, Machine Learning and Robotics ("EV-AI-ML-R") assets, businesses and operations in North America. The Company's target portfolio businesses and assets include operations that design, develop, manufacture and sell high-performance fully electric vehicles and design, manufacture, install and sell Power Controls, Battery Technology, Wireless Technology, and Residential utility meters and remote, mission-critical devices mostly engineered through Artificial Intelligence, Machine Learning and Robotic technologies. Newhall, California-based DylanFloyd Accounting & Consulting, the Company's auditor since 2019, issued a "going concern" qualification in its report dated April 15, 2024, citing that the Company has an accumulated deficit of $15,898,383 for the year ended December 31, 2023. These factors raise substantial doubt about the Company's ability to continue as a going concern. VOYA CLO 2015-3: Fitch Assigns 'B-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2015-3, Ltd. refinancing notes Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2015-3, Ltd. A-1-R 92913UAN6 LT PIFsf Paid In Full AAAsf A-1-R3 LT AAAsf New Rating A-2-R3 LT AAAsf New Rating A-2A-R 92913UAQ9 LT PIFsf Paid In Full AAAsf A-2B-RR 92913UBA3 LT PIFsf Paid In Full AAAsf A-3-R 92913UAS5 LT PIFsf Paid In Full AA+sf A-3-R3 LT AAAsf New Rating E-R 92913DAL8 LT B-sf Affirmed B-sf TRANSACTION SUMMARY Voya CLO 2015-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC, which originally closed on Sept. 30, 2015. The CLO's secured debt was fully refinanced on Nov. 16, 2018 (the first refinancing date) and partially refinanced on Feb. 9, 2021 (the second refinancing date) from the proceeds of the issuance of new secured debt. The CLO's secured debt will again be partially refinanced on May 20, 2024 (the third refinancing date) from the proceeds of the issuance of new secured debt. The CLO reinvestment period ended in October 2023 and has begun amortizing 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 98.93% first-lien senior secured loans and has a weighted average recovery assumption of 75.28%. 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 is past the reinvestment period end date and the issuer's ability to extend the weighted average life of the portfolio is limited as the WAL test is currently breached. Fitch's analysis was based on a stressed portfolio maintaining the indicative WAL 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. The WAL used for the transaction stress portfolio is 4.03 years to reflect the current WAL of the portfolio as of the April 2024 reporting date, which currently exceeds the covenant limit of 3.75. KEY PROVISION CHANGES The refinancing is being implemented via the supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Class A-1-R notes are refinanced to new class A-1-R3 notes and rated 'AAAsf'/Outlook Stable; - Class A-2A-R notes and class A-2B-R2 notes are refinanced to new class A-2-R3 notes and rated 'AAAsf'/ Outlook Stable; - Class A-3-R notes are refinanced to new class A-3-R3 notes and rated 'AAAsf'/Outlook Stable; - Class E-R notes are not being refinanced and are affirmed at 'B-sf'/Outlook Stable. - The spreads for class A-1-R3, class A-2-R3, class A-3-R3 are 1.15%, 1.40% and 1.70% respectively, compared to the original spread of 1.45161%, 1.71161%, 1.61161% and 1.96161% for the class A-1-R, class A-2A-R, class A-2B-R2 and class A-3-R notes, respectively. Stated maturity and notional amounts on the refinanced notes remained the same as compared to original notes. Non-call period for the refinanced notes is on the payment date occurring in October 2024. - The reference rate definition was updated to incorporate the transition to SOFR. FITCH ANALYSIS The current portfolio presented to Fitch (dated April 11, 2024) includes 499 assets from 423 primarily high yield obligors. The collateral balance was approximately $665.05 million. As per the latest trustee report, class D coverage test was cured at the last payment date, but there are still approximately $1.36 million of accrued and unpaid interest on class E notes. The weighted average rating factor of the current portfolio is 'B/B-'. Fitch has an explicit rating, credit opinion or private rating for 46.6% of the current portfolio par balance; ratings for 53.4% of the portfolio were derived from using Fitch's Issuer Default Rating (IDR) equivalency map. Analysis focused on the Fitch stressed portfolio (FSP) and cash flow model analysis was conducted for the third refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or Fitch's assumption: - Assumed risk horizon: 4.03 years; - A one-notch downgrade of the Fitch IDR equivalency rating for assets with a Negative Outlook on the driving rating of the obligor. Projected default and recovery statistics of the FSP were generated using Fitch's portfolio credit model (PCM). The PCM default rate outputs for the FSP at the 'AAAsf' rating stress was 44.5%, and the PCM recovery rate outputs for the FSP at the 'AAAsf' rating stress was 40.2%. In the analysis of the FSP the class A-1-R3, class A-2-R3 and class A-3-R3 notes all passed the 'AAAsf' rating threshold in all nine cash flow scenarios with minimum cushions of 20.2%, 16.1% and 4.9% respectively. In the analysis of the current portfolio the class A-1-R3, class A-2-R3 and class A-3-R3 notes all passed the 'AAAsf' rating threshold in all nine cash flow scenarios with minimum cushions of 22.0%, 17.8% and 6.5% respectively. Class E-R notes passed the 'B-sf' rating threshold in eight of the nine cash flow scenarios with a minimum cushion of 20.1%; the failing result is specific to one unique scenario and occurs within a narrow default rate range of approximately 9%, which passes when the default rate is just above or below that range or at the 'B-sf' projected default rate. Today's rating actions reflect Fitch's belief that the notes can sustain a robust level of defaults combined with low recoveries, as well as other factors, such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios for the FSP are as severe as 'AAAsf' for class A-1-R3, between 'AA+sf' and 'AAAsf' for class A-2-R3, between 'BBB+sf' and 'AAAsf' for class A-3-R3. The results under these sensitivity scenarios for the current portfolio are as severe as less than 'B-sf' for the existing 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-1-R3, class A-2-R3, and class A-3-R3 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 'BBsf' 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. 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 2015-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. VOYA CLO 2015-3: S&P Affirms 'B+ (sf)' Rating on Class D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R3 and A-3-R3 replacement debt from Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC, a CLO managed by Voya Alternative Asset Management LLC that was originally issued in 2015. At the same time, S&P withdrew its ratings on the November 2018 class A-1-R and A-3-R debt following payment in full on the May 20, 2024, refinancing date. S&P also affirmed its ratings on the class B-R, C-R, and D-R debt, which was not refinanced. The class C-R and D-R debt were also removed from CreditWatch with negative implications. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- A noncall period was implemented for the refinancing debt ending Nov. 20, 2024. -- The reinvestment period was not extended. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were not extended. -- No additional assets were purchased on the May 20, 2024, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2024. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "We affirmed our ratings on the class C-R and D-R debt and removed the ratings from CreditWatch with negative implications primarily due to their passing cash flow results at their current ratings following the lower cost of funding and increased excess spread attributable to the refinancing. "The ratings were placed on CreditWatch with negative implications due to their indicative cash flows (prior to this refinancing) that pointed to a failure lower than current rating, their deteriorated credit enhancement, and an increase in the assets rated in the 'CCC' category. The cash flows improved significantly once the interest rates on the senior part of the capital structure was refinanced and reduced, and they now pass the current ratings with a comfortable cushion. Though paydowns have commenced and that has improved the overcollateralization ratio for class A since our last rating action, the transaction still has a relatively high exposure to assets rated in the 'CCC' category. Any increase in defaults or par losses could lead to potential negative rating actions in the future." Replacement And Original Debt Issuances Replacement debt -- Class A-1-R3, $378.26 million: Three-month CME term SOFR + 1.15% -- Class A-2-R3, $35.90 million: Three-month CME term SOFR + 1.45% -- Class A-3-R3, $91.80 million: Three-month CME term SOFR + 1.75% -- Subordinated notes, $57.60 million: Not applicable November 2018 debt -- Class A-1-R, $478.90 million: Three-month CME term SOFR + 1.19% + CSA(i) -- Class A-2A-R, $23.00 million: Three-month CME term SOFR + 1.45% + CSA(i) -- Class A-2B-R, $12.90 million: 4.682% -- Class A-3-R, $91.80 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class B-R, $51.80 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class C-R, $44.00 million: Three-month CME term SOFR + 3.15% + CSA(i) -- Class D-R, $31.90 million: Three-month CME term SOFR + 6.20% + CSA(i) -- Class E-R, $18.40 million: Three-month CME term SOFR + 8.50% + CSA(i) -- Subordinated notes, $57.60 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 Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Class A-1-R3, $378.26 million: AAA (sf) Class A-3-R3, $91.80 million: AA (sf) Ratings Withdrawn Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Class A-1-R to NR from 'AAA (sf)' Class A-3-R to NR from 'AA (sf)' Rating Affirmed Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Class B-R: A (sf) Ratings Affirmed And Removed From CreditWatch Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Class C-R to 'BBB- (sf)' from 'BBB- (sf)/Watch Neg' Class D-R to 'B+ (sf)' from 'B+ (sf)/Watch Neg' Other Outstanding Debt Voya CLO 2015-3 Ltd./Voya CLO 2015-3 LLC Subordinated notes, $56.70 million: NR NR--Not rated. [*] Moody's Takes Action on $189MM of US RMBS Issued 2000-2007 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds and downgraded the ratings of 12 bonds from five US residential mortgage-backed transactions (RMBS), backed by subprime and prime 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: Asset Backed Securities Corporation, Long Beach Home Equity Loan Trust 2000-LB1, Homes 2000-LB1 Cl. AF5, Upgraded to Aaa (sf); previously on Jul 6, 2023 Upgraded to A2 (sf) Cl. AF6, Upgraded to Aaa (sf); previously on May 22, 2018 Upgraded to A1 (sf) Cl. M1F, Downgraded to Caa1 (sf); previously on Dec 20, 2018 Downgraded to B2 (sf) Cl. M2F, Downgraded to Ca (sf); previously on Dec 20, 2018 Upgraded to Caa3 (sf) Cl. M2V, Upgraded to Ba2 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-23 Cl. 1-A, Upgraded to Baa1 (sf); previously on Nov 14, 2022 Upgraded to B1 (sf) Cl. 2-A-4, Upgraded to A2 (sf); previously on Nov 14, 2022 Upgraded to Ba3 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-2 Cl. 1-A, Downgraded to A2 (sf); previously on Nov 23, 2022 Downgraded to Aa3 (sf) Cl. 3-A-3, Downgraded to A2 (sf); previously on Nov 23, 2022 Downgraded to Aa2 (sf) Cl. 3-A-4, Downgraded to A2 (sf); previously on Nov 23, 2022 Downgraded to Aa2 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on Jun 17, 2020 Downgraded to Ba2 (sf) Issuer: Global Mortgage Securitization 2005-A Ltd Cl. A1, Downgraded to B1 (sf); previously on Sep 14, 2022 Downgraded to Ba1 (sf) Cl. A2, Downgraded to B1 (sf); previously on Sep 14, 2022 Downgraded to Ba1 (sf) Cl. A3, Downgraded to B1 (sf); previously on Sep 14, 2022 Downgraded to Ba1 (sf) Cl. X-A1*, Downgraded to B1 (sf); previously on Sep 14, 2022 Downgraded to Ba1 (sf) Issuer: GSAMP Trust 2007-HE1 Cl. A-1, Downgraded to Caa1 (sf); previously on Dec 11, 2019 Upgraded to Ba3 (sf) Cl. A-2C, Downgraded to B3 (sf); previously on Dec 11, 2019 Upgraded to Ba2 (sf) Cl. A-2D, Downgraded to Caa2 (sf); previously on Dec 11, 2019 Upgraded to Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. Each of the upgraded bonds has seen strong growth in credit enhancement since Moody's last review, which is the key driver for these upgrades. Moody's analysis of certain deals considered the impact of performance triggers, which are currently passing, resulting in shared principal payments between the senior and subordinate bonds. This has caused credit enhancement levels to remain flat for the senior bonds while benefitting certain subordinate bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While shortfalls for certain bonds have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the actions. Other bonds in this review are currently impaired or expected to become impaired. Moody's ratings on those bonds reflect any losses to date as well as Moody's expected future loss. Moody's analysis of these bonds reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. The rating upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Over the past few years, Moody's have worked closely with loan servicers to understand and analyze their strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that many of these borrower relief programs, in addition to robust home price appreciation, have contributed to collateral performance being stronger than Moody's past expectations, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $79.9MM of US RMBS Issued 2006-2007 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds and downgraded the rating of one bond from three US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2007-1 Cl. M-1, Upgraded to Ba1 (sf); previously on Jun 4, 2019 Upgraded to Caa2 (sf) Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2006-1 Cl. I-A1C1, Upgraded to Ba1 (sf); previously on Dec 20, 2018 Upgraded to Caa1 (sf) Issuer: Structured Asset Investment Loan Trust 2006-3 Cl. A2, Upgraded to Ba2 (sf); previously on Jan 30, 2018 Upgraded to B3 (sf) Cl. A5, Downgraded to B1 (sf); previously on Jan 30, 2018 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating upgrades reflect the credit enhancement available to the bonds, the improved performance for most deals as indicated by the key metrics observed, and Moody's Ratings' updated loss expectations on the underlying pools. While all but one of the transactions reviewed, have benefitted from growth in credit enhancement, a decline in credit enhancement was the key driver for the downgrade on class A-5 from Structured Asset Investment Loan Trust 2006-3. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. In the case of Cl. I-A1C1 from Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2006-1 all shortfalls have since been recouped and in the case of Cl. A2 from Structured Asset Investment Loan Trust 2006-3 the shortfalls are expected to be recouped. However, the size and length of the past and current shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. Certain bonds in this review are currently impaired or expected to become impaired. Moody's ratings on those bonds reflect any losses to date as well as Moody's expected future loss. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size of any incurred and projected loss. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Over the past few years, Moody's have worked closely with loan servicers to understand and analyze their strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that many of these borrower relief programs, in addition to robust home price appreciation, have contributed to collateral performance being stronger than Moody's past expectations, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. This includes interest risk from current or potential missed interest that remain unreimbursed. 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. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***