/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240707.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, July 7, 2024, Vol. 28, No. 188 Headlines A&D MORTGAGE 2024-NQM3: DBRS Finalizes B(low) Rating on B-2 Certs ABPCI DIRECT XVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes ACCESS GROUP 2024-2: Fitch Affirms 'BBsf' Rating on Class A-4 Notes AGL CLO 33: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes AGL CLO 33: Moody's Assigns (P)B3 Rating to $250,000 Class F Notes ALLY BANK 2024-A: Moody's Assigns B2 Rating to Class F Notes ANGEL OAK 2024-6: Fitch Assigns BBsf Final Rating on Cl. M-2 Certs APIDOS CLO XLVIII: Fitch Assigns 'BB+sf' Rating on Class E Notes APIDOS CLO XLVIII: Moody's Assigns B3 Rating to $500,000 F Notes ARES COMMERCIAL 2024-IND: Moody's Gives B1 Rating to Cl. HRR Certs AUXILIOR TERM 2024-1: Moody's Assigns Ba3 Rating to Class E Notes BAIN CAPITAL 2024-3: Fitch Assigns 'BB-sf' Rating on Class E Notes BANK 2024-BNK47: Fitch Assigns B-sf Final Rating on Cl. J-RR Certs BANK5 2024-5YR7: DBRS Finalizes BB(high) Rating on Class G Certs BATALLION CLO XXIV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BBAM US IV: S&P Assigns BB- (sf) Rating on Class D Notes BEAR MOUNTAIN: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes BRAVO RESIDENTIAL 2024-RPL1: DBRS Finalizes B Rating on B2 Notes BWAY 2015-1740: DBRS Cuts Rating on Class A Certs to Dsf BX TRUST 2017-CQHP: Moody's Lowers Rating on Cl. F Certs to Csf BX TRUST 2019-IMC: DBRS Cuts Rating on Class HRR Certs to B(low) CANADIAN COMMERCIAL 6: DBRS Finalizes B Rating on Class G Certs CARLYLE US 2024-4: Fitch Assigns BB-sf Final Rating on Cl. E Notes CARVANA AUTO 2024-N2: DBRS Gives Prov. BB(high) Rating on E Notes CATHEDRAL LAKE VII: S&P Affirms 'B- (sf)' Rating on Class F Notes CFMT LLC 2024-HB14: DBRS Gives Prov. B Rating on Class M6 Notes CHASE HOME 2024-6: Fitch Assigns Bsf Final Rating on Cl. B-5 Certs CHASE HOME 2024-RPL3: Fitch Assigns 'B(EXP)sf' Rating on B-2 Certs CHASE HOME 2024-RPL3: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs CIFC FUNDING 2017-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CITIGROUP 2014-GC21: Moody's Lowers Rating on Cl. C Certs to Ba1 CITIGROUP 2015-GC33: DBRS Cuts Rating on 2 Tranches to C CLICKLEASE 2024-1: DBRS Gives Prov. BB(low) Rating on D Notes CMLS ISSUER 2014-1: DBRS Confirms B Rating on Class G Certs COMM 2014-UBS3: Moody's Cuts Rating on Cl. C Certs to Ba2 CPS AUTO 2024-C: DBRS Gives Prov. BB Rating on Class E Notes CROWN CITY VI: S&P Assigns BB- (sf) Rating on Class E Notes CSAIL 2015-C1: DBRS Confirms B(low) Rating on Class F Debt CSMC TRUST 2014-USA: Moody's Lowers Rating on Cl. C Certs to Ba1 DBWF 2015-LCM: S&P Lowers Class F Certs Rating to 'B- (sf)' ELMWOOD CLO VI: S&P Assigns B- (sf) Rating on Class F-RR Notes FLAGSHIP CREDIT 2022-2: DBRS Cuts Class E Notes Rating to B FLAGSHIP CREDIT 2022-2: S&P Lowers Class E Notes Rating to CCC(sf) FORTRESS CREDIT XV: Moody's Gives Ba3 Rating to $12.8MM E-R Notes GOLDENTREE LOAN 21: Fitch Assigns 'B-sf' Rating on Class F Notes GPMT LTD 2021-FL3: DBRS Confirms B(low) Rating on Class G Notes GS MORTGAGE 2021-GR1: Moody's Hikes Rating on Cl. B-5 Certs to Ba2 GS MORTGAGE-BACKED 2024-PJ6: Moody's Gives Ba3 Rating to B-5 Certs GSMS 2024-MARK: Fitch Assigns 'B-sf' Final Rating on Class F Certs GSMS TRUST 2024-FAIR: DBRS Gives Prov. B(low) Rating on Cl. F Certs HALSEYPOINT CLO II: S&P Assigns Prelim BB-(sf) Rating on E-R Notes HARVEST COMMERCIAL 2024-1: DBRS Finalizes B Rating on M5 Notes HGI CRE CLO 2021-FL2: DBRS Confirms B(low) Rating on G Notes HILDENE TRUPS P17BC: Moody's Assigns (P)Ba3 Rating to Cl. B Notes HILTON USA 2016-HHV: DBRS Confirms B Rating on Class F Certs HILTON USA 2016-SFP: Moody's Downgrades Rating on 2 Tranches to C ICG US 2021-1: S&P Affirms BB- (sf) Rating on Class E Notes JP MORGAN 2024-5: DBRS Gives Prov. BB Rating on Class B-4 Certs JP MORGAN 2024-5: Moody's Assigns B3 Rating to Cl. B-5 Certs JPMCC COMMERCIAL 2015-JP1: DBRS Cuts Class F Certs Rating to C KRR CLO 30: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes LOANCORE 2021-CRE6: DBRS Confirms B(low) Rating on G Notes MAN GLG 2018-1: Moody's Lowers Rating on $6MM E-R Notes to Caa2 MAN US 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes MERCHANTS FLEET 2024-1: DBRS Gives Prov. BB Rating on E Notes MF1 LLC 2022-B1 LLC: DBRS Confirms B(low) Rating on 3 Tranches MIDOCEAN CREDIT X: S&P Affirms BB- (sf) Rating on Class E-R Notes MORGAN STANLEY 2013-ALTM: DBRS Confirms BB(low) Rating on E Certs MORGAN STANLEY 2014-C17: DBRS Confirms CCC Rating on E Certs MORGAN STANLEY 2015-MS1: DBRS Confirms B(high) Rating on F Certs MORGAN STANLEY 2017-C33: Fitch Affirms B- Rating on Class F Debt MORGAN STANLEY 2018-H3: Fitch Affirms 'B-sf' Rating on G-RR Debt MORGAN STANLEY 2024-INV3: Moody's Assigns B3 Rating to B-5 Certs NASSAU LTD 2017-II: Moody's Cuts Rating on $18.5MM E Notes to Caa3 NEUBERGER BERMAN 25: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Debt NEUBERGER BERMAN 56: Fitch Assigns 'BB-sf' Rating on Class E Notes OBX TRUST 2021-J1: Moody's Upgrades Rating on Cl. B-4 Certs to Ba1 OCTAGON INVESTMENT 26: Moody's Cuts $10MM F-R Notes Rating to Caa2 OCTAGON INVESTMENT 29: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes OCTAGON INVESTMENT 33: S&P Affirms 'BB-(sf)' Rating on Cl. D Notes ONNI COMMERCIAL 2024-APT: Fitch Gives BB-(EXP) Rating on HRR Certs PALMER SQUARE 2021-4: Moody's Affirms Ba2 Rating on $35MM D Notes PALMER SQUARE 2024-2: S&P Assigns Prelim BB-(sf) Rating on E Notes PARK BLUE 2024-V: Moody's Assigns Ba3 Rating to $16MM Cl. E Notes PIKES PEAK 16: Fitch Assigns 'BB-sf' Final Rating on Class E Notes PPM CLO 7: Fitch Assigns BBsf Rating on Cl. E Notes, Outlook Stable PPM CLO 7: Moody's Assigns B3 Rating to $1MM Class F Notes PRMI SECURITIZATION 2024-CMG1: Fitch Gives Bsf Rating on B-2 Notes PRPM LLC 2024-RPL2: DBRS Finalizes BB Rating on Class M-2 Notes RAD CLO 25: Fitch Assigns 'BB-sf' Rating on Class E Notes READY CAPITAL 2022-FL9: DBRS Confirms CCC Rating on Class G Notes READY CAPITAL 2023-FL12: DBRS Cuts Rating on 2 Tranches to CCC REALT 2014-1: DBRS Confirms B(high) Rating on G Certs RR 29: S&P Assigns Preliminary BB- (sf) Rating on Class D-R Notes SANTANDER BANK 2024-A: Moody's Assigns B3 Rating to Class F Notes SEQUOIA MORTGAGE 2024-6: Fitch Assigns 'BB-sf' Rating on B4 Certs SIGNAL PEAK 11: S&P Assigns BB- (sf) Rating on Class E Notes SLM STUDENT 2007-4: Fitch Lowers Rating on Two Tranches to 'Bsf' TOWD POINT 2015-6: Moody's Upgrades Rating on Cl. B3 Certs to Ba1 TOWD POINT 2018-SL1: DBRS Hikes Class D-2 Notes Rating to BB TOWD POINT 2024-CES3: DBRS Finalizes B(high) Rating on B2 Notes TRINITAS CLO XXIX: S&P Assigns BB- (sf) Rating on Class E Notes TX TRUST 2024-HOU: DBRS Finalizes BB Rating on Class HRR Certs UBS-BARCLAYS COMMERCIAL 2012-C2: Moody's Cuts EC Certs to Ca UNISON TRUST 2024-1: DBRS Finalizes BB Rating on Class B Notes VELOCITY COMMERCIAL 2024-3: DBRS Finalizes BB Rating on 3 Classes VOYA CLO 2024-2: Fitch Assigns 'BB-sf' Final Rating on Cl. E Notes WELLS FARGO 2015-C31: DBRS Cuts Rating on 2 Tranches to Csf WELLS FARGO 2015-SG1: DBRS Confirms CCC Rating on Class F Certs WELLS FARGO 2016-BNK1: Fitch Lowers Rating on Two Tranches to CCC WESTGATE RESORTS 2024-1: DBRS Finalizes BB(low) Rating on D Notes WESTLAKE AUTOMOBILE 2024-2: DBRS Finalizes BB Rating on E Notes [*] DBRS Confirms 34 Credit Ratings From 15 CPS Auto Trusts [*] DBRS Reviews 30 Classes From 13 US RMBS Transactions [*] DBRS Reviews 568 Classes From 26 US RMBS Transactions [*] DBRS Reviews 72 Classes From 11 US RMBS Transactions [*] Moody's Upgrades Ratings on $147MM of US RMBS Issued 2021-2022 [*] S&P Takes Various Actions on 104 Classes From 34 US RMBS Deals ********* A&D MORTGAGE 2024-NQM3: DBRS Finalizes B(low) Rating on B-2 Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage Pass-Through Certificates, Series 2024-NQM3 (the Certificates) issued by A&D Mortgage Trust 2024-NQM3 (the Trust): -- $279.3 million Class A-1 at AAA (sf) -- $21.3 million Class A-2 at AA (low) (sf) -- $33.6 million Class A-3 at A (low) (sf) -- $21.1 million Class M-1 at BBB (low) (sf) -- $29.0 million Class B-1 at BB (low) (sf) -- $11.7 million Class B-2 at B (low) (sf) The AAA (sf) credit rating on the Class A-1 Certificates reflects 30.65% of credit enhancement provided by subordinated Certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 25.35%, 17.00%, 11.75%, 4.55%, and 1.65% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of predominantly fixed prime and nonprime first and second lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-NQM3 (the Certificates). The Certificates are backed by 1,122 loans with a total principal balance of approximately $402,793,330 as of the Cut-Off Date (June 1, 2024). The originators for the mortgage pool are A&D Mortgage LLC (ADM; 90.3%) and others (9.7%). 9.7% were originated by qualified correspondents that adhere to A&D guidelines. ADM originated the mortgages predominantly under the following programs: -- Super Prime -- Prime -- Debt Service Coverage Ratio (DSCR) -- Foreign National – Full Doc -- Foreign National – DSCR -- Second Lien A&D Mortgage LLC (ADM) will act as the Sponsor and the Servicer for all loans. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer and Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as the Securities Administrator and Certificate Registrar. Wilmington Trust, National Association will serve as the Custodian, and Wilmington Savings Fund Society, FSB will act as the Trustee. The pool is about two months seasoned on a weighted-average (WA) basis, although seasoning may span from zero to 15 months. In accordance with U.S. credit risk retention requirements, ADM as the Sponsor, either directly or through a Majority-Owned Affiliate, will retain an eligible vertical interest equal to not less than 5% of each class of Certificates (other than the Class R Certificates), to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Although the applicable mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for the agency, government, or private-label nonagency prime products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM)/ATR rules, 38.3% of the loans are designated as non-QM. Approximately 44.8% of the loans are made to investors for business purposes and are thus not subject to the QM/ATR rules. Also, 108 loans (12.1% of the pool) are a qualified mortgage with a conclusive presumption of compliance with the ATR rules and is designated as QM Safe Harbor. The remaining 40 loans (4.8% of the pool) are designed as QM Rebuttable Presumption (APOR). The Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent under the Mortgage Bankers Association (MBA) method, contingent upon recoverability determination. The Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. If the Servicer fails in its obligation to make P&I advances, Nationstar, as the Master Servicer, will be obligated to fund such advances. In addition, if the Master Servicer fails in its obligation to make P&I advances, Citibank, N.A., as the Securities Administrator, will be obligated to fund such advances. The Master Servicer and Securities Administrator are only responsible for P&I Advances; the Servicer is responsible for P&I and advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). If the Servicer fails to make the Servicing Advances on a delinquent loan, the recovery amount upon liquidation may be reduced. The Sponsor (ADM) will have the option, but not the obligation, to repurchase any mortgage loan that is 90 or more days delinquent under the MBA method forbearance loan, such mortgage loan becomes 90 or more days delinquent under the MBA method after the related forbearance period ends or any REO property acquired in respect of a mortgage loan) at the Repurchase Price, provided that such repurchases in aggregate do not exceed 7.5% of the total principal balance as of the Cut-Off Date. The Depositor (A&D Mortgage Depositor LLC) may, at its option, on any date which is the later of (1) the two year anniversary of the Closing Date, and (2) the earlier of (A) the three year anniversary of the Closing Date and (B) the date on which the total loan balance is less than or equal to 30% of the loan balance as of the Cut-Off Date, purchase all outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the Class A-1, Class A-2, and Class A-3 Notes (Senior Classes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). However, in contrast to the prior Morningstar DBRS rated transaction from this shelf, in the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 certificate balance, before a similar allocation of funds to the Class A-2 (IPIP). Prior issuance would typically allocate principal (after a Credit Event) to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. In the current transaction, and the prior transaction, for the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the Class A-1, Class A-2, Class A-3, and Class M-1 Certificates. Of note, the Class A-1, Class A-2, and Class A-3 Certificates' coupon rates step up by 100 basis points on and after the payment date in July 2028 (Step-Up Certificates). Also, the interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1, Class A-2, and Class A-3 Certificates' Cap Carryover Amounts after the Class A coupons step up. Notes: All figures are in U.S. dollars unless otherwise noted. ABPCI DIRECT XVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ABPCI Direct Lending Fund CLO XVIII L.P.'s floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by AB Private Credit Investors LLC, a wholly owned subsidiary of Alliance Bernstein. The preliminary ratings are based on information as of June 28, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned ABPCI Direct Lending Fund CLO XVIII L.P. Class A-1, $153.0 million: AAA (sf) Class A-1L loans, $50.0 million: AAA (sf) Class A-2, $14.0 million: AAA (sf) Class B, $21.0 million: AA (sf) Class C (deferrable), $28.0 million: A (sf) Class D (deferrable), $21.0 million: BBB- (sf) Class E (deferrable), $21.0 million: BB- (sf) Partnership interests, $43.8 million: Not rated ACCESS GROUP 2024-2: Fitch Affirms 'BBsf' Rating on Class A-4 Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the class A and class B of Access Funding 2015-1 LLC. The Rating Outlooks for the class A notes and class B notes remain Stable. Fitch has also affirmed the ratings for Access Group, Inc. 2004-2 Indenture of Trust. The Rating Outlook remains Stable. The affirmations reflect stable performance for both trusts since the last review. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- Access Group, Inc. – Federal Student Loan Notes, Series 2004-2 A-4 00432CBX8 LT BBsf Affirmed BBsf A-5 00432CBY6 LT CCCsf Affirmed CCCsf B 00432CBZ3 LT CCCsf Affirmed CCCsf Access Funding 2015-1 LLC A 00435TAA9 LT AA+sf Affirmed AA+sf B 00435TAB7 LT AAsf Affirmed AAsf KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Outlook Stable. Collateral Performance: Based on transaction specific performance to date, Fitch assumed a sustainable constant default rate assumption (sCDR) of 2.0% for 2004-2 and 2.5% for 2015-1 and a sustainable constant prepayment rate assumption (sCPR) of 6.25% for 2004-2 and 16.0% for 2015-1. The sustainable assumptions remained unchanged during this review; however, the trusts' CPR levels have increased this year, driven by consolidation activity to the Federal Direct student loan SAVE program. Higher current CPR levels are viewed as temporary. The cumulative effective (after applying Fitch's standard default timing curve) base case and AAA default rates in modelling were 10.5% and 31.5%, respectively, for 2004-2 and 14.3% and 42.8% for 2015-1. The 30-59DPD increased year over year to 2.69% from 1.93% for 2004-2 but 90-119DPD improved to 0.42% from 0.44%. For 2015-1, 30-59DPD increased year over year to 2.89% from 1.85% and 90-119DPD was increased to 0.60% from 0.47% for last year. The TTM levels of deferment and forbearance are 0.6% and 2.2%, respectively, for 2004-2, and 3.2% and 5.0%, respectively, for 2015-1. These levels are used as the starting point in cash flow modelling and subsequent declines and increases are modelled as per criteria. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the end of the most recent collection period, all trust student loans were indexed to either 91-day T-bill or 30-day Average SOFR plus spread adjustment (SA) and all notes were indexed to either 30-day or 90-day SOFR plus SA. Payment Structure: Credit enhancement (CE) is provided by excess spread and the class A notes benefit from subordination provided by the class B notes. All transactions are releasing excess cash as the parity of 101% is maintained for 2004-2 and the specified overcollateralization amount of the greater of 2.25% of the pool balance and $1,070,000 is maintained for 2015-1. Liquidity support is provided by a reserve accounts sized at $1.1 million, and $303,814 for 2004-2 and 2015-1, respectively. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc., which Fitch believes to be an acceptable servicer of student loans due to its long servicing history. 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 the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Access Group, Inc. 2004-2 Indenture of Trust Current Rating: Class A-4 'BBsf'; Class A-5 and Class B 'CCCsf'. Credit Stress Rating Sensitivity - Default increase 25%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A-4 'Asf'; class A-5 'BBsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A-4 'BBsf'; class A-5 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A-4 'CCCsf'; class A-5 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A-4 'BBBsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 25%: class A-4 'CCCsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A-4 'CCCsf'; class A-5 'AAsf'; class B 'CCCsf'. Access Funding 2015-1 LLC Current Rating: - Class A - 'AA+sf'; Class B - 'AAsf'. Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAsf'; class B 'AAsf'; - Default increase 50%: class A 'Asf'; class B 'AAsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'AAsf'; - Basis Spread increase 0.5%: class A 'AAsf'; class B 'AAsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - CPR decrease 50%: class A 'AA+sf'; class B 'AA+sf'; - 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 Access Group, Inc. 2004-2 Indenture of Trust Credit Stress Rating Sensitivity - Default decrease 25%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'; - Default decrease 50%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.25%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.50%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A-4 'AAsf'; A-5 'CCCsf'; class B 'CCCsf'; - CPR increase 50%: class A-4 'AAsf'; A-5 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 25%: class A-4 'Asf'; class A-5 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 50%: class A-4 'AAsf'; class A-5 'CCCsf'; class B 'CCCsf'; - Remaining Term decrease 25%: class A-4 'AA+sf'; class A-5 'CCCsf'; class B 'CCCsf'; - Remaining Term decrease 50%: class A-4 'AA+sf'; class A-5 'CCCsf'; class B 'CCCsf'. Access Funding 2015-1 LLC 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 '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'. CRITERIA VARIATION The rating for class A-4 of 2004-2 is more than one category lower than the lowest model implied rating of 'Asf'. As noted in the FFELP criteria, if the final ratings are different from the model results by more than one rating category, it would constitute a criteria variation. Fitch did not upgrade the note as cash flow modelling under the higher rating maturity stresses indicate that the note is paid in full on the legal final maturity date for ratings of 'BBB' through 'A'. This limited margin of safety, full repayment on the repayment date, was not considered commensurate with those ratings. If Fitch did not apply this variation, the notes could have been upgraded to 'Asf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AGL CLO 33: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 33 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 33 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 AGL CLO 33 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $400 million in primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.75% first-lien senior secured loans and has a weighted average recovery assumption of 74.73%. 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 weighted average loan (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for AGL CLO 33 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. AGL CLO 33: Moody's Assigns (P)B3 Rating to $250,000 Class F Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by AGL CLO 33 Ltd. (the "Issuer" or "AGL CLO 33"). Moody's rating action is as follows: US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2037, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. AGL CLO 33 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds or senior secured notes. Moody's expect the portfolio to be approximately 85% ramped as of the closing date. AGL CLO Credit Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3100 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. Further details regarding Moody's analysis of this transaction may be found in the related pre-sale report, available soon on Moodys.com. ALLY BANK 2024-A: Moody's Assigns B2 Rating to Class F Notes ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the notes issued by Ally Bank Auto Credit-Linked Notes, Series 2024-A (ABCLN 2024-A). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Ally Bank (Ally, long-term issuer rating Baa2). ABCLN 2024-A is the first credit linked notes transaction issued by Ally to transfer credit risk to noteholders through a hypothetical- financial guaranty on a reference pool of auto loans originated and serviced by Ally. The complete rating actions are as follows: Issuer: Ally Bank Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa2 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) Class F Notes, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Ally Bank or as a result of a FDIC conservator or receivership. The source of principal payments is the cash proceeds from the initial sale of the notes that are held in a collateral account with a third-party eligible institution rated at least A2 or P-1 by us. Ally will solely be responsible for interest payments and, in the unlikely event that the amount on deposit in the collateral account is less than the outstanding principal amount of the notes, also for the payments of principal. The Letter of Credit is provided by a third party with a rating of at least A2 or P-1 by us. As a result, the rated notes are not capped by the LT Issuer rating of Ally (Baa2). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure with target enhancement levels, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience of Ally as the servicer. Moody's median cumulative net loss expectation for the ABCLN 2024-A reference pool is 1.30% and loss at a Aaa stress of 7.25%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Ally to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2 notes, Class B notes, Class C notes, Class D notes, Class E notes, and Class F notes benefit from 9.65%, 7.70%, 5.80%, 4.60%, 3.40%, and 2.95% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. ANGEL OAK 2024-6: Fitch Assigns BBsf Final Rating on Cl. M-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Angel Oak Mortgage Trust 2024-6 (AOMT 2024-6). Entity/Debt Rating Prior ----------- ------ ----- AOMT 2024-6 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf M-2 LT BBsf New Rating BB(EXP)sf B-X LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The AOMT 2024-6 certificates are supported by 1,151 loans with a balance of $479.57 million as of the cutoff date. This represents the 39th Fitch-rated AOMT transaction and the sixth Fitch-rated AOMT transaction in 2024. The certificates are secured by mortgage loans mainly originated (62.3%) by Angel Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC (AOHL). The remaining 37.7% of the loans were originated by various third-party originators (TPOs). Fitch considers AOMS and AOHL to be average originators. The servicer of the loans is Select Portfolio Servicing, Inc. (RPS1-/Negative). Of the loans, 57.6% are designated as nonqualified mortgage (non-QM) loans and 42.4% are investment properties not subject to the Ability to Repay (ATR) Rule. There is no Libor exposure in this transaction. There are four ARM loans in the pool, none of which reference Libor. The certificates do not have Libor exposure. Classes A-1, A-2 and A-3 certificates are fixed rate, capped at the net weighted average coupon (WAC) and have a step-up feature. Classes M-1, M-2, and B-X are based upon the net WAC rate for the related distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.9% above a long-term sustainable level (versus 11.1% on a national level as of 4Q23, down 0% qoq). 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, notwithstanding modest regional declines, but are still supported by limited inventory. Non-QM Credit Quality (Mixed): The collateral consists of 1,151 loans totaling $479.57 million and seasoned at about 28 months in aggregate, according to Fitch, and 26 months, per the transaction documents. The borrowers have a relatively strong credit profile, with a 739 nonzero FICO and a 44.0% debt-to-income ratio (DTI), as determined by Fitch. They have relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 70.7%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV of 74.8%. Fitch's analysis of the pool shows that 56.8% represents loans in which the borrower maintains a primary or secondary residence, while the remaining 43.2% comprises investor properties. Fitch's analysis considers the 20 loans to foreign nationals to be investor occupied, which explains the discrepancy between the Fitch-determined figures and those in the transaction documents for investor and owner occupancy. Fitch determined that 18.6% of the loans were originated via a retail channel. Additionally, 57.6% of the pool is designated as non-QM, while the remaining 42.4% is exempt from QM status, as this comprises investor loans. The pool contains 68 loans over $1 million, with the largest amounting to $3.32 million. Loans on investor properties represent 43.2% of the pool, as determined by Fitch, including 9.2% underwritten to the borrower's credit profile and 34.0% investor cash flow and no-ratio loans. Furthermore, only 1.6% of the borrowers were viewed by Fitch as having a prior credit event within the past seven years. In addition to the first lien mortgage, 0.3% of the loans have a junior lien. There are no second lien loans in the pool, as 100% of the pool consists of first lien mortgages. In Fitch's analysis, loans with deferred balances are considered to have subordinate financing. None of the loans in this transaction have a deferred balance; therefore, Fitch views 0.3% of the loans in the pool as having subordinate financing due to the borrower taking out additional financing on the home that ranks subordinate to the mortgage in the pool. Fitch views the limited subordinate financing as a positive aspect of the transaction. Fitch determined that 20 loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as no documentation for employment and income documentation, and remove the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for such borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2023 and 2022, the pool's characteristics resemble those of nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. The largest concentration of loans is in California (36.0%), followed by Florida and Texas. The largest MSA is Los Angeles (16.1%), followed by Miami (9.0%) and Riverside (5.1%). The top three MSAs account for 30.2% of the pool. There was no geographical concentration risk in the pool; as such, Fitch did not apply a penalty and losses were not impacted. Loan Documentation (Negative): Fitch determined that 91.7% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and figures in the transaction documents. Of the loans underwritten to borrowers with less than full documentation, Fitch determined that 53.1% were underwritten to a three-month, 12-month or 24-month business or personal bank statement program for verifying income, which is not consistent with the previously applicable Appendix Q standards and Fitch's view of a full documentation program. To reflect the added risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 33.8% constitute a debt service coverage ratio (DSCR) product, 0.2% are a no-ratio product and 0.7% are an asset qualifier product. Four loans in the pool are no-ratio DSCR loans. For no-ratio loans, employment and income are considered to be "no documentation" in Fitch's analysis, and Fitch assumes a DTI of 100%. This is in addition to the loans being treated as investor occupied. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies (DQs). Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the mezzanine and subordinate certificates from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed sequentially to classes A-1, A-2 and A-3 certificates until they are reduced to zero. There is limited excess spread in the transaction available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after the distribution date in July 2028, since the class A certificates have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. Additionally, on any distribution date where the aggregate unpaid cap carryover amount for the class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-X certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1 certificate being paid timely interest at the step-up coupon rate under Fitch's stresses and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and 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%, 20% and 30% in addition to the model-projected 41.4% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses 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 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, Evolve, Maxwell, Canopy, Clarifii, Consolidated Analytics, Covius, Infinity, IngletBlair, Recovco and Selene. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, did not make any negative adjustments to its analysis due to no material due diligence findings. Based on the results of the 100% due diligence performed on the pool with no material findings, the overall expected loss was reduced by 0.38% DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged AMC, Evolve, Maxwell, Canopy, Clarifii, Consolidated Analytics, Covius, Infinity, IngletBlair, Recovco and Selene to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than the guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data to support the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. APIDOS CLO XLVIII: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XLVIII Ltd. Entity/Debt Rating ----------- ------ Apidos CLO XLVIII Ltd A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Apidos CLO XLVIII Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans and has a weighted average recovery assumption of 73.89%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, '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. ESG DISCLOSURES Fitch does not provide ESG relevance scores for Apidos CLO XLVIII 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. APIDOS CLO XLVIII: Moody's Assigns B3 Rating to $500,000 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Apidos CLO XLVIII Ltd (the "Issuer" or "Apidos XLVIII"). Moody's rating action is as follows: US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2037, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos XLVIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. The portfolio is approximately 80% ramped as of the closing date. CVC Credit Partners, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3050 Weighted Average Spread (WAS): 3.48% Weighted Average Coupon (WAC): 5.6% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.08 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ARES COMMERCIAL 2024-IND: Moody's Gives B1 Rating to Cl. HRR Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, to be issued by ARES Commercial Mortgage Trust 2024-IND, Commercial Mortgage Pass-Through Certificates, Series 2024-IND. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by first lien mortgages on the borrower's fee simple interests in a portfolio of 30 primarily industrial properties encompassing approximately 7.5 million SF. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The collateral portfolio consists of 30 industrial properties located across ten states and nine different markets. The largest concentrations are in Florida (26.9% of underwritten NOI), Tennessee (19.6% of underwritten NOI), and Kentucky (12.2% of underwritten NOI). The portfolio is highly diverse, with no with no single asset contributing more than 9.1% of underwritten NOI. The portfolio's property-level Herfindahl score is 23.00 based on allocated loan amount (the "ALA"). The properties are leased to 55 individual tenants with a weighted average lease term of 4.7 years and none of which comprises more than 9.3% of gross rent. The collateral properties contain a total of 7.5 million sf and bulk warehouse (82.4% of underwritten NOI), warehouse (16.6% of underwritten NOI and outdoor parking lot (1.0% of underwritten NOI). The portfolio's weighted average year built is 2006 and weighted average clear heights of 30.2 feet (excluding the Lakewood Logistics IV Property). Office SF represents 4.1% of the portfolio NRA. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. Moody's first mortgage actual DSCR is 0.96x and Moody's first mortgage actual stressed DSCR is 0.72x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $590,000,000 represents a Moody's LTV ratio of 115.6% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 104.4% based on Moody's Value using a cap rate adjusted for the current interest rate environment. With respect to loan level diversity, the pool's loan level Herfindahl score is 23.00. The ten largest properties represent 36.6% of the pool balance. Moody's also grade properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's quality grade is 0.75. Notable strengths of the transaction include: infill locations, high occupancy rate with strong tenant roster, portfolio diversity, multiple property pooling, institutional quality sponsorship, implied equity and portfolio characteristics. Notable concerns of the transaction include: rollover risk, property age, floating-rate interest-only loan profile, and credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. AUXILIOR TERM 2024-1: Moody's Assigns Ba3 Rating to Class E Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Auxilior Term Funding 2024-1, LLC (XCAP 2024-1, the issuer). The transaction is the second securitization sponsored by Auxilior Capital Partners, Inc. (Auxilior), a small and medium-ticket independent equipment finance company. The notes are backed by a pool of loans and leases secured by new and used equipment in three segments, construction and infrastructure (construction equipment, aerial lifts and cranes), transportation and logistics (highway tractors, vocational trucks, trailers, and school buses) and franchise related equipment originated by Auxilior. The complete rating actions are as follows: Issuer: Auxilior Term Funding 2024-1, LLC Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE Moody's cumulative net loss expectation for the XCAP 2024-1 collateral pool is 3.00% and the loss at a Aaa stress is 21.00% (inclusive of 20.00% credit loss and 1.00% residual value loss). The ratings, the cumulative net loss expectation, and the loss at a Aaa stress for the XCAP 2024-1 transaction are based on (1) the high credit quality of the underlying collateral, (2) Moody's expectations of the pool's credit performance considering the historical performance of Auxilior's managed portfolio, although for a limited period that does not cover a full economic cycle. In addition, Moody's considered the performance data of comparable originators of contracts included in transactions Moody's rate for similar equipment types to the collateral in the pool, (3) loan performance data from the Small Business Administration (SBA) for limited-service restaurants as a partial proxy for franchise performance given Auxilior's limited historical data for franchise loans, (4) the experience and expertise of Auxilior as the originator and servicer of the collateral, (5) the strength of the transaction structure including, among other factors, the sequential pay structure and credit enhancement levels, (6) GreatAmerica Portfolio Services Group LLC (GPSG) as backup servicer for the contracts, (7) the current expectations for the state of the macroeconomic environment during the life of the transaction, and (8) the legal aspects of the transaction. Additionally, in assigning the provisional short-term rating to the class A-1 notes, Moody's considered the cash flows that Moody's expect the underlying receivables to generate prior to the class A-1 notes' legal final maturity date. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, and Class E notes benefit from 20.25%, 15.25%, 9.25%, 6.50%, and 4.25% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of (1) over-collateralization (OC) of 3.25% of the initial pool balance, with the ability to step down once the OC reaches its target of 8.25% of the outstanding pool balance subject to a floor of 1.00% of the initial pool balance, (2) a fully funded, non-declining reserve account of 1.00% of the initial pool balance, and (3) subordination, except for the Class E Notes. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations Methodology" published in September 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the subordinate notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. This transaction has a sequential pay structure and therefore credit enhancement will grow as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build-up of enhancement. Down Moody's could downgrade the ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or higher than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. Additionally, Moody's could downgrade the short-term rating of the class A-1 notes if there is a significant slowdown in principal collections in the first year of the transaction, which could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. BAIN CAPITAL 2024-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2024-3, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2024-3, Limited A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B 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 Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Bain Capital Credit CLO 2024-3, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Bain Capital Credit U.S. CLO Manager II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.51, versus a maximum covenant, in accordance with the initial expected matrix point of 24.5. 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 98.7% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.34% versus a minimum covenant, in accordance with the initial expected matrix point of 71.06%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Neutral): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'BB-sf' and 'Asf' for class C-1, between 'B+sf' and 'BBB+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, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AA+sf' for class C-2, '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. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2024-3, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BANK 2024-BNK47: Fitch Assigns B-sf Final Rating on Cl. J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BANK 2024-BNK47 commercial mortgage pass-through certificates series 2024-BNK47 as follows: Entity/Debt Rating Prior ----------- ------ ----- BANK 2024-BNK47 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT WDsf Withdrawn AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf A-SB LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT Asf New Rating A(EXP)sf D-RR LT A-sf New Rating A-(EXP)sf E-RR LT BBBsf New Rating BBB(EXP)sf F-RR LT BBB-sf New Rating BBB-(EXP)sf G-RR LT BB-sf New Rating BB-(EXP)sf J-RR LT B-sf New Rating B-(EXP)sf K-RR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT AA-sf New Rating A(EXP)sf - $6,684,000 class A-1 'AAAsf'; Outlook Stable; - $65,786,000 class A-2 'AAAsf'; Outlook Stable; - $7,500,000 class A-3 'AAAsf'; Outlook Stable; - $14,226,000 class A-SB 'AAAsf'; Outlook Stable; - $663,203,000 class A-5 'AAAsf'; Outlook Stable; - $757,399,000a class X-A 'AAAsf'; Outlook Stable; - $154,185,000 class A-S 'AAAsf'; Outlook Stable - $48,690,000 class B 'AA-sf'; Outlook Stable; - $17,820,000 class C 'Asf'; Outlook Stable; - $220,695,000a class X-B 'AA-sf'; Outlook Stable; - $14,640,000bc class D-RR 'A-sf'; Outlook Stable; - $12,172,000bc class E-RR 'BBBsf'; Outlook Stable; - $14,878,000bc class F-RR 'BBB-sf'; Outlook Stable; - $18,935,000bc class G-RR 'BB-sf'; Outlook Stable; - $10,820,000bc class J-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $32,460,008bc class K-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Collectively represent the "eligible horizontal interest" comprising 5.0% of the pool. Since Fitch published its expected ratings on June 5, 2024, the following changes have occurred: the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-4 class was expected to be in the $0-$300,000,000 range and the initial certificate balance of the A-5 class was expected to be in the $363,203,000-$663,203,000 range. The final class balance for class A-5 is $663,203,000 and class A-4 will not be issued. Additionally, at the time the presale was issued, class X-B (which is tied to the classes A-S, B, and C) was rated 'Asf(EXP)', reflecting class C, the lowest rated tranche. Since Fitch published its expected ratings, the class C pass-through rates were finalized and will be variable rate (WAC), equal to the weighted average of the net mortgage interest rates on the mortgage loan, and therefore its payable interest will not have an impact on the IO payments for class X-B. Fitch updated class X-B to 'AA-sf' (from Asf(EXP) at the time of the presale) reflecting the lowest tranche (class B) whose payable interest has an impact on the IO payments. This is consistent with Appendix 4 of Fitch's Global Structured Finance Rating Criteria. The ratings are based on information provided by the issuer as of June 24, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 52 fixed-rate, commercial mortgage loans with an aggregate principal balance of $1,081,999,009 as of the cut-off date. The mortgage loans are secured by the borrower's fee and leasehold interests in commercial properties. The loans were contributed to the trust by Wells Fargo Bank, National Association, Bank of America, National Association, Goldman Sachs Mortgage Company, Morgan Stanley Mortgage Capital Holdings LLC, JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc. and National Cooperative Bank, N.A. The master servicers are expected to be Wells Fargo Bank, National Association, and National Cooperative Bank, N.A. The special servicers are expected to be Rialto Capital Advisors, LLC and National Cooperative Bank, N.A. The trustee and certificate administrator is expected to be Computershare Trust Company, N.A. The certificates are expected to follow a sequential paydown structure. Fitch has withdrawn the expected ratings for class A-4 'AAAsf(EXP)' because the class was removed from the final deal structure. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 31 loans totaling 93.0% of the pool by balance, including the largest 20 loans and all of the hospitality and office loans in the pool. Fitch's resulting net cash flow (NCF) of $366.8 million represents a 13.7% decline from the issuer's underwritten NCF of $424.8 million. Lower Leverage Compared to Recent Transactions: The pool has lower leverage than U.S. private-label multi-borrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 77.4% is lower than the YTD 2024 and 2023 averages of 89.1% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 13.6% is higher than the YTD 2024 and 2023 averages of 11.3% and 10.9%, respectively. The pool's Fitch LTV and DY, excluding credit opinion and co-op loans, are 85.5% and 12.1%, respectively. Investment-Grade Credit Opinion Loans: Four loans representing 29.5% of the pool balance received an investment-grade credit opinion. St. Johns Town Center (9.2% of the pool) received a Standalone Credit Opinion of 'Asf*', Woodfield Mall (7.3% of the pool) received a Standalone Credit Opinion of 'BBB+sf*', Westwood Gateway II (6.9% of the pool) received a Standalone Credit Opinion of 'BBBsf*', and 60 Hudson (6.0% of the pool) received a Standalone Credit Opinion of 'AAAsf*'. The pool's total credit opinion percentage of 29.5% is significantly higher than the YTD 2024 and 2023 averages of 13.8% 17.8%, respectively. Mall Concentration: Mall Concentration: Four loans (24.4% of pool), including three of the top five loans, are secured by malls — St. Johns Town Center, Woodfield Mall, Danbury Fair Mall and Arundel Mills and Marketplace. The malls represent 60.3% of the pool's entire retail exposure. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'Asf'/'A-sf'/'BBBsf' /'BBB-sf' /'BB-sf' /'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'Bsf'/'CCCsf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of 3, unless otherwise disclosed in this section. A score of 3; means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2024-5YR7: DBRS Finalizes BB(high) Rating on Class G Certs ---------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates Series, 2024-5YR7 (the Certificates) issued by BANK5 2024-5YR7 (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-2-1 at AAA (sf) -- Class A-2-2 at AAA (sf) -- Class A-2-X1 at AAA (sf) -- Class A-2-X2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AA (high) (sf) -- Class B-1 at AA (high) (sf) -- Class B-2 at AA (high) (sf) -- Class B-X1 at AA (high) (sf) -- Class B-X2 at AA (high) (sf) -- Class C at A (high) (sf) -- Class C-1 at A (high) (sf) -- Class C-2 at A (high) (sf) -- Class C-X1 at A (high) (sf) -- Class C-X2 at A (high) (sf) -- Class X-D at A (low) (sf) -- Class X-F at BBB (sf) -- Class X-G at BBB (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (high) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (high) (sf) All trends are Stable. Classes X-D, X-F, X-G, X-J D, E, F, G and J will be privately placed. The RR Interest Certificates will not be offered. Classes A-2-1, A-2-2, A-2-X1, A-2-X2, A-3-1, A-3-2, A-3-X1, A-3-X2, A-S-1, A-S-2, A-S-X1, A-S-X2, B-1, B-2, B-X1, B-X2, C-1, C-2, C-X1,C-X2 are also offered certificates. Such classes of certificates, together with the Class A-2, A-3, A-S, B and C constitute the Exchangeable Certificates. The Class A-1, D, E, F, G, and J, certificates, together with the Exchangeable Certificates with a certificate balance are referred to as the principal balance certificates. The collateral consists of 37 fixed-rate loans secured by 41 commercial and multifamily properties with an aggregate cut-off date balance of $1.146 billion. Five loans; Cira Square, Saks Beverly Hills, Kenwood Towne Centre, Anaheim Desert Inn & Suites, and Columbus Business Park, representing 20.6% of the pool; are shadow-rated investment grade by Morningstar DBRS. The conduit pool was analyzed to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. The transaction has a sequential-pay pass-through structure. Cira Square, Saks Beverly Hills, Kenwood Towne Centre, Anaheim Desert Inn & Suites, and Columbus Business Park exhibit credit characteristics consistent with investment-grade shadow ratings. Combined, these loans represent 20.6% of the pool. Cira Square has credit characteristics consistent with an AA (high) shadow rating, Saks Beverly Hills has credit characteristics consistent with an A (low) shadow rating, Kenwood Towne Centre has credit characteristics consistent with an A (high) shadow rating, Anaheim Desert Inn & Suites Square has credit characteristics consistent with a BBB (high) shadow rating, and Columbus Business Park Square has credit characteristics consistent with an A (high) shadow rating. Seventeen loans, representing a combined 44.5% of the pool by allocated loan amount (ALA), exhibit Morningstar DBRS Issuance loan-to-value ratios (LTVs) of less than 59.3%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. Even with the exclusion of the shadow-rated loans, which represent 20.6% of the pool, the transaction exhibits a favorable WA Morningstar DBRS issuance LTV of 60.2%. There are seven loans, representing 24.5% of the pool, in areas identified as Morningstar DBRS Market Ranks of 7 or 8, which are generally characterized as highly dense urbanized areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Markets with these rankings benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. Urban markets represented in the deal include Washington, D.C.; New York; and Los Angeles. In addition, 17 loans, representing 52.5% of the pool balance, have collateral in MSA Group 3, which represents the best-performing group in terms of historical CMBS default rates among the top 25 metropolitan statistical areas (MSAs). Six loans, representing 25.3% of the pool balance, received a property quality assessment of Average + or better, including two loans, representing 13.6% of the pool, deemed to be of Above Average quality. Three loans, representing 15.5% of the pool, were classified as having Strong sponsorship strength. Furthermore, Morningstar DBRS identified only two loans with sponsorship strength deemed Weak, accounting for 7.2% of the pool. The pool has a relatively high concentration of loans secured by office properties at eight loans, representing 33.2% of the pool balance, with three in the top 10 loans of the pool. Office properties are facing increased pressure from changing user demands, after the pandemic, with the implementation of hybrid remote-working strategies. However, three of the office loans, representing 21.4% of the total pool balance, are located in Morningstar DBRS Market Ranks 6, 7, and 8, which exhibit the lowest historical CMBS PODs and LGDs. Furthermore, three of the office loans, representing 16.0% of the total pool balance, are in MSA Group 3, which is the best-performing group among the top 25 MSAs in terms of historical CMBS default rates. Cira Square, representing 7.9% of the total pool balance, is shadow-rated investment grade by Morningstar DBRS. Two of the office properties were assigned a property quality of Average+ and Above Average. In today's challenging interest rate environment, rates have increased significantly from before the Fed's interest rate hike regime that began in mid-2022. The rise in interest rates over the past several quarters has severely constrained debt service coverage ratios (DSCRs) and in the case of the subject transaction, has a weighted-average (WA) DSCR of 1.49 times (x) and 1.29x excluding shadow-rated loans. While adequate to service debt, the ratio is considerably lower than historical conduit transactions and provides for a smaller cushion should cash flows be disrupted. Loans with lower DSCR ratios receive a POD penalty in the Morningstar DBRS model. On average, the transaction exhibits -0.70% of negative leverage (as defined as the issuer's implied cap rate (issuer's NCF divided by the appraised value), less the current interest rate). While cap rates have been increasing over the last few years, they have not surpassed the current interest rates. In the short-term, this suggests borrowers are willing to have their equity returns reduced in order to secure financing. Longer-term, should interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may impact the borrower's ability to refinance their loans. There are 35 loans, representing 98.4% of the pool balance, structured with full-term interest-only (IO) periods. Loans that are full-term IO do not benefit from amortization. Of the 35 loans with full-term IO periods, nine loans representing 34.5% of the pool are located in areas with Morningstar DBRS Market Ranks of 6 or higher, with 24.5% of the pool in Morningstar DBRS Market ranks of 7 or 8. These urban markets benefit from increased liquidity even during times of economic stress. Five of the loans, representing 20.6% of the pool balance, are shadow-rated investment grade by Morningstar DBRS. The full-term IO loans still benefit from a low leverage point as evidenced by the low Morningstar DBRS WA Issuance LTV of 56.8%, or 60.2% when excluding the shadow-rated and co-operative loans. Thirty-two loans, representing 91.4% of the total pool balance, are refinancing or recapitalizing existing debt. Morningstar DBRS views loans that refinance existing debt as more credit negative than loans that finance an acquisition. The loans that are refinancing existing debt exhibit relatively low leverage. Specifically, the Morningstar DBRS average Issuance and Balloon LTVs for the loans refinancing debt are 56.3% and 56.2%, respectively. The loans that are refinancing existing debt are generally in stronger Morningstar DBRS Markets Ranks and MSA groups than the broader pool of assets in the transaction. Notes: All figures are in U.S. dollars unless otherwise noted. BATALLION CLO XXIV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Battalion CLO XXIV Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Battalion CLO XXIV Ltd. A 07135JAA9 LT PIFsf Paid In Full AAAsf A-L LT AAAsf New Rating A-R LT AAAsf New Rating B 07135JAC5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 07135JAE1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 07135JAG6 LT PIFsf Paid In Full BBB-sf D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E 07135KAA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating TRANSACTION SUMMARY Battalion CLO XXIV Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Management, LP. that originally closed in December 2022. This is the first refinancing where the existing notes will be refinanced in whole on June 26, 2024. 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.73, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98% 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 66.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A, between 'BB+sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D1-R, between less than 'B-sf' and 'BB+sf' for class D2-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 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'Asf' for class D1-R, 'BBB+sf' for class D2-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 the data is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Battalion CLO XXIV 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. BBAM US IV: S&P Assigns BB- (sf) Rating on Class D Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to BBAM US CLO IV Ltd./BBAM US CLO IV LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by RBC Global Asset Management (U.S.) Inc., an indirect wholly owned subsidiary of Royal Bank of Canada. 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 BBAM US CLO IV Ltd./BBAM US CLO IV LLC Class A-1A, $248.00 million: AAA (sf) Class A-1B, $8.00 million: AAA (sf) Class A-2, $48.00 million: AA (sf) Class B (deferrable), $24.00 million: A (sf) Class C (deferrable), $24.00 million: BBB (sf) Class D (deferrable), $16.00 million: BB- (sf) Subordinated notes, $38.10 million: Not rated BEAR MOUNTAIN: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class B-R, C-R, D-R, and E-R replacement debt from Bear Mountain Park CLO Ltd./Bear Mountain Park CLO LLC, a CLO originally issued in August 2022 that is managed by Blackstone Liquid Credit Strategies LLC, an affiliate of Blackstone Inc. S&P is not rating the class A-R debt. The preliminary ratings are based on information as of June 28, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 15, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The stated maturity, reinvestment period, non-call period and weighted average life test date will be extended two years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Bear Mountain Park CLO Ltd./Bear Mountain Park CLO LLC Class A-R, $409.500 million: Not rated Class B-R, $84.500 million: AA (sf) Class C-R (deferrable), $39.000 million: A (sf) Class D-R (deferrable), $39.000 million: BBB- (sf) Class E-R (deferrable), $24.375 million: BB- (sf) Other Debt Bear Mountain Park CLO Ltd./Bear Mountain Park CLO LLC Subordinated notes, $44.050 million: Not rated BRAVO RESIDENTIAL 2024-RPL1: DBRS Finalizes B Rating on B2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2024-RPL1 (the Notes) to be issued by BRAVO Residential Funding Trust 2024-RPL1 (BRAVO 2024-RPL1 or the Trust) as follows: -- $275.1 million Class A1 at AAA (sf) -- $22.1 million Class A2 at AA (sf) -- $297.2 million Class A3 at AA (sf) -- $316.2 million Class A4 at A (sf) -- $335.5 million Class A5 at BBB (sf) -- $19.0 million Class M1 at A (sf) -- $19.2 million Class M2 at BBB (sf) -- $13.4 million Class B1 at BB (sf) -- $10.1 million Class B2 at B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Class A-1 Notes reflects 32.05% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 26.60%, 21.90%, 17.15%, 13.85%, and 11.35% of credit enhancement, respectively. This transaction is a securitization of a portfolio of seasoned reperforming, first-lien, residential mortgages funded by the issuance of the Notes. The Notes are backed by 2,024 loans with a total principal balance of $404,919,565 as of the Cut-Off Date (April 30, 2024). The portfolio is approximately 208 months seasoned on a weighted-average (WA) basis and contains 95.9% modified loans. The modifications happened more than two years ago for 95.3% of the modified loans. Within the pool, 1,397 mortgages have non-interest-bearing deferred amounts, which equates to approximately 16.5% of the total principal balance. As of the Cut-Off Date, 89.0% of the pool is current, including 249, or 14.2%, that are current and in active bankruptcy, and 11.0% is 30 days delinquent, including 35, or 1.9%, that are active bankruptcy loans under the Mortgage Bankers Association (MBA) delinquency method. Approximately 56.3%, 67.2%, and 75.5% of the mortgage loans by balance have been current for the past 24, 12, and six months, respectively, under the MBA delinquency method. The majority of the pool (98.6%) is not subject to the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The remaining 1.4% of the pool may be subject to the ATR rules but a designation was not provided. As such, Morningstar DBRS assumed these loans to be non-QM in its analysis. PMIT Residential Funding XXV LLC (the Depositor), an affiliate of Loan Funding Structure LLC (the Sponsor), will acquire the loans and will contribute them to the Trust. The Sponsor or one of its majority-owned affiliates will either retain a 5% eligible vertical interest in each class of the offered Notes and the Class X notes or retain an eligible horizontal interest in the Issuer of at least 5% of the aggregate fair value of the Notes, to satisfy the credit risk retention requirements. The mortgage loans will be serviced by Select Portfolio Servicing, Inc. (SPS; 59.9%) and Nationstar Mortgage LLC doing business as (dba) Rushmore Servicing (Rushmore; 40.1%). For this transaction, the aggregate servicing fee paid from the Trust will be 0.40%. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction; however, the Servicers are obligated to make advances in respect of homeowner association fees, taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the holder of the Trust certificates may purchase all the mortgage loans and real estate owned (REO) properties from the Issuer at a price equal to the sum of principal balance of the mortgage loans plus the accrued and unpaid interest thereon, the fair market value of REO properties net of liquidation expenses, any unpaid servicing advances, and any fees, expenses, or other amounts owed to the transaction parties (Optional Termination Date). The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1 note is retired. Class A1 is entitled to receive net weighted-average coupon (WAC) shortfall amounts that would otherwise be used to pay current interest or any interest shortfall amounts to the Class B-3, Class B-4, or Class B-5 notes in sequential reverse. Notes: All figures are in US Dollars unless otherwise noted. BWAY 2015-1740: DBRS Cuts Rating on Class A Certs to Dsf -------------------------------------------------------- DBRS Limited downgraded one credit rating on the Commercial Mortgage Pass-Through Certificate, Series 2015-1740 issued by BWAY 2015-1740 Mortgage Trust as follows: -- Class A to D (sf) from C (sf) Morningstar DBRS simultaneously discontinued and withdrew its credit rating on Class A. Morningstar DBRS had rated only the $157.5 million Class A certificate in this transaction, which had an original deal balance of $308.0 million. The credit rating downgrade reflects the realized losses to the trust that were reflected in the May 2024 remittance following the liquidation of the sole asset backing the transaction. The loan was liquidated from the trust at a loss of approximately $190.8 million of which $40.2 million was allocated to the Class A certificate. The proceeds from the liquidation were applied to the outstanding servicer advances of $48.4 million and nonrecoverable interest of $9.9 million following which net proceeds of only $117.2 million became available to the trust, resulting in a 26% write down of Class A. In November 2023, Morningstar DBRS had downgraded the Class A certificate to C (sf), indicating the likelihood of significant expected losses at disposition of the asset. To read more on Morningstar DBRS' previous credit rating action, please see the press release titled "DBRS Morningstar Downgrades Credit Rating on BWAY 2015-1740 Mortgage Trust" published on November 1, 2023, on the Morningstar DBRS website. The loan was secured by a 26-story office and retail tower at 1740 Broadway in Manhattan, New York, with a scheduled maturity date in January 2025. The loan sponsor is Blackstone Property Partners, L.P. (Blackstone). The property was originally constructed in 1950 and underwent a $33.3 million renovation in 2020. The loan transferred to special servicing in April 2022 after L Brands (70.9% of the net rentable area) vacated the space upon its lease expiration in March 2022. The transaction did not contemplate any provisions that would have allowed for cash to be trapped during the lease expiration of L Brands, a structural weakness that Morningstar DBRS cited at issuance. As such, the sponsor retained all excess cash flow for two years when the loan's debt service coverage ratio was 1.87 times (x) for YE2020 and 1.42x for YE2021. Once L Brands vacated in 2022, cash management was triggered, but by that time, there was no excess cash to trap. Blackstone was actively engaged in workout discussions during the initial forbearance period. However, by the end of the extended forbearance period in December 2022, the servicer noted that Blackstone was no longer willing to fund shortfalls and was looking to market the property for sale. Although the forbearance expired in December 2022, the first appraisal reduction amount (ARA) of $77.5 million was not reported until June 2023. Following multiple changes to the assigned special servicer, an updated appraised value was eventually reported with the August 2023 remittance. That appraisal, dated July 2023, valued the property at $175.0 million, representing a 71.0% decline to the issuance appraised value of $605.0 million. Consequently, the ARA increased to $187.6 million, resulting in the master servicer's non-recoverability determination in the same month. The non-recoverability determination triggered the shorting of interest payments to all bonds across the capital stack. With the May 2024 remittance, the loan was liquidated via a note sale of $185.0 million. Given the priority of recoverability, liquidation proceeds first went to recoup servicing fees and outstanding advances of $49.4 million in addition to the accrued interest shortfalls of $9.9 million and other expenses of approximately $2.9 million, ultimately resulting in $117.2 million in distributable principal. This equated to a loan level loss severity of 62%. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2017-CQHP: Moody's Lowers Rating on Cl. F Certs to Csf --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on six classes in BX Trust 2017-CQHP, Commercial Mortgage Pass-Through Certificates, Series 2017-CQHP as follows: Cl. A, Downgraded to Baa1 (sf); previously on Feb 22, 2023 Downgraded to Aa2 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Feb 22, 2023 Downgraded to A2 (sf) Cl. C, Downgraded to B3 (sf); previously on Feb 22, 2023 Downgraded to Ba1 (sf) Cl. D, Downgraded to Caa2 (sf); previously on Feb 22, 2023 Downgraded to B1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Feb 22, 2023 Downgraded to B3 (sf) Cl. F, Downgraded to C (sf); previously on Feb 22, 2023 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on six P&I classes were downgraded primarily due to sustained loan underperformance, continued delinquency and resulting outstanding loan advances as well as the potential for higher losses due to uncertainty around timing and proceeds from the loan resolution. This floating rate loan has been in special servicing since June 2020 and as of the June 2024 distribution date, the loan remains last paid through its July 2022 payment date and there is approximately $48.4 million of loan advances, other expenses and cumulative accrued unpaid advance interest outstanding. The portfolio's performance continues to marginally improve year over year but is not currently generating enough cash flow to cover its floating rate debt service and the portfolio's most recent net operating income (NOI) remained well below the NOI in 2019. The property's reliance on corporate business travel has delayed its recovery timing, particularly for the assets located in Chicago, Philadelphia and San Francisco, which continue to lag recovery timing compared to other major cities in the country. As a result, Moody's expect the advances to remain outstanding and may increase if the property's cash flow does not continue to improve. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. The most recent reported appraised value as of the June 2024 remittance statement was 24% lower than at securitization and while the value was above the outstanding loan amount of $273.7 million, when accounting for the total outstanding loan exposure (advances and accrued unpaid interest amounts), the aggregate loan exposure of $322.1 million was slightly above the most recent appraisal value. The loan is backed by four Club Quarters hotels and the principal proceeds from the sale of any assets could be used to paydown outstanding advances and as applicable, principal balance on the certificates. The senior P&I classes Moody's rate, particularly Cl. A and Cl. B, benefit from credit support in the form of subordinate mortgage debt balance and also could withstand further declines in market value prior to a risk of principal loss. In this credit rating action, Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and trophy/dominant nature of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate v forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan, an increase in realized and expected losses or increased interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the June 17, 2024 distribution date, the transaction's aggregate certificate balance remains unchanged at $273.7 Million. The securitization is backed by a single floating rate loan collateralized by four Club Quarter hotels. The portfolio totals 1,228 rooms, and includes the 346 room Club Quarters San Francisco, the 429 room Club Quarters Chicago Central Loop, the 178 room Club Quarters Boston, and the 275 room Club Quarters Philadelphia. The portfolio is encumbered with $61.3 million of non-pooled mezzanine debt. The loan's original sponsor was Blackstone Real Estate Partners VII-NQ L.P., an affiliate of Blackstone Group L.P. Club Quarters drives business through memberships with corporate clients that commit to a minimum number of room nights at a property annually. On weekends when corporate travel demand generally decreases, they cater to non-members and leisure travelers. The portfolio's NOI annualized as of September 2023 was $12.4 million, a marginal increase from $11.9 million in 2022, but remained significantly below the NOI of $32.3 million in 2019 and $34.8 million at securitization. Furthermore, due to the current interest rate environment, the floating rate loan's interest rate is above 7% as of the June 2024 remittance statement, resulting in an NOI DSCR less than 0.75X on the interest only debt service. Based on the allocated loan amount (ALA), the San Francisco property (39% of ALA) and the Chicago hotel (26% of ALA) account for 66% of the portfolio. The properties reliance on the corporate segment has delayed recovery timing from the coronavirus impact, particularly in certain markets that have been unable to return to their pre-pandemic levels. According to the year-end 2023 STR Report, overall US RevPAR (revenue per available room) was up 12.9% compared to that of 2019. However, the San Francisco/San Mateo MSA had the worst comparison among the Top 25 MSAs at -28.6% compared to 2019 and the Chicago and Philadelphia's MSA's 2023 RevPAR were -0.4% and -2.5% lower, respectively, than that of 2019. The loan has been in special servicing since June 2020 for monetary default and the loan is last paid through its July 2022 payment date. The Boston property was recently foreclosed in February 2024 and the servicer is pursuing foreclosure on the remaining three hotels. The Boston asset has recognized the most significant recovery since 2020 and the 2023 NOI for that property was only 9.3% below 2019, while the other three assets' cash flow remain materially below the 2019 levels. The first mortgage balance of $273.7 million represents Moody's LTV of 173% (not including outstanding advances). However, there are outstanding loan advances and accrued unpaid interest totaling approximately $48.4 million causing the aggregate loan exposure to be $322.1 million. There are outstanding interest shortfalls totaling $9,857 affecting up to Cl. F and no losses have been realized as of the current distribution date. BX TRUST 2019-IMC: DBRS Cuts Rating on Class HRR Certs to B(low) ---------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on four classes of the Commercial Mortgage Pass-Through Certificates, Series 2019-IMC issued by BX Trust 2019-IMC as follows: -- Class E to A (sf) from AA (low) (sf) -- Class F to BBB (low) (sf) from A (low) (sf) -- Class G to B (high) (sf) from BB (high) (sf) -- Class HRR to B (low) (sf) from BB (sf) Morningstar DBRS also confirmed its credit ratings on the following classes: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class D at AAA (sf) -- Class X-NCP at AAA (sf) All trends are Stable. The credit rating downgrades reflect the increased credit risk as exhibited in the downward pressure in the loan-to-value (LTV) sizing benchmarks following updates to the analysis with this review. The updates to the Morningstar DBRS Net Cash Flow and the LTV sizing benchmarks were made to reflect the significant decline in cash flow for the collateral portfolio in the servicer's updated calculations, which were made available with the April 2024 remittance report. According to the servicer, the reporting reflected significant declines in performance after Blackstone (the borrower), reported a YE2023 net cash flow (NCF) figure of $111.5 million and restated the underlying collateral's YE2022 NCF to $106.9 million, a reduction of more than 35% from the previously reported YE2022 NCF figure of $170.3 million. The credit rating confirmations reflect the continued stable outlook on the senior portion of the trust debt, further bolstered by the increased credit support that has resulted from a principal paydown of $175.0 million, reducing the transaction balance by 15.2%, since the last credit rating action. At its last review, Morningstar DBRS upgraded its credit ratings on Classes C, D, E, F, G, and HRR to reflect the significant year-over-year growth in NCF since issuance. At the time of the last review, the servicer reported financials for the trailing 12 months (T-12) ended March 31, 2023 (Q1 2023 NCF), reflecting NCF and debt service coverage ratio (DSCR) figures of $186.9 million and 2.41 times (x), respectively, an improvement of 9.7% from the YE2022 NCF figure of $170.3 million. The Q1 2023 NCF also represented a significant uptick of 20.6% from the YE2021 NCF figure of $155.0 million and 44.2% over the Morningstar DBRS NCF derived in 2020. The portfolio is composed of a multitude of short-term leases, only one of which has a lease term that extends beyond 12 months. The financial statements, as presented at the time, reflected steady year-over-year NCF increases between 8.0% and 10.0% every year since issuance, with the exception of the period from YE2020 to YE2021, when the sector suffered from compression because of the effects of the coronavirus (COVID-19) pandemic. To evaluate the potential for upgrades given the consistent and sustained significant improvement in collateral performance in the prior review, Morningstar DBRS considered a stressed scenario by applying a conservative 20% haircut to the Q1 2023 NCF, resulting in a stressed Morningstar DBRS value of $1.42 billion (LTV of 80.7%) supporting the credit rating upgrades. According to the servicer, the borrower previously submitted consolidated financials, which included properties that were not collateral for the securitized loan. As previously mentioned, in April 2024, the borrower restated its YE2022 NCF to $106.9 million and reported a YE2023 NCF of $111.5 million, both of which represent significant declines from historical operating performance and the previously reported figures. The servicer has also confirmed that, while the financials for YE2021 have not been restated, those reported figures also represent consolidated financials that include collateral that is not part of the transaction. The NCF decrease since issuance has been driven in large part by significant increases to operating expenses, specifically advertising and marketing as well as payroll and benefits. In addition, the servicer noted that there have been fluctuations in occupancy that have also contributed to slight decreases in revenue since issuance. For this review, Morningstar DBRS derived an NCF of $109.3 million, which is based on a haircut to the YE2023 figure, resulting in a Morningstar DBRS value of $1.04 billion, based on a capitalization rate of 10.5%, and yields a Morningstar DBRS LTV of 93.7%, supporting the credit rating downgrades. The loan, which had an original final maturity in April 2024, was recently modified, extending the loan term by 26 months to June 2026, and received principal paydown of $175.0 million, mitigating the impact of the restated financial statements for the senior certificates. The collateral for the first-mortgage loan is a portfolio of 16 properties comprising 9.6 million square feet (sf) of premier showroom space situated across two campuses (or markets) in High Point, North Carolina, and Las Vegas. The collateral represents 88.0% and 92.7% of the Class A trade show and showroom space in the High Point and Las Vegas markets, respectively, with the allocated loan balance split between the 13 High Point properties (50.1%) and the three Las Vegas properties (49.9%). Each market holds biannual home and furnishings trade shows, staggered so that an event occurs once every quarter throughout the year, with the spring and fall events held in High Point and the summer and winter events held in Las Vegas. The High Point market is convenient for its proximity to manufacturers, while the Las Vegas market serves as a regional hub for buyers in the western U.S. The quarterly events are positioned as business-to-business trade shows focused on the home furnishings and decor as well as gift industries. The events provide an efficient channel for buyers to access and view products in the highly fragmented industries with thousands of manufacturers and more than 60,000 commercial buyers attending each event. The attendance and pre-registration figures provided for the 2022 and early 2023 events demonstrate demand had begun to rebound from the impacts of the COVID-19 with attendance figures surging year-over-year indicating a continued demand for the in-person trade shows, which is the most important demand driver for the collateral. Notes: All figures are in U.S. dollars unless otherwise noted. CANADIAN COMMERCIAL 6: DBRS Finalizes B Rating on Class G Certs --------------------------------------------------------------- DBRS Limited finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-6 (the Certificate) issued by Canadian Commercial Mortgage Origination Trust 6 (the Trust): -- Class A at AAA (sf) -- Class A-J at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. Classes A-J, X, B, C, D, E, F, and G will be privately placed. The collateral consists of 28 fixed-rate loans, including five pari passu pooled interests, secured by 39 commercial properties. The transaction is a sequential-pay pass-through structure. Morningstar DBRS rolled up the five pari passu hotel loans into a single loan to account for the cross-collateralized and cross-defaulted nature of the loan interests (Vancouver Hotel Pooled Interest, Ottawa Hotel Pooled Interest, Edmonton DoubleTree Hotel Pooled Interest, Bessborough Hotel Pooled Interest, and Edmonton Home2Suites Hotel Pooled Interest (collectively, Silverbirch Hotel Portfolio Pooled Interests)). Throughout the remainder of this report, the collateral pool will be referred to as a 23-loan pool. The loan pool was analyzed to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. The collateral pool has an issuance Morningstar DBRS weighted average loan-to-value ratio (WA LTV) of 58.4% and scheduled amortization to a Morningstar DBRS Balloon LTV of 52.9%. When the cut-off loan balances were measured against the Morningstar DBRS Stabilized Net Cash Flow (NCF) and their respective actual constants, the initial Morningstar DBRS WA Debt Service Average Ratio (DSCR) for the pool was 1.48x. Thirteen loans, representing a combined 48.7% of the pool balance, exhibit Morningstar DBRS Issuance LTVs of less than 59.3%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. All loans in the pool, except one loan (Fonthill Retail), representing 1.0% of the pool, have been given full or partial recourse credit in the Morningstar DBRS CMBS Insight model because of some form of recourse to individuals and REITs or established corporations. Recourse generally results in lower POD over the term of the loan. While it is generally difficult to quantify the impact of recourse, all else being equal, there is a small shift lowering the loan's POD for warm-body or corporate sponsors that give recourse. Recourse can also serve as a mitigating factor to other risks, such as single-tenant risk, by providing an extra incentive for the loan sponsor to make debt service payments if the sole tenant vacates. Additionally, three Morningstar DBRS-modelled loans, representing 11.3% of the pool, have Strong sponsor strength. The Morningstar DBRS sample included 12 of the 23 Morningstar DBRS-modelled loans or 16 of 28 Issuer-counted loans in the pool. Site inspections were performed on 23 of the 39 properties in the portfolio (77.3% of the pool by allocated loan balance). Morningstar DBRS conducted meetings with the on-site property manager, leasing agent, or a representative of the borrowing entity for 10 Morningstar DBRS-modelled loans or 12 Issuer-counted loans, representing 74.2% of the pool. The Morningstar DBRS sample had an average NCF variance of -6.0% and ranged from -14.2% (Adgar Office) to +4.2% (Silverbirch Hotel Portfolio). Morningstar DBRS notes that Royal Bank of Canada, which serves as Fiscal Agent and provides backup principal and interest advancing, is only being held to a gross negligence standard with regard to its obligations under the Pooling and Servicing Agreement. Notes: All figures are in Canadian dollars unless otherwise noted. CARLYLE US 2024-4: Fitch Assigns BB-sf Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Carlyle US CLO 2024-4, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2024-4, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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 25.2, versus a maximum covenant, in accordance with the initial expected matrix point of 27.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.55% versus a minimum covenant, in accordance with the initial expected matrix point of 72.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 40.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Carlyle US CLO 2024-4, 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. CARVANA AUTO 2024-N2: DBRS Gives Prov. BB(high) Rating on E Notes ----------------------------------------------------------------- DBRS, Inc assigned provisional ratings to the classes of notes issued by Carvana Auto Receivables Trust 2024-N2 (CRVNA 2024-N2 or the Issuer) as follows: -- $61,910,000 Class A-1 Notes at R-1 (high) (sf) -- $192,030,000 Class A-2 Notes at AAA (sf) -- $99,350,000 Class A-3 Notes at AAA (sf) -- $105,980,000 Class B Notes at AA (high) (sf) -- $62,960,000 Class C Notes at A (high) (sf) -- $96,880,000 Class D Notes at BBB (high) (sf) -- $64,360,000 Class E Notes at BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional ratings are based on Morningstar DBRS's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, a fully funded reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (3) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of Carvana, LLC (Carvana) and Bridgecrest Credit Company, LLC and considers the entities to be an acceptable originator and servicer, respectively, of auto loans. (4) The operational history of Carvana and the strength of the overall company and its management team. -- Company management has considerable experience in the consumer lending business. -- Carvana has a technology-driven platform that focuses on providing the customer with high-level experience, selection, and value. Its website and smartphone app provide the consumer with vehicle search and discovery (currently showing more than 30,000 vehicles online); the ability to trade or sell vehicles almost instantaneously; and real-time, personalized financing. Carvana has developed underwriting policies and procedures for use across the lending platform that leverages technology where appropriate to validate customer identity, income, employment, residency, creditworthiness, and proper insurance coverage. -- Carvana has developed multiple proprietary risk models to support various aspects of its vertically integrated automotive lending business. All proprietary risk models used in Carvana's lending business are regularly monitored and tested. The risk models are updated from time to time to adjust for new performance data, changes in customer and economic trends, and additional sources of third-party data. (5) The credit quality of the collateral, which includes Carvana-originated loans with Deal Scores of 49 or lower. -- As of the June 03, 2024 Cut-off Date, the collateral pool for the transaction is primarily composed of receivables due from nonprime obligors with a weighted-average (WA) FICO score of 567, WA annual percentage rate of 22.32%, and WA loan-to-value ratio of 99.46%. Approximately 56.94%, 27.88%, and 15.18% of the pool include loans with Carvana Deal Scores greater than or equal to 30, between 10 and 29, and between 0 and 9, respectively. Additionally, 1.15% is composed of obligors with FICO scores greater than 751, 29.19% consists of FICO scores between 601 and 750, and 69.66% is from obligors with FICO scores less than or equal to 600 or with no FICO score. -- Morningstar DBRS analyzed the performance of Carvana's auto loan and retail installment contract originations and static pool vintage loss data broken down by Deal Score to determine a projected CNL expectation for the CRVNA 2024-N2 pool. (6) The Morningstar DBRS CNL assumption is 14.80% based on the cut-off date pool composition. -- The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (7) Carvana's financial condition as reported as part of its Q1 2024 10-Q filed as of May 1, 2024. (8) The legal structure and expected presence of legal opinions, which will address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Carvana, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Accrued Note Interest and the related Note Balance. Morningstar DBRS's credit rating does not address non-payment risk associated with contractual payment obligations that are not financial obligations. Morningstar DBRS's long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CATHEDRAL LAKE VII: S&P Affirms 'B- (sf)' Rating on Class F 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 Cathedral Lake VII Ltd./Cathedral Lake VII LLC, a CLO managed by WhiteStar Asset Management LLC, which was originally issued in October 2015 as Cathedral Lake III CLO Ltd., and underwent a second refinancing in February 2021 and reissued as Cathedral Lake VII Ltd. At the same time, S&P withdrew its ratings on Cathedral Lake VII Ltd.'s class A loans and class A, B, C, D, and E debt following payment in full on the June 28, 2024, refinancing date. S&P also affirmed its ratings on the class F debt, which was 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 Dec. 18, 2024. -- No additional assets were purchased on the June 28, 2024 refinancing date. 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. Replacement And February 2021 Debt Issuances Replacement debt -- Class A-R, $232.79 million: Three-month CME term SOFR + 1.18% -- Class B-R, $47.00 million: Three-month CME term SOFR + 1.85% -- Class C-R (deferrable), $23.50 million: Three-month CME term SOFR + 2.15% -- Class D-R (deferrable), $23.50 million: Three-month CME term SOFR + 4.05% -- Class E-R (deferrable), $13.00 million: Three-month CME term SOFR + 7.60% February 2021 debt -- Class A loans, $223.68 million: Three-month CME term SOFR + 1.31% + CSA(i) -- Class A, $9.12 million: Three-month CME term SOFR + 1.31% + CSA(i) -- Class B, $47.00 million: Three-month CME term SOFR + 1.90% + CSA(i) -- Class C (deferrable), $23.50 million: Three-month CME term SOFR + 2.57% + CSA(i) -- Class D (deferrable), $23.50 million: Three-month CME term SOFR + 4.28% + CSA(i) -- Class E (deferrable), $13.00 million: Three-month CME term SOFR + 7.77% + CSA(i) (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 Cathedral Lake VII Ltd./Cathedral Lake VII LLC Class A-R, $232.79 million: AAA (sf) Class B-R, $47.00 million: AA (sf) Class C-R (deferrable), $23.50 million: A (sf) Class D-R (deferrable), $23.50 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Cathedral Lake VII Ltd./Cathedral Lake VII LLC Class A loans 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)' Ratings Affirmed Cathedral Lake VI, Ltd./Cathedral Lake VII LLC Class F: 'B- (sf)' Other Debt Cathedral Lake VII Ltd./Cathedral Lake VII LLC Subordinated notes, $49.36 million: NR NR--Not rated. CFMT LLC 2024-HB14: DBRS Gives Prov. B Rating on Class M6 Notes --------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the following Asset-Backed Notes, Series 2024-2 to be issued by CFMT 2024-HB14, LLC: -- $328.9 million Class A at AAA (sf) -- $46.6 million Class M1 at AA (low) (sf) -- $34.7 million Class M2 at A (low) (sf) -- $34.8 million Class M3 at BBB (low) (sf) -- $34.9 million Class M4 at BB (low) (sf) -- $10.2 million Class M5 at B (high) (sf) -- $12.2 million Class M6 at B (sf) The AAA (sf) rating reflects 36.2% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), B (high) (sf), and B (sf) ratings reflect 27.2%, 20.5%, 13.7%, 7.0%, 5.0%, and 2.6% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (April 30, 2024), the collateral has approximately $515.9 million in unpaid principal balance (UPB) from 1,461 performing and nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate-owned (REO) properties secured by first liens typically on single-family residential properties, condominiums, multifamily (two to four - family) properties, manufactured homes, planned unit developments, and townhouses. All of the mortgage assets were originated between 2006 and 2015. Of the total assets, 1,144 have a fixed interest rate (79.7% of the balance), with a 5.3% weighted-average coupon (WAC). The remaining 317 assets have floating-rate interest (20.3% of the balance) with a 7.7% WAC, bringing the entire collateral pool to a 5.8% WAC. As of the Cut-Off Date, the mortgage assets in this transaction are both performing and nonperforming (i.e., inactive) assets. There are 249 performing loans comprising 16.1% of the total UPB. As for the 1,212 nonperforming loans (NPLs), 648 are in a foreclosure process (54.5% of balance), 255 are in default (11.3%), 67 are in bankruptcy (4.5%), 94 are called due (4.6%), and the remaining 148 loans are in REO status (9.1%). However, all these assets are insured by the U.S. Department of Housing and Urban Development (HUD), and this insurance acts to mitigate losses compared with uninsured loans. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 62.4% for these assets. The WA LTV is calculated by dividing the UPB by the maximum claim amount (MCA) plus the asset value. Among the 249 performing loans, 230 loans, representing 92.8% of the performing loan UPB, are flagged to be strategically held and not assigned (the Strategically Held set), and the remaining 19 loans, representing 7.2% of the performing loan UPB, are flagged as curable impeded assignments. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Classes M1, M2, M3, M4, M5, M6, and M7 (together, the Class M Notes) have principal lockout terms insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (June 2027) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months for up to a year after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M6 and Class M7 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue additional accrued amounts. Morningstar DBRS does not rate these additional accrued amounts. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amounts. In addition, the associated financial obligations for the Class A, M1, M2, M3, M4, and M5 Notes include the related Cap Carryover and Interest Payment Amounts. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the Notes do not address Additional Accrued Amounts based on their position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an Issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2024-6: Fitch Assigns Bsf Final Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2024-6 (Chase 2024-6). Entity/Debt Rating Prior ----------- ------ ----- Chase 2024-6 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has rated the residential mortgage-backed certificates issued by Chase 2024-6 as indicated above. The certificates are supported by 499 loans with a total balance of approximately $621.66 million as of the cutoff date. The scheduled balance as of the cutoff date is $621.23 million. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) 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, 99.7% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR); the remaining 0.3% 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 10.3% 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; 99.7% of the loans qualify as SHQM APOR. The remaining 0.3% 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 4.7 months, according to Fitch. The pool has a WA FICO score of 768, 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 74.2% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. In addition, the original weighted average (WA) combined loan-to-value (CLTV) ratio of 75.8%, translating to a sustainable loan-to-value (sLTV) ratio of 83.1%, represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as QM loans. Of the pool, 100% is comprised of loans where the borrower maintains a primary or secondary residence. Single-family homes and planned unit developments (PUDs) constitute 91.7% of the pool; condominiums make up 7.7%; and co-ops make up 0.6%. Fitch viewed it favorable that there are no loans in the pool to multi-family homes and that there are no loans to investors in the pool. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (94.0%), cashout refinances (3.6%) and rate-term refinances (2.4%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 19.5% are concentrated in California, followed by Florida and Texas. The largest MSA concentration is in the Los Angeles MSA (7.0%), followed by the Seattle MSA (6.7%) and the Miami MSA (6.2%). The top three MSAs account for 19.9% 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 1.15% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.75% 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 41.7% 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. 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 and Digital Risk. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.15% at the 'AAAsf' stress due to 60.1% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 60.1% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section 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 2024-6 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to operational risk being well controlled in Chase 2024-6. Factors that contributed to well controlled operational risk include strong transaction due diligence, the entire pool is originated by an 'Above Average' originator, and all the pool loans are serviced by a servicer rated 'RPS1-'. These all have a positive impact on the credit profile, and are relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2024-RPL3: Fitch Assigns 'B(EXP)sf' Rating on B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2024-RPL3 (Chase 2024-RPL3). Entity/Debt Rating ----------- ------ Chase 2024-RPL3 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 P-T LT NR(EXP)sf Expected Rating R-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-RPL3 (Chase 2024-RPL3) as indicated above. The transaction is expected to close on June 27, 2024. The certificates are supported by one collateral group that consists of 2,297 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $513.44 million, which includes $63.1 million, or 12.3%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the statistical calculation date per the transaction documents. All of the loans in the transaction were originated by JPMorgan Chase Bank (Chase), EMC Mortgage or Washington Mutual Bank and all loans have been held by Chase since origination or acquisition of Washington Mutual Bank. All the loans have been serviced by Chase 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 principal and interest (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 99.6% fixed rate and 0.4% step loans and the class 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. Class 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 10.1% 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 2,297 seasoned, reperforming fully amortizing and balloon, fixed-rate and step-rate mortgage loans secured by first and second liens on primarily one- to four-family residential properties, planned unit developments (PUDs), condominiums, townhouses, manufactured homes, modular homes, cooperatives, mixed use properties, and land, totaling $513.44 million per the transaction documents. In Fitch's analysis, Fitch used the total current balance of $513.46, which includes $63.1 million in non-interest-bearing deferred principal amounts and $23.7k in principal reduction amounts which have not been forgiven yet and are still owed to the trust. The loans are seasoned approximately 217 months in aggregate, according to Fitch (215 months per the transaction documents). The loans were originated mainly by Chase (38.2%), EMC (0.06%) and Washington Mutual (61.8%). 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 JPMorgan 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 (679 FICO, according to Fitch, and 706 per the transaction documents) and low current leverage with an updated LTV of 43.5% per the transaction documents (original LTV of 75.9% as determined by Fitch) and a sustainable LTV (sLTV) as determined by Fitch of 48.7%. Borrower debt-to-income ratios (DTIs) were not provided, so Fitch assumed each loan had a 45% DTI in its analysis. Of the pool, 98.7% of the loans have been modified. In its analysis, Fitch only considered 78.6% of the pool as having a modification, since these modifications were characterized as loss mitigation modifications while the remaining 20.1% were non-loss mitigation modifications. The non-loss mitigation modifications were preemptive modifications on loans that when initially originated may have been a loan with a balloon term, negative amortization loan, or an option arm loan. These loans were preemptively modified into fixed rate fully amortizing loans. The non-loss mitigation modifications may also include loans that have been recast. Fitch does not consider loans that have a non-loss mitigation modification as having been modified in its analysis. As of the cutoff date, the pool is 100% current. Specifically, 57.9% of the loans have been clean current for 36 months. 20.8% of the loans have been clean current for 24 months, 19.7% of the loans have been clean current for 12 months and 1.6% of the loans have been clean current for 6 months. In total, 78.7% of loans have been clean current for 24 months or more. The pool consists of 87.7% of loans where the borrower maintains a primary residence, while 12.3% 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 $23,678. Since this amount will be forgiven, Fitch increased its loss expectation by this amount (the increase in loss was not material). Four loans in the pool were affected by a natural disaster and incurred minor damage with a maximum repair cost of $25,000. Since the damage rep carves out loans that have damages of less than $30,000, Fitch reduced the updated property value of these four 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. Twenty-nine loans in the pool are second liens (the first lien is in the pool as well). Fitch applied 100% loss severity (LS) to the second lien loans. Geographic Concentration (Negative): Approximately 34.8% of the pool is concentrated in California. The largest MSA concentrations are in the Los Angeles-Long Beach-Santa Ana, CA MSA (16.8%), the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (16.0%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA (8.2%). The top three MSAs account for 41.0% 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 0.10%. No Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure interest will be paid to the 'AAAsf' rated notes in a timely manner, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for higher credit enhancement (CE) than it would for a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf'' rated class. 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 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 Loss Severity floors that start at 20% for the 'AAAsf' stress and end at 5% at the base case rather than 30% for the 'AAAsf' 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 'AAAsf' 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 25.2% 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 a sample of loans in the pool (690 loans were reviewed by SitusAMC and 89 loans were reviewed by Clayton). The review found there are $346,766 in outstanding tax, municipal, and HOA liens (0.07% of the total pool balance). Fitch did not find this amount to be material as it did not increase the LS or increase the losses. Some loans in the pool have missing or defective documents, which Chase is actively tracking down. Chase 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 25.2% 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. A tax and title review was conducted on a portion of the loans in the pool. Specifically 690 loans in the pool had a tax and title review performed by SitusAMC and 89 loans in the pool had a tax and title performed 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-RPL3 has an ESG Relevance Score of '4+' for transaction parties and operational risk. Operational risk is well controlled in Chase 2024-RPL3 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. CHASE HOME 2024-RPL3: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2024-RPL3 (Chase 2024-RPL3). Entity/Debt Rating Prior ----------- ------ ----- Chase 2024-RPL3 A-1 LT AAAsf New Rating AAA(EXP)sf A-1-A LT AAAsf New Rating AAA(EXP)sf A-1-B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf P-T LT NRsf New Rating NR(EXP)sf R-R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The Chase 2024-RPL3 transaction is expected to close on June 27, 2024. The certificates are supported by one collateral group consisting of 2,297 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $513.44 million, which includes $63.1 million, or 12.3%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the statistical calculation date per the transaction documents. All of the loans in the transaction were originated by JPMorgan Chase Bank (Chase), EMC Mortgage or Washington Mutual Bank and all loans have been held by Chase since origination or acquisition of Washington Mutual Bank. All the loans have been serviced by Chase 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 principal and interest (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 99.6% fixed rate and 0.4% step loans and the class 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. Class 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 10.1% 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 increased 5.5% yoy nationally as of February 2024 despite modest regional declines, but are still supported by limited inventory. Seasoned Performing and Reperforming Credit Quality (Mixed): The collateral consists of 2,297 seasoned, reperforming fully amortizing and balloon, fixed-rate and step-rate mortgage loans secured by first and second liens on primarily one-to-four family residential properties, planned unit developments (PUDs), condominiums, townhouses, manufactured homes, modular homes, cooperatives, mixed use properties and land, totaling $513.44 million per the transaction documents. In Fitch's analysis, Fitch used the total current balance of $513.46 million, which includes $63.1 million in non-interest-bearing deferred principal amounts and $23.7k in principal reduction amounts which have not been forgiven yet and are still owed to the trust. The loans are seasoned approximately 217 months in aggregate, according to Fitch (215 months per the transaction documents). The loans were originated mainly by Chase (38.2%), EMC (0.06%) and Washington Mutual (61.8%). 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 JPMorgan 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 seen by Fitch. The borrowers have a moderate credit profile (679 FICO, according to Fitch, and 706 per the transaction documents) and low current leverage with an updated LTV of 43.5% per the transaction documents (original LTV of 75.9% as determined by Fitch) and a sustainable LTV (sLTV) as determined by Fitch of 48.7%. Borrower debt-to-income ratios (DTIs) were not provided, so Fitch assumed each loan had a 45% DTI in its analysis. Of the pool, 98.7% of the loans have been modified. In its analysis, Fitch only considered 78.6% of the pool as having a modification, since these modifications were characterized as loss mitigation modifications while the remaining 20.1% were non-loss mitigation modifications. The non-loss mitigation modifications were preemptive modifications on loans that when initially originated may have been a loan with a balloon term, negative amortization loan, or an option arm loan. These loans were preemptively modified into fixed rate fully amortizing loans. The non-loss mitigation modifications may also include loans that have been recast. Fitch does not consider loans that have a non-loss mitigation modification as having been modified in its analysis. As of the cutoff date, the pool is 100% current. Specifically, 57.9% of the loans have been clean current for 36 months, 20.8% of the loans have been clean current for 24 months, 19.7% of the loans have been clean current for 12 months and 1.6% of the loans have been clean current for 6 months. In total, 78.7% of loans have been clean current for 24 months or more. The pool consists of 87.7% of loans where the borrower maintains a primary residence, while 12.3% 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 $23,678. Since this amount will be forgiven, Fitch increased its loss expectation by this amount (the increase in loss was not material). Four loans in the pool were affected by a natural disaster and incurred minor damage with a maximum repair cost of $25,000. Since the damage rep carves out loans that have damages of less than $30,000, Fitch reduced the updated property value of these four 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. Of the loans in the pool, 29 are second liens (the first lien is in the pool as well). Fitch applied 100% loss severity (LS) to the second lien loans. Geographic Concentration (Negative): Approximately 34.8% of the pool is concentrated in California. The largest MSA concentrations are in the Los Angeles-Long Beach-Santa Ana, CA MSA (16.8%), the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (16.0%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA (8.2%). The top three MSAs account for 41.0% 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 0.10%. No Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure interest will be paid to the 'AAAsf' rated notes in a timely manner, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for higher credit enhancement (CE) than it would for a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated class. 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%, 20% and 30% in addition to the model-projected 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 Loss Severity floors that start at 20% for the 'AAAsf' stress and end at 5% at the base case rather than 30% for the 'AAAsf' 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 'AAAsf' 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 25.2% 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 a sample of loans in the pool (690 loans were reviewed by SitusAMC and 89 loans were reviewed by Clayton). The review found there are $346,766 in outstanding tax, municipal, and HOA liens (0.07% of the total pool balance). Fitch did not find this amount to be material as it did not increase the LS or increase the losses. Some loans in the pool have missing or defective documents, which Chase is actively tracking down. Chase 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 25.2% 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. A tax and title review was conducted on a portion of the loans in the pool. Specifically 690 loans in the pool had a tax and title review performed by SitusAMC and 89 loans in the pool had a tax and title performed 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-RPL3 has an ESG Relevance Score of '4+' for transaction parties and operational risk. Operational risk is well controlled in Chase 2024-RPL3 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. CIFC FUNDING 2017-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to CIFC Funding 2017-V, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2017-V, Ltd. X LT NRsf New Rating A-1 12551MAA7 LT PIFsf Paid In Full AAAsf A-R LT NRsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating TRANSACTION SUMMARY CIFC Funding 2017-V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CIFC Asset Management LLC that originally closed on Nov. 16, 2017. The secured notes will be refinanced in whole on June 27, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.78, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.19% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.09% versus a minimum covenant, in accordance with the initial expected matrix point of 71.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. The failure in the indicative portfolio for class E-R notes stems from the fixed rated asset maturity having a longer horizon compared to the floating rate assets, which Fitch considers an unrealistic scenario for a managed transaction with a 5.1 reinvestment period. Model implied ratings (MIRs) are determined by Fitch stressed portfolio per Fitch's CLOs and Corporate CDOs Rating Criteria. The MIR for class E-R notes is passing the 'BB-sf' PCM hurdle rate in all Fitch Stressed scenarios, which is in line with Fitch's assigned ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-R, and 'BB+sf' for class E-R. Fitch conducted an additional sensitivity for the indicative portfolio by setting the maturity of the fixed rated asset closer to the floating rate asset maturities. Results are available in the associated new issue report. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 CIFC Funding 2017-V, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CITIGROUP 2014-GC21: Moody's Lowers Rating on Cl. C Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on four classes in Citigroup Commercial Mortgage Trust 2014-GC21, Commercial Pass-Through Certificates, Series 2014-GC21 as follows: Cl. B, Downgraded to Baa1 (sf); previously on Oct 10, 2023 Downgraded to A2 (sf) Cl. C, Downgraded to Ba1 (sf); previously on Oct 10, 2023 Downgraded to Baa2 (sf) Cl. PEZ, Downgraded to Baa3 (sf); previously on Oct 10, 2023 Downgraded to A2 (sf) Cl. X-B*, Downgraded to Baa3 (sf); previously on Oct 10, 2023 Downgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. B and Cl. C, were downgraded due to the potential for higher losses and interest shortfalls driven primarily by the significant exposure to loans in special servicing with declining performance. Two loans constituting 71% of the pool balance are in special servicing with the largest specially serviced loan secured by a regional mall. As of the June 2024 remittance, all loans have now passed their original maturity dates and given the higher interest rate environment and loan performance may increase interest shortfalls risk for the outstanding classes. The ratings on one IO class, Cl. X-B, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. The ratings on one exchangeable class, Cl. PEZ, was downgraded due to the decline in the credit quality of its reference classes and principal paydowns of higher quality referenced classes. Cl. PEZ originally referenced classes A-S, B and C, however, Cl. A-S has previously paid off in full. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 19.4% of the current pooled balance, compared to 8.6% at Moody's last review. Moody's base expected loss plus realized losses is now 5.9% of the original pooled balance, compared to 7.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 70.5% of the pool is in special servicing. In this approach, Moody's determine a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the June 2024 distribution date, the transaction's aggregate certificate balance has decreased by 76% to $233.3 million from $1.0 billion at securitization. The certificates are collateralized by seven mortgage loans ranging in size from less than 3% to 54% of the pool. As of the June 2024 remittance report, two of the specially serviced loans, representing 70.5% of the pool are classified as performing maturity default and non-performing maturity default, and all other remaining loans have passed their original maturity dates. Five loans, constituting 29.5% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $16 million (for an average loss severity of 51%). Two loans, constituting 70.5% of the pool, are currently in special servicing. The largest specially serviced loan is the Maine Mall Loan ($125.0 million – 53.6% of the pool), which is secured by a 730,444 square feet (SF) component of a 1.0 million SF super-regional mall located in Portland, Maine. The loan represents a pari passu portion of a $235.0 million first-mortgage loan and is interest-only through maturity. The mall contains four anchors, which include Macy's, Jordans Furniture (former Bon-Ton), J.C. Penney, and Best Buy. Macy's is not part of the collateral for the loan and J.C. Penney is under a ground lease. Jordan's Furniture replaced the Bon-Ton space (17% of NRA), a former collateral anchor that vacated in August 2017. In 2018, Round 1 Bowling & Amusement moved into the prior Sports Authority space (6% of NRA) that went dark in 2017. Property performance has steadily declined since 2016. As of December 2023, the occupancy was 91%, compared to 94% in December 2020 and 97% at securitization. As of December 2023, the NOI DSCR was 1.58X based on its fixed interest rate of 4.7%. The loan transferred to special servicing in February 2024 for imminent default as a result of the borrower's inability to pay off the loan at the April 2024 maturity date. The property is generating sufficient cash flow to cover debt service and the loan remains current as of the June 2024 remittance report. The second specially serviced loan is the Greene Town Center Loan ($39.4 million – 16.9% of the pool), which represents a pari-passu portion of a $114.4 million senior mortgage loan. The loan is secured by a mixed-use property located in Beavercreek, Ohio, approximately ten miles southeast of the Dayton, Ohio CBD. The property is also encumbered by $37.4 million of mezzanine debt. The subject improvements primarily consist of a lifestyle center situated around a town square. In total, the property is comprised of 566,634 SF (80% NRA) of retail, 143,343 SF (20% NRA) of office, and 206 Class A multifamily units. Retail anchors include Von Maur (not part of the collateral), LA Fitness, Forever 21, Old Navy, Nordstrom Rack, and a 14-screen Cinemark Cinema (not part of the collateral). The property was 92% leased as of September 2023 compared to 91% in December 2022, 93% in December 2020, and 89% at securitization. The loan transferred to special servicing in December 2023 due to imminent default ahead of the December 2023 maturity date. An updated appraisal from February 2024 valued the property at $140 million, a 37% decline in value since securitization. The most recent servicer commentary indicates that counsel has been engaged to conduct foreclosure proceedings while the servicer dual tracks workout alternatives with the borrower. As of the June 2024 remittance, this loan was last paid through the April 2024 payment date and has amortized by 16.7% since securitization. The top three non-specially serviced loans represent 21.4% of the pool balance. The largest loan is the Lanes Mill Marketplace Loan ($19.9 million – 8.5% of the pool), which is secured by a 145.375 SF retail property located in Howell, NJ. The property consists of two major tenants - Stop & Shop Food Store and Crest Furniture, which accounts for approximately 63% of property's GLA. The property is shadowed anchored by Target and Lowes Home Improvement. As of year-end 2023 NOI DSCR was 1.11X with 100% occupancy, compared to 0.87X and 99% as of year-end 2022, respectively. The loan is current on its debt service payment but passed its original maturity date in May 2024. The loan is currently cash managed due to non-renewal of the Barnes & Noble lease. Servicer commentary indicates that the borrower is working on the refinancing the loan and may need a forbearance. The loan has amortized by 14.2% since securitization. Moody's LTV and stressed DSCR are 126% and 0.77X. The second largest loan is the Regional One Medical Loan ($15.7 million – 6.7% of the pool), which is secured by a 112,233 SF medical facility located in Memphis, TN. The property is also encumbered by $3.0 million of mezzanine debt. As of September 2023, NOI DSCR was 1.46X with 87% occupancy, compared to 1.46X and 88% as of December 2022, respectively. The loan is current on its debt service payment but passed its original maturity date in April 2024. Servicer commentary indicates that the borrower is trying to sell the property and may need a 60-day forbearance in order to close the transaction. However, the loan is in the process of being transferred to the special servicer. The loan has amortized by 17.2% since securitization. Moody's LTV and stressed DSCR are 113% and 1.01X. The third loan is the Brier Creek Corporate Center 6 Loan ($14.4 million – 6.2% of the pool), which is secured by a 123,351 SF office building located in Raleigh, NC. The property is also encumbered by $1.8 million of mezzanine debt. As of year-end 2023 NOI DSCR was 1.55X with 100% occupancy, compared to 1.41X and 100% as of year-end 2022, respectively. The loan is current on its debt service payment but passed its original maturity date in March 2024. Servicer commentary indicates that the borrower is working on the refinancing the loan. The loan has amortized by 17.6% since securitization. Moody's LTV and stressed DSCR are 98% and 1.05X. CITIGROUP 2015-GC33: DBRS Cuts Rating on 2 Tranches to C -------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of commercial mortgage-backed notes issued by Citigroup Commercial Mortgage Trust 2015-GC33 as follows: -- Class D to B (high) (sf) from BBB (low) (sf) -- Class X-D to B (high) (sf) from BBB (low) (sf) -- Class E to CCC (sf) from BB (low) (sf) -- Class F to C (sf) from B (sf) -- Class G to C (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) Morningstar DBRS changed the trends on Classes C, D, X-D, and PEZ to Negative from Stable. Classes A-3, A-4, A-AB, A-S, X-A, and B continue to carry Stable trends. There are no trends for Classes E, F, and G, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating downgrades reflect Morningstar DBRS' increased loss projections for the loans in special servicing, primarily driven by Illinois Center (Prospectus ID#1, 11.2% of the pool), a recent transfer that is no longer expected to be supported by the borrower. Morningstar DBRS considered liquidation scenarios for both specially serviced loans, representing 11.9% of the pool, resulting in total implied losses of approximately $54.2 million, an increase from Morningstar DBRS' projected losses of $0.7 million from the sole specially serviced loan at the time of the last credit rating action. Those losses would completely erode the nonrated Class H, as well as the balance of rated Classes F and G, and a partial write down of the balance of Class E, significantly reducing credit support for the transaction as a whole. The Negative trends reflect Morningstar DBRS' concerns with several nonspecially serviced loans that have exhibited increased risk of default given performance challenges, property type, and/or general market concerns, as the majority of the remaining loans are scheduled to mature in Q2 and Q3 2025. With this review, Morningstar DBRS identified 13 loans, representing 19.6% of the pool, facing elevated refinance risk. For these loans, Morningstar DBRS applied stressed loan-to-value ratios (LTVs) and/or elevated probability of defaults (PODs) to increase the expected loss at the loan level as applicable. These adjusted loans had a weighted average (WA) expected loss (EL) that was over one and a half times the pool's WA figure. The credit rating confirmations and Stable trends reflect the otherwise overall stable performance of the nonspecially serviced loans in the pool, which Morningstar DBRS generally expects to repay at maturity based on the most recent year-end (YE) weighted-average debt service coverage ratio (DSCR) that is above 1.68x. As of the May 2024 reporting, 59 of the original 64 loans remain in the pool with an aggregate principal balance of $837.6 million, representing a collateral reduction of 12.6% since issuance, as a result of scheduled amortization, loan repayment, and the liquidation of one loan. There are 14 loans, representing approximately 17.0% of the pool, that are fully defeased, and 16 loans, representing 23.5% of the pool, that are on the servicers watchlist, predominantly being monitored for a low DSCR, occupancy, and/or deferred maintenance. By property type, the pool is most concentrated by loans secured by office properties (29.0% of the pool), followed by retail (21.9% of the pool) and lodging (20.6% of the pool) properties. The largest loan in special servicing and in the pool, Illinois Center, is secured by two adjoining Class A office towers in downtown Chicago. The loan has been monitored on the servicer's watchlist for performance declines resulting from the COVID-19 pandemic, and was recently transferred to special servicing in April 2024 for payment default. Occupancy fell to 67.0% at YE2020 following the departure or downsizing of several tenants, a trend that has continued at the properties, as occupancy fell from 64.7% at YE2022, to 47.8% at YE2023. Notable departures include the Bankers Life and Casualty Company (formerly 6.4% of net rentable area (NRA) and the U.S. General Services Administration - Department of Health and Human Services (formerly 8.1% of NRA), which had lease expirations in August and November 2023, respectively. While financial performance slightly rebounded in 2023 yielding a debt service coverage ratio of 1.27 times (x), the increased vacancy indicates a coverage that is well below breakeven, with 15 tenants, representing 14.2% of NRA, that have leases scheduled to expire prior to loan maturity in August 2025. At last review, the borrower was planning to renovate and/or improve the interior amenities and exterior of the conference center in an effort to stabilize operations; however, there has been no update on those plans and the loan is now delinquent, with individual occupancy rates of 62.1% for 111 East Wacker and 33.9% for 233 North Michigan Avenue. Per Reis, the East Loop submarket reported an average vacancy rate and rental rate of 11.7% and $26.43 per square foot (psf), compared with the subject's in-place rate of 52.2% and $23.2 psf. As the properties have yet to be reappraised, Morningstar DBRS liquidated these loans based on a stressed haircut to the issuance appraised value of $390.0 million, given the soft submarket performance, upcoming rollover risk, and general lack of liquidity for this property type. This resulted in a loss severity exceeding 50.0%, with the stressed value estimate on a per square foot basis relatively in line with several other Chicago office properties that are securitized in CMBS transactions that are in special servicing. The Decoration and Design Building (Prospectus ID#3, 7.4% of the pool) is secured by the leasehold interest in an 18-story office building that is mainly used as a showroom in Midtown Manhattan, New York. The loan was placed on the watchlist in May 2023 for low occupancy after several tenants vacated the property and is past due for the April and May 2024 debt service payments. The property was 65.3% occupied as of October 2023, relatively stable with the YE2022 figure of 66.1%, but otherwise showing steady decline from 77.1% at YE2021 and 94.8% at issuance. The property's net cash flow (NCF) has also shown decline over time as a result of the increased vacancy, with an annualized Q3 2023 figure of $14.6 million (a DSCR of 1.53x), down from $15.7 as of YE2022, $17.3 million as of YE2021 and the Issuer's NCF of $22.1 million. There are also 14 tenants, representing 13.3% of NRA, that have leases scheduled to expire during the next 12 months. The property is also subject to a noncollateral ground lease that had an initial expiration in December 2023, with two renewal options that extend the maturity to December 2063. As noted at issuance, per the land's issuance appraisal, without accounting for inflation, ground rent was expected to reset to an estimated $13.8 million in January 2024, well above the initial fixed rate of $3.8 million. Morningstar DBRS has confirmed the ground lease has been extended for another 25 years; however, the increased ground rent is more gradual than anticipated, increasing to $5.75 million in 2024 and $6.0 million 2026, when the loan is scheduled to mature. Morningstar DBRS expects that performance is likely to further decline, given the concentrated rollover risk and increased ground rent. As such, Morningstar DBRS applied an elevated LTV and a stressed POD penalty, resulting in an expected loss nearly one and half times the pool's WA expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. CLICKLEASE 2024-1: DBRS Gives Prov. BB(low) Rating on D Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by ClickLease Equipment Receivables 2024-1 LLC (CLICK 2024-1 or the Issuer): -- $121,200,000 Class A Notes at AA (low) (sf) -- $40,440,000 Class B Notes at A (low) (sf) -- $40,560,000 Class C Notes at BBB (low) (sf) -- $21,160,000 Class D Notes at BB (low) (sf) The provisional credit ratings are based on the review by Morningstar DBRS of the following analytical considerations: (1) ClickLease LLC (ClickLease or the Company) provides micro-ticket financing in form of operating leases primarily focusing on sub-prime or near-prime commercial obligors. To evaluate the likelihood of default by an obligor and structure key financing terms, ClickLease's automated underwriting process utilizes an empirically derived proprietary risk tiering algorithm. The collateral for the CLICK 2024-1 transaction includes internally graded A, B, C, D, E, F and G credits, which are also classified and grouped by ClickLease as High Risk, Medium Risk and Low Risk depending on the type of financed equipment. Morningstar DBRS considered the impact from inclusion of the lower tiered and deemed "high risk" credits in its assumptions for the stressed cash flow scenarios. As of the Cut-Off Date of April 30, 2024, the collateral pool comprised obligors internally graded A, B, C, D, E, F and G, which accounted, respectively, for 6.51%, 15.55%, 32.17%. 35.74%, 7.67%, 1.41% and 0.96% of ADCB of Initial Leases. In addition, obligors classified as Low Risk, Medium Risk and High Risk accounted for 64.77%, 20.76% and 14.47% of ADCB, respectively. (2) The subordination, OC, cash held in the Reserve Account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the respective ratings for each class of the Notes. Under various stressed cash flow scenarios, the credit enhancement can withstand the expected loss using Morningstar DBRS multiples of 2.75 times (x) with respect to the Class A Notes and 2.10x, 1.50x, and 1.30x with respect to the Class B, C, and D Notes, respectively. CLICK 2024-1 relies on the expected loss coverage multiples for the Class A Notes, Class B Notes, Class C Notes, and Class D Notes that are below the Morningstar DBRS range of multiples set forth in the rating methodology for this asset class. Morningstar DBRS believes this is warranted, given the magnitude of expected cumulative net loss (CNL), company's focus on non-prime commercial credits, and structural features of the transaction. (3) The Morningstar DBRS used the expected cumulative net loss (CNL) assumption of 20.86% in its stressed cash flow scenarios, assessed using the actual static pool performance data for ClickLease. In addition to the overall managed portfolio data, Morningstar DBRS considered the historical quarterly static pool vintage cumulative gross loss (CGL), recovery and CNL performance by internally assigned credit grade as well as risk classification. Morningstar DBRS also reviewed the quarterly static pool vintage performance related to the leases secured by utility trailers. Morningstar DBRS' expected CNL assumption incorporates full credit to seasoning of the collateral pool, taking into account the relatively short original effective term of 43.81 months, substantial seasoning of collateral as of the Cut-Off Date of 10.46 months and the historical loss timing curve. (4) The transaction assumptions consider Morningstar DBRS baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (5) The collateral pool as of the Cut-Off Date did not contain any significant concentrations of obligors or geographies and comprised a diversified mix of equipment types with moderate concentrations in utility trailers (34.3% of ADCB) and industrial equipment (13.6%). Weighted average (WA) non-zero FICO of the guarantors as of the Cut-Off Date was 650, and the WA effective yield - 34.2%. (6) Aggregate discounted residual balance as of the Cut-Off Date was $19.9 million, or approximately 8.46% of the ADCB of collateral pool. Booked residuals are given only 45% (AA) to 75% (BB) credit in the Morningstar DBRS stressed cash flow scenarios. (7) ClickLease was founded and is led by industry veterans with many years of combined experience in equipment leasing and small business lending. On March 14, 2024, Morningstar DBRS conducted an operational risk onsite meeting with ClickLease and deemed the Company to be an acceptable originator and servicer of small-ticket lease contracts. Morningstar DBRS has reviewed Orion First Financial, LLC and believes it to be an acceptable backup servicer of the small-ticket equipment financing contracts. (8) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with ClickLease, and that the Indenture Trustee has a valid first-priority security interest in the assets. Morningstar DBRS also reviewed the transaction terms for consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. Morningstar DBRS credit ratings on the Class A Notes, Class B Notes, Class C Notes, and Class D Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Note Interest and the Outstanding Amount of each class of Notes. Morningstar DBRS credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the contractual payment obligations that are not financial obligations are the payments related to the Servicer Indemnified Amounts. Morningstar DBRS long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CMLS ISSUER 2014-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued by CMLS Issuer Corp., Series 2014-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class X at AA (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectation. The pool benefits from a healthy weighted-average (WA) debt service coverage ratio (DSCR), which was reported at 1.53 times (x) based on the most recent financials, compared with the issuance WA term DSCR of 1.39x. In addition, the transaction, continues to benefit from increased credit support to the bonds as a result of scheduled amortization and loan repayments, which has resulted in a collateral reduction of 44.9% since issuance. Most loans in the pool also benefit from some level of recourse to the sponsor and/or low-to-moderate loan-to-value (LTV) ratios that have only decreased, considering the amortizing nature of these loans. Morningstar DBRS anticipates the vast majority of remaining loans in the pool are generally well positioned to successfully repay at their respective maturity dates, all of which are upcoming prior to year-end (YE) 2024, further supporting the credit rating confirmations and Stable trends. As of the May 2024 remittance, 23 of the original 37 loans remain in the trust, with an aggregate principal balance of $156.5 million. The transaction is concentrated by property type, with loans backed by retail and mixed-use properties representing 38.5% and 17.2% of the current pool balance, respectively. The transaction is also concentrated by geography, with 15 loans, representing 70.3% of the current trust balance secured by properties in Ontario. There are no loans in special servicing. Ten loans, representing 41.4% of the pool balance are on the servicer's watchlist; however, only one of those loans, Spring Garden Place (Prospectus ID #5; 6.7% of the pool) is being monitored for performance-related reasons. The remaining nine loans are being monitored for upcoming maturity dates. The second-largest loan on the servicer's watchlist, Spring Garden Place, is secured by a five-storey, mixed-use office building in Halifax. The loan has been on the servicer's watchlist since 2017 for a low DSCR, which has been well below break-even since 2018. Challenges at the property began after the former largest tenant, The Bank of Nova Scotia (rated AA with a Stable trend by Morningstar DBRS), reduced its footprint to 5.3% of net rentable area (NRA) in 2019 from 24.1% of NRA at issuance. According to the servicer, the property's occupancy rate as of September 2023 was 83.3%, compared with 91.5% in April 2022 and 74.1% in March 2021. Per the most recent rent roll on file dated April 2022, the Province of Nova Scotia (rated A (high) with a Stable trend by Morningstar DBRS) was the largest tenant at the property, occupying 26.4% of NRA through five separate leases, with staggered expiration dates in 2023 and 2028. The drop in occupancy between April 2022 and September 2023 may be a result of the Province of Nova Scotia vacating a portion of its space at the property as leases rolled. Morningstar DBRS reached out to the servicer for a leasing update. Per CBRE's Q1 2024 Canada Office Report, office properties within Downtown Halifax reported average vacancy rates of 18.0%, relatively unchanged from the prior year's figure of 18.4%. Historically, net cash flow at the property was depressed because of the low occupancy rate; however, more recently, there has been an increase in expenses, namely repairs and maintenance. Despite sustained downward pressure on cash flows, the loan has remained current, suggesting the sponsor remains committed to the asset. Nonetheless, the loan is nonrecourse, a factor when combined with the low in-place cash flows, soft submarket fundamentals, and near-term maturity, suggests increased risks from issuance. As such, for this review, Morningstar DBRS analyzed this loan with an elevated probability of default penalty, resulting in an expected loss that was more than triple the WA pool expected loss. Notes: All figures are in Canadian dollars unless otherwise noted. COMM 2014-UBS3: Moody's Cuts Rating on Cl. C Certs to Ba2 --------------------------------------------------------- Moody's Ratings has affirmed the ratings on one class and downgraded the ratings on six classes in COMM 2014-UBS3 Mortgage Trust, Commercial Pass-Through Certificates, Series 2014-UBS3 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Jun 5, 2023 Affirmed Aaa (sf) Cl. A-M, Downgraded to Aa2 (sf); previously on Jun 5, 2023 Affirmed Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Jun 5, 2023 Downgraded to A2 (sf) Cl. C, Downgraded to Ba2 (sf); previously on Jun 5, 2023 Downgraded to Baa2 (sf) Cl. PEZ, Downgraded to Baa3 (sf); previously on Jun 5, 2023 Downgraded to A3 (sf) Cl. X-A*, Downgraded to Aa1 (sf); previously on Jun 5, 2023 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Baa3 (sf); previously on Jun 5, 2023 Downgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on Cl. A-4 was affirmed because of the credit support and the expected principal paydowns from the remaining loans in the pool. While 75.1% of the pool is in special servicing, Class Cl. A-4 has already paid down 59% since securitization and is now the most senior outstanding class and will benefit from payment priority from any principal paydowns. The ratings on three P&I classes, Cl. A-M, Cl. B, and Cl. C, were downgraded due to higher expected losses and increased risk of potential interest shortfalls driven by the significant exposure to loans in special servicing. All remaining loans are either in special servicing or have passed their original maturity dates. Furthermore, two of the specially serviced loans, (11.4% of the pool) are classified as REO, one of which has already recognized an appraisal reduction amount of 87% of the outstanding principal balance. As a result of the appraisal reductions and exposure to loans in special servicing, interest shortfalls currently impact up to Cl. C. Interest shortfalls may increase further if the remaining loans are unable to payoff, and loans either continue to be delinquent or experience further performance declines. The ratings on interest only (IO) classes, Cl. X-A and Cl. X-B, were downgraded due to the decline in the credit quality of their referenced classes. The rating on the exchangeable class, Cl. PEZ, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Cl. PEZ references classes Cl. A-M, Cl. B and Cl. C. Moody's rating action reflects a base expected loss of 26.4% of the current pooled balance, compared to 5.5% at Moody's last review. Moody's base expected loss plus realized losses is now 12.0% of the original pooled balance, compared to 5.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 75.1% of the pool is in special servicing. In this approach, Moody's determine a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the June 2024 distribution date, the transaction's aggregate certificate balance has decreased by 60% to $421 million from $1.05 billion at securitization. The certificates are collateralized by eight mortgage loans ranging in size from less than 5% to 25% of the pool. As of the June 2024 remittance report, all remaining loans are either in special servicing or have passed their original maturity dates. Six loans representing over 75.1% of the pool are in specially servicing, of which two special serviced loans (11.4% of the pool) are classified as REO. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $15.5 million (for an average loss severity of 69.3%). The largest specially serviced loan is the State Farm Portfolio Loan ($100.0 million – 23.7% of the pool), which represents a pari-passu portion of a $383.5 million mortgage loan. There is also $86 million of mezzanine financing. The loan is secured by fee simple interests in 14 suburban office properties across 11 states. At securitization, all the properties were 100% leased and occupied by State Farm pursuant to individual leases executed by State Farm in November 2013. All leases have a 15-year terms and run until November 2028, except the leases for Greeley South property and the Greeley North property, which have a 10-year term and 5-year term, respectively. The loan is structured with an Anticipated Repayment Date ("ARD") structure, whereby if the loan is not repaid in full by April 6, 2024, all excess cash flow after debt service will be swept and applied to pay down principal, which is now in effect. It is reported that State Farm has vacated all of the properties and offered up many of the locations for sublease. State Farm has no lease termination rights and has to continued to pay rent and perform its obligations under the lease. In September 2023, the loan transferred to special servicing due to non-monetary default ahead of the maturity date. The borrower and lender are currently in discussions regarding potential outcomes. As of the June 2024 remittance, the loan was last paid through April 2024. The second largest specially serviced loan is the Equitable Plaza Loan ($87.1 million -- 20.7% of the pool), which is secured by a 32-story, office building located in the Koreatown neighborhood of Los Angeles, California. The largest tenant, The County of Los Angeles (10% of NRA) vacated during 2018, however, a number of new leases were signed during that year, largely offsetting the decline in occupancy. The property was 57% occupied as of September 2023, compared to 66% in September 2022, 82% in December 2020, and 87% in September 2017. The largest tenant at the property, Commonwealth Business Bank (5% of NRA) has a lease expiring in November 2024. The loan transferred to special servicing in April 2024 due to imminent default as the borrower indicated that they will not be able to pay off the loan at the maturity date. A hard lockbox is in place with springing cash management due to the NOI DSCR falling below 1.20X. As of the June 2024 remittance, the loan was last paid through April 2024, and has amortized by 8.2% since securitization. The third largest specially serviced loan is the Southfield Town Center Loan ($70.4 million – 16.7% of the pool), which represents a pari-passu portion of a $125.0 million mortgage loan. The complex consists of five office buildings totaling 2,152,344 square feet (SF) of aggregate rentable area. The loan transferred to special servicing in February 2024 due to imminent default ahead of the May 2024 maturity date. The occupancy declined to 77% in December 2023, compared to 80% in December 2021, and 67% at securitization. The servicer dual tracking foreclosure while discussing potential workout options. As of the June 2024 remittance, the loan was last paid through April 2024, and has amortized by 12.1% since securitization. The fourth largest specially serviced loan is the 1100 Superior Avenue Loan ($45.1 million – 10.6% of the pool), which is secured by a 576,766 square feet (SF) 22-story Class A office tower in Cleveland, Ohio. The loan transferred to special servicing in June 2021 due to payment default. The borrower indicated that they could no longer maintain debt service payments due to declines in occupancy. As of December 2023, the property was 59% leased compared to 73% in June 2022, and 90% at securitization. The most recent appraisal from August 2023 valued the property 76% lower than the value at securitization. A deed-in-lieu was finalized in January 2023, and the property is now actively being marketed for sale. As of June remittance, the loan has amortized by 14.1% and was last paid through March 2022. The fifth largest loan in special servicing is the Holiday Inn Express & Suites Santa Cruz Loan ($11.1million -- 2.6% of the pool), which is secured by a 100-key limited service hotel located in Santa Cruz, California. The loan transferred to special servicing in May 2024 due to maturity default. While property performance has improved since 2020, the cash flow is still below securitization levels. As of the June 2024 remittance, the loan has amortized by 11.9% and was last paid through April 2024. The sixth largest loan in special servicing is the Executive Center IV Loan ($3.1 million – 0.7% of the pool), which is secured by a three-story, Class B office building located in Brookfield, Wisconsin. The property was 16% leased as of December 2022, compared to 65% in December 2021 and 88% at securitization. As of the June 2024 remittance, the loan was REO. Moody's estimate an aggregate $94.4 million (30% expected loss on average) loss for the specially serviced loans. As of the June 2024 remittance statement cumulative interest shortfalls were $4.6 million. Moody's anticipate interest shortfalls will continue and may increase because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest loan not in special servicing is the Bronx Terminal Market Loan ($105.0 million – 24.9% of the pool), which represents a pari passu portion of $380.0 million mortgage loan. The loan is secured by the borrower's leasehold interest in a 912,333 SF anchored retail power center located in Bronx, New York. The property is anchored by Target, BJs and Home Depot. The property is subject to a ground lease which expires in September 2055. The fourth largest tenant, Toys "R" Us / Babies "R" Us closed following its bankruptcy in 2018. In the spring of 2019 Food Bazaar Supermarket backfilled the former Toys R Us space. As of December 2023, occupancy was 92%, compared to 98% in December 2022, 99% in December 2019 and 99% at securitization. Bed Bath and Beyond vacated in March 2020, and Michaels vacated prior to lease expiration in August 2023. Marshalls, (4.1% of NRA) vacated in January 2024, approximately eight months prior to lease expiration. LIDL is expected to open in late 2024 at the property. The loan is currently on the watchlist and the borrower and primary servicer are working on potential forbearance. CPS AUTO 2024-C: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the classes of notes to be issued by CPS Auto Receivables Trust 2024-C (the Issuer) as follows: -- $197,340,000 Class A Notes at AAA (sf) -- $58,420,000 Class B Notes at AA (sf) -- $74,980,000 Class C Notes at A (sf) -- $44,390,000 Class D Notes at BBB (sf) -- $61,180,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The Series 2024-C will not include a CNL trigger. -- The Series 2024-C will include a prefunding feature. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The Morningstar DBRS CNL assumption is 19.60% based on the Cutoff Date pool composition. -- The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) The capabilities of CPS with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of CPS and considers the Company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, managing the Company through multiple economic cycles. (5) The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. (6) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS's “Legal Criteria for U.S. Structured Finance.” CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 58.10% of initial hard credit enhancement provided by the subordinated notes in the pool (51.95%), the reserve account (1.00%), and OC (5.15%). The ratings on the Class B, C, D, and E Notes reflect 45.40%, 29.10%, 19.45%, and 6.15% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any Noteholders' Interest Carryover Shortfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CROWN CITY VI: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Crown City CLO VI/Crown City CLO VI 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 Western Asset Management Co. LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Crown City CLO VI/Crown City CLO VI LLC Class X, $1.50 million: AAA (sf) Class A-1, $248.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $10.00 million: BB- (sf) Subordinated notes, $40.50 million: Not rated CSAIL 2015-C1: DBRS Confirms B(low) Rating on Class F Debt ---------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C1 issued by CSAIL 2015-C1 Commercial Mortgage Trust as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) Morningstar DBRS changed the trends on Classes D, E, F, X-D, X-E, and X-F to Negative from Stable. All other trends are Stable. The credit rating confirmations reflect the continued overall stable performance of a majority of the loans in the pool, which remain in line with expectations at issuance. The transaction benefits from high defeasance, as 29 loans, representing 28.3% of the pool, have been fully defeased. The pool is well diversified by property type with lodging, retail, and office properties comprising 24.4%, 24.4%, and 11.4% of the pool, respectively. As of the May 2024 remittance, 72 of the original 82 loans remain in the pool, representing a collateral reduction of 19.0% since issuance. Since the last credit rating action, one loan was liquidated from the trust. Although this loan was liquidated with a slightly higher than expected loss, the trust loss was fully contained to the unrated Class NR. As of the May 2024 remittance, approximately 56.3% of the original Class NR balance has been eroded. The Negative trends on Classes F and X-F reflect the deterioration of credit support as a result of the $32.5 million in realized trust losses to date, in addition to Morningstar DBRS' projected losses on the only loan in special servicing, Bayshore Mall (Prospectus ID#14, 2.1% of the pool). In addition to this credit erosion, the Negative trends on Classes D, E, X-D, and X-E reflect Morningstar DBRS' concerns regarding increased refinance risk for a moderately high concentration of loans. All of the outstanding loans in the pool are schedule to mature within the next 12 months. While Morningstar DBRS expects the majority of these loans will repay, 10 loans representing 26.4% of the pool were identified as being at increased risk of maturity default given declines in performance and/or weak credit metrics. To reflect the increased risk, Morningstar DBRS analyzed these loans with stressed loan-to-value ratios (LTV) and/or probabilities of default (PODs) to increase their expected losses (ELs) as applicable. Should these or other loans default, or should performance for distressed assets deteriorate further, Morningstar DBRS' projected losses for the pool may increase, and Classes with Negative trends may be subject to downgrades. The only loan in special servicing is Bayshore Mall (Prospectus ID#14, 2.1% of the pool), which is secured by a 515,912-sf regional mall in Eureka, California. The loan transferred to the special servicer in October 2020; however, the loan was subsequently brought current in July 2022 and remains current as of the May 2024 remittance. Occupancy has declined since issuance following the departure of several tenants, including collateral anchor Sears, which vacated in November 2019. As of the December 2023 rent roll, the property was reported 62.9% occupied. The largest collateral tenants include anchors Walmart (14.2% of the net rentable area (NRA), lease expiry in June 2027) and Sportsman Warehouse (5.5% of the NRA, lease expiry in June 2027). There is also a noncollateral Kohl's at the property on a lease through February 2028. There is a large concentration of rollover over the next 12 months, with leases representing 24.9% of the NRA scheduled to expire. According to the servicer, renewals totaling 4.3% of the NRA have been approved. In addition to the negative trends in occupancy, the net cash flow (NCF) and tenant sales have also declined over the past several years. Since the loan's initial transfer to the special servicer, several updated appraisals have been completed, with the most recent appraisal, dated February 2022, valuing the property at $39.4 million, representing a -42.9% variance from the $69.0 million appraised valuation at issuance. As a result of the prolonged Sears vacancy, declines in occupancy, high rollover, and low operating performance, Morningstar DBRS liquidated the loan from the pool, based on a haircut to the February 2020 appraised value, resulting in a loss severity approaching 30%. Two loans that Morningstar DBRS has identified at risk of maturity default are Westfield Trumbull (Prospectus ID#4, 7.9% of the current pool balance) and Westfield Wheaton (Prospectus ID#5, 4.3% of the current pool balance). Both loans are pari passu with notes securitized in the CSAIL 2015-C2 and CSAIL 2015-C3 transactions, which are also rated by Morningstar DBRS. Westfield Trumbull is secured by 462,869 sf of a 1.1 million-sf regional mall in Trumbull, Connecticut. The collateral includes the Macy's (18.8% of NRA, lease expired in April 2023¿the store remains open and the servicer's commentary has stated a five-year renewal is in process) anchor pad and all in-line space. While the loan is not on the servicer's watchlist in this transaction as with CSAIL 2015-C2, the controlling piece securitized in the CSAIL 2015-C3 transaction reported that this loan was added to the servicer's watchlist in March 2022 for cash management as a result of a low debt service coverage ratio (DSCR). A lockbox was established after the loan's debt yield fell below 7.5% and, according to servicer commentary, approximately $845,500 had been trapped as of May 2024. As noted in previous credit rating actions, the sponsor, Unibail-Rodamco-Westfield (URW), had indicated its intention to dispose all its retail assets within the U.S. by the end of 2023, as per various media articles. In December 2022, the subject and another mall owned by URW were sold to Mason Asset Management and Namdar Realty Group for a combined sale price of $196.0 million. As part of that transaction, the subject's debt was assumed. According to the servicer, the subject's sale price was reportedly $153.3 million, a 41.5% decline from the issuance value of $262.0 million, resulting in an implied LTV of just under 100.0%. As per the December 2023 rent roll, occupancy was reported at 93.7%, with all collateral tenants, excluding Macy's, representing less than 4.0% of the NRA. Additional noncollateral anchors in JCPenney and Target are open, and one noncollateral pad that was previously occupied by Lord & Taylor is now vacant. As per the most recent financial reporting, the loan reported a YE2023 DSCR of 2.23 times (x) (NCF of $13.1 million). While performance has shown improvement since the acquisition, Morningstar DBRS notes the precipitous decline in cash flows from issuance and the significant deterioration in value, suggesting elevated refinance risk at the loan's maturity in March 2025. In the analysis for this loan, Morningstar DBRS used a stressed value that indicated an LTV approaching 200.0% and a POD penalty, resulting in an EL that is more than 3x the pool's average EL. Westfield Wheaton is secured by a 1.6 million-sf super-regional mall in Wheaton, Maryland. The loan was previously on the servicer's watchlist due to delinquent taxes; however, the master servicer has confirmed that the tax payments have been fulfilled as of March 2024, and the loan has since been removed. Performance remains generally insulated; however, as of December 2023, the subject was 84.0% occupied, representing a moderate decline from the 97.3% occupancy rate at YE2022 and 92.6% occupancy rate at issuance. The DSCR during the same time periods was reported at 2.02x, 2.28x, and 2.43x, respectively. While the subject loan remains a part of URW's portfolio as of May 2024, Morningstar DBRS notes the increased uncertainty surrounding this loan's refinancing prospects, given the sponsor's lack of commitment for the future as evidenced by its sale of the Westfield Trumbull loan. Although Westfield Wheaton poses no imminent monetary concerns, the subject may face a value decline from issuance when it is ultimately paid out from the trust. In its analysis for this loan, Morningstar DBRS used a stressed value that indicated an LTV ratio of approximately 150.0% and a POD penalty, resulting in an EL more than 2x the pool's average EL. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC TRUST 2014-USA: Moody's Lowers Rating on Cl. C Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes of CSMC Trust 2014-USA, Commercial Mortgage Pass-Through Certificates, Series 2014-USA as follows: Cl. A-1, Downgraded to Aa3 (sf); previously on Aug 25, 2020 Affirmed Aaa (sf) Cl. A-2, Downgraded to Aa3 (sf); previously on Aug 25, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on Aug 25, 2020 Affirmed Aa1 (sf) Cl. C, Downgraded to Ba1 (sf); previously on Aug 25, 2020 Downgraded to A3 (sf) Cl. X-1*, Downgraded to Aa3 (sf); previously on Aug 25, 2020 Affirmed Aaa (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on four P&I classes were downgraded due an increase in Moody's LTV ratio and the heightened refinance risk ahead of the loan's September 2025 maturity date as a result of the property's cash flow trends, the higher interest rate environment and the accumulation of loan advances. As of the June 2024 distribution date, the loan was last paid through its April 2024 payment date and there are approximately $70 million (5% of loan balance) of outstanding advances (inclusive of P&I and T&I advances, other expenses and cumulative accrued unpaid advance interest outstanding). This fixed (4.38%) rate loan has been in special servicing since May 2020 and the property has been generating enough cash flow to service its debt and make periodic repayments on outstanding advances, potentially limiting the need for future advances; however, the lack of significant excess cash flow after payment of debt service may result in the current advances to remain outstanding through the loan's maturity date. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries. The rating on the interest only (IO) class was downgraded based on the credit quality of the referenced classes. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and trophy/dominant nature of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan, an increase in realized and expected losses or increased interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the June 17, 2024 distribution date, the transaction's certificate balance was $1.39 billion compared to $1.40 billion at securitization. The certificates are collateralized by an original 11-year term loan with a fixed interest rate of 4.38% and maturity date in September 2025. The loan is secured by a first lien mortgage related to the Mall of America located in the Minneapolis/St. Paul trade area and has been in special servicing May 2020 after initially transferring due to coronavirus related closures. As of the June 2024 distribution date, the loan was last paid through its April 2024 payment date and there is approximately $70 million (5% of loan balance) of P&I advances, other expenses, T&I advances plus cumulative accrued unpaid advance interest outstanding. The Mall of America loan is secured by the Borrower's fee simple and leasehold interests in approximately 2.64 million square feet (SF) contained within a 2.82 million SF, four-level super-regional mall. The property has over 300 inline tenants and anchors such as Nordstrom and Macy's, together with the 302,969 SF Nickelodeon Universe theme park and B&B Theatres Bloomington 13 at Mall of America. The collateral for the loan includes the pad site ground leased to Sears, however, Sears closed its store at this location in late 2018 as part of its bankruptcy announcement. The sponsor, Triple Five Investment, Ltd., has historically demonstrated a track record of creating and re-developing non-functional space into income-producing net rentable area. As of year-end 2023, the total mall occupancy was 90% and historical occupancy has ranged between 87% and 93% since securitization. The property's historical net operating income (NOI) have ranged between a $80 million (2021) and $95 million (2022) since securitization. The 2023 NOI was $82 million having declined from that of 2022 due to both lower revenues and higher expenses. The loan benefits from its low fixed interest rate and the property's cash flow is sufficient to cover its debt service obligations and periodically paydown a portion of the outstanding advances; however, given the property's NOI and necessary capital expenditures it is unlikely that the aggregate advances of $70 million is paid down significantly prior to its maturity in 2025. Moody's loan to value (LTV) for the first mortgage ratio is 131%, compared to 119% at last review and reflects an increase in Moody's cap rate from 7.25% to 8.00%. Moody's trust stressed debt service coverage ratio (DSCR) remains at 0.66X the same as the last review. There are no losses outstanding as of the current payment date with an interest shortfall of $573 affecting Cl. F. DBWF 2015-LCM: S&P Lowers Class F Certs Rating to 'B- (sf)' ----------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from DBWF 2015-LCM Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on five classes from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by a portion of an 11-year, fixed-rate, amortizing mortgage whole loan, which is secured by the borrower's fee simple and leasehold interests in Lakewood Center, a 2.07 million-sq.-ft. regional mall in Lakewood, Calif. The borrowers own all the land and most of the improvements, except for the Costco (166,718 sq.-ft.), Wells Fargo (5,000 sq.-ft.), and Applebee's (5,929 sq.-ft.) spaces. Costco, Wells Fargo, and Applebee's own their improvements and pay ground rent to the borrowers. Rating Actions The downgrades on the class D, E, and F certificates reflect: -- S&P's view of the borrower's ability to refinance the loan at its June 2026 maturity date, and the lack of meaningful improvement in the property's net cash flow (NCF) since its last review in October 2020. The loan has a reported 1.35x debt service coverage (DSC) as of March 2024, however the existing 3.432% fixed mortgage interest rate is well below prevailing rates for retail properties. -- S&P's expected-case valuation is 13.8% lower than the valuation it derived at its last review, primarily due to reported decreases in NCF and the increased risks regarding the borrower's ability to refinance the loan due to current market conditions for the collateral property. -- The affirmation on the class B certificates, despite the higher model-indicated rating, primarily reflects S&P's view that the super-regional mall has underperformed our expectations since the COVID-19 pandemic. Additionally, the impact of its revised lower valuation was offset by the amortization of the loan to $329.5 million from $365.4 million at last review. -- S&P's affirmations on the class X-A interest-only (IO) certificates are based on its criteria for rating IO securities, in which the rating on an IO security would not be higher than that of the lowest rated reference class. The class X-A notional amount references class A-1. S&P said, "In October 2020, we lowered our expected-case valuation on the transaction by 13.0%, largely due to the application of a higher S&P Global Ratings capitalization rate, which we believed better captured the challenges the mall and the retail sector faced at the time. The mall had in-line sales of about $419 per sq. ft. (based on the March 2020 tenant sales report) and an occupancy cost of 13.8%, as calculated by S&P Global Ratings. Using the S&P Global Ratings sustainable NCF of $31.0 million (the same as at issuance and the previous review in January 2018) and applying a capitalization rate of 7.75% (up from 6.75% in the January 2018 review and at issuance), we arrived at an S&P Global Ratings expected case value of $399.9 million ($210 per sq. ft.) for the collateral property. This yielded an S&P Global Ratings loan-to-value ratio of 91.4% and a DSC of 1.41x on the whole loan, based on S&P Global Ratings' sustainable NCF. "According to the March 31, 2024, rent roll, the collateral property was 93.9% occupied. The servicer reported NCFs of $20.9 million for the nine months ended September 2023 and $28.7 million for 2022. Using tenant sales report provided by the servicer for the trailing-12-months ended March 31, 2024, we calculated in-line sales of $356 per sq. ft. and an occupancy cost of 10.6%. In our current property-level analysis, we assumed an occupancy rate of 80.4%, based on our assumption that the J.C. Penney (lease expiration in May 2025) and Forever 21 (lease expiration January 2025) spaces are vacant, given the tenants' credit concerns. "However, based on the March 2024 rent roll, Forever 21 does not pay any rent and J.C. Penney pays marginal base rent; and, therefore, both have marginal impact on the property cash flow. Using an S&P Global Ratings gross rent of $21.4 per sq. ft. and an operating expense ratio of 32.6%, we arrive at an S&P Global Ratings long-term sustainable NCF of $26.7 million, which is 13.8% lower than our NCF of $31.0 million as of our October 2020 review. Using an S&P Global Ratings capitalization rate of 7.75%, which is unchanged from our last review, we derived an S&P Global Ratings expected-case value of $344.5 million, which is 13.8% below our October 2020 review and 45.3% below the 2015 market appraisal value of $630.0 million. "We will continue to monitor the property's tenancy and performance, as well as the borrower's ability to refinance the loan at its June 2026 maturity date. We may revisit our analysis and take further rating actions as we deem appropriate if we receive information that differs materially from our expectations, such as reported negative changes in the property performance beyond what we've already considered, or if the loan transfers to special servicing and the workout strategy negatively affects the transaction's liquidity and recovery." Property-Level Analysis Lakewood Center is a two-story, enclosed 2.07 million-sq.-ft. super-regional mall in Lakewood, Calif. The mall was built in 1973. The mall is in Lakewood, which is approximately 20 miles southeast of downtown Los Angeles and approximately 10 miles northeast of Downtown Long Beach. It is anchored by Macy's (362,852 sq. ft.), Costco (ground lease; 166,718 sq. ft.), J.C. Penney (162,690 sq. ft.), Target (160,058 sq. ft.), Home Depot (133,029 sq. ft.), and Starlight Cinemas (90,944 sq. ft.). In July 2023, Starlight Cinemas backfilled the Pacific Lakewood Center Stadium Theater space, which closed during the pandemic. The servicer has reported stable occupancy and NCF for the past four years: 93.9% (according to the March 31, 2024, rent roll) and $20.9 million (as of Sept. 30, 2023), respectively; 91.2% and $28.7 million in 2022; 90.1% and $26.8 million in 2021; and 94.2% and $29.3 million in 2020. However, these figures are still below the pre-pandemic levels of 99.0% and $36.2 million in 2019. The five largest tenants comprise 48.1% of the collateral's net rentable area (NRA; as of the March 2024 rent roll): -- Macy's (19.2% of NRA; 0.2% of base rent as calculated by S&P Global Ratings; June 2030 lease expiration). -- J.C. Penney (8.6%; considered as non-income generating by S&P Global Ratings; May 2025). -- Target (8.5%; 0.8%; January 2035). -- Home Depot (7.0%; 3.9%; January 2031). -- Starlight Cinemas (4.8%; 0.9%; May 2024). It is unknown at this time if the lease will be extended, but, but based on our research, they remain open at the mall. -- The property faces staggered rollover in 2024 (12.1% of NRA; 14.7% of S&P Global Ratings' in-place gross rent), 2025 (5.6%; 18.5%), 2026 (6.1%; 9.4%), and 2027 (6.2%; 13.6%). Table 1 shows the property's historical performance, and table 2 shows our underlying NCF and value assumptions. Table 1 Servicer reported collateral performance SEPTEMBER 2023(I) 2022(I) 2021(I) Occupancy rate (%) 95.3(ii) 91.2 91.0 Net cash flow (mil. $) 20.9 28.7 26.7 Debt service coverage (x) 1.24 1.31 1.23 Appraisal value (mil. $) 630.0 630.0 630.0 (i)Reporting period. (ii)Based on the Dec. 25, 2023, rent roll. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (JULY 2024)(I) (OCTOBER 2020)(I) (JUNE 2015)(I) Occupancy rate (%) 80.4 81.0 98.4 Net cash flow (mil. $) 26.7 31.0 31.0 Capitalization rate (%)7.75 7.75 6.75 Value (mil. $) 344.5 399.9 459.6 Value per sq. ft. ($) 182.0 210.0 243.0 Loan-to-value ratio (%)95.6 91.4 89.2 (i)Review period. Transaction Summary The 11-year, IO mortgage loan has a trust balance of $249.8 million and a whole loan balance of $329.5 million, down from $290.0 million and $410.0 million, respectively, at issuance; and from $267.7 million and $365.4 million as of our October 2020 review. The whole loan consists of: -- A $79.7 million senior A note that is in the trust, -- A $79.7 million senior A note that is held outside the trust, and -- Two junior B notes totaling $170.0 million that are in the trust. -- The two A notes ($159.5 million combined) are pari passu in the right of payment with each other and senior to the junior B notes. The whole loan amortizes based on a 30-year schedule, pays an annual fixed interest rate of 3.43%, and matures on June 1, 2026. According to the master servicer, Wells Fargo Bank N.A., the trust has not incurred any principal losses to date. Ratings Lowered DBWF 2015-LCM Mortgage Trust Class D to 'BB+ (sf)' from 'BBB- (sf)' Class E to 'B (sf)' from 'B+ (sf)' Class F to 'B- (sf)' from 'B (sf)' Ratings Affirmed DBWF 2015-LCM Mortgage Trust Class A-1: AAA (sf) Class A-2: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class X-A: AAA (sf) ELMWOOD CLO VI: S&P Assigns B- (sf) Rating on Class F-RR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, E-RR, and F-RR replacement debt and the new class D-1-RR and D-2-RR debt from Elmwood CLO VI Ltd./Elmwood CLO VI LLC, a CLO originally issued in October 2020 that is managed by Elmwood Asset Management LLC. At the same time, S&P withdrew its ratings on the original class A-R, B-R, C-R, D-R, E-R, and F-R 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 July 18, 2037, from Oct. 20, 2034, to match the stated maturity on the new refinancing debt. -- The reinvestment period was extended to July 18, 2029, from Oct. 20, 2026. -- The non-call period was extended to July 2, 2026, from Jan. 20, 2023. -- The replacement class A-RR, B-RR, C-RR, and E-RR debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The original class D-R debt was replaced by two new classes: D-1-RR and D-2-RR. -- The replacement class F-RR debt was issued at a higher spread over three-month CME term SOFR than the original class F-R debt. Replacement And Original Debt Issuances Replacement debt -- Class A-RR, $384.000 million: Three-month CME term SOFR + 1.38% -- Class B-RR, $72.000 million: Three-month CME term SOFR + 1.70% -- Class C-RR (deferrable), $36.000 million: Three-month CME term SOFR + 2.05% -- Class D-1-RR (deferrable), $36.000 million: Three-month CME term SOFR + 3.10% -- Class D-2-RR (deferrable), $6.000 million: Three-month CME term SOFR + 4.35% -- Class E-RR (deferrable), $18.000 million: Three-month CME term SOFR + 5.90% -- Class F-RR (deferrable), $9.000 million: Three-month CME term SOFR + 8.30% Original debt -- Class A-R, $378.000 million: Three-month CME term SOFR + 1.4216% -- Class B-R, $78.000 million: Three-month CME term SOFR + 1.9116% -- Class C-R (deferrable), $36.000 million: Three-month CME term SOFR + 2.3116% -- Class D-R (deferrable), $36.000 million: Three-month CME term SOFR + 3.3616% -- Class E-R (deferrable), $24.000 million: Three-month CME term SOFR + 6.7616% -- Class F-R (deferrable), $9.000 million: Three-month CME term SOFR + 8.0116% -- Subordinated notes, $47.00 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and 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 Elmwood CLO VI Ltd./Elmwood CLO VI LLC Class A-RR, $384.00 million: AAA (sf) Class B-RR, $72.00 million: AA (sf) Class C-RR (deferrable), $36.00 million: A (sf) Class D-1-RR (deferrable), $36.00 million: BBB- (sf) Class D-2-RR (deferrable), $6.00 million: BBB- (sf) Class E-RR (deferrable), $18.00 million: BB- (sf) Class F-RR (deferrable), $9.00 million: B- (sf) Ratings Withdrawn Elmwood CLO VI Ltd./Elmwood CLO VI LLC Class A-R to NR from 'AAA(sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB-(sf)' Class E-R to NR from 'BB-(sf)' Class F-R to NR from 'B-(sf)' Other Debt Elmwood CLO VI Ltd./Elmwood CLO VI LLC Subordinated notes, $47.00 million: NR NR--Not rated. FLAGSHIP CREDIT 2022-2: DBRS Cuts Class E Notes Rating to B ----------------------------------------------------------- DBRS, Inc. downgraded its credit rating on the Class E Notes issued by Flagship Credit Auto Trust 2022-2 to B (sf) from BB (sf). The credit rating action is based on the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- As of the May 2024 payment date, Flagship Credit Auto Trust 2022-2 has amortized to a pool factor of 48.05%, and has current cumulative net losses (CNLs) to date of 12.77%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.60%. -- Because of the weaker-than-expected performance, Morningstar DBRS has revised the base-case loss expectation to 19.00%. As a result, the current level of hard credit enhancement (CE) and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating has been downgraded to a rating level commensurate with the current implied multiple. -- As of the May 2024 payment date, the current overcollateralization amount is 0.65% relative to the target of 7.25% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account (RA) of 1.05% of the initial aggregate pool balance. As the transaction amortizes, the RA percentage will increase as it will represent a larger portion of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. FLAGSHIP CREDIT 2022-2: S&P Lowers Class E Notes Rating to CCC(sf) ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes of notes and affirmed its ratings on two classes of notes from Flagship Credit Auto Trust 2022-2 (FCAT 2022-2). This is an ABS transaction backed by subprime retail auto loans originated by Flagship Credit Acceptance LLC (Flagship) and CarFinance Capital LLC and serviced by Flagship. The rating actions reflect: -- The transaction's collateral performance to date; -- S&P's remaining cumulative net loss (CNL) expectations regarding future collateral performance and the transaction's structure and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, and S&P's most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. S&P said, "Since our rating action on Feb. 5, 2024, the transaction's collateral performance continues to trend worse than our previously revised CNL expectation. Cumulative gross losses are notably higher, which, coupled with lower cumulative recoveries, resulted in an elevated CNL. Excess spread has largely been used to cover net losses, leaving little or no funds available to build the transaction's overcollateralization amount. Due to the sustained and elevated losses within the last four months, the series, which never reached its target overcollateralization, has now completely exhausted its overcollateralization amount as of the June 2024 distribution date. Additionally, according to our assessment of the series servicing report, to ensure parity between the series notes and collateral amount, approximately $258,620 should have been drawn from the reserve account. As such, the reserve should be below its target amount." Table 1 FCAT 2022-2 Collateral performance (%)(i) Pool 60+ day Series Mo. factor delinq. Ext. CGL CRR CNL 2022-2 25 46.26 9.43 3.87 21.63 38.16 13.37 (i)As of the June 2024 distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL—Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2a FCAT 2022-2 Overcollateralization summary(i) Current Target Series (%)(ii) (%)(iii) Current ($) Target ($) 2022-2 0.00 7.25 0.00 20,459,083 (i)As of the June 2024 distribution date. (ii)Percentage of the current collateral pool balance. (iii)The overcollateralization target on any distribution date is equal to the greater of the target percentage of the current pool balance and 1.00% of the initial pool balance. Table 2b FCAT 2022-2 Reserve summary(i) Current Target Series (%)(ii) (%)(iii) Current ($) Target ($) 2022-2 2.18 1.05 6,147,121 6,405,741 (i)As of the June 2024 distribution date. (ii)Percentage of the current collateral pool balance. (iii)The reserve target on any distribution date is equal to 1.05% of the initial pool balance. In view of the transaction's performance to date, coupled with continued adverse economic headwinds and weaker recovery rates, we revised and raised our expected CNL for FCAT 2022-2. Table 3 CNL expectations (%) Original lifetime Previous revised Current revised Series CNL exp. lifetime CNL exp. lifetime CNL exp. 2022-2 11.50-12.00 19.50(i) 22.00(ii) (i)Revised in February 2024. (ii)As of the June 2024 distribution date. CNL exp.--Cumulative net loss expectations. The transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes except the lowest-rated subordinate class E. The transaction also has credit enhancement in the form of a non-amortizing reserve account and excess spread. The exhaustion of the overcollateralization and the decline in the reserve amount negatively impacted and lowered the hard credit enhancement for class E. If the series continues to experience losses at an elevated pace, as it has in recent months, it is at a high risk of exhausting its reserve amount over the next four to six months. If this occurs, class E is most immediately at risk, but classes D and C are not without further potential implications. Table 4 Hard credit support(i) Total hard Current total hard credit support at credit support Series Class issuance (%) (% of current)(ii) 2022-2 A-3 34.85 71.68 2022-2 B 27.45 55.68 2022-2 C 17.35 33.85 2022-2 D 9.25 16.34 2022-2 E 2.70 2.18 (i)Calculated as a percentage of the total receivable pool balance, which consists of a reserve account and overcollateralization. Excludes excess spread that can also provide additional enhancement. (ii)As of the collection period ended May 31, 2024. S&P said, "We incorporated a cash flow analysis to assess the loss coverage levels for the notes, giving credit to stressed excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transaction's performance. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "In our view, the results demonstrated that the classes all have credit enhancement consistent with the lowered and affirmed rating levels, which is based on our analysis as of the collection period ended May 31, 2024 (the June 2024 distribution date). "We will continue to monitor the performance of the transaction to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each rated class." RATINGS LOWERED Flagship Credit Auto Trust 2022-2 Rating Class To From C A- (sf) A (sf) D B (sf) BB (sf) E CCC (sf) B- (sf) RATINGS AFFIRMED Flagship Credit Auto Trust 2022-2 Class Rating A-3 AAA (sf) B AA+ (sf) FORTRESS CREDIT XV: Moody's Gives Ba3 Rating to $12.8MM E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Fortress Credit BSL XV Limited (the "Issuer"). Moody's rating action is as follows: US$248,000,000 Class A-R Senior Secured Floating Rate Notes due 2033 (the "Class A-R Notes"), Assigned Aaa (sf) US$12,800,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class E-R Notes"), Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. FC BSL CLO Manager LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes and the other three classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the Refinancing Notes' non-call period; changes to the matrix and related terms; and changes to the definition of "Aggregate Ramp-Up Par Amount". Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $384,921,391 Defaulted par: $4,378,317 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3252 Weighted Average Spread (WAS): 4.00% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 5.4 years Moody's also considered the information in the June 2024 trustee report[1] which became available prior to the release of this announcement. In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. GOLDENTREE LOAN 21: Fitch Assigns 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 21, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 21, Ltd. X LT NRsf New Rating A LT AAAsf New Rating A-J LT AAAsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY GoldenTree Loan Management US CLO 21, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.9, versus a maximum covenant, in accordance with the initial expected matrix point, of 26.7. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.83% versus a minimum covenant, in accordance with the initial expected matrix point, of 73.5%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to those of other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A notes, between 'BBBsf' and 'AA+sf' for class A-J notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D notes, between less than 'B-sf' and 'BB+sf' for class D-J notes, between less than 'B-sf' and 'BBsf' for class E 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 and class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C notes, 'A+sf' for class D notes, 'A+sf' for class D-J notes, 'BBB+sf' for class E notes, and 'BBBsf' 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 GoldenTree Loan Management US CLO 21, 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. GPMT LTD 2021-FL3: DBRS Confirms B(low) Rating on Class G Notes --------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of notes issued by GPMT 2021-FL3, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) The trends on all classes are Stable except for the trends on Classes E, F, and G, which were changed to Negative from Stable with this rating action. Morningstar DBRS changed the trends on these classes to reflect increased loss expectations for the pool, primarily driven by the three loans in special servicing, which represent 19.9% of the current trust balance. Additionally, Morningstar DBRS identified a select number of non-specially serviced loans with reported values that may be inflated as the majority of the individual property appraisals were completed in 2021 or 2022 and may not reflect the current rising interest rate or widening capitalization rate (cap rate) environment. In the analysis for this review, Morningstar DBRS applied upward loan-to-value (LTV) and/or probability of default (POD) adjustments for a total of 11 loans, which represent 69.6% of the current trust balance. The largest loan in the pool, Times Square West, representing 14.0% of the current trust balance, is secured by an office building with ground-level retail located in the Times Square submarket of Midtown Manhattan. The loan, which transferred to special servicing in May 2024 for maturity default, has been modified several times since issuance because of disruptions with its business plan. The most recent modification, which occurred in May 2023, extended the loan maturity to May 2024. Despite this, the loan's performance outlook is bleak as the property's office portion remains completely vacant and the overall occupancy rate is only 11.6% as of the March 2024 rent roll. Morningstar DBRS views the credit risk for this asset as materially increased from closing given the lack of performance improvement combined with the leasing and financing challenges currently facing the office sector. The property was appraised for $105.0 million at issuance, implying an issuance LTV of 65.5%. While an updated appraisal has not been received, Morningstar DBRS believes the asset's current market value has declined further with an LTV in excess of 100.0%. Morningstar DBRS also increased the loan's POD in the current analysis, making its expected loss (EL) approximately two times greater than the transaction's EL. At issuance, the initial collateral consisted of 27 floating-rate mortgages secured by 32 mostly transitional properties with a cut-off balance totaling $823.7 million, excluding approximately $143.3 million of future funding commitments. The transaction closed in December 2021 with an initial collateral pool of 23 floating-rate mortgage loans secured by 24 mostly transitional real estate properties, with a cut-off pool balance of $558.8 million. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction is static and was structured with a Companion Participation Acquisition Period that expired with the May 2023 payment date. Through March 2024, the collateral manager had advanced cumulative loan future funding of $177.4 million to 17 of the outstanding individual borrowers. The largest loan advances included $67.4 million to the borrower of the aforementioned Times Square West loan. An additional $18.7 million of loan future funding to be allocated to 11 individual borrowers remains available. The largest portion of available funds, $5.6 million, is allocated to the borrower of 516-530 West 25th St. loan (Prospectus ID#; % of pool), which is secured by a 90,727 square foot office building located in the West Chelsea submarket of Manhattan. As of the March 2024 rent roll, the property was 26.3% occupied. The loan was modified several times with the most recent modification, which occurred in December 2023, extending loan maturity through December 2024. In its analysis, Morningstar DBRS applied an upward LTV adjustment, reflective of an in-place LTV near 100.0%. Morningstar DBRS also increased the loan's POD in its current analysis to bring the loan's EL in line with the pool average. As of the May 2024 remittance, the pool comprised 18 loans secured by 23 properties with a cumulative trust balance of $627.2 million. In addition to its high exposure to loans in special servicing, the pool also exhibits a high concentration of office loans, which have been susceptible to value declines as the properties have been unable to successfully execute their stated business plans. In total, eight loans, representing 49.3% of the current trust balance, are secured by office properties. Offsetting some of the concern about office properties is the increased credit support to the bonds as a result of successful loan repayments, with a collateral reduction of 23.8% since issuance. The significant loss protection provided by the unrated Preferred Shares Class also mitigates concerns about Morningstar DBRS' increased loss expectations; however, should the pool performance exhibit a further decline or additional loans default, the classes carrying Negative trends may be subject to credit rating downgrades. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and business plan updates on select loans. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2021-GR1: Moody's Hikes Rating on Cl. B-5 Certs to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 25 bonds from four US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-GR1 Cl. B, Upgraded to A1 (sf); previously on Aug 30, 2023 Upgraded to A3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 30, 2023 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Aug 30, 2023 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Aug 30, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 30, 2023 Upgraded to Baa2 (sf) Cl. B-3-A, Upgraded to A3 (sf); previously on Aug 30, 2023 Upgraded to Baa2 (sf) Cl. B-3-X*, Upgraded to A3 (sf); previously on Aug 30, 2023 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jun 30, 2021 Definitive Rating Assigned B2 (sf) Cl. B-X*, Upgraded to A2 (sf); previously on Aug 30, 2023 Upgraded to A3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ4 Cl. B-1, Upgraded to Aaa (sf); previously on Aug 30, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 30, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 30, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Apr 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Apr 30, 2021 Definitive Rating Assigned B2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ5 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 30, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on May 28, 2021 Definitive Rating Assigned A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 30, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 28, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on May 28, 2021 Definitive Rating Assigned B2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ6 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 30, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 30, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 30, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jun 30, 2021 Definitive Rating Assigned B2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE Today's rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. The transaction continues to display strong collateral performance, with no cumulative losses for each transaction and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown significantly, as the pool amortize relatively quickly. The credit enhancement for each tranche upgraded has grown by at least 1.2x since closing. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting today's 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. For the vast majority of the transactions, no actions were taken on the remaining rated classes as those classes are already at the highest achievable levels within Moody's rating scale. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's 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. GS MORTGAGE-BACKED 2024-PJ6: Moody's Gives Ba3 Rating to B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 52 classes of residential mortgage-backed securities (RMBS) to be issued by GS Mortgage-Backed Securities Trust 2024-PJ6, and sponsored by Goldman Sachs Mortgage Company, L.P. The securities are backed by a pool of prime jumbo (88.7% by balance) and GSE-eligible (11.3% by balance) residential mortgages aggregated by Maxex Clearing LLC (MAXEX, 2.2% by balance) and Redwood Residential Acquisition Corporation (Redwood; 0.3% by loan balance), originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint). The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2024-PJ6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1-X*, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3A, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4A, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-9-X*, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-15-X*, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-17-X*, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-19-X*, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-21-X*, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23-X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-X*, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned A1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-3-A, Definitive Rating Assigned Baa2 (sf) Cl. B-3-X*, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned Ba3 (sf) Cl. B-X*, Definitive Rating Assigned A2 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-3L, Class A-4L, Class A-16L, and Class A-22L loans, assigned on June 10, 2024, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.39%, in a baseline scenario-median is 0.18% and reaches 5.01% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GSMS 2024-MARK: Fitch Assigns 'B-sf' Final Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following final ratings and Ratings Outlooks to GSMS 2024-MARK Mortgage Trust commercial mortgage pass-through certificates series 2024-MARK: - $132,700,000 class A 'AAAsf'; Outlook Stable; - $17,100,000 class B 'AA-sf'; Outlook Stable; - $18,400,000 class C 'A-sf'; Outlook Stable; - $25,900,000 class D 'BBB-sf'; Outlook Stable; - $39,600,000 class E 'BB-sf'; Outlook Stable; - $43,900,000 class F 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $7,400,000 class G; - $15,000,000 class HRR. HRR is a Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. TRANSACTION SUMMARY The GSMS 2024-MARK certificates represent the beneficial interests in a trust that holds a two-year, floating-rate, IO $300.0 million mortgage loan secured by leasehold interests in The Mark Hotel and the adjacent 1000 Madison Avenue townhouse (together, the property). The Mark Hotel is a 16-story, 153-room, full service landmark luxury hotel located on the Upper East Side of Manhattan in New York City. The improvements are owned and controlled by Alexico Group LLC. Loan proceeds and mezzanine debt were used to refinance the prior $190.0 million mortgage and $120.0 million in mezzanine debt, pay closing costs of $6.7 million and return $17.4 million of cash equity to the sponsor, Alexico Group LLC. The loan was originated by Goldman Sachs Bank USA. Berkadia Commercial Mortgage LLC will act as master servicer, with KeyBank National Association as special servicer. Computershare Trust Company, National Association, will serve as the trustee and certificate administrator. Pentalpha Surveillance LLC will act as the operating advisor. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $24.4 million; this is 12.4% lower than the issuer's NCF and 14.6% lower than the TTM ended in April 2024 NCF. Fitch applied a 9.75% cap rate to derive a Fitch value of $250.4 million for the property. High Fitch Leverage: The $300.0 million trust loan equates to debt of approximately $2.2 million per key with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.86x, 119.8% and 8.1%, respectively. Based on the total rated debt and a blend of the Fitch and market cap rates, the transaction's Fitch Market LTV is 92.4%. Fitch does not expect its market LTV for non-investment grade tranches to exceed 100%. The Fitch DSCR, LTV and DY through class F (rated B-sf, the lowest Fitch-rated class) are 0.93x, 110.8% and 8.8%, respectively. Premium Asset Quality, Prime Location: Fitch assigned The Mark Hotel a property quality grade of 'A+'. Fitch considers the subject to be among the highest quality of all hotels reviewed in CMBS transactions. The hotel was recognized in the Condé Nast Traveler Gold List in 2023 and was voted No. 1 in "The 15 Best Hotels in New York City" by Robb Report in 2023. The property includes The Mark Restaurant and The Mark Bar, operated by Michelin-starred chef Jean-Georges Vongerichten, a 24-hour concierge, valet parking, a fully equipped fitness center, 1,151 sf of meeting space, a Frederic Fekkai salon, Sant Ambroeus and additional complementary retail and office space, as well as 24/7 access to nearby luxury retailer Bergdorf Goodman. The Mark Hotel also offers New York City's largest and most expensive hotel suite. The penthouse unit includes 9,799 sf of interior space and 2,319 sf of rooftop terrace space. The property is located one block east of Central Park along Madison Avenue. Significant Capital Investment; Competitive Suite Advantage: The sponsor has invested a total of approximately $311.7 million ($2.0 million/key) of capex since acquiring the property in 2006 for $150 million, which has positioned the hotel as one of the top luxury hotel assets in Manhattan. Among the capex was a reported $3.8 million ($637,305/renovated key) project to convert six guestrooms on the top floors and roof into high-end luxury suites in 2015 and 2016. Due to their size, layouts and amenities, many guests rent these suites for extended periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB-sf'/ 'BBsf'/'Bsf'/'CCCsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of 3, unless otherwise disclosed in this section. A score of 3; means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GSMS TRUST 2024-FAIR: DBRS Gives Prov. B(low) Rating on Cl. F Certs ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-FAIR (the Certificates) to be issued by GSMS Trust 2024-FAIR (the Trust): -- Class A at AAA (sf) -- Class X-CP at BBB (sf) -- Class X-NCP at BBB (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The collateral for the GSMS Trust 2024-FAIR transaction is the borrowers' leasehold interest in the Fairmont Austin hotel, which is composed of 1,048 keys. Mortgage loan proceeds of $430.0 million, as well as a sponsor equity contribution of approximately $50.3 million, will be used to refinance approximately $301.9 million of existing CMBS mortgage debt (AFHT 2019-FAIR), refinance $125.4 million of mezzanine debt, and cover closing costs of approximately $5.0 million. Additionally, Manchester plans to buy out the minority interest and pay $47.0 million to obtain all of Fortress's "Class A" membership interest in the property and purchase a rate buydown to achieve a debt service coverage ratio (DSCR) of 1.22x. The first mortgage loan is a five-year fixed-rate IO mortgage loan. The hotel was built and opened for business in 2018 and is well-located within the Austin CBD. The property is the largest hotel in Austin and is connected via a skybridge to the 881,000-sf Austin Convention Center (ACC). The hotel is adjacent to Rainey Street Historic District and just half a mile from 6th Street, which has popular entertainment areas. Further, the University of Texas at Austin is located 2.7 miles north of the subject, which had an enrollment of 51,913 as of Fall 2023. Austin has consistently been deemed one of the most popular places to live in the United States and experienced 28% population growth between 2012 and 2022 as young people were drawn to the cultural scene, food and entertainment options, and ample outdoor recreation spaces. The hotel benefits from the 27.4 million tourists who visit Austin annually. ACC, a driver adjacent to the subject that accounted for approximately 9.0% of room nights in the trailing 12-month (T-12) period ended April 2024, will be closed for renovations from April 2025 until March 2029. The convention center has brought major groups attending South by Southwest (SXSW) such as CoinDesk Inc, and Jamf to the Fairmont Austin. The sponsor and city have followed a comprehensive planning process to best retain ACC groups during the closure. The loan is sponsored by Manchester Financial Group. Manchester Financial Group was founded in 1970 and is a privately held hotel and commercial real estate firm focused on acquisition, development, and management of high-profile properties throughout the United States with a focus on the West Coast. The company is headquartered in San Diego, California, and has experience working with nationally recognized hotel brands including Marriott, Fairmont, and Hyatt. The collateral is the inaugural development of Manchester Texas Financial Group, a subsidiary of the sponsor that manages all Texas-based holdings in commercial real estate and hospitality. The hotel is managed by Fairmont Hotels & Resorts, with a management agreement extending through December 2038. The sponsor broke ground in November 2014 before completing the hotel in 2018 for a cost of approximately $412.1 million. Since development, the sponsor has invested approximately $9.2 million toward capex items including back of house improvements, meeting room and banquet space updates, and guest room and corridor updates. The sponsor's future plans include a redesign of two F&B outlets, meeting room and banquet space updates, and additional guest room and corridor updates among other items, which together are projected to cost $21.3 million. The subject's robust amenity package includes five F&B outlets, a rooftop terrace with a swimming pool, a full-service spa, and a fitness center. The subject also boasts 138,800 sf of meeting and event space. In 2019, prior to the pandemic, the subject reported an occupancy of 74.1% and an average daily rate (ADR) of $260.87, resulting in a revenue per available room (RevPAR) of $192.38. While occupancy has declined since, the sponsor has been successful in recovering ADR and RevPAR to above their pre-pandemic levels. Most recently, the subject reported occupancy, ADR, and RevPAR levels of approximately 72.0%, $285.74, and $205.75, respectively, as of the T-12 ended February 28, 2024. The property performance for the T-12 period ended February 2024 is 6.5% above pre-pandemic levels, based on the 2019 RevPAR of $193.28. Morningstar DBRS believes that the strong recent performance is at least partially due to a higher transient proportion in the hotel segmentation resulting from pent-up pandemic-related restriction demand, and therefore Morningstar DBRS believes room rates will see a market correction in the near term. The location, strong amenities, projected capex, and experienced sponsorship should support modest growth above pre-pandemic levels. Morningstar DBRS concluded a stabilized RevPAR of $201.07, which is 4.0% above the 2019 level and 2.3% below the April 2024 T-12 level. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, yield maintenance premium. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. HALSEYPOINT CLO II: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R replacement debt from HalseyPoint CLO II Ltd./HalseyPoint CLO II LLC, a CLO originally issued in June 2020 that is managed by HalseyPoint Asset Management LLC. The preliminary ratings are based on information as of July 2, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 12, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The reinvestment period will be extended to July 20, 2029, from July 20, 2022. -- The non-call period will be extended to July 20, 2026, from Jan. 1, 2022. -- The original class A-1 and A-2 sequentially paying floating-rate debt is being replaced by the class A-R floating-rate debt. -- The original class C floating-rate debt is being replaced by the class C-1-R floating-rate debt and the class C-2-R fixed-rate debt. -- The original class D debt is being replaced by two new sequentially paying classes: D-1-R and D-2-R. -- The replacement class B-R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the original notes. -- The stated maturity on the existing subordinated notes will be extended to July 20, 2037, from July 20, 2031, to match the stated maturity on the new refinancing notes. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $219.600 million: Three-month CME term SOFR + 1.52% -- Class B-R, $54.000 million: Three-month CME term SOFR + 1.95% -- Class C-1-R (deferrable), $16.600 million: Three-month CME term SOFR + 2.55% -- Class C-2-R (deferrable), $5.000 million: 6.50% -- Class D-1-R (deferrable), $14.400 million: Three-month CME term SOFR + 3.60% -- Class D-2-R (deferrable), $7.200 million: Three-month CME term SOFR + 5.00% -- Class E-R (deferrable), $11.700 million: Three-month CME term SOFR + 7.50% Original debt -- Class A-1, $225.000 million: Three-month LIBOR + 1.86% -- Class A-2, $11.250 million: Three-month LIBOR + 2.49% -- Class B (deferrable), $39.375 million: Three-month LIBOR + 2.95% -- Class C (deferrable), $26.250 million: Three-month LIBOR + 3.53% -- Class D (deferrable), $22.500 million: Three-month LIBOR + 3.00% -- Class E (deferrable), $14.000 million: Three-month LIBOR + 3.00% -- Subordinated notes, $39.975 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and 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." Preliminary Ratings Assigned HalseyPoint CLO II Ltd. /HalseyPoint CLO II LLC Class A-R, $219.60 million: AAA (sf) Class B-R, $54.00 million: AA (sf) Class C-1-R (deferrable), $16.60 million: A (sf) Class C-2-R (deferrable), $5.00 million: A (sf) Class D-1-R (deferrable), $14.40 million: BBB+ (sf) Class D-2-R (deferrable), $7.20 million: BBB- (sf) Class E-R (deferrable), $11.70 million: BB- (sf) Subordinated notes, $39.98 million: Not rated HARVEST COMMERCIAL 2024-1: DBRS Finalizes B Rating on M5 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following notes issued by Harvest Commercial Capital Loan Trust 2024-1 (Harvest 2024-1): -- $136,139,000 Class A Notes at AAA (sf) -- $26,660,000 Class M-1 Notes at AA (sf) -- $14,204,000 Class M-2 Notes at A (sf) -- $9,834,000 Class M-3 Notes at BBB (sf) -- $10,161,000 Class M-4 Notes at BB (sf) -- $7,758,000 Class M-5 Notes at B (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The transaction's capital structure and available credit enhancement. Note subordination, cash held in the Reserve Account, cash held in the Capitalized Interest Account, and available excess spread, as well as other structural provisions, create credit enhancement levels which are sufficient to support Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate assumptions of 30.88%, 22.50%, 16.51%, 12.63%, 8.92%, and 6.03%, respectively, for each of the AAA (sf), AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) rating categories. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing of SBA 504, conventional, and investor first lien commercial real estate loans. Morningstar DBRS performed an operational review of Harvest and found it to be an acceptable originator and servicer for the collateral. In addition, US Bank, which is an experienced servicer of CRE backed loans, is the Backup Servicer and custodian for the transaction. -- A review by Morningstar DBRS of Harvest's historical collateral performance since Harvest began originating, which found minimal defaults and no net losses. -- A review of the initial collateral pool as of the statistical cut-off date of April 30, 2024, which possesses diversity by property type and business type, among other metrics, as well as strong overall credit characteristics, most notably with a weighted average obligor FICO score of 748 and a weighted average current loan-to-value ratio of 51.91%. The average loan balance is approximately $1.5 million. All loans in the pool are backed by business purpose 1st lien CRE and include personal guarantees. Average time in business is approximately 15 years. -- Harvest's underwriting process, which evaluates the small business borrower's ability to repay the loan primarily from the business cash flows of normal operations (recurring income sources) to service both its existing debt and the requested loan. The average debt service coverage ratio (DSCR) for loans in the initial pool is 2.33x. -- A review of the collateral pool's industry concentrations against historical performance of SBA data for significant industry concentrations as well as aggregate vintage performance. -- Collateral eligibility and concentration limits built into the Pre-Funding Parameters that ensure that the final collateral pool continues to maintain strong credit characteristics and collateral diversification. -- The legal structure and legal opinions that address the true sale of the receivables, the nonconsolidation of the assets of the Issuer, that the Indenture Trustee has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the notes referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the Class A and Class M-1 Notes are the Interest Payment Amount (including any unpaid interest from prior periods) and the Note Principal Balance. The associated financial obligations for the Class M-2, M-3, M-4, and M-5 Notes are the Interest Payment Amount, the Interest Carryforward Amount, and the Note Principal Balance. Morningstar DBRS' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the Net WAC Rate Carryover Amount and the Prepayment Interest Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. HGI CRE CLO 2021-FL2: DBRS Confirms B(low) Rating on G Notes ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of notes issued by HGI CRE CLO 2021-FL2, Ltd. as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, as the majority of borrowers are generally progressing toward completion of their stated business plans. The transaction consists of solely multifamily collateral across 26 loans, most of which are scheduled to mature within the next 12 months. Morningstar DBRS expects borrowers who have progressed in property stabilization efforts to successfully execute loan exit strategies in the near to medium term, given the underlying collateral has generally demonstrated stable to improving operating performance over the last several quarters. A select number of loans, however, are exhibiting increased credit risk from issuance, including the largest loan in the pool, The Astor LIC (Prospectus ID#1; 12.1% of the pool balance), which transferred to the special servicer in December 2023 for monetary default, and the Lofts at Twenty 25 loan (Prospectus ID#28; 8.5% of the pool balance), which is currently being monitored on the servicer's watchlist for missed payments in April and May of this year. Both loans are outlined in additional detail below. The pool benefits from a considerable amount of collateral reduction to date as a result of successful loan repayments (totaling 25.4% since issuance), partially mitigating loan-level risk associated with underperforming assets. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The transaction closed in September 2021 with a cut-off pool balance totaling approximately $514.5 million, and a maximum funded balance of $579.5 million. At issuance, the pool consisted of 20 floating-rate mortgage loans secured by 22 properties. The transaction was a managed vehicle with a 24-month reinvestment period that expired with the September 2023 payment date. As of the May 2024 reporting, the pool comprises 26 loans secured by 31 properties with a cumulative trust balance of $432.1 million. Eleven loans with a former cumulative trust balance of $242.8 million have successfully repaid from the pool since issuance, including six loans with a former cumulative trust balance of $106.0 million since Morningstar DBRS' prior credit rating action in June 2023. An additional two loans with a current cumulative trust balance of $2.5 million have been added to the trust since June 2023. The loans are concentrated by properties in suburban locations, which Morningstar DBRS defines as markets with a Morningstar DBRS Market Rank of 3, 4, or 5. As of May 2024, 20 loans, representing 67.0% of the current trust balance, were secured by properties in suburban markets. Three loans, representing 22.4% of the current trust balance, were secured by properties in urban markets, defined as markets with a Morningstar DBRS Market Rank of 6, 7, or 8. An additional three loans, representing 10.6% of the current trust balance, were secured by properties located in tertiary markets, defined as markets with a Morningstar DBRS Market Rank of 2. Leverage across the pool has remained relatively static from closing, with a current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) of 73.3% (compared with 74.2% at closing) and a WA stabilized LTV of 67.8% (compared with 67.0% at closing). Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current interest rate and widening capitalization rate (cap rate) environment. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments across 13 loans representing 56.1% of the current trust balance. Through May 2024, the collateral manager had advanced cumulative loan future funding of $56.6 million allocated to 24 of the 26 remaining individual borrowers to aid in property stabilization efforts. The largest advance, $10.6 million, has been made to the borrower of the Marbella Apartments loan, which is secured by a multifamily property in Corpus Christi, Texas. Funds were advanced to the borrower to complete its capital improvement project across the property. The full $10.6 million future funding component has been advanced with the Class A note consisting of a $27.6 million piece in the subject transaction, a $19.8 million piece held in the HGI CRE CLO 2021-FL1, Ltd. transaction (also rated by Morningstar DBRS), and a non-securitized $4.3 million piece. An additional $12.7 million of loan future funding allocated to five of the remaining individual borrowers remains available. The largest portion of available funds ($5.9 million) is allocated to the borrower of The Lofts at Twenty25 loan, which is secured by a multifamily property in downtown Atlanta. The available funds are allocated for the borrower's capital improvement and lease-up plan. As of the May 2024 remittance, one loan, representing 12.1% of the pool balance was in special servicing and 19 loans representing 73.3% of the pool balance were on the servicer's watchlist, the vast majority of which are being monitored for upcoming maturity dates. The specially serviced loan, The Astor LIC, is secured by the sponsor's leased-fee interest in a Class A, mid-rise 143-unit multifamily apartment building in Queens, New York. The collateral was constructed in 2021 and includes 12,000 square feet (sf) of retail space. The loan transferred to special servicing in December 2023 for payment default, and as of the May 2024 reporting, remains delinquent having last paid in September 2023. The special servicer has established contact with the borrower, noting a pre-negotiation agreement has been executed; however further resolution details and timing are pending. The borrower is progressing with its stated business plan at issuance, which included leasing-up the property and stabilizing operations over a 12- to 18-month period. According to the Q1 2024 update from the collateral manager, property performance remains relatively unchanged compared with prior year's reporting. The borrower successfully leased the commercial space to Lexus of Queens, which was expected to take occupancy in May 2024. According to the February 2024 rent roll, the residential component was 94.4% occupied and 95.1% leased with an average rental rate of $3,384 per unit. The borrower has been successful in increasing rental rates at the property, with reported lease trade out premiums ranging from 10.0% to 33.0%, based on unit type. According to the financial reporting provided by the collateral manager for the trailing-12 month (T12) period ended February 29, 2024, the property generated NCF of $2.6 million (reflecting a debt service coverage ratio (DSCR) of 0.52 times (x)). Given the floating rate nature of the loan and the absence of an interest rate cap agreement, debt service obligations have increased considerably from issuance, placing downward pressure on the DSCR. The lender negotiated a cash management agreement with the sponsor, terms of which include lock box provisions. Although the collateral manager noted the sponsor continues to work towards refinancing and is also marketing the property for sale, Morningstar DBRS maintains a cautious outlook for the loan. In the analysis for this review, Morningstar DBRS increased the loan's expected loss by applying upward LTV adjustments to both the in-place and stabilized property value assumptions made by the appraiser at closing in addition to increasing the loan's probability of default penalty. The Lofts at Twenty25 loan, is secured by a redeveloped 623-unit, high-rise multifamily property in Atlanta. The property, which was originally built it in 1951 as an office building, was completely gut renovated and redeveloped into its current use in 2021. The borrower's business plan at issuance was to increase occupancy and rental rates to market levels following the recent redevelopment. The three-year loan has an initial maturity date in July 2025 and includes two, 12-month extension options. The loan is currently being monitored on the servicer's watchlist due to two missed payments in April and May 2024. According to the February 2024 rent roll, the property was approximately 29.0% occupied with an average rental rate of $1,256 per unit. The collateral manager noted the drop in occupancy and slowdown in leasing velocity is partially related to a number of tenant evictions. Property performance has also been weaker than expected as rental rates for the 215 affordable-rate units is approximately 25.0% below free market rental rates. According to the financial reporting for the trailing 12-month period ended February 29, 2024, the property generated NCF of under $100,000 (reflecting a DSCR of 0.01x). The collateral manager noted that the borrower has drawn the entirety of the initial $5.2 million interest reserve to cover shortfalls and has been making debt service payments out of pocket since November 2023. At issuance, the property was valued at $149.9 million, reflecting moderate leverage with an LTV of 65.1%, suggesting there may still be market equity remaining in the transaction; however, Morningstar DBRS believes the collateral's current market value has declined from closing. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments to both the in-place and stabilized property value assumptions made by the appraiser at closing, in addition to increasing the loan's probability of default, resulting in an expected loss that was approximately 25.0% greater than the expected loss for the pool. Notes: All figures are in U.S. dollars unless otherwise noted. HILDENE TRUPS P17BC: Moody's Assigns (P)Ba3 Rating to Cl. B Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Hildene TruPS Resecuritization P17BC, LLC (the "Issuer"). Moody's rating action is as follows: US$25,000,000 Class A Notes due 2035, Assigned (P)A3 (sf) US$34,400,000 Class B Notes due 2035, Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes". RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the portfolio of Preferred Term Securities XVII, 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 March 17, 2005: US$26,515,326 of the $51,429,950 Class B Mezzanine Notes Due 2035 (the "Class B Notes") US$42,681,177 of the $58,643,708 Class C Mezzanine Notes Due 2035 (the "Class C Notes") The Class B and Class C 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 will issue one class of subordinated notes. The transaction incorporates par coverage tests which, if triggered, divert interest proceeds to pay down the notes in order of seniority. The transaction also includes an interest diversion feature from and after the July 2030 payment date, when 60% of the interest at a junior step in the priority of interest payments will be used to pay the principal on the Class A Notes until the Class A Notes' principal has been paid in full, then to the payment of principal of the Class B Notes. The portfolio of the Underlying TruPS CDO consists of mainly TruPS issued by US regional and community banks and insurance companies, the majority of which Moody's do not publicly rate. Moody's assess the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM). Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q4-2023 financial data. Moody's assess the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assume a fixed recovery rate of 10% for bank and insurance obligations. 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 Moody's CDOEdge(TM) cash flow model. For modeling purposes, Moody's used the following base-case assumptions or the Underlying TruPS CDO's portfolio: Par amount: $227,080,000 Weighted Average Rating Factor (WARF): 874 Weighted Average Spread (WAS): 2.06% Weighted Average Recovery Rate (WARR): 10.00% Weighted Average Life (WAL): 8.2 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 assess through credit scores derived using RiskCalc(TM) or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. HILTON USA 2016-HHV: DBRS Confirms B Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-HHV issued by Hilton USA Trust 2016-HHV as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class B at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BB (high) (sf) -- Class F at B (sf) All trends are Stable. The credit rating confirmations reflect the overall stable-to-improved performance of the underlying collateral, as evidenced by year-over-year (YOY) growth in net cash flow (NCF), occupancy, and revenue per available room (RevPAR) figures. While the outlook on the transaction remains positive, Morningstar DBRS believes that some of the YoY growth may be attributable to the demand diverted away from Maui following the wildfires that broke out on the island in August 2023 until West Maui was reopened to tourism in November 2023. As such, growth in 2024 is expected to be more moderate and Morningstar DBRS did not update the loan-to-value (LTV) sizing benchmarks as part of this review. The collateral is a $750 million pari passu participation interest in a $1.3 billion whole loan on the Hilton Hawaiian Village, a full-service luxury beachfront resort in Waikiki, Hawaii. The trophy-quality property is situated on the world-renowned Waikiki beach, which benefits from a lack of seasonality, high barriers to entry, and the strongest lodging market of all eight Hawaiian islands. The subject consists of five guest towers comprising 2,860 rooms, plus conference space for up to 2,600 attendees. The resort has the longest stretch of beach and the largest amount of meeting space among its competitors. Amenities at the resort include 65,373 square feet (sf) of indoor meeting space, three restaurants, four lounges and several other food and beverage (F&B) outlets, five outdoor pools, fitness centers, a full-service spa, a boat dock, a lagoon, a 1,978-space garage, and 138,000 sf of leased commercial space. The sponsor, Park Intermediate Holdings LLC, is a wholly owned subsidiary of Park Hotels & Resorts. In 2017, Hilton Worldwide Holdings Inc., formerly known as Hilton Hotels Corporation, spun off Park Hotels & Resorts, which is now one of the largest publicly traded real estate investment trusts in the U.S. hospitality industry. The sponsor has historically invested significant capital in the property and appears committed to continuing that trend through further reinvestment in the resort's offerings. According to the servicer, the borrower is in the process of obtaining permits to demolish a restaurant building adjacent to the resort in order to construct a sixth guest tower, while local news sources indicate the owner also plans to add 26 rooms to the beachfront Rainbow Tower. Neither project is slated to begin until late 2025 or early 2026, with minimal business interruptions to guests expected while construction is ongoing. The property suffered performance declines as a result of the coronavirus pandemic, caused by the property's closure from April 2020 through December 2020. A cash sweep period was triggered in March 2021 as a result of the debt service coverage ratio (DSCR) remaining below the required threshold. Since then, property performance has restabilized with healthy YOY growth , exceeding pre-pandemic levels. The YE2023 NCF of $170.9 million (reflecting a DSCR of 3.15 times (x)), represents an 8.9% increase from the YE2022 figure of $157.0 million and a 16.4% increase from the YE2019 figure of $146.8 million. The largest drivers for the increase in cash flows over the last several years include continued growth in room revenue, F&B revenue, and other departmental revenue, contributing to a 12.4% increase in effective gross income; however, as noted above, Morningstar DBRS anticipates that 2024 growth may be moderated following the reopening of West Maui in November 2023 According to the State of Hawaii's Department of Business, Economic Development and Tourism, the total number of visitors to the Hawaiian Islands was 9.4 million in 2023, reflecting a 4.4% increase over the 2022 figure of 9.2 million. While visitor numbers on the other islands remained relatively static YOY, the islands of Oahu and Maui welcomed 5.6 million (+15.6% YOY) and 2.5 million tourists in 2023 (-15.2% YOY), respectively, during 2023. Although Maui's tourist figure from December 2023 was still depressed when compared with figures from December 2022 and December 2019, reflecting declines of -24.8% and -28.7%, respectively, it was the highest number of visitors to the island in the previous five months, with figures expected to increase further in 2024. In contrast, Oahu's December 2023 visitor total slowed to a growth of just 6.0%. Per the STR report for the trailing 12 months (T-12) ended December 31, 2023, the occupancy rate, average daily rate (ADR), and RevPAR were reported at 90.8%, $302, and $275, respectively, compared with the YE2022 figures of 85.4%, $288, and $246, respectively. As expected, the property showed a moderate decline in performance metrics over the T-3 and T-1, with the T-1 occupancy ADR and RevPAR figures reported at 82.7%, $340, and $281, respectively; however, the property's RevPAR is still operating well above historical levels and the property continues to outperform its competitive set with a T-12 RevPAR penetration rate of 117.0%. Notes: All figures are in U.S. dollars unless otherwise noted. HILTON USA 2016-SFP: Moody's Downgrades Rating on 2 Tranches to C ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on seven classes of Hilton USA Trust 2016-SFP, Commercial Mortgage Pass-Through Certificates, Series 2016-SFP as follows: Cl. A, Downgraded to Baa1 (sf); previously on Mar 6, 2023 Downgraded to Aa2 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Mar 6, 2023 Downgraded to A2 (sf) Cl. C, Downgraded to B1 (sf); previously on Mar 6, 2023 Downgraded to Baa2 (sf) Cl. D, Downgraded to Caa1 (sf); previously on Mar 6, 2023 Downgraded to Ba2 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Mar 6, 2023 Downgraded to B2 (sf) Cl. F, Downgraded to C (sf); previously on Mar 6, 2023 Downgraded to Caa2 (sf) Cl. X-E*, Downgraded to C (sf); previously on Mar 6, 2023 Downgraded to Caa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the six P&I classes were downgraded due to an increase in Moody's LTV as a result of the properties' continued underperformance as well as the potential for higher losses due to the uncertainty around timing and extent of the properties' net cash flow (NCF) recovery given the continued weak fundamentals of San Francisco downtown hotel market. The downgrades also reflect the accumulation of loan advances and expectation of future advances. The properties were not able to generate positive NCF between 2020 and 2022 but the loan remained current through the May 2023 remittance date as the original sponsor funded operating and debt service shortfalls. However, the borrower then ceased to fund debt service payments indicating they would not be making any further debt service payments and have been working with the servicer to cooperate and assist as the receiver markets the hotels for sale. While the properties reported a marginal positive NCF in 2023, the reported trailing-12-month NCF as of March 2024 turned negative due to significant increase in the operating expenses. As a result, Moody's expect the advances to remain outstanding and will continue to increase if the properties' cash flow does not improve. As of the June 2024 distribution date, the loan remains last paid through its May 2023 payment date and there are approximately $39.0 million of outstanding advances (inclusive of P&I advances, other expenses and cumulative accrued unpaid advance interest outstanding). Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. The rating on the interest only (IO) class, Cl. X-E, was downgraded based on the credit quality of its referenced classes. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and trophy/dominant nature of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the June 6, 2024 distribution date, the transaction's aggregate certificate balance remains unchanged at $725 million. The securitization is backed by a fixed-rate loan collateralized by two adjacent full-service hotels, the Hilton San Francisco Union Square and the Hilton Parc 55 San Francisco. The Hilton San Francisco Union Square was constructed in 1964 and features 1,919 guestrooms in four interconnected buildings. The property offers approximately 130,000 SF of meeting space, a swimming pool, fitness center, 505 parking spaces, and two food & beverage outlets. The Hilton Parc 55 San Francisco, constructed in 1984, is located adjacent to the Hilton San Francisco Union Square. The property provides 1,024 guestrooms, approximately 29,900 SF of meeting space. The Properties are located within walking distance of Union Square, Market Street, and the Moscone Convention Center. The loan originally had a maturity date in November 2023. The original sponsor previously funded all debt servicer and operating shortfalls through May 2023, however, in June 2023, the original sponsor indicated they would not continue to make debt service payments and that it was in the best interest of their stockholders to exit the San Francisco market. The loan was transferred to special servicing in June 2023, due to imminent default and the receiver was appointed in October 2023. The portfolio's NCF had been on an upward trajectory since securitization peaking at $93.7 million in 2019. However, with the coronavirus outbreak the properties were not able to generate positive NCF between 2020 and 2022 to cover operating expenses. While the properties reported a marginal positive NCF of $941,066 in 2023, the reported trailing-12-month NCF as of March 2024 turned negative due to significant increase in the operating expenses. The properties revenue did improve 4% from year-end 2023 to the trailing-12-month period ending March 2024, however, the expenses increased 13%. The San Francisco/San Mateo MSA continues to be the worst performer amongst the Top 25 MSAs. According to STR Report, at the end of 2023, overall US revenue per available Room (RevPAR) was up 12.9% compared with 2019. The San Francisco/San Mateo MSA had the worst comparison amongst the Top 25 MSAs at -28.6%. Furthermore, the downtown San Francisco submarket continues to face an elongated recovery. According to CBRE EA, Downtown San Francisco's RevPAR reached $146.18 in 2023, an 8.6% increase compared with 2022. However, that was still 37.1% lower than its RevPAR of $232.44 in 2019. The first mortgage balance of $725 million represents a Moody's LTV of 133%, however, the Moody's LTV takes into account a significant decline in market value since securitization and a slower than anticipated recovery to date in the properties cash flow based on the continued lag of business and corporate travel demand to San Francisco, which continues to lag that of the overall US. Furthermore, there are outstanding total advances and accrued unpaid interest totaling approximately $39.0 million, causing the aggregate loan exposure to be $764.0 million. Moody's expect the advances to remain outstanding and will continue to increase in the near term until the properties' cash flow materially improve or the asset is liquidated from the trust. There are outstanding interest shortfalls totaling $5,318,024 affecting Cl. F and there are no cumulative losses as of the current distribution date. ICG US 2021-1: 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 ICG US CLO 2021-1 Ltd./ICG US CLO 2021-1 LLC, a CLO originally issued in March 2021 that is managed by ICG Debt Advisors LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, and C debt following payment in full on the July 3, 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 April 3, 2025. -- 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 July 3, 2024, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 17, 2024. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $244 million: Three-month CME term SOFR + 1.27% -- Class A-2-R, $12 million: Three-month CME term SOFR + 1.60% -- Class B-R, $48 million: Three-month CME term SOFR + 1.85% -- Class C-R (deferrable), $24 million: Three-month CME term SOFR + 2.20% Original debt -- Class A-1, $244 million: Three-month CME term SOFR + 1.27% + CSA(i) -- Class A-2, $12 million: Three-month CME term SOFR + 1.55% + CSA(i) -- Class B, $48 million: Three-month CME term SOFR + 1.75% + CSA(i) -- Class C (deferrable), $24 million: Three-month CME term SOFR + 2.20% + CSA(i) (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 ICG US CLO 2021-1 Ltd./ICG US CLO 2021-1 LLC Class A-1-R, $244.00 million: AAA (sf) Class A-2-R, $12.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Ratings Withdrawn ICG US CLO 2021-1 Ltd./ICG US CLO 2021-1 LLC Class A-1 to not rated from 'AAA (sf)' Class A-2 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Ratings Affirmed ICG US CLO 2021-1 Ltd./ICG US CLO 2021-1 LLC Class D: BBB- (sf) Class E: BB- (sf) Other Outstanding Debt ICG US CLO 2021-1 Ltd./ICG US CLO 2021-1 LLC Subordinated notes, $43.45 million: Not rated JP MORGAN 2024-5: DBRS Gives Prov. BB Rating on Class B-4 Certs --------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2024-5 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2024-5 (JPMMT 2024-5): -- $575.8 million Class A-1 at AAA (sf) -- $575.8 million Class A-2 at AAA (sf) -- $431.9 million Class A-3 at AAA (sf) -- $323.9 million Class A-4 at AAA (sf) -- $108.0 million Class A-5 at AAA (sf) -- $259.1 million Class A-6 at AAA (sf) -- $172.7 million Class A-7 at AAA (sf) -- $64.8 million Class A-8 at AAA (sf) -- $57.6 million Class A-9 at AAA (sf) -- $57.6 million Class A-9-A at AAA (sf) -- $57.6 million Class A-9-X at AAA (sf) -- $144.0 million Class A-10 at AAA (sf) -- $144.0 million Class A-10-X at AAA (sf) -- $144.0 million Class A-11 at AAA (sf) -- $144.0 million Class A-11-X at AAA (sf) -- $144.0 million Class A-12 at AAA (sf) -- $633.4 million Class A-X-1 at AAA (sf) -- $16.6 million Class B-1 at AA (low) (sf) -- $16.6 million Class B-1-A at AA (low) (sf) -- $16.6 million Class B-1-X at AA (low) (sf) -- $11.2 million Class B-2 at A (low) (sf) -- $11.2 million Class B-2-A at A (low) (sf) -- $11.2 million Class B-2-X at A (low) (sf) -- $8.1 million Class B-3 at BBB (low) (sf) -- $3.0 million Class B-4 at BB (sf) -- $2.4 million Class B-5 at B (low) (sf) Classes A-9-X, A-10-X, A-11-X, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-7, A-9, A-10, A-10-X, A-12, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, and A-12 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-9 and Class A-9-A certificates) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.50% of credit enhancement provided by subordinated certificates. AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (low) (sf) ratings reflect 4.05%, 2.40%, 1.20%, 0.75%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 676 loans with a total principal balance of $677,413,299 as of the Cut-Off Date (June 1, 2024). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of two months. Approximately 79.8% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 20.2% of the pool are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) originated 44.8% of the pool. Various other originators, each comprising less than 15%, originated the remainder of the loans. The mortgage loans will be serviced or subserviced, as applicable, by Shellpoint Mortgage Servicing (Shellpoint; 43.7%), UWM (43.3%), loanDepot.com, LLC (7.1%), PennyMac Loan Services, LLC (4.2%), and PennyMac Corp (PennyMac; 1.7%). For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (September 1, 2024). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2024-5: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 26 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2024-5, and sponsored by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC). The securities are backed by a pool of prime jumbo (79.8% by balance) and GSE-eligible (20.2% by balance) residential mortgages aggregated by JPMMAC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 17.3% by loan balance) and Verus Mortgage Trust 1A (Verus; 0.1% by loan balance) and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-5 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-10-X*, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE. The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.49%, in a baseline scenario-median is 0.24% and reaches 6.70% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JPMCC COMMERCIAL 2015-JP1: DBRS Cuts Class F Certs Rating to C -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2015-JP1 issued by JPMCC Commercial Mortgage Securities Trust as follows: -- Class X-C to BBB (high) (sf) from A (high) (sf) -- Class C to BBB (sf) from A (sf) -- Class X-D to BBB (low) (sf) from BBB (high) (sf) -- Class D to BB (high) (sf) from BBB (sf) -- Class X-E to B (high) (sf) from BB (high) (sf) -- Class E to B (sf) from BB (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) Morningstar DBRS changed the trends on Classes A-S, X-A, X-B, and B to Negative from Stable, and maintained the Negative trends on Classes X-C, C, X-D, D, X-E, and E. Classes A-4, A5, and A-SB continue to carry Stable trends. There is no trend for Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS). The credit rating downgrades reflect Morningstar DBRS' increased loss expectations for the pool, primarily driven by the largest loan in the pool, 32 Avenue of the Americas (Prospectus ID#1, 19.5% of the pool), along with six other loans Morningstar DBRS identified as being at increased risk of maturity default, given observed performance declines, concentrated upcoming tenant roll, and other refinance concerns, as all loans are scheduled to mature in Q4 2025. In a wind-down scenario where performing loans successfully repay from the pool, the potential for an adverse selection is significant given that Morningstar DBRS' loans of concern represent 55.7% of the pool balance. While all loans are current as of the May 2024 reporting, updated value projections for these seven loans of concern indicate sizable value deficiencies, most notably for loans secured by office properties, including 32 Avenue of the Americas, 7700 Parmer (Prospectus ID#2, 14.6% of the pool), and Heinz 57 Center (Prospectus ID#3, 8.3% of the pool). Where applicable, Morningstar DBRS increased the probability of default (POD) penalties and/or increased loan-to-value (LTV) ratios to reflect the increased risk of maturity default. These adjusted loans had a weighted-average (WA) expected loss (EL) that was nearly 1.5 times (x) the pool's elevated WA EL. Given the loan-specific challenges for some of the office loans and the downward pressure implied by the CMBS Insight Model results, the Negative trends for the five lowest-rated classes most exposed to loss were warranted. Should performance of these loans fail to stabilize or deteriorate further, or should future defaults occur, these classes may be subject to credit rating downgrades as part of future review cycles. As part of its June 2023 credit rating action, Morningstar DBRS downgraded Classes D, E, and F as a result of the loss expectations for the three cross-collateralized/cross-defaulted Franklin Ridge loans (Prospectus ID#13, #14, and #15; the Franklin Ridge Loans) and changed the trends on Classes C, D, and E to Negative because of the continued credit erosion and increased concerns about the concentration of loans secured by office properties. In March 2024, the Franklin Ridge Loans were liquidated from the trust at a realized loss of $10.3 million, higher than the Morningstar DBRS projected loss. To date, seven loans have been liquidated from the trust with a cumulative loss of approximately $44.3 million. The loss resulted in a complete write down of the unrated Class HR piece and partial write-down to Class G. Morningstar DBRS subsequently downgraded the credit rating on Class G and simultaneously discontinued and withdrew the credit rating. As of the May 2024 reporting, 34 of the original 51 loans remain in the pool, with an aggregate trust balance of $513.5 million, representing a collateral reduction of approximately 35.8% since issuance. Eight loans, representing 15.8% of the pool, are fully defeased. The pool is extremely concentrated by loan size, as the largest loan in the pool accounts for 19.5% of the deal balance, while the top five loans represent 54.0% of the deal balance. By property type, excluding defeasance, the pool is most concentrated by office properties, which represent 42.4% of the pool, followed by retail and multifamily properties, which represent 12.2% and 12.0% of the pool, respectively. Seven loans, representing 38.1% of the pool, are on the servicer's watchlist, primarily for occupancy and debt service coverage ratio (DSCR) declines. The largest loan in the pool is 32 Avenue of the Americas, which is secured by a 1.2 million square foot (sf) dual office and data center property in Manhattan's Tribeca district. The 10-year interest-only (IO) loan is scheduled to mature in November 2025. It is one of five pari passu pieces of a $425.0 million whole loan, with other senior portions securitized in JPMCC 2015-C33 and COMM 2016-CCRE28, which are also rated by Morningstar DBRS. The loan was added to the servicer's watchlist in April 2023 because of occupancy decline. Occupancy has trended downward year over year for the past several years. As per the December 2023 rent roll, the property was 60.5% occupied, down from 70.0% at YE2022, 75.6% at YE2021, and 95.0% at issuance. Consequently, the loan's DSCR has also been declining, with the YE2023 DSCR reported at 1.03x, compared with the YE2022 DSCR of 1.78x and YE2021 DSCR of 1.96x. The loan is equipped with a cash management account, which will be activated at a DSCR trigger of 1.15x for two consecutive quarters. However, given the loan's coverage, it is unlikely that a meaningful amount of cash can be swept. The performance declines can be attributed to the downsizing and departures of prominent tenants at the subject. Former largest tenant AMFM Operating Inc., part of iHeartMedia, vacated at lease expiry in December 2022. At issuance, the tenant occupied 14.6% of the net rentable area (NRA) but had downsized to 8.1% of the NRA prior to vacating. The current largest tenants are TELX (12.6% of the NRA, lease expiry in July 2033), Dentsu Holdings USA Inc. (Dentsu; 6.0% of the NRA, lease expiry in August 2025), and Cedar Cares Inc. (5.7% of the NRA, lease expiry in August 2027). At issuance, TELX occupied 22.5% of the NRA, and Dentsu occupied 14.5% of the NRA. However, both tenants began slowly giving back their space over the years, eventually downsizing to their current footprints at the subject. Moreover, as per the servicer commentary, Cedar Cares Inc. is looking to sublease some space as it has not grown as expected. There is also approximately 25% rollover risk prior to loan maturity, which would further exacerbate the property's performance since issuance and elevate refinancing risk. The sponsor, Rudin Management, is currently advertising 41.6% of the NRA as available for leasing at an average rental rate of $73.79 per sf (psf), which is slightly higher than the current average in-place rental rate of $71.74 psf according to the December 2023 rent roll. As per Reis, office properties in the South Broadway submarket reported a YE2023 vacancy rate of 14.1% with an average asking rental rate of $72.52 psf, up from the YE2022 vacancy rate of 10.7% and average asking rental rate of $70.10 psf. Although the subject is a prominent telecom building in Manhattan, with infrastructure that has historically made it a popular location for data center and telecom tenants, media sources indicate the sponsor is exploring options to convert some space to retail use in the hopes of attracting leasing activity. However, given that the sponsor recently spent approximately $100 million renovating a nearby asset at 80 Pine Street with little notable impact on occupancy or value, combined with observed challenges in the current office landscape, the building's age, consistently declining occupancy, and a history of tenant departures/downsizing, Morningstar DBRS remains pessimistic about the property's near-term leasing prospects. Morningstar DBRS expects the borrower to face challenges in securing refinancing at loan maturity next year. Based on these factors, Morningstar DBRS analyzed this loan with an elevated LTV ratio and a POD adjustment to increase the expected loss to nearly 1.75x the WA EL of the pool. Another loan with which Morningstar DBRS has refinance concerns is Heinz 57 Centre. The loan is secured by a 699,610 sf, 14-story, Class A, office building in Pittsburgh. The property was originally constructed in 1913, with substantial renovations in 1999, and has approximately 172,000 sf of retail space. The loan has historically performed in line with expectations, most recently reporting a YE2023 occupancy of 95.0% and a DSCR of 1.35x; however, occupancy is expected to fall significantly to 65.0% by August 2025, six months prior to loan maturity in December 2025, which will likely complicate takeout financing. In March 2024, the second-largest tenant, Burlington Coat Factory (20.8% of the NRA) vacated the retail portion of the property, while the fourth-largest tenant, BDO Seilman LLP (9.% of the NRA), has indicated it will vacate upon lease expiry in August 2025. While the largest tenant, Heinz North America (Heinz, 44.3% of the NRA), continues to honor the terms of its lease agreement, the tenant vacated and has subleased portions of its space since 2014, to the University of Pittsburgh Medical Center and to Grant Street Group, with all leases coterminously expiring six months after loan maturity in July 2026, indicating occupancy could fall below 25% with no leasing momentum. The Pittsburgh Central Business District office submarket remains soft, with Reis reporting a vacancy rate of 19.6% for Class A properties, with an average asking rental rate of $33.16 psf, compared to the subject's in-place rate of $17.6 psf. While Heinz was required to established a $6.2 million tenant reserve, which was reported at $7.8 million as of May 2024, re-leasing the property to market will require significant capital from the borrower. Considering the significant headwinds to backfilling a large vacant space in a challenging submarket, as well as the low investor demand for this property type, Morningstar DBRS analyzed this loan with a stressed LTV in excess of 125% and increased the POD, resulting in an expected loss that was nearly 1.5x the WA EL of the pool. Notes: All figures are in U.S. dollars unless otherwise noted. KRR CLO 30: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 30 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 30 Ltd._New Reset X LT NRsf New Rating A1-R2 LT AAAsf New Rating AJ-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D1-R2 LT BBB-sf New Rating D2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY KKR CLO 30 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC that originally closed in September 2020. 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', 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 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.37% versus a minimum covenant, in accordance with the initial expected matrix point of 72.63%. 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 4.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A1-R2, between 'BBB+sf' and 'AA+sf' for class AJ-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 D1-R2, between less than 'B-sf' and 'BB+sf' for class D2-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 A1-R2 and class AJ-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D1-R2, 'Asf' for class D2-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, 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 KKR 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. LOANCORE 2021-CRE6: DBRS Confirms B(low) Rating on G Notes ---------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of commercial mortgage-backed notes issued by LoanCore 2021-CRE6 Issuer Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) Morningstar DBRS changed the trends on Classes F and G to Negative from Stable. The trends on the remaining classes are Stable. The Negative trends are reflective of Morningstar DBRS' concerns surrounding the trust's significant exposure to assets backed by office properties. In total, seven loans, representing 36.0% of the current trust balance, are secured by office properties, including the largest and second-largest loans in the pool - 433 North Camden (Prospectus ID#1; 10.6% of the current trust balance) and 110 Atrium (Prospectus ID#12; 9.7% of the current trust balance). In general, these loans are exhibiting increased credit risk since issuance as performance declines and softening submarket conditions have delayed the execution of the borrowers' respective business plans. While the remaining office loans have extension options, performance across the properties will not satisfy the required thresholds for exercising the extension options. As such, Morningstar DBRS expects those borrowers to face difficulties in executing loan extensions/modifications that will likely require equity contributions and/or new rate cap agreements. The transaction closed in November 2021 with an initial collateral pool of 31 floating-rate mortgage loans secured by 46 mostly transitional properties with a cut-off date balance of $1.22 billion. Most of the loans were in a period of transition with plans to stabilize and improve asset value. The transaction was structured with a Reinvestment Period that expired with the November 2023 Payment Date. As of the May 2024 remittance, the pool comprised 25 loans secured by 40 properties with a cumulative trust balance of $1.1 billion. Since issuance, 16 loans, with a cumulative trust balance of $720.0 million, have been paid in full, nine of which (totaling $447.8 million) were paid in full since Morningstar DBRS' previous credit rating action in June 2023, resulting in a collateral reduction of 13.5%. Additionally, five loans, totaling $120.1 million, have been added to the trust since Morningstar DBRS' previous credit rating action in June 2023. Beyond the office concentration noted above,12 loans, representing 46.6% of the current trust balance, are secured by multifamily properties, which have historically exhibited lower default rates compared with other property types. The remaining assets are secured by hotel, mixed-use, and industrial collateral. In comparison with the June 2023 reporting, multifamily properties represented 65.7% of the collateral while office properties represented 25.9%. The remaining loans are secured primarily by properties in suburban and urban markets. Fourteen loans, representing 58.8% of the pool, are secured by properties with a Morningstar DBRS Market Rank of 3, 4, or 5, denoting a suburban market. Ten loans, representing 35.2% of the pool, are secured by properties in urban markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 6, 7, or 8. The location of the assets within urban markets potentially serves as a mitigant to loan maturity risk as urban markets have historically shown greater liquidity and investor demand. One loan, representing 6.0% of the pool, is secured by a property in a tertiary market, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 2. Leverage across the pool has decreased as of the May 2024 reporting compared with issuance metrics. The current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 66.5%, with a current WA stabilized LTV of 61.8%. In comparison, these figures were 71.1% and 64.3%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and may not reflect the current environment of rising interest rates or widening capitalization rates. In its analysis, Morningstar DBRS applied upward LTV adjustments for 15 loans, representing 66.3% of the current trust balance. These loans included the 10 largest loans in the pool and all the office loans, which resulted in individual loan-level expected loss levels ranging from approximately 50.0% to 200.0% of the pool's WA expected loss. Through May 2023, the lender has advanced a cumulative $82.9 million in loan future funding allocated to 16 of the 25 remaining individual borrowers to aid in property stabilization efforts. The largest advances have been made to the borrowers of loans secured by office properties, including 433 North Camden ($15.0 million), 110 Atrium ($11.7 million), and 251 West 39th Street ($9.0 million). These properties are located in Beverley Hills, California; Bellevue, Washington; and Manhattan, respectively, with the advanced funds used primarily to fund capital expenditure projects and accretive leasing costs. An additional $55.1 million of loan future funding allocated to 14 individual borrowers remains available. The largest portion of the available funds, $14.6 million, is allocated to the borrower of the aforementioned 110 Atrium loan. As of the May 2024 remittance, one loan, representing 1.5% of the current trust balance, is in special servicing. The loan, 1900 W Lawrence Avenue, is secured by a mixed-use property consisting of 59 residential units and 19,000 square feet of retail space in Chicago. The loan initially matured in July 2023 but did not transfer to special servicing until December 2023. According to the special servicer, both parties are negotiating forbearance terms. As per the November 2023 rent roll, the consolidated occupancy rate at the subject was 94.9%, with net cash flow of $1.6 million and debt service coverage ratio of 0.53 times for the trailing 12 months ended November 30, 2023, In its analysis, Morningstar DBRS applied an upward LTV adjustment and increased the loan's probability of default to increase the loan's expected loss to approximately two times the transaction's expected loss. Nine loans, representing 28.4% of the current trust balance, are on the servicer's watchlist, all of which are flagged for upcoming maturity risk. In total, 21 loans, representing 88.7% of the cumulative trust loan balance, have scheduled maturity dates through YE2024, however, according to the collateral manager, the majority of the borrowers are expected to exercise loan extension options. Another nine loans, representing 41.4% of the current trust balance, have been modified. The terms of the individual loan modifications vary and have included the waiver of performance-based tests to exercise maturity extensions as well as the purchase of new rate agreements. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. Notes: All figures are in U.S. dollars unless otherwise noted. MAN GLG 2018-1: Moody's Lowers Rating on $6MM E-R Notes to Caa2 --------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Man GLG US CLO 2018-1 Ltd.: US$30M Class B-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Feb 21, 2023 Upgraded to A1 (sf) US$32M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on Aug 19, 2020 Confirmed at Baa3 (sf) US$6M Class E-R Senior Secured Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on Sep 25, 2023 Downgraded to Caa1 (sf) Moody's have also affirmed the ratings on the following notes: US$315M (Current outstanding amount US$217,326,748) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 20, 2018 Assigned Aaa (sf) US$56M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 25, 2023 Upgraded to Aaa (sf) US$25M Class D-R Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 19, 2020 Confirmed at Ba3 (sf) Man GLG US CLO 2018-1 Ltd., originally issued in April 2015 and refinanced in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Silvermine Capital Management LLC. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The upgrades on the ratings on the Class B-R and C-R notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in September 2023. The downgrade on the rating on the Class E-R notes is due to the deterioration in the credit quality of the underlying collateral pool and deterioration in over-collateralisation ratios since the last rating action in September 2023. The affirmations on the ratings on the Class A-1-R, A-2-R and D-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down by approximately USD89.9 million (28.5%) since the last rating action in September 2023 and USD97.7 million (31.0%) since closing. As a result of the deleveraging, over-collateralisation (OC) for senior and mezzanine rated notes has increased. According to the trustee report dated May 2024 [1] the Class A, Class B and Class C OC ratios are reported at 137.99%, 124.35% and 112.48% compared to August 2023 [2] levels of 130.02%, 120.10% and 111.06%, respectively. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated May 2024 [1], the WARF was 3130, compared with 2985 as of August 2023 [2]. Securities with ratings of Caa1 or lower currently make up approximately 11.2% of the underlying portfolio, versus 7.3% in August 2023 [2]. In addition, the over-collateralisation ratios of the junior rated notes have deteriorated since the rating action in September 2023. According to the trustee report dated May 2024 [1], the Class D OC ratio is reported at 104.68% compared to August 2023 [2] level of 104.90%. Moody's note that the Class D OC ratio is currently in breach of its trigger of 105.00%. Based on Moody's own calculation, the OC ratio for the Class E-R notes is currently at 103.82% compared to the August 2023 level of 104.11%. Key model inputs: The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD379.59m Defaulted Securities: USD3.03m Diversity Score: 65 Weighted Average Rating Factor (WARF): 2920 Weighted Average Life (WAL): 3.76 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.28% Weighted Average Recovery Rate (WARR): 46.66% Par haircut in OC tests and interest diversion test: 0.89% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the June 2024 trustee report was published at the time Moody's were completing Moody's analysis of the May 2024 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little change between these dates. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance methodology" published in October 2023. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. MAN US 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Man US CLO 2024-1 Ltd. Entity/Debt Rating ----------- ------ MAN US CLO 2024-1 Ltd. A LT NRsf New Rating A-1 L LT NRsf New Rating A-1 Loan LT NRsf New Rating A-2 Loan LT NRsf New Rating B-1 LT AAsf New Rating B-2 Fixed LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY MAN US CLO 2024-1 LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLG LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.72, versus a maximum covenant, in accordance with the initial expected matrix point of 25.3. 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 97.25% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.05% versus a minimum covenant, in accordance with the initial expected matrix point of 74.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 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 5.1-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 '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 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, 'A+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Man US CLO 2024-1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MERCHANTS FLEET 2024-1: DBRS Gives Prov. BB Rating on E Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes (together, the Notes) to be issued by Merchants Fleet Funding LLC, Series 2024-1 (the Transaction): -- $409,200,00 Class A Notes at AAA (sf) -- $19,720,000 Class B Notes at AA (sf) -- $28,950,000 Class C Notes at A (high) (sf) -- $26,330,000 Class D Notes at BBB (sf) -- $15,800,000 Class E Notes at BB (sf) The credit ratings on the Notes are based on Morningstar DBRS' review of the following considerations: -- Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement levels are sufficient to support Morningstar DBRS stressed loss assumptions under various scenarios. -- The yield supplement account is established to supplement the yield from any lease that does not meet a minimum yield requirement. -- The Transaction's ability to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. The credit ratings address the payment of timely interest on a monthly basis and principal by the Legal Final Maturity. -- Merchants Fleet Funding LLC's (Merchants) capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS continues to deem Merchants an acceptable originator and servicer of fleet leases. -- The high-credit-quality obligors given strong historical performance of the collateral. -- The leased vehicles are essential use vehicles for customers; therefore, such leases are likely to be affirmed by an obligor in a bankruptcy proceeding. -- These leases are hell-or-high water and triple net with no set-off language. The lessee is responsible to pay all taxes, title, and registration charges. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit rating on Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Class Monthly Interest and Class Invested Amount. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the Class A Additional Interest, Class B Additional Interest, Class C Additional Interest, Class D Additional Interest, and Class E Additional Interest. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. MF1 LLC 2022-B1 LLC: DBRS Confirms B(low) Rating on 3 Tranches -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of commercial mortgage-backed notes issued by MF1 2022-B1 LLC (the Issuer), as follows: -- Class A Notes at AAA (sf) -- Class B Notes at AAA (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at A (low) (sf) -- Class E Notes at BBB (high) (sf) -- Class F Notes at BBB (low) (sf) -- Class G Notes at BB (high) (sf) -- Class G-E Notes at BB (high) (sf) -- Class G-X Notes at BB (high) (sf) -- Class H Notes at BB (low) (sf) -- Class H-E Notes at BB (low) (sf) -- Class H-X Notes at BB (low) (sf) -- Class I Notes at B (low) (sf) -- Class I-E Notes at B (low) (sf) -- Class I-X Notes at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the outstanding collateral in the transaction, which has remained in line with Morningstar DBRS' expectations. While select loans have exhibited performance concerns, the majority of the loans are expected to successfully secure refinancing and/or pay off upon loan maturity, given the underlying collateral has demonstrated stable to improving operating performance over the last few reporting periods, as the respective borrowers have generally progressed toward completion of their stated business plans. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The transaction closed in November 2022 with a cut-off pool balance totaling approximately $1.275 billion, excluding approximately $151.0 million of future funding commitments. The initial collateral consisted of 33 floating-rate mortgage loans secured by 76 multifamily, senior housing, student housing, mixed-use, and manufactured housing properties, most of which were in a period of transition with plans to stabilize and improve asset values. As of the May 2024 remittance, the pool comprises 33 loans secured by 69 properties with a cumulative trust balance of $1.625 million. Since issuance, two loans with a former cumulative trust balance of $78.6 million have successfully repaid from the pool, both of which were repaid since Morningstar DBRS' prior credit rating action in June 2023. The transaction has a 24-month reinvestment period, whereby the Issuer can purchase new loan collateral or funded loan participations on existing loan collateral into the trust, subject to certain eligibility criteria. Future collateral interests can be secured only by multifamily, manufactured housing, student housing, and senior living property types during the stated reinvestment period. The Issuer is required to obtain a no-downgrade Rating Agency Confirmation (RAC) by Morningstar DBRS for all new collateral interests and funded companion participations. Since issuance, five loans totaling $274.7 million have been contributed to the trust. The transaction is concentrated by property type as 31 loans, representing 96.5% of the current trust balance, are secured by multifamily properties, with one loan (2.6% of the current trust balance) secured by a senior housing and one loan (1.2% of the current trust balance) secured by a manufactured housing property. The transaction is also concentrated by loan size, as the largest 15 loans represent 65.9% of the pool, and by properties in suburban markets, with 17 loans, representing 49.7% of the pool, assigned a Morningstar DBRS Market Rank of 3, 4, or 5. An additional nine loans, representing 36.6% of the pool, are secured by properties with a Morningstar DBRS Market Rank of 6, 7, or 8 denoting an urban market, while seven loans, representing 13.6% of the pool, are secured by properties with a Morningstar DBRS Market Rank of 1 or 2, denoting a rural or tertiary market. Leverage across the pool is generally stable compared with issuance with a current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) of 67.4% (compared with 68.3% at closing) and a WA stabilized LTV of 62.0% (compared with 61.2% at closing). Morningstar DBRS recognizes, however, that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 or 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. In the analysis for this review, DBRS Morningstar applied upward LTV adjustments across eight loans, representing 21.1% of the current trust balance. Through April 2024, the collateral manager had advanced $164.3 million in loan future funding to 27 of the 33 remaining individual loans, to aid in property stabilization efforts. The loan with the largest future funding advances to date is the Avilla Gateway loan (Prospectus ID#35; 1.0% of the pool balance), secured by a 228-unit multifamily property in Phoenix, Arizona. The loan is scheduled with an initial maturity in July 2024, with two one-year extension options available. The advanced funds have been used to fund the borrower's $22.9 million Phase II capital improvement plan that commenced in June 2022, with the $19.9 million of future funding allocated specifically to hard costs (including site work, amenities, and unit improvements) and soft costs (including taxes and/or legal fees incurred from construction). According to the Q1 2024 quarterly report, the borrower has drawn a total of $21.4 million and has completed the hard cost portion of the project, with only one remaining soft cost to execute. As of February 2024, the property was achieving physical and leased occupancy rates of 76.3% and 82.9%, respectively, with an average leased rental rate of $1,897 per unit, representing a $132 rental premium over the average in-place rent of $1,765 per unit at closing. Additionally, concessions are being offered through two months of free rent. As the average leasing rate was 14 units per month over the past six months, the borrower expects to reach stabilization at the end of Q2 2024. An additional $91.3 million of unadvanced loan future funding allocated to 19 loans remains outstanding, which are scheduled to primarily be used toward capital improvements, tenant costs and leasing commissions, and/or funding debt service or earn out reserves. As of the May 2024 remittance, there was only one loan, The Tides at Country Club (Prospectus ID#7; 3.7% of the pool), in special servicing. The loan is secured by a 582-unit multifamily community in Mesa, Arizona. The loan transferred to special servicing in August 2023 for payment default. According to the Q1 2024 report provided by the collateral manager, a short-term forbearance agreement has been granted to provide additional time for the borrower to finalize a potential loan assumption. The sponsor's business plan is to implement a $6.9 million in capital improvement project to complete the renovations on the remaining 420 unrenovated and partially renovated units. As of April 2024, $3.8 million of future funding as been released, with approximately 60 units (14.0%) renovated as of Q1 2024. The property was 85.2% occupied (86.6% occupied for available units) as of January 2024, with an average rental rate of $1,161 per renovated unit (not inclusive prior renovated units), representing a $199 premium over the average in-place rent of $962 at closing, but below the sponsor's projected renovated rental rate of $1,466 per unit. Given the impending modification/loan assumption, Morningstar DBRS believes the expected loss of the loan is higher than pool average driven primarily by the suburban location of the asset in MSA Group 1, which is the weakest group in terms of historical defaults and losses and higher Morningstar DBRS As-Is LTV of 83.8%. In addition to the specially serviced loan, there are two loans, The Reserve at Brandon (Prospectus ID#8; 3.5% of the pool) and Tides on 61st (Prospectus ID#17; 2.0% of the pool), that are deemed matured nonperforming loans after surpassing their initial loan maturity in early May 2024. According to the collateral manager's most recent update, however, both loans have executed pre-negotiation agreements alongside a temporary forbearance to provide a short-term loan maturity extension, which will facilitate potential modification discussions. According to the loan's initial documents, both loans have three one-year extension options available. As of January 2024, The Reserve at Brandon property (now known as the Skye Reserve) was able to achieve an occupancy rate of 76.7% and a rental premium of $504 relative to closing. For the same period, the Tides on 61st was 89.1% occupied (90.3% occupied for available units) and was achieving a $491 rental premium relative to closing. However, given the recent financial difficulties faced by Tides Equities, Morningstar DBRS analyzed the loan with an adjustment to the sponsor quality, resulting in an individual loan expected loss (EL) figure of more than two times the pool's EL. The Axel (Prospectus ID#2; 10.2% of the pool) is a matured performing loan, secured by the borrower's leasehold interest in two ground leases underlying the Axel, a 284 residential unit luxury multifamily property, with 59,454 sf of commercial space in Brooklyn, New York. Following the loan's initial maturity in May 2024, the borrower has been granted a short-term extension to July 2024 via a forbearance agreement, and per the servicer's most recent commentary, the borrower is currently engaging in discussions to extend the loan. According to the loan's initial documents, the loan has three one-year extensions available. Through April 2024, the borrower has advanced only approximately 38.3% of the future funding that was set to cover the borrower's capital improvement project, leasing costs, future reserves, and earn-out future funding. Per the collateral manager, the borrower will be using the remaining future funding toward tenant improvements and leasing costs. As of Q1 2024, the property was 81.7% occupied, with the borrower expecting occupancy to stabilize in Q3 2024, given the upcoming strong leasing season. The average rental rate for all occupied units was $3,839 per unit, as of January 2024, with the market-rate units achieving an average rental rate of $4,535 per unit, above the Morningstar DBRS stabilized rental rate of $3,958 per unit. The are 30 loans, representing 91.1% of the pool, on the servicer's watchlist, the vast majority of which are being monitored for low debt service coverage ratios, low occupancy, and/or upcoming maturities, including The Axel loan, as well as two loans, representing 6.9% of the pool, that are in a payment grace period. Despite the significant number of loans on the watchlist, the majority of the borrowers behind these loans have made solid process in their respective business plans, with the properties exhibiting signs of improved performance based on the growing rental premiums relative to the average in-place rents at issuance. Furthermore, per issuance documents, the majority of these loans also have multiple extension options available, in the form of two or three one-year extension options or one six-month plus three one-year extension options. Notes: All figures are in U.S. dollars unless otherwise noted. MIDOCEAN CREDIT X: S&P Affirms BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its rating to the class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, and D-2-RR replacement debt from MidOcean Credit CLO X/MidOcean Credit CLO X LLC, a CLO originally issued in November 2019 that is managed by MidOcean Credit Fund Management L.P. At the same time, S&P withdrew its rating on the class A-1-R, A-2-R, B-R, C-R, D-1-R, and D-2-R debt following payment in full on the June 28, 2024, refinancing date. S&P also affirmed its rating on the class E-R debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period for the newly issued debt was set to June 28, 2025. Replacement And Outstanding Debt Issuances Replacement debt Class A-1-RR, $240 million: Three-month term SOFR + 1.310% Class A-2-RR, $15 million: Three-month term SOFR + 1.600% Class B-RR, $49 million: Three-month term SOFR + 1.950% Class C-RR, $24 million: Three-month term SOFR + 2.200% Class D-1-RR, $16 million: Three-month term SOFR + 3.450% Class D-2-RR, $8 million: 8.418% Outstanding debt Class A-1-R, $240 million: Three-month term SOFR + 1.49161% Class A-2-R, $15 million: Three-month term SOFR + 1.86161% Class B-R, $49 million: Three-month term SOFR + 2.16161% Class C-R, $24 million: Three-month term SOFR + 2.86161% Class D-1-R, $16 million: Three-month term SOFR + 3.66161% Class D-2-R, $8 million: Three-month term SOFR + 5.13161% 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 we will take rating actions as we deem necessary." Rating Assigned MidOcean Credit CLO X/MidOcean Credit CLO X LLC Class A-1-RR, $240 million: AAA (sf) Class A-2-RR, $15 million: AAA (sf) Class B-RR, $49 million: AA (sf) Class C-RR, $24 million: A (sf) Class D-1-RR, $16 million: BBB+ (sf) Class D-2-RR, $8 million: BBB- (sf) Rating Withdrawn MidOcean Credit CLO X/MidOcean Credit CLO X LLC Class A-1-R to not rated from 'AAA (sf)' Class A-2-R to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-R to not rated from 'A (sf)' Class D-1-R to not rated from 'BBB+ (sf)' Class D-2-R to not rated from 'BBB- (sf)' Ratings Affirmed MidOcean Credit CLO X/MidOcean Credit CLO X LLC Class E-R: BB- (sf) Other Outstanding Debt MidOcean Credit CLO X/MidOcean Credit CLO X LLC Subordinated notes: Not rated MORGAN STANLEY 2013-ALTM: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-ALTM issued by Morgan Stanley Capital I Trust 2013-ALTM as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at BBB (high) (sf) -- Class D at BB (high) (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the continued stable performance of the collateral property as evidenced by the robust occupancy rate, strong in-line tenant sales figures, and healthy financial performance. The loan continues to benefit from the ongoing amortization; however, Morningstar DBRS does note that the investor appetite for regional malls does remain somewhat diminished, which could complicate refinancing efforts as the loan is scheduled to mature in February 2025. In addition, there is a moderate tenant rollover risk of approximately 24.0% of the net rentable area (NRA) with leases scheduled to expire in the next 12 months, but it is worthy to note that the leases for collateral anchors at the property were recently renewed. The transaction is secured by the fee-simple interest in a 641,000-square-foot (sf) portion of a 1.16 million-sf, two-story, enclosed super-regional mall known as Altamonte Mall, which is in the northern suburbs of Orlando. The 12-year loan had an original principal balance of $160.0 million, with an initial five-year interest-only (IO) period; thereafter, the loan amortizes on a 30-year amortization schedule. The loan began amortizing in 2018, and as of the May 2024 remittance, the loan reported a balance of $140.5 million, representing a collateral reduction of 12.2% since issuance. The loan is sponsored by a joint venture between the New York State Common Retirement Fund and Brookfield Property Partners L.P. (Brookfield). Brookfield acquired an interest in the property as part of its acquisition of General Growth Properties, Inc. in 2018. Brookfield provides property management services as well. The property is a prominent shopping destination in North Orlando, primarily serving local patrons, in contrast to other nearby malls that mainly cater to tourists. As of the March 2024 rent roll, the property was 94.8% occupied, which remains relatively unchanged since 2020. Noncollateral anchors include Macy's and Dillard's, while collateral anchors include JCPenney (25.1% of the NRA, lease expiry in January 2029) and AMC Theatres (AMC; 11.8% of the NRA, lease expiry in December 2028), both of which signed lease renewals within the last six months. As previously noted, tenants representing 24.0% of the NRA have leases scheduled to expire in the next 12 months. Although the recent five-year lease renewal for JCPenney is encouraging, the retailer's sales at the property remain generally dismal. As of the trailing 12 months (T-12) ended September 30, 2023, JCPenney reported average sales of $69 per sf (psf), unchanged from the prior year but below the YE2021 figure of $77 psf. In-line tenant sales, however, continue to post strong figures, with the T-12 ended September 30, 2023, sales at $782 psf for tenants occupying less than 10,000 sf, compared with the YE2022 figure of $749 psf. When excluding Apple's sales, those figures decline to approximately $498 psf and $470 psf, respectively. Sales for AMC were $538,611 per screen for the T-12 ended September 30, 2023, which remains in line with the YE2022 figure of $538,588 per screen. Based on the financials for the trailing nine-month period ended September 30, 2023, the annualized net cash flow (NCF) was $13.8 million (representing a debt service coverage ratio (DSCR) of 1.56 times (x)), compared with the YE2022 and YE2021 figures of $14.3 million (DSCR of 1.61x) and $12.5 million (DSCR of 1.41x), respectively. Given the relatively stable performance of the collateral, Morningstar DBRS maintained the $168.2 million value derived in 2020 when the credit ratings were assigned; this value was based on the Morningstar DBRS NCF figure of $13.5 million and a capitalization rate of 8.0%. The Morningstar DBRS value implies an as-is loan-to-value ratio (LTV) of 83.5%. Morningstar DBRS maintained positive adjustments totaling 3.0% to the LTV sizing benchmarks to account for the property's quality build and location. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2014-C17: DBRS Confirms CCC Rating on E Certs ------------------------------------------------------------ DBRS, Inc. confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C17 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 as follows: -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class PST at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at CCC (sf) The trend on Class D was changed to Negative from Stable. Class E has a credit rating that does not typically carry trends in commercial mortgage-backed securities (CMBS). All other trends are Stable. The credit rating confirmations and Stable trends reflect the overall performance of the transaction, supported by the increased credit enhancement provided to the certificates as a result of the successful repayment of 19 loans totaling $352.7 million since last review in June 2023 and the majority of loans, which are exhibiting healthy performance metrics with a healthy weighted-average (WA) pool debt service coverage ratio (DSCR) of 1.84 times (x), excluding defeasance (4.9% of the pool). However, the Negative trend reflects the challenges for the pool, including three loans (11.8% of the pool) in special servicing and six loans (24.9% of the pool) that that Morningstar DBRS expects will face increased refinance risk as a result of performance declines, increased tenant rollover risk, and/or general market concerns, with all remaining loans scheduled to mature in the next four months. According to the May 2024 reporting, 32 of the original 67 loans remain in the pool, with an aggregate principal balance of $283.3 million, reflecting a collateral reduction of 34% since last review and 72.7% since issuance, as a result of scheduled loan amortization, loan repayment and three loan liquidations. The largest liquidation from the trust was the Holiday Inn Houston Intercontinental, previously 2.9% of the pool, which was liquidated with the September 2023 reporting at a realized loss of approximately $18.6 million, a portion of which affected Class F. In its analysis for this review, Morningstar DBRS liquidated one of the three specially serviced loans, which was real estate owned (REO), resulting in an implied loss of $5.3 million that would also be contained to Class F. There are 21 loans, representing 75.7% of the pool, on the servicer's watchlist for upcoming maturity, of which only two have second trigger codes for upcoming tenant rollover risk and deferred maintenance. Morningstar DBRS also projected updated valuations for loans with elevated refinance risk, a number of which indicated value deficiencies as the loans approach their respective maturities, resulting in an increased credit risk for Class E and supporting the Negative trend. Where applicable, Morningstar DBRS increased the probability of default penalties (POD) and/or increased loan-to-value ratios (LTVs) to reflect the increased risk of maturity default. These adjusted loans had a WA expected loss that was more than 1.5x the pool's WA expected loss. The largest loan with elevated refinance risk that Morningstar DBRS has concerns about is also the largest loan in special servicing. The Holiday Inn Center City Charlotte (Prospectus ID#12; 7.2% of the pool) is secured by a 294-room full- service hotel in Charlotte, North Carolina. Since issuance, the hotel had operated under the Holiday Inn flag (owned by InterContinental Hotel Group (IHG)), however, the franchise agreement ended in November 2023 and it appears the property is now operating under a DoubleTree (owned by Hilton Worldwide Holdings Inc.) flag. The loan transferred to the special servicer in April 2024 as a result of imminent maturity default with the loan's scheduled maturity in July 2024. The workout strategy is still unclear as the servicer is evaluating the next steps. The loan's transfer followed a substantial performance decline in 2023 with the DSCR reported at 0.98x in YE2023, down from 1.57x in YE2022 but in line with pre-pandemic and issuance figures. The decline has been a result of both a drop departmental revenue and an increase operating expenses; however, room revenue and food and beverage revenue remain stable, despite the increase in supply in the market over the last several years. As of YE2023, other departmental revenue dropped by nearly $0.5 million year over year, which, along with the increased expenses, contributed to an elevated operating expense ratio of 75%, above the previous year's figure of just 66%. According to the YE2023 STR, the subject reported occupancy rate, average daily rate, and revenue per available room (RevPAR) figures of 57.3%, $146, and $84, respectively, which were in line with 2022 figures, but below the pre-pandemic figures of 71.7%, $143, and $103 for the trailing 12 months ended March 30, 2018. Based on the same reporting, the hotel had a RevPAR penetration rate of only 75.2%, a decrease from the previous year's rate of 86.2%, highlighting the subject's decline in popularity. As noted above, the hotel recently began operating under a DoubleTree flag and, according to the property's website, the borrower has refreshed the property in line with brand standards that, as a premium brand, should help to improve the subject's competitive appeal. While Morningstar DBRS anticipates the borrower will face some difficulties in refinancing given the recent decline in performance, which will likely have an effect on the property's value, the loan has been maintained current to date, and it appears the borrower has recently invested into the property, which should help improve future performance. This loan was analyzed with an elevated POD, resulting in an expected loss (EL) that was nearly 1.5x the pool's WA EL. The second-largest loan in special servicing is secured by Arrowhead Professional Park (Prospectus ID#33; 3.0% of the pool), a 40,000 square foot (sf), Class B medical office property in Glendale, Arizona. The loan is secured by the only office property remaining in the pool and transferred to special servicing in November 2020 for monetary default following the departure of Arrowhead Health Center (formerly 54% of the NRA) in July 2018. Ultimately, the loan was foreclosed and became REO in April 2022, following several years when the borrower was unable to backfill any substantial portions of space. Occupancy has remained distressed since the loan's transfer and was reported at 20% as of June 2023. An updated September 2023 appraisal valued the property at $7.4 million, down from previous valuations of $7.9 million, $8.4 million, and $13.1 million in January 2023, May 2022, and at issuance, respectively. According to Reis, the Northwest submarket of Phoenix has reported a vacancy rate above 20% for the past three years and it is expected to remain elevated through 2029. Given the poor occupancy, soft submarket, and decreasing investor appetite for the property type, Morningstar DBRS liquidated the loan, taking a haircut to the September 2023 appraised value, resulting in a loss severity in excess of 60%. At issuance, Morningstar DBRS shadow-rated the Courtyard King Kamehameha's Kona Beach Hotel Leased Fee loan (Prospectus ID#6; 13.1% of the pool) as investment grade. With this review, DBRS Morningstar confirms that the performance of the loan remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-MS1: DBRS Confirms B(high) Rating on F Certs ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all the classes of Commercial Mortgage Pass-Through Certificates, Series 2015-MS1 issued by Morgan Stanley Capital I Trust 2015-MS1 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class PST at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (high) (sf) In addition, Morningstar DBRS changed the trends on the Class E and Class F certificates to Negative from Stable. All other classes continue to have Stable trends. The credit rating confirmations reflect the stable performance of the transaction as exhibited by a healthy weighted-average (WA) debt service coverage ratio (DSCR) of 2.0 times (x) based on the most recent financial reporting available. Twelve loans, representing 8.8% of the pool, have been fully defeased. As the pool enters its maturity year in 2025, Morningstar DBRS expects the vast majority of loans to repay from the pool. The Negative trends on the Class E and Class F certificates reflect the transaction's exposure to several loans (representing more than 15.0% of the pool) that Morningstar DBRS has identified as being at increased risk of maturity default given recent performance challenges, weakening submarket fundamentals, and unfavorable lending conditions for certain property types. For these loans, Morningstar DBRS applied an elevated probability of default (POD) penalty and/or loan-to-value ratio (LTV), resulting in a weighted-average (WA) expected loss for these loans that is triple the WA expected loss for the pool. As of the May 2024 remittance, 50 of the original 54 loans remain in the pool, with a trust balance of $782.0 million, representing a collateral reduction of 11.7% since issuance. To date, the trust has not incurred any losses, however there are almost $600,000 in interest shortfalls that have been contained to the nonrated Class G certificate. Eleven loans, representing just less than 25% of the pool balance, are on the servicer's watchlist for declining performance metrics, lack of updated financial statements, and/or lack of compliance with provisions in the loan documents. There is one loan in special servicing, HSBC Building (Prospectus ID#16; 1.9% of the pool), which is secured by an office property in suburban Tampa. The sole tenant, HSBC, vacated in 2018 although its lease extended to 2020. The loan is currently real estate owned and based on the January 2024 appraisal, the property's as-is value was $7.2 million, down more than 40% from the January 2023 value of $12.6 million, noting deterioration in the outlook for office property demand given the emergence of a trend for tenants to either seek well-located, new and high quality buildings or downsize and switch to a full or partial remote working environment. Morningstar DBRS liquidated the loan in the analysis for this review, applying a haircut to the most recent appraisal value. This resulted in an implied loss of $10.9 million, with a loss severity of nearly 75%. Waterfront at Port Chester (Prospectus ID#4; representing 6.8% of the pool), the largest loan on the servicer's watchlist, is secured by a grocery-anchored retail property in Port Chester, New York. The pari passu loan is being monitored for its low debt service coverage ratio (DSCR), which fell below breakeven as of the Q3 2023 reporting to 0.78 times (x), compared with 1.15x at YE 2022 and 1.34x at YE 2021 as a result of a decline in occupancy. The occupancy rate, which remains unchanged, declined to 86.5% when former major tenant Bed Bath and Beyond (previously 10.6% of net rentable area (NRA) and 9.4% of base rent) vacated in January 2022. Given the performance declines and the inability to find a replacement tenant, Morningstar DBRS elevated the POD to increase the expected loss in its analysis for this review, resulting in an expected loss that is more than four times the pool level expected loss. At issuance, 32 Old Slip Fee (Prospectus ID#3; representing 7.7% of the pool), Alderwood Mall (Prospectus ID#5; representing 4.5% of the pool), and 841-853 Broadway (Prospectus ID#6; representing 6.4% of the pool) were shadow-rated investment grade. With this review, DBRS Morningstar confirmed the performance of these loans remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2017-C33: Fitch Affirms B- Rating on Class F Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C33 (MSBAM 2017-C33) and 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 (MSBAM 2017-C34). Fitch has revised the Rating Outlooks for affirmed classes E and F in MSBAM 2017-C33 and affirmed classes A-S, B, C, D, X-B and X-D in MSBAM 2017-C34 to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2017-C33 A-3 61767CAT5 LT AAAsf Affirmed AAAsf A-4 61767CAU2 LT AAAsf Affirmed AAAsf A-5 61767CAV0 LT AAAsf Affirmed AAAsf A-S 61767CAY4 LT AAAsf Affirmed AAAsf A-SB 61767CAS7 LT AAAsf Affirmed AAAsf B 61767CAZ1 LT AA+sf Affirmed AA+sf C 61767CBA5 LT A+sf Affirmed A+sf D 61767CAC2 LT BBB-sf Affirmed BBB-sf E 61767CAE8 LT BB-sf Affirmed BB-sf F 61767CAG3 LT B-sf Affirmed B-sf X-A 61767CAW8 LT AAAsf Affirmed AAAsf X-B 61767CAX6 LT A+sf Affirmed A+sf X-D 61767CAA6 LT BBB-sf Affirmed BBB-sf MSBAM 2017-C34 A-2 61767EAB0 LT AAAsf Affirmed AAAsf A-3 61767EAD6 LT AAAsf Affirmed AAAsf A-4 61767EAE4 LT AAAsf Affirmed AAAsf A-S 61767EAH7 LT AAAsf Affirmed AAAsf A-SB 61767EAC8 LT AAAsf Affirmed AAAsf B 61767EAJ3 LT AA-sf Affirmed AA-sf C 61767EAK0 LT A-sf Affirmed A-sf D 61767EAU8 LT BBsf Affirmed BBsf E 61767EAW4 LT CCCsf Affirmed CCCsf F 61767EAY0 LT CCsf Affirmed CCsf X-A 61767EAF1 LT AAAsf Affirmed AAAsf X-B 61767EAG9 LT A-sf Affirmed A-sf X-D 61767EAL8 LT BBsf Affirmed BBsf X-E 61767EAN4 LT CCCsf Affirmed CCCsf X-F 61767EAQ7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.6% for MSBAM 2017-C33 and 5.5% for MSBAM 2017-C34. There are five Fitch Loans of Concern (FLOCs; 20.8% of the pool) in MSBAM 2017- C33, which includes one performing special serviced loan (6.3%) and eight FLOCs (31%) in MSBAM 2017-C34, which includes one performing special serviced loan (4.5%). The affirmations of all classes in MSBAM 2017-C33 and MSBAM 2017-C34 reflect the relatively stable pool performance and loss expectations since the last rating action. The Negative Outlooks in MSBAM 2017-C33 reflect an additional sensitivity analysis that considers a higher increased probability of default on the D.C. Office Portfolio loan due to elevated vacancy at the property and softness in the submarket. The Negative Outlooks in MSBAM 2017-C34 reflect an additional sensitivity analysis that considers an increased probability of default on the Ocean Park Plaza & 1102 Broadway loans. In addition, the Negative Outlooks reflect the high concentration of office assets (46% of the pool) and refinanceability concerns. Fitch Loans of Concern; Largest Loss Contributors: The largest contributor to loss in the MSBAM 2017-C33 transaction is the 141 Fifth Avenue loan (4.3%), which is secured by a 4,425-sf single-tenant retail condominium located in the Flatiron District of Manhattan. The property is comprised of 3,500 sf of ground floor space and 925 sf of basement storage space and is located at the base of a 12-story mixed-use condominium building. The single tenant, HSBC, vacated prior to their October 2022 lease expiration. A cash flow sweep was triggered with approximately $1.8 million collected in reserves as of June 2024. The sponsor is currently marketing the vacant space. As of YE 2023 the retail portion of the property remains vacant. Fitch's 'Bsf' rating case loss of 41.2% (prior to concentration adjustment) reflects a dark value analysis and a higher probability of default as the property remains vacant. The next largest contributor to loss is the D.C. Office Portfolio loan (6%), which is secured by a portfolio comprised of three office buildings totaling 328,319-sf located within an area known as the Golden Triangle within the Washington, D.C. CBD. The tenancy is granular as the buildings are leased to approximately 100 tenants. The portfolio's major tenants include New Venture Fund (4.2% NRA; leased through May 2024) and Mooney, Green, Saindon, Murphy (2.4%; December 2030). According to the servicer, New Venture fund is in the process of renewing their lease at the property. Portfolio occupancy declined to 68.9% as of YE 2023 from 73.7% at YE 2022 due to several smaller tenants vacating upon their respective lease expiration. Occupancy previously declined between 2019 and 2020 due to the previous largest tenant, Liquidity Services, Inc. (8.3% of NRA), vacating in March 2020. Portfolio NOI DSCR was 1.07x as of YE 2023, compared with 1.04x at YE 2022 and 0.97x at YE 2021. According to CoStar, the property lies within the CBD Office Submarket of the Washington, DC market area. As of 2Q24, average rental rates were $54.94 psf and $39.20 psf for the submarket and market, respectively. Vacancy for the submarket and market was 17.9% and 16.8%, respectively. Fitch's 'Bsf' case loss of 18.8% (prior to a concentration adjustment) is based on a 9.25% cap rate and 5% stress to the YE 2021 NOI which reflects performance consistent with the current occupancy and upcoming lease rollover. The largest contributor to overall pool loss expectations and the largest increase in loss since the prior rating action in MSBAM 2017-C34 is the Ocean Park Plaza loan (4.5%), which is secured by a 99,601-sf, class B, office property located in Santa Monica, CA. Occupancy has continued to decline reaching a historical low of 20% as of YE 2023 compared with 48% at YE 2022 and 72% in 2021. Matchcraft (16% of NRA, 18% of base rent), and Ocean Park Casting (8% of NRA or 11% of base rent), vacated ahead of their respective lease expirations in May 2022 and November 2023. Costar reported a submarket vacancy of 19.7% and rent of $62.66 psf as of Q2 2024 compared with subject asking rents of $49.96 psf. The servicer reported NOI DSCR declined to 0.15x as of YE 2023 compared with 1.15x at YE 2022 and 1.23x at YE 2021. Fitch's 'Bsf' rating case loss of approximately 51% prior to concentration adjustments reflects an 10.0% cap rate applied to the YE 2023 NOI. The second largest contributor to loss is the Mall of Louisiana loan (4.2%), which is secured by a 1.5 million sf (776,789 sf collateral) super-regional mall located in Baton Rouge, LA. The loan is considered a Fitch Loan of Concern due to a dark anchor and decline in cashflow. Sears, a non-collateral anchor, closed in May 2021 at the property. Collateral occupancy was 88% as of December 2023, unchanged from YE 2022 but down from 92% at YE 2021. NOI DSCR declined to 1.48x as of YE 2023 compared to 1.57x at YE 2022 and 1.48x at YE 2021. As of TTM December 2023, comparable inline sales excluding Apple was $476 psf, compared to $482 psf at YE 2022, $539 at YE 2021 and $335 psf at YE 2020. AMC Theatres reported December 2023 TTM sales of $188,199 per screen compared to $134,266 per screen at YE 2022, and $560,583 per screen at issuance. AMC was closed for a significant portion of 2020 due to the pandemic. Fitch's 'Bsf' rating case loss of approximately 9% reflects a 12.5% cap rate and a 7.5% stress to the YE 2023 NOI. Defeasance: The MSBAM 2017-C33 transaction includes seven loans (12.6% of the pool) that have fully defeased, while MSBAM 2017-C34 has five loans (8.6%) fully defeased. Credit Enhancement (CE): As of the May 2024 distribution date, the aggregate balances of the MSBAM 2017-C33 and MSBAM 2017-C34 transactions have been reduced by 20% and 6.8%, respectively, since issuance. Cumulative interest shortfalls of $ 398,559 are affecting the non-rated class G in MSBAM 2017-C33 and $ 307,003 thousand are affecting the non-rated G class in MSBAM 2017-C34. 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 the junior 'AAAsf' rated class A-S in MSBAM 2017-C34 reflect the high office concentration 46% and the potential for downgrades if expected losses increase, most notably on the office FLOCs. 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 141 Fifth Avenue and D.C. Office Portfolio in MSBAM 2017-C33, and Ocean Park Plaza and Mall of Louisiana in MSBAM 2017-C34. 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 '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 from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs and special serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCsf' and 'CCCsf' is 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. MORGAN STANLEY 2018-H3: Fitch Affirms 'B-sf' Rating on G-RR Debt ---------------------------------------------------------------- Fitch Ratings has affirmed the ratings of 14 classes of Morgan Stanley Capital I Trust 2018-H3. Fitch has also revised the Rating Outlook on classes C, D, E-RR and X-D to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- MSC 2018-H3 A-3 61767YAX8 LT AAAsf Affirmed AAAsf A-4 61767YAY6 LT AAAsf Affirmed AAAsf A-5 61767YAZ3 LT AAAsf Affirmed AAAsf A-S 61767YBC3 LT AAAsf Affirmed AAAsf A-SB 61767YAW0 LT AAAsf Affirmed AAAsf B 61767YBD1 LT AA-sf Affirmed AA-sf C 61767YBE9 LT A-sf Affirmed A-sf D 61767YAC4 LT BBB-sf Affirmed BBB-sf E-RR 61767YAE0 LT BBB-sf Affirmed BBB-sf F-RR 61767YAG5 LT BB-sf Affirmed BB-sf G-RR 61767YAJ9 LT B-sf Affirmed B-sf X-A 61767YBA7 LT AAAsf Affirmed AAAsf X-B 61767YBB5 LT AA-sf Affirmed AA-sf X-D 61767YAA8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.94%. There are nine Fitch Loans of Concern (FLOCs 20.6%), which includes one loan (1.2%) in special servicing. The affirmations reflect the relatively stable pool performance and loss expectations since the last rating action. The Negative Outlooks incorporate an additional sensitivity scenario that assumed an increased probability of default on the SunTrust Center and Miracle Mile loans due to tenant or performance concerns. The Negative Outlooks also reflect the high office concentration comprising 32% of the pool and declining performance trends and refinanceability concerns on the office collateral. Largest Contributors to Loss: The largest contributor to loss is the SunTrust Center loan (4.6% of the pool), which is secured by a 419,653-sf suburban office property located in Glen Allen, VA, approximately 13 miles NW of the Richmond CBD. The largest tenant SunTrust Bank (61% of NRA; lease expiration in March 2028) vacated their entire space during the first half of 2022. In 2019, SunTrust merged with BB&T bank to become Truist Bank and decided to consolidate office space. According servicer updates, there are two separate tenants that have subleased SunTrust's vacant space. As of YE 2023, servicer reported occupancy and NOI DSCR were 89% and 2.43x, respectively, which is in line with YE 2022. Fitch's 'Bsf' rating case loss of 18.8% (prior to concentration add-ons) reflects a 10% cap rate and 25% stress to the YE 2023 NOI due to the largest tenant departure and subleased tenants. Fitch's analysis also incorporated an increased the probability of default due to anticipated refinance concerns as the SunTrust lease expires within three months of the loan maturity. The next largest contributor to loss is The Westbrook Corporate Center loan (4%), which is secured by a 1.1 million-sf suburban office property complex located in Westchester, IL. Occupancy for the complex continues to steadily decline, at a reported 67% at YE 2023, compared with 71% at YE 2022 and 84% at issuance. According to CoStar, approximately 50% of the total NRA is being listed as available for lease. Additionally, 23% of the NRA is scheduled to roll within next three years, including the largest tenant, Follett Higher Education Group (11%). Despite the decline in occupancy, NOI DSCR increased to 1.66x at YE 2023 from 1.56x at YE 2022 due to higher EGI, while operating expenses increased during the same period. YE 2023 NOI is 16% below the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss of 13.3% (prior to concentration adjustments) reflects a 10.25% cap rate, a 30% stress to YE 2023 NOI due to high concentration of space available for sublease and near-term rollover and an increased probability of default due to the increasing vacancy Largest Loss Improvement Since Prior Rating Action: The largest loss contributor at Fitch's prior rating action was the Crowne Plaza Dulles Airport loan (3.3%), which is secured by a 324- room lodging property located in Herndon, VA. Property performance has begun to rebound after a slow recovery from the pandemic. The servicer reported TTM March 2024 NOI DSCR was 1.68x compared with 1.84x at YE 2023 and 0.43x at YE 2022. Property performance has begun to stabilize; however, the subject remains below its competitive set in ADR and RevPAR with penetration rates of 71% and 81%, respectively according to the January 2024 STR report. Fitch's 'Bsf' rating case loss of 7.9% (prior to concentration add-ons) reflect a 11.25% cap rate and a 15% haircut to the TTM March 2024 NOI. At prior review Fitch's 'Bsf' rating case loss was approximately 37%. Credit Enhancement: As of the May 2024 distribution date, the pool's aggregate principal balance has paid down by 12.7% to $894.3 million from $1.024 billion at issuance. Of the remaining pool balance, 25 loans comprising 51.7% of the pool are full-term interest-only. Two loans (2.7%) have been defeased. Two loans (4.4%) are scheduled to mature in 2025, with the remainder of the pool (95.6%) scheduled to mature in 2028. Interest shortfalls of $376,000 are currently affecting the non-rated class J-RR. There have been no realized losses to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are not considered likely due to increasing CE and expected continued amortization but could occur if interest shortfalls impact these classes. Downgrades to the 'A-sf' rated classes may 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 'BBB-sf', 'BB-sf' and 'B-sf' rated classes may occur if FLOCs fail to stabilize and/or or additional loans transfer to special servicing. These elevated risk loans include the SunTrust Plaza, Westbrook Corporate Center, 55 Miracle Mileand Prince and Spring Street Portfolio Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AA-sf' and 'A-sf' classes may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse. Upgrades to classes rated 'BBB-sf' may occur as the number of FLOCs are reduced, and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls. Upgrades to 'B-sf' and 'BB-sf' rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2024-INV3: Moody's Assigns B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 34 classes of residential mortgage-backed securities (RMBS) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2024-INV3, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of GSE-eligible (99.0% by balance) and prime jumbo (1.0% by balance) residential mortgages aggregated by Morgan Stanley from CrossCountry Mortgage, LLC (36.0% by balance), PennyMac Loan Services, LLC and PennyMac Corp. (collectively, PennyMac, 26.9% by balance), Movement Mortgage, LLC (14.6% by balance), and other originators constituting less than 10% of the loans (by balance). PennyMac aggregated some of its loans from other originators. The loans will be serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint), and PennyMac. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2024-INV3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1-IO*, Definitive Rating Assigned Aaa (sf) Cl. A-X-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-2-IO*, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-IO*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-IO*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-IO*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-IO*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-IO*, Definitive Rating Assigned )Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-IO*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-9-IO*, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aa1 (sf) Cl. A-10-IO*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aa1 (sf) Cl. A-11-IO*, Definitive Rating Assigned Aa1 (sf) Cl. A-12, Definitive Rating Assigned Aa1 (sf) Cl. A-12-IO*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.20%, in a baseline scenario-median is 0.82% and reaches 9.57% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. NASSAU LTD 2017-II: Moody's Cuts Rating on $18.5MM E Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Nassau 2017-II Ltd.: US$25,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on May 12, 2023 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$18,500,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to Caa3 (sf); previously on September 29, 2023 Downgraded to Caa1 (sf) Nassau 2017-II Ltd., issued in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2022. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since September 2023. The Class A-L notes and Class A-F notes have been paid down collectively by approximately 54.80% or $85.5 million since then. Based on Moody's calculation, the OC ratios for the Class B and Class C notes are currently 157.69% and 130.51%, respectively, versus September 2023 levels of 135.99% and 121.14%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the transaction has incurred par loss of approximately $4.2 million or 1.5% of the portfolio since September 2023, and the OC ratio for the Class E notes is currently 99.31% versus the September 2023 level of 101.02%. Moreover, the Class E notes' OC test is currently failing its test level. Furthermore, Moody's calculation of the deal's exposure to issuers rated Caa1 or lower has increased to 14.8%, compared to 11.1% in September 2023. No actions were taken on the Class A-L, Class A-F, Class B, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $192,829,378 Defaulted par: $1,623,164 Diversity Score: 53 Weighted Average Rating Factor (WARF): 2901 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.55% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.47% Weighted Average Life (WAL): 3.4 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. NEUBERGER BERMAN 25: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 25, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 25, LTD. A-R2 LT NRsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1R2 LT BBB-sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Neuberger Berman Loan Advisers CLO 25, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers LLC. The transaction originally closed in September 2017 and was refinanced on March 2021 (Initial Refinancing Date). On June 27, 2024 (Closing Date), the CLO will refinance the existing secured notes with net proceeds from the issuance of new secured and additional subordinated notes (in addition to the existing subordinated notes), which will provide financing on a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.1, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.03% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.1% versus a minimum covenant, in accordance with the initial expected matrix point of 71.3%. 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1R2, between less than 'B-sf' and 'BB+sf' for class D-2R2, 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 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-1R2, 'A-sf' for class D-2R2, and 'BBB+sf' for class E-R2. 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 assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 25, 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. NEUBERGER BERMAN 56: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 56, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 56, Ltd. A-1 LT AAAsf 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 LT NRsf New Rating TRANSACTION SUMMARY Neuberger Berman Loan Advisers CLO 56, 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 $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 23.83, 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 97.48% first -lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.22% versus a minimum covenant, in accordance with the initial expected matrix point of 71.75%. Portfolio Composition (Positive): The largest three industries may comprise up to 46% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 56, 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. OBX TRUST 2021-J1: Moody's Upgrades Rating on Cl. B-4 Certs to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 50 bonds from four US residential mortgage-backed transactions (RMBS). OBX 2021-J1 Trust is backed by prime jumbo mortgage loans. OBX 2022-INV1 Trust, OBX 2022-INV2 Trust, and OBX 2022-INV5 Trust are backed by almost entirely agency eligible investor (INV) mortgage loans. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=D08UMb A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: OBX 2021-J1 Trust Cl. B-1, Upgraded to Aaa (sf); previously on Apr 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Apr 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Apr 30, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Apr 30, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Apr 30, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Apr 30, 2021 Definitive Rating Assigned B2 (sf) Cl. B-IO1*, Upgraded to Aaa (sf); previously on Apr 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-IO2*, Upgraded to A1 (sf); previously on Apr 30, 2021 Definitive Rating Assigned A3 (sf) Issuer: OBX 2022-INV1 Trust Cl. A-18, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-19, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO20*, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO21*, Upgraded to Aaa (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Baa2 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned B3 (sf) Cl. B-IO1*, Upgraded to Aa1 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-IO2*, Upgraded to Aa3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned A2 (sf) Cl. B-IO3*, Upgraded to A3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Baa2 (sf) Issuer: OBX 2022-INV2 Trust Cl. A-13, Upgraded to Aaa (sf); previously on Feb 11, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Feb 11, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO14*, Upgraded to Aaa (sf); previously on Feb 11, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 11, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Feb 11, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 11, 2022 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Feb 11, 2022 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Feb 11, 2022 Definitive Rating Assigned Baa2 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Feb 11, 2022 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Feb 11, 2022 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Feb 11, 2022 Definitive Rating Assigned B3 (sf) Cl. B-IO1*, Upgraded to Aa2 (sf); previously on Feb 11, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-IO2*, Upgraded to Aa3 (sf); previously on Feb 11, 2022 Definitive Rating Assigned A2 (sf) Cl. B-IO3*, Upgraded to A3 (sf); previously on Feb 11, 2022 Definitive Rating Assigned Baa2 (sf) Issuer: OBX 2022-INV5 Trust Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Nov 22, 2022 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Nov 22, 2022 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Baa2 (sf) Cl. B-3A, Upgraded to Baa1 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Nov 22, 2022 Definitive Rating Assigned B3 (sf) Cl. B-IO1*, Upgraded to Aa2 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-IO2*, Upgraded to A1 (sf); previously on Nov 22, 2022 Definitive Rating Assigned A2 (sf) Cl. B-IO3*, Upgraded to Baa1 (sf); previously on Nov 22, 2022 Definitive Rating Assigned Baa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continue to display strong collateral performance, with no cumulative losses for each transaction 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, 14.34% for the tranches upgraded. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting upgrades. No actions were taken on the other rated classes in these deals because their expected losses on the bonds 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 "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. OCTAGON INVESTMENT 26: Moody's Cuts $10MM F-R Notes Rating to Caa2 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Octagon Investment Partners 26, Ltd.: US$10,000,000 Class F-R Secured Deferrable Floating Rate Notes due 2030 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on September 17, 2020 Confirmed at B3 (sf) Octagon Investment Partners 26, Ltd., originally issued in April 2016 and refinanced in June 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class F-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's June 2024 report[1], the Interest Diversion Test (which calculates the over-collateralization (OC) ratio for the Class F-R notes) is reported at 101.59% versus June 2023 level[2] of 103.39%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level[3] is 2954 compared to 2806 in June 2023[4]. No actions were taken on the Class A-1-R and Class A-2-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations". The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $435,063,718 Defaulted par: $2,034,712 Diversity Score: 68 Weighted Average Rating Factor (WARF): 2979 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.39% Weighted Average Coupon (WAC): 8.0% Weighted Average Recovery Rate (WARR): 46.8% Weighted Average Life (WAL): 3.7 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in this rating 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. OCTAGON INVESTMENT 29: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon Investment Partners 29, Ltd. Reset Transaction. Entity/Debt Rating ----------- ------ Octagon Partners 29, Ltd. A-1-R2 LT NRsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Octagon Investment Partners 29, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC that originally closed in December 2016. This is the second refinancing where the existing notes will be refinanced in whole on June 28, 2024. 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 24.42, 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 96.16% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.3% versus a minimum covenant, in accordance with the initial expected matrix point of 71.96%. Portfolio Composition (Positive): The largest three industries may comprise up to 46% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-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-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-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, 'Asf' for class D-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, 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 Octagon Investment Partners 29, 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. OCTAGON INVESTMENT 33: S&P Affirms 'BB-(sf)' Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-2 and B notes from Octagon Investment Partners 33 Ltd. At the same time, S&P affirmed its ratings on the class C, D, and R Combo Nt notes from the same transaction. S&P also removed the class D rating from CreditWatch, where it placed this with negative implications in April 2024. The rating actions follow S&P's review of the transaction's performance using data from the May 2024 trustee report. The transaction has paid down $133.64 in collective paydowns to the class A-1 notes since our June 2023 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the May 2023 trustee report, which we used for our previous rating actions: -- The class A-2 O/C ratio improved to 138.27% from 127.75%. -- The class B O/C ratio improved to 122.98% from 118.24%. -- The class C O/C ratio improved to 110.92% from 110.17%. -- The higher coverage tests for the class A-2, B, and C notes indicate an increase in their credit support. While senior O/C ratios improved, the class D O/C ratio declined to 104.27% from 105.49% since the May 2023 trustee report and is failing slightly. The decline in the O/C ratio and indicative cash flows were the primary reasons behind placing the class D rating on CreditWatch negative. While collateral obligations with defaulted ratings remained relatively unchanged at $2.46 million as of the May 2024 trustee report, compared with $2.38 million as of the May 2023 trustee report, collateral obligations in the 'CCC' category increased to $41.98 million from $19.86 million during the same period. The current exposure of the collateral obligations with ratings in the 'CCC' category is now in excess of the maximum allowed by the documents. As a result, the trustee, as per the terms of the CLO documents, haircut the O/C numerator for this excess. Without considering this haircut, the class D O/C ratio would otherwise be passing. The O/C ratio has seen some improvements since the class was placed on CreditWatch negative, and cashflows are now showing positive indications. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. On a standalone basis, the results of the cash flow analysis indicated a higher rating on all classes. However, because the transaction currently has higher exposure to 'CCC' rated collateral obligations, S&P ran some sensitivity analysis and limited the upgrade on some classes after considering those results. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised Octagon Investment Partners 33 Ltd. Class A-2 to 'AA+ (sf)' from 'AA (sf)' Class B to 'A+ (sf)' from 'A (sf)' Ratings Affirmed And Removed From CreditWatch Negative Octagon Investment Partners 33 Ltd. Class D to 'BB- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Octagon Investment Partners 33 Ltd. Class C: BBB- (sf) Class R Combo Nt: A+p (sf) ONNI COMMERCIAL 2024-APT: Fitch Gives BB-(EXP) Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to ONNI Commercial Mortgage Trust 2024-APT, commercial mortgage pass-through certificates series 2024-APT (ONNI 2024-APT). - $521,600,000 class A 'AAAsf'; Outlook Stable - $82,900,000 class B 'AA-sf'; Outlook Stable - $65,100,000 class C 'A-sf'; Outlook Stable - $91,700,000 class D 'BBB-sf'; Outlook Stable - $69,950,000 class E 'BBsf'; Outlook Stable - $43,750,000a class HRR 'BB-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 an $875 million, five-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage will be secured by the borrowers' fee simple interest in a portfolio of eight multifamily properties with a total of 2,791 units (including 565 furnished short-term rental units) and 174,963 sf of commercial space located across Chicago and Los Angeles. The properties were constructed between 2015 and 2023. Loan proceeds, along with $125 million of mezzanine debt, will be used to refinance approximately $930.5 million in prior debt, pay closing-related costs of approximately $13.5 million, fund $17.4 million of upfront reserves and return $38.6 million of equity to the sponsor. The sponsor developed the portfolio at a total cost basis of $1.2 billion. The certificates will follow a sequential-pay structure. The loan is expected to be originated by Wells Fargo Bank, National Association (N.A.), Citi Real Estate Funding Inc. and Goldman Sachs Bank USA. Wells Fargo Bank, N.A. will also be the master servicer, with MF1 Loan Services LLC as the special servicer. Computershare Trust Company, N.A. will act as trustee and certificate administrator. Park Bridge Lender Services LLC will serve as operating advisor. The transaction is expected to close on July 18, 2024. KEY RATING DRIVERS Net Cash Flow: Fitch Ratings' net cash flow (NCF) for the property is estimated at $68.8 million; this is 13.2% lower than the issuer's NCF and 10.1% higher than TTM March 2024 NCF. Fitch applied a 7.75% cap rate to derive a Fitch value of $887.9 million. High Fitch Leverage: The $875 million total trust debt has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield of 0.9x, 98.5% and 7.9%, respectively. Including the $125 million of subordinate mezzanine debt, the Fitch DSCR, LTV and debt yield are 0.8x, 112.6% and 6.9%, respectively. Fitch expects the Fitch market LTV for non-investment grade-rated tranches to not exceed 100%. For this transaction, the Fitch market LTV through class HRR, the lowest Fitch-rated tranche, is 84.1%. Quality Assets and Diverse Portfolio: The portfolio is secured by eight recently constructed multifamily properties located in Chicago and Los Angeles. These properties are cross-collateralized and cross-defaulted. The mid- to high-rise apartment buildings contain a total of 2,791 units and 174,963 sf of commercial space and are well amenitized; each property generally includes outdoor pools, theater rooms, outdoor sports courts, spas and private dining areas. Of the 2,791 units, 2,226 (or 80%) of the units are traditional multifamily units and the remaining 565 (or 20%) of the units are furnished short-term rental (STR) units. Fitch inspected four of the properties in the portfolio and assigned all inspected properties a property quality grade of "A". The portfolio is granular, with no property comprising more than 16.3% of all units or 17.1% of Fitch NCF. Experienced Sponsorship: The loan is sponsored by Onni Group. Onni currently owns and manages over 11,200 multifamily units. Since its inception, the company has constructed over 15,000 homes and more than 18.4 million sf of office, retail and industrial space with an additional 28 million sf in different phases of development. All leasing, operations and maintenance functions for the portfolio are managed by Onni's in-house property management team. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original rating: 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBB-sf'/'BBsf'/ 'BB-sf'; - 10% NCF Decline: 'AAsf'/ 'BBB+sf'/ 'BBB-sf'/'BBsf'/ 'B+sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original rating: 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBB-sf'/'BBsf'/ 'BB-sf'; - 10% NCF Increase: 'AAAsf'/ 'AA+sf'/ 'A+sf'/ 'BBB+sf'/'BBB-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 KPMG 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 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. PALMER SQUARE 2021-4: Moody's Affirms Ba2 Rating on $35MM D Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2021-4, Ltd. USD120,000,000 Class A-2 Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Oct 26, 2021 Assigned Aa1 (sf) USD60,000,000 Class B Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Oct 26, 2021 Assigned A1 (sf) USD35,000,000 Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Oct 26, 2021 Assigned Baa2 (sf) Moody's have also affirmed the ratings on the following notes: USD680,000,000 (current outstanding amount USD 314,415,479.31) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 26, 2021 Assigned Aaa (sf) USD35,000,000 Class D Senior Secured Deferrable Floating Rate Notes, Affirmed Ba2 (sf); previously on Oct 26, 2021 Assigned Ba2 (sf) USD10,000,000 Class E Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 26, 2021 Assigned Ba3 (sf) Palmer Square Loan Funding 2021-4, Ltd., issued in October 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is serviced by Palmer Square Capital Management LLC. The servicer may sell assets on behalf of the Issuer during the life of the transaction. Reinvestment is not permitted and all sales and unscheduled principal proceeds received will be used to amortize the notes in sequential order. RATINGS RATIONALE The rating upgrades on the Class A2, B and C notes are primarily a result of the significant deleveraging of the Class A1 senior notes following amortisation of the underlying portfolio since the payment date in July 2023. The affirmations on the ratings on the Class A1, D and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A1 notes have paid down by approximately USD198.7 million (29.2%) in the last 12 months and USD365.6 million (53.8%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated June 2024 [1] the Class A, Class B, Class C and Class D OC ratios are reported at 144.0%, 126.5%, 118.2% and 110.2% compared to June 2023 [2] levels of 131.0%, 119.6%, 113.9% and 108.7%, respectively. The key model inputs Moody's use in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD625,364,074 Defaulted Securities: USD608,024 Diversity Score: 64 Weighted Average Rating Factor (WARF): 2823 Weighted Average Life (WAL): 3.76 years Weighted Average Spread (WAS) (before accounting for floors): 3.28% Weighted Average Recovery Rate (WARR): 47.28% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance methodology" published in October 2023. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes performance is subject to uncertainty. The notes performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the servicer or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the servicer's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the servicer's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PALMER SQUARE 2024-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2024-2 Ltd./Palmer Square CLO 2024-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Capital Management LLC. The preliminary ratings are based on information as of June 28, 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 Palmer Square CLO 2024-2 Ltd./Palmer Square CLO 2024-2 LLC Class A-1, $384.00 million: AAA (sf) Class A-2, $6.00 million: AAA (sf) Class B, $66.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB- (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $57.00 million: Not rated PARK BLUE 2024-V: Moody's Assigns Ba3 Rating to $16MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Park Blue CLO 2024-V, Ltd. (the "Issuer" or "Park Blue CLO 2024-V"). Moody's rating action is as follows: US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$16,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2037, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Park Blue CLO 2024-V is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist first lien last out loans, second lien loans, unsecured loans and bonds. The portfolio is approximately 100% ramped as of the closing date. Centerbridge Credit Funding Advisors, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued four other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2967 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. PIKES PEAK 16: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Pikes Peak CLO 16 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 16 Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-L LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Pikes Peak CLO 16 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group US Management CLO LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million in 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 24.2, 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 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.96% versus a minimum covenant, in accordance with the initial expected matrix point of 72.30%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Pikes Peak 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. PPM CLO 7: Fitch Assigns BBsf Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to PPM CLO 7 Ltd. Entity/Debt Rating ----------- ------ PPM CLO 7 Ltd. A-1 LT AAAsf New Rating A-1L LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C-1 LT A+sf New Rating C-2 LT A+sf New Rating D-1A LT BBB+sf New Rating D-1B LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY PPM CLO 7 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PPM Loan Management Company 2, 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 (Positive): The indicative portfolio consists of 97.25% first-lien senior secured loans and has a weighted average recovery assumption of 74.34%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-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-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-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. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for PPM CLO 7, 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. PPM CLO 7: Moody's Assigns B3 Rating to $1MM Class F Notes ---------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by PPM CLO 7 Ltd. (the "Issuer" or "PPM 7"). Moody's rating action is as follows: US$226,000,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$30,000,000 Class A-1 Loans Notes maturing 2037, Assigned Aaa (sf) US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2037, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. PPM 7 is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of assets that are not senior secured loans. The portfolio is fully ramped as of the closing date. PPM Loan Management Company 2, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued eight other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3000 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. PRMI SECURITIZATION 2024-CMG1: Fitch Gives Bsf Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRMI Securitization Trust 2024-CMG1 (PRMI 2024-CMG1). Entity/Debt Rating Prior ----------- ------ ----- PRMI 2024-CMG1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The residential mortgage-backed notes are backed by a pool of non-seasoned and seasoned, first lien, open home equity line of credit (HELOC) on residential properties, to be issued by PRMI Securitization Trust 2024-CMG1 (PRMI 2024-CMG1). This is the third transaction rated by Fitch that includes HELOCs with open draws on the PRMI shelf. The collateral pool consists of 769 non-seasoned and seasoned, performing, prime-quality loans with a current outstanding balance as of the cutoff date of $315.63 million (the collateral balance based on the maximum draw amount is $416.63 million, as determined by Fitch). As of the cutoff date, 100% of the HELOC lines are open; the aggregate available credit line amount is expected to be $101.00 million, per the transaction documents. The loans were originated or acquired by CMG Mortgage, Inc. and are serviced by Northpointe Bank. The transaction is structured with a sequential structure for both the interest and principal waterfalls. Losses are allocated reverse sequentially. Draws will be funded first by the servicer, which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the Variable Funding Account (VFA). The VFA will be funded up front by the holder of the trust certificate, and the holder of the trust certificate will be obligated, in certain circumstances (only if draws exceed funds in the VFA), to remit funds on behalf of the holder of the class R note to the VFA to reimburse the servicer for certain draws on the mortgage loans. Any amounts so remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicer, Northpointe Bank, will not advance delinquent monthly payments of P&I. After the presale was published, Merchants Bank of Indiana (Merchants) was added as the named successor servicer. In the event of a servicer default, the controlling holder will appoint Merchants as the new servicer. Merchants is a subsidiary of Merchants Bancorp, the owner of a minority interest in (i) PRMIGP, LLC, the general partner of PR Mortgage Investment, LP (PRMI LP), the parent of the sponsor and (ii) PR Mortgage Investment Management, LLC, the manager of PRMI LP. Fitch based its analysis on the current servicer, Northpointe Bank, since they are the servicer currently servicing the loans. Any potential increase in servicing fees due to the new servicer taking over servicing if there is servicer event of default by the current servicer was already accounted for in Fitch's cash flow. While having a named successor servicer eases the transition in a servicer event of default scenario, Fitch did not give any credit in its analysis to this addition. The overall impact of this change did not change Fitch's loss expectations or the ratings that Fitch assigned. Although the notes have a note rate based on the SOFR index, the collateral is made up of 100% adjustable-rate loans, with 0.32% based on 30-day CME Term SOFR and 99.68% based on One-Year Treasury CMT per the transaction documents. As a result, there is no LIBOR exposure in the transaction. 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 11.2% above a long-term sustainable level (vs. 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 have increased 5.5% YoY nationally as of February 2024 despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality First Lien HELOC (Positive): The collateral pool consists of 769 first lien, non-seasoned and seasoned, performing prime-quality loans with a current principal balance of $315.63 million as of the cutoff date ($416.63 million, based on the max draw amount). As of the cutoff date, 100% of the collateral comprises open HELOC lines. The pool in aggregate is seasoned eight months, according to Fitch. Of the loans, Fitch determined that 100.0% of the loans are current with none of the loans having a delinquency in the past 24 months. None of loans have received a prior modification, based on Fitch's analysis, and none of the loans have subordinate financing. The pool exhibits a relatively strong credit profile, as shown by the Fitch-determined 766 weighted average (WA) FICO score (765 per the transaction documents) as well as the 73.0% combined loan-to-value ratio (CLTV) and 82.0% sustainable LTV ratio (sLTV). Fitch viewed the pool as being roughly 79.3% owner occupied, 90.0% single family, 41.7% purchase and 39.0% to be cashout/limited cashout refinances (all based on the max draw amount). Based on the current drawn amount as of the cutoff date, total cashouts are 55.3% based on Fitch's analysis (55.47% per the transaction documents). Approximately 12.1% of the pool is concentrated in California, per Fitch's analysis. The largest MSA concentration is in the Phoenix MSA (8.7%), followed by the Denver MSA (6.6%) and the Seattle MSA (5.0%). The top three MSAs account for 20.3% of the pool. As a result, there was no probability of default (PD) penalty for geographic concentration. No Servicer Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of P&I. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated notes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf'' rated class Sequential Structure (Positive): The proposed structure is a sequential structure that prioritizes the payment of the more senior classes first in both the interest and principal waterfall. In the principal waterfall, unpaid interest on the A-1 is paid first, which is supportive of the A-1 class receiving timely interest. In the principal waterfall, after A-1 is paid any unpaid interest amounts, principal is allocated pro-rata to the trust certificate and the A-1 (at all times the A-1 is expected to receive principal payments until it is paid in full). Once A-1 is paid interest, then unpaid interest and principal are allocated to the remaining classes sequentially starting with the A-2 class. If a credit event is in effect, the transaction will still have a sequential structure for the principal waterfall. However all funds will go to the A, M, and B classes to pay unpaid interest and then principal, with the trust certificate being paid after the B-3 class is paid in full. Losses are allocated reverse sequentially as follows: Realized losses in respect of the mortgage loans will be applied, through the application of applied realized loss amounts, (a) on any payment date on which a credit event is not in effect, by reducing the residual principal balance of the trust certificates up to the trust certificates writedown amount for such payment date, until the residual principal balance of the trust certificates has been reduced to zero, and then to reduce the note amounts of the offered notes (other than the class AIOS notes) in reverse sequential order of principal payments beginning with the class B 3 notes, in each case until the note amount of such class is reduced to zero, and (b) on any payment date on which a credit event is in effect, by reducing the note amount of the notes and the residual principal balance of the trust certificates in reverse sequential order of principal payments, beginning with the trust certificates and then to the class B 3 notes, and so on, in each case, until the residual principal balance or note amount thereof is reduced to zero. Excess cash flow in the transaction is not used to pay down the bonds but is used to repay previously allocated realized losses and cap carryover amounts. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.3% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Evolve. The third-party due diligence described in Form 15E focused on compliance, credit, and valuations. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 49.3% due diligence performed on the pool, the overall expected loss was reduced by 0.18%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 49.3% of loans in the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Evolve to perform the review on 379 of the loans in the pool. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. The sponsor also engaged Westcor to perform a review on the 11 seasoned loans in the pool for tax and title which confirmed that all 11 subject mortgages are recorded in the appropriate recording jurisdiction, and that for 10 mortgage loans, the title/lien search confirms the subject mortgage in expected lien position. For one mortgage loan, the title/lien search does not confirm the subject mortgage in expected lien position, but a clear title policy confirms the lien insured in expected lien position. In addition, the servicer confirmed the pay history for 100% of the loans in the pool. The servicer confirmed all loans are in the first lien position and they will advance per standard servicing practices to maintain the first lien position. An exception and waiver report was provided to Fitch which indicated the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or debt-to-income lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were reviewed by the due diligence company, and no material discrepancies were noted. ESG CONSIDERATIONS PRMI 2024-CMG1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the reviewed originator and servicing party did not have an impact on the expected losses, the Tier 2 R&W framework with an unrated counterparty resulted in an increase in the expected losses. This has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PRPM LLC 2024-RPL2: DBRS Finalizes BB Rating on Class M-2 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Notes, Series 2024-RPL2 (the Notes) to be issued by PRPM 2024-RPL2, LLC (PRPM 2024-RPL2 or the Trust) as follows: -- $219.4 million Class A-1 at AAA (sf) -- $25.9 million Class A-2 at AA (sf) -- $25.1 million Class A-3 at A (sf) -- $34.4 million Class M-1 at BBB (sf) -- $15.2 million Class M-2 at BB (sf) The AAA (sf) rating on the Class A-1 Notes reflects 37.40% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), and BB (sf) ratings reflect 30.00%, 22.85%, 13.05%, and 8.70% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of seasoned performing and reperforming, first-lien residential mortgages, to be funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 2,082 loans with a total principal balance of $350,523,187 as of the Cut-Off Date (April 30, 2024). The mortgage loans are approximately 211 months seasoned. As of the Cut-Off Date, 67.4% of the loans are current under the Mortgage Bankers Association (MBA) delinquency method, including 240 (10.8% of the loans) bankruptcy-performing loans. Although the number of months clean (consecutively zero times 30 (0 x 30) days delinquent) at issuance is weaker relative to some other Morningstar DBRS-rated seasoned transactions, the borrowers in this pool demonstrate reasonable cash flow velocity (as by number of payments over time) in the past 12 months. Over the past 12 months, 1,758 loans, or 85.9%, have made six or more payments and 1,600 loans, or 78.4%, have made 12 or more payments. Modified loans make up 88.4% of the portfolio. The modifications happened more than two years ago for 90.5% of the modified loans. Within the pool, 670 mortgages (32.1% of the pool by loan count) have a total non-interest-bearing deferred amount of $27,171,437, which equates to approximately 37.3% of the total principal balance. To satisfy the credit risk retention requirements, as of the Closing Date, the Sponsor or a majority-owned affiliate of the Sponsor, will retain the Class B Notes. SN Servicing Corporation (SNSC) will service all of the loans in this transaction. The Servicer will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicer is obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in May 2026. Additionally, a failure to pay the Notes in full by the Payment Date in May 2029 will trigger a mandatory auction of the underlying certificates (mortgage loans). If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year, and subsequently auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, holders of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on either the Expected Redemption Date or after a Credit Event. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Expected Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Expected Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in May 2028, the Class A-1 and the other offered Notes will be entitled to its initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in July 2031 or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Cap Carryover Amount, and Note Amount. Morningstar DBRS' credit rating on the Notes also addresses the credit risk associated with the increased rate of interest applicable to the Notes if the Notes are not redeemed on the Expected Redemption Date (as defined in and) in accordance with the applicable transaction documents. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. RAD CLO 25: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 25, Ltd. Entity/Debt Rating ----------- ------ RAD CLO 25, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY RAD CLO 25, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Irradiant Partners, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 23.65, versus a maximum covenant, in accordance with the initial expected matrix point of 25.56. 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% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.12% versus a minimum covenant, in accordance with the initial expected matrix point of 68.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C-1, between 'B+sf' and 'BBB+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, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AAsf' for class C-2, '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, 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 RAD CLO 25, 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. READY CAPITAL 2022-FL9: DBRS Confirms CCC Rating on Class G Notes ----------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on one class of notes issued by Ready Capital Mortgage Financing 2022-FL9, LLC (the Issuer) as follows: -- Class F to CCC (sf) from BB (low) (sf) Morningstar DBRS also confirmed its credit ratings on the remaining classes of notes as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class G at CCC (sf) All trends are Stable with the exception of Classes F and G, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The credit rating downgrade on Class F is the result of ongoing accumulated interest shortfalls, which have persisted since November 2023 and have surpassed the maximum Morningstar DBRS tolerance for the BB or B credit rating category of six months. As of May 2024 reporting, cumulative interest shortfalls on the Class F Notes totaled $1.8 million and cumulative interest shortfalls on Class G total $2.3 million. The credit rating confirmations on the remaining classes reflect the overall stable performance on the remaining loan collateral as borrowers are generally progressing in the stated business plans to increase property cash flow and value. While there are three loans, representing 25.7% of the current trust balance, in special servicing, including the third- and fourth-largest loans in the transaction, the increased credit support to the bonds as a result of successful loan repayment serves as a mitigant to the increased credit risk on these loans. As of the May 2024 remittance, there has been collateral reduction of 21.1% since issuance. The initial collateral pool consisted of 25 floating-rate mortgages secured by 75 transitional properties totaling $754.2 million, excluding $82.3 million of remaining future funding commitments. The collateral pool for the transaction is static; however, the Issuer can acquire funded loan participation interests into the trust subject to stated criteria and provided the monthly Par Value Ratio and Interest Coverage Ratio tests are passed. As of May 2024, the Interest Coverage Ratio test was failed as the ratio was 108.7%, below the minimum 120.0% requirement. The Permitted Funded Companion Participation Acquisition Period ends with the June 2024 Payment Date, and, as such, the Issuer is unlikely to cure the failed test prior to the expiration of the Acquisition Period. As of May 2024 reporting, the Acquisition Account had a minimal balance of $27.54. As of the May 2024 remittance, the pool comprises 18 loans secured by 65 properties with a cumulative trust balance of $603.8 million. Since issuance, seven loans with a former cumulative trust balance of $202.1 million have been successfully repaid from the pool, including three loans, totaling $67.8 million, since the previous Morningstar DBRS credit rating action in August 2023. The transaction is concentrated by property type as 17 loans are secured by multifamily properties, totaling 96.3% of the current cumulative trust loan balance, while the remaining loan is secured by a student-housing property. The loans are primarily secured by properties in suburban markets with 14 loans, representing 85.6% of the current trust loan balance, secured by properties in suburban markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 3, 4, or 5. An additional four loans, representing 14.4% of the current cumulative trust loan balance, are secured by properties with a Morningstar DBRS Market Rank of 6 or 7, denoting an urban market. Leverage across the pool has also remained consistent as of May 2024 reporting, as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 72.1%, with a current WA stabilized LTV of 65.2%. In comparison, these figures were 71.6% and 67.4%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the current rising interest rate or widening capitalization rate (cap rate) environment. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments for 15 loans, representing 91.2% of the current trust balance. Through May 2024, the lender had advanced cumulative loan future funding of $32.2 million to 14 of the 18 remaining individual borrowers to aid in property stabilization efforts. The largest advance, $10.8 million, has been made to the borrower of the Premier Apartments and 300 Riverside loan, which is secured by a portfolio of two multifamily properties totaling 500 units in Austell, Georgia. Funds were advanced to the borrower to complete various unit-interior and property wide capital expenditure (capex) projects across both properties. The loan was structured with future funding up to $13.0 million for capex with all advanced funds to date provided to the borrower since July 2023. As of YE2023 reporting, the portfolio was 79.0% occupied, a continued increase from the March 2023 occupancy rate of 60.4% and issuance rate of 50.9%, as the borrower continues to implement its business plan. An additional $13.3 million of loan future funding allocated to all 13 individual borrowers remains available. The largest portion of available funds, $4.0 million, is allocated to the borrower of The Boulders loan, which is secured by a multifamily property in Garland, Texas. Future funding is available to the borrower to fund unit-interior and exterior upgrades across the property. Since loan closing, the lender has advanced $2.5 million in future funding to the borrower; however, only an additional $0.3 million has been advanced since July 2023, suggesting the pace of the originally planned capex may have slowed significantly. As of the December 2023 rent roll, the property was 92.0% occupied with an average rental rate of $1,325 per unit, and at YE2023, the property generated net cash flow (NCF) of $2.4 million. In its original stabilized analysis, the Issuer projected stabilized metrics of 95.5%, $1,476 per unit, and $3.5 million, respectively. The largest loan in special servicing, Crescent Ridge (Prospectus ID#3, 10.2% of the current trust balance), is secured by a 350-unit multifamily property in Jacksonville, Florida. The borrower's business plan at closing was to complete an $8.5 million capex project across the property, including $4.4 million for the renovation of all unit interiors to allow it to increase rental rates and occupancy to market. The loan recently transferred to special servicing in May 2024 as the borrower requested relief. According to the servicer, negotiations are ongoing with the borrower regarding a potential loan modification and forbearance. Potential modification terms, if executed, are expected to include a maturity date extension, a change in the interest rate, and a deposit into a debt service reserve. The borrower would also be expected to make a principal curtailment on the loan and agree to cash management. According to the March 2024 rent roll, the property was 82.0% occupied with an average rental rate of $1,503 per unit, an increase of $250 over the average rental rate of closing, but below the Morningstar DBRS stabilized figure of $1,561 per unit and the Issuer's stabilized figure of $1,801 per unit. Additional rental revenue upside may be limited as the lender had advanced loan future funding of $4.9 million to the borrower for the planned capex from loan closing through May 2024, including only an additional $0.9 million since July 2023. As such, the borrower's original business plan is behind schedule. As of YE2023 reporting, the property generated NCF of $2.5 million, implying a low in-place cap rate of 3.4% based on the originally appraised As-Is property value of $75.8 million. In its current analysis, Morningstar DBRS applied upward As-Is and As-Stabilized LTV adjustments to reflect the increased credit risk on the loan. The resulting loan expected loss is above the expected loss for the pool. The second-largest loan in special servicing, Trails Run Apartments (Prospectus ID#2; 9.9% of the current trust balance), is secured by a 312-unit multifamily property in Vernon, Connecticut, built between 2018 and 2021. The loan transferred to special servicing in February 2024 for maturity default as the sponsor was unable to secure take-out financing at the January 2024 maturity date. The loan was not structured with future funding and the borrower's business plan was to stabilize operations prior to securing agency take-out financing. While property cash flow met the required minimum 6.5% debt yield to exercise the first, six-month extension option, the borrower did not exercise the option and the loan remains pending for the February 2024 payment. According to the special servicer, the property was 97.1% occupied as of December 2023 and it has proposed a loan modification with terms expected to include a principal curtailment and cash management in exchange for a maturity extension. A response and potential counter proposal are pending from the borrower. At loan closing, the property was valued at $94.0 million, indicative of an LTV of 80.0%, which is slightly elevated, especially considering the current interest rate environment. In its current analysis, Morningstar DBRS adjusted the LTV upwards to reflect the current credit risk of the loan amid the ongoing resolution process. The resulting loan expected is slightly above the expected loss for the pool. As of the May 2024 remittance, there are eight loans on the servicer's watchlist, representing 30.6% of the current trust balance. The loans have generally been flagged for low occupancy rates and debt service coverage ratios (DSCRs). The largest loan on the servicer's watchlist is the previously mentioned Premier Apartments and 300 Riverside loan (10.5% of the current trust balance), which was flagged for a YE2023 DSCR of 0.35 times. The decline in performance is the result of increased debt service payments combined with lower occupancy rates and an increase in operating expenses experienced throughout the renovation process, which included tenant evictions. According to servicer commentary, performance is expected to improve as the occupancy rate across the collateral stabilizes. Only two loans, representing 11.1% of the current trust balance, have been modified. The Chronos Portfolio loan (7.5% of the current trust balance), which is secured by a portfolio of five multifamily properties totaling 1,070 units throughout the Dallas metropolitan statistical area, was modified in January 2024 to allow a change in property management. The Orchard loan (3.7% of the current trust balance), which is secured by a student housing property in Columbia, South Carolina, was modified in September 2023 to allow a preferred equity investment in the property to purchase a replacement interest rate cap agreement. Notes: All figures are in U.S. dollars unless otherwise noted. READY CAPITAL 2023-FL12: DBRS Cuts Rating on 2 Tranches to CCC -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on two classes of commercial mortgage-backed notes issued by Ready Capital Mortgage Financing 2023-FL12, LLC as follows: -- Class F to CCC (sf) from BB (low) (sf) -- Class G to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) Morningstar DBRS changed the trends on Classes D and E to Negative from Stable. All other trends are Stable with the exception of Classes F and G, which are assigned credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The credit rating downgrades on Classes F and G are the result of ongoing accumulated interest shortfalls, which have persisted since October 2023 and have surpassed the Morningstar DBRS tolerance for the BB or B credit rating category of six months. The shortfalls originally stem from the difference in the floating interest rate benchmark between the bonds and some of the individual loans in the transaction. As of May 2024 reporting, cumulative interest shortfalls on the Class F Notes totaled $1.8 million, and cumulative interest shortfalls on Class G total $1.7 million. The Negative trends on Classes D and E reflect the increased credit risk to the transaction related to the five loans in special servicing, which include the second- and fifth-largest loans in the pool and collectively represent 25.1% of the current trust balance. The borrowers of all five loans have been unable to achieve meaningful progress in the respective business plans to date with three loans, representing 9.5% of the current trust balance, at least two months delinquent on debt service payments as of May 2024 reporting. While all loans have been modified or are in the process of being modified with select borrowers expected to receive a forbearance agreement, Morningstar DBRS notes the credit risk on each asset has materially increased from closing. Additionally, rated bonds above Class F are now more susceptible to additional interest shortfalls, a consideration for the Negative trends with this credit rating action. The credit rating confirmations on the remaining classes reflect the overall stable performance on the remaining loan collateral as borrowers are generally progressing in the stated business plans to increase property cash flow and value. Additionally, as of the May 2024 remittance, there has been a total collateral reduction of 10.6% since issuance as four loans with a former cumulative trust loan balance of $74.3 million have successfully repaid from the pool. The initial collateral pool consisted of 35 floating-rate mortgage loans secured by 59 mostly transitional properties with a cut-off date balance of $648.6 million. The loans were mostly secured by cash flowing assets, many of which were in a period of transition, with plans to stabilize and improve the asset value. All loans had origination dates ranging from December 2019 to May 2023. As of the May 2024 remittance, the pool comprises 31 loans secured by 54 properties with a cumulative loan balance of $582.1 million. The pool is concentrated by property type with loans secured by both multifamily and industrial/flex properties representing 84.1% and 15.9% of the current pool balance, respectively. The collateral pool for the transaction is static; however, the issuer can acquire funded loan participation interests into the trust through the June 2025 Payment Date subject to stated criteria and provided the monthly Par Value Ratio and Interest Coverage Ratio tests are passed. As of May 2024, the Interest Coverage Ratio test was failed as the ratio was 111.0%, below the minimum 120.0% requirement. As such, the Issuer cannot utilize the outstanding $2.7 million balance in the Acquisition Account to purchase funded loan participation interests into the trust at this time. The loans are primarily secured by properties in suburban markets with 25 loans, representing 79.1% of the current trust balance secured by properties in suburban markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 3, 4, or 5. An additional four loans, representing 17.0% of the current cumulative trust balance, are secured by properties with a Morningstar DBRS Market Rank of 6, 7, and 8, denoting an urban market. The largest loan in special servicing, the Appletree Portfolio (Prospectus ID#2, 9.8% of the current pool balance), is secured by a portfolio of six multifamily properties (four located in Columbia, South Carolina, and two located in Memphis, Tennessee) totaling 933 units. The borrower's business plan at closing was to invest $11.4 million to renovate all 933 units ($6.5 million), improve the quality of amenities at the properties ($4.3 million), and address deferred maintenance items ($0.6 million). The loan transferred to special servicing in February 2024 for imminent monetary default. According to the servicer, the borrower has requested a loan forbearance and modification with terms reportedly being negotiated. Potential terms are expected to require an equity injection from the borrower and the nonaccrual of defaulted interest in exchange for relief. According to the YE2023 rent roll, the collateral was 72.6% occupied, with an average rental rate of $963 per unit, a 32.1% increase from the average in-place figure of $729 per unit at issuance, but below the Issuer's stabilized figure of $1,045 per unit. According to an update from the collateral manager, 413 units have been renovated as of May 2024. According to the YE2023 rent roll, 72 of the 933 units (approximately 7.7%) are down, likely as a result of the ongoing renovations. The loan's origination date in March 2022 and maturity in April 2026 indicate that the borrower's original business plan is behind schedule. As of the YE2023 reporting, the property generated negative net cash flow (NCF), and as such, Morningstar DBRS believes the market value of the portfolio has declined from the original As-Is portfolio value of $72.2 million derived by the appraiser at loan closing. In its current analysis, Morningstar DBRS applied an upward loan-to-value ratio (LTV) and probability of default (POD) adjustments to reflect the increased credit risk of the loan. The resulting loan expected loss (EL) was greater than 150.0% times the expected loss for the pool EL. The second-largest loan in special servicing, Mission Matthews Place & Waterford Hills (Prospectus ID#6, 5.8% of the pool), is secured by a 662-unit two-property portfolio of Class B multifamily properties in Charlotte, North Carolina. The loan transferred to special servicing in October 2023 for imminent monetary default. A loan modification and forbearance was executed in April 2024 with terms including a pause on interest payments, a $3.0 million equity injection from the borrower, and a 12-month maturity extension. All deferred interest amounts are due at the initial August 2025 maturity date. The borrower's business plan at closing was to spend $5.9 million to upgrade the interiors of 137 classic units and complete exterior renovations. According to YE2023 reporting, the portfolio was 85.0% occupied, below the Issuer's underwritten and projected stabilized figures of 96.5% and 95.4%, respectively. Average rental rates increased by 17.2% over issuance to $1,359 per unit as of February 2024, but remain below the Issuer's stabilized figure of $1,502 per unit. An update on the status of future funding disbursements was not provided; however, the NCF figure increased to $4.4 million as of YE2023, from $ 3.7 million at issuance. The figure remains below the Issuer's stabilized figure of $8.4 million. Given the slow cash flow growth and the loan's status, Morningstar DBRS applied an upward adjustment to both the As-is and As-stabilized LTVs as well as the POD to reflect the increased credit risk of the loan. The resulting loan expected loss exceeded the overall pool expected loss by greater than 50.0%. As of the May 2024 remittance, there were 18 loans on the servicer's watchlist, representing 53.1% of the current trust balance. The loans have generally been flagged for low occupancy rates, low debt service coverage ratios, and upcoming maturities. The largest loan on the servicer's watchlist is the SAMO Apartments Portfolio loan (Prospectus ID#1, 10.3% of the pool), which was flagged for deferred maintenance and the loan's upcoming maturity in October 2024. Although the loan has exhibited strong cash flow growth, which now exceeds the projected stabilized figure, occupancy has fallen below issuance and stabilized levels. The business plan at closing included a $4.0 million budget to create 22 accessory dwelling units (ADUs) with project financing available for an $8.0 million loan future funding component as $4.0 million was available via a performance-based earnout. As of the YE2023 rent roll, a total of 403 units were online, compared with the 399 units available at issuance, but well below the projected unit count of 421 upon completion of the business plan. It appears the borrower has funded the cost of the new units out of pocket as only approximately $40,000 of loan future funding has been advanced to the borrower since loan closing and none since May 2023. According to the collateral manager, the right to request any additional future funding has ceased. The loan was analyzed with upward POD and LTV adjustments to account for the lack of progress on the business plan and decreased occupancy levels. Notes: All figures are in U.S. dollars unless otherwise noted. REALT 2014-1: DBRS Confirms B(high) Rating on G Certs ----------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014 1 issued by Real Estate Asset Liquidity Trust (REALT) Series 2014-1 as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class X at AAA (sf) -- Class D at AA (low) (sf) -- Class E at A (low) (sf) -- Class F at BBB (sf) -- Class G to B (high) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction since Morningstar DBRS' last review in June 2023 and Morningstar DBRS' view that the remaining seven loans are generally well positioned to be successfully repaid at their respective maturity dates, all of which are scheduled by October 2024. The transaction benefits from a significant concentration of self-storage collateral, which has historically exhibited strong fundamentals with favorable refinancing prospects as well as a healthy weighted-average debt service coverage ratio (DSCR) of 1.94 times (x) for the pool. As of the May 2024 remittance, seven of the original 34 loans remain in the pool with an aggregate principal balance of $54.4 million, representing an 80.6% collateral reduction since issuance as a result of scheduled loan amortization and payoffs. The transaction is concentrated by property type with three loans, representing 50.1% of the pool, secured by retail properties, and three loans, representing 43.8% of the pool, secured by self-storage properties. The remaining loan, representing 6.2% of the pool, is secured by an office property. All seven loans benefit from some level of material recourse to the loans' sponsor. As of the May 2024 remittance, no loans are delinquent or in special servicing. Two loans, representing 19.6% of the pool, are currently being monitored on the servicer's watchlist for upcoming maturities in less than 90 days. The larger of the two loans, Newmarket Plaza (Prospectus ID#12; 13.4% of the pool), is secured by a 70,000 square foot (sf) anchored retail property in Newmarket, Ontario. The loan was scheduled to mature in May 2024 and, according to servicer commentary, the borrower has requested a three-month maturity extension to allow for additional time to close on take-out financing. Loan performance has surpassed issuance levels after rebounding from the lows reported during the peak of the coronavirus pandemic, with YE2023 net cash flow (NCF) and DSCR of $1.3 million and 1.87x, respectively, in line with the YE2022 figures of $1.3 million and 1.90x, respectively. Occupancy as of YE2023 was reported at 100.0%, an increase from the YE2022 occupancy of 91.8%. Notably, two tenants, representing 15.6% of net rentable area, are scheduled to roll in H1 2025, however, given the loan's healthy occupancy and DSCR, Morningstar DBRS believes refinance prospects remain favorable. The second loan on the servicer's watchlist, Homer Office Vancouver (Prospectus ID#24; 6.2% of the pool), is a 19,000 sf office property in Vancouver. Although Morningstar DBRS remains cautious regarding the refinancing prospects of loans secured by office collateral, the subject loan appears reasonably positioned ahead of its August 2024 maturity date as the property is 100.0% occupied, according to a property inspection completed in December 2023, with the majority of tenant rollover occurring in 2027. According to the financials for the trailing 12-months ended October 31, 2022 (the most recent on file), the loan reported a DSCR of 1.54x and NCF of $458,000, in line with 2021 levels and surpassing issuance expectations. Notes: All figures are in Canadian dollars unless otherwise noted. RR 29: S&P Assigns Preliminary 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 29 Ltd./RR 29 LLC, a CLO originally named Gulf Stream Meridian 3 Ltd./Gulf Stream Meridian 3 LLC and issued in February 2021 that is managed by Redding Ridge Asset Management LLC, a subsidiary of Apollo Global Management LLC. The preliminary ratings are based on information as of July 3, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 15, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 15, 2026. -- The reinvestment period will be extended to July 15, 2029. -- The legal final maturity dates for the replacement debt will be extended to July 15, 2039. -- No additional assets will be purchased on the July 15, 2024, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2024. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- An additional $10.77 million in subordinated notes will be issued on the refinancing date. -- The concentration limitation of the collateral portfolio's investment guidelines will be amended. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned RR 29 Ltd./RR 29 LLC Class A-1-R, $248.00 million: AAA (sf) Class A-2-R, $52.00 million: AA (sf) Class B-R (deferrable), $28.00 million: A (sf) Class C-1-R (deferrable), $20.00 million: BBB (sf) Class C-2-R (deferrable), $4.00 million: BBB- (sf) Class D-R (deferrable), $16.00 million: BB- (sf) Other Debt RR 29 Ltd./RR 29 LLC Subordinated notes, $45.77 million(i): Not rated (i)The subordinated notes' balance will be increased to $45.77 million from $35.00 million on the refinancing date. SANTANDER BANK 2024-A: Moody's Assigns B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the Santander Bank Auto Credit-Linked Notes, Series 2024-A (SBCLN 2024-A) notes issued by Santander Bank, N.A. (SBNA). SBCLN 2024-A is the first credit linked notes transaction issued by SBNA in 2024 to transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Santander Bank, N.A. Series: Santander Bank Auto Credit-Linked Notes, Series 2024-A $11,562,000, 5.605%, Class A-2 Notes, Definitive Rating Assigned Aaa (sf) $33,529,000, 5.622%, Class B Notes, Definitive Rating Assigned Aa3 (sf) $46,246,000, 5.818%, Class C Notes, Definitive Rating Assigned A3 (sf) $40,465,000, 6.110%, Class D Notes, Definitive Rating Assigned Baa3 (sf) $28,904,000, 7.762%, Class E Notes, Definitive Rating Assigned Ba3 (sf) $52,027,000, 10.171%, Class F Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Santander Bank, N.A. or as a result of a FDIC conservator or receivership. This deal is unique in that the source of principal payments for the notes will be a cash collateral account held by a third party with a rating of A2 or P-1 by us. SBNA will pay principal in the unlikely event that the cash collateral account does not have enough funds. The transaction also benefits from a Letter of Credit provided by a third party with a rating of A2 or P-1 by us. As a result, the rated notes are not capped by the LT Issuer rating of Santander Bank, N.A. (Baa1). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of Santander Consumer USA Inc. as the servicer. Moody's median cumulative net loss expectation for the 2024-A reference pool is 3.00% and a loss at a Aaa stress of 12.50%. The median cumulative net loss at 3.00% for 2024-A is same as that assigned for 2023-B and the loss at a Aaa stress at 12.50% for 2024-A is 0.50% higher than that assigned for 2023-B, the last transaction Moody's rated. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Santander Consumer USA Inc. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2, B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit 12.95%, 11.50%, 9.50%, 7.75%, 6.50%, and 4.25% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. SEQUOIA MORTGAGE 2024-6: 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 2024-6 (SEMT 2024-6). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2024-6 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT 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 SEMT 2024-6 certificates are supported by 452 loans with a total balance of approximately $509.4 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 452 loans totaling approximately $509.4 million and seasoned at approximately three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted-average Fitch model FICO score of 773 and 34.8% debt-to-income (DTI) ratio, and moderate leverage, with an 82.0% sustainable loan-to-value (sLTV) ratio and 72.7% mark-to-market combined loan-to-value (cLTV) ratio. Overall, the pool consists of 92.5% in loans where the borrower maintains a primary residence, while 7.5% are of a second home; 69.0% 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 11.0% 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 being supported by limited inventory. Shifting-Interest Structure (Negative): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement levels are not maintained. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps to limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high delinquency scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0%, and 30.0% in addition to the model-projected 42.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton and AMC. 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 17bp reduction to the 'AAA' expected loss. ESG CONSIDERATIONS SEMT 2024-6 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-6 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIGNAL PEAK 11: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Signal Peak CLO 11 Ltd./Signal Peak CLO 11 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ORIX Advisers LLC, a wholly owned subsidiary of ORIX Corp. USA. 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 Signal Peak CLO 11 Ltd./Signal Peak CLO 11 LLC Class A-1, $256.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $28.00 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), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $10.00 million: BB- (sf) Subordinated notes, $37.45 million: Not rated SLM STUDENT 2007-4: Fitch Lowers Rating on Two Tranches to 'Bsf' ---------------------------------------------------------------- Fitch Ratings has affirmed the SLM Student Loan Trust (SLM) 2003-14, 2005-4 and 2005-5 notes and downgraded the SLM 2007-4 and 2007-5 notes. The Rating Outlooks for all classes of SLM 2003-14, 2005-4, 2005-5 remain Stable, and classes B-2A and B-2B of SLM 2007-4 were assigned Stable Rating Outlook. The Outlook is Negative for class A-5 of SLM 2007-4 and classes A-6 and B-2 of SLM 2007-5. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2007-4 A-5 78444AAE7 LT Asf Downgrade AA+sf B-2A 78444AAH0 LT Bsf Downgrade BBBsf B-2B 78444AAJ6 LT Bsf Downgrade BBBsf SLM Student Loan Trust 2005-4 A-4 78442GPH3 LT AA+sf Affirmed AA+sf B 78442GPL4 LT Asf Affirmed Asf SLM Student Loan Trust 2003-14 A-7 78442GKG0 LT AA+sf Affirmed AA+sf B 78442GKP0 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2005-5 A-5 78442GPR1 LT AA+sf Affirmed AA+sf B 78442GPS9 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2007-5 A-6 78443FAF4 LT Asf Downgrade AA+sf B-2 78443FAJ6 LT BBBsf Downgrade Asf TRANSACTION SUMMARY SLM 2003-14: Fitch has affirmed the class A-7 notes at 'AA+sf'/Stable. The notes pass all credit and maturity stresses in Fitch's cashflow modeling. The legal final maturity date is Oct. 25, 2065. Performance has remained stable since the prior review with low maturity risk and sufficient credit enhancement. Fitch has affirmed the class B notes at 'BBBsf'/Stable. The class B notes pass credit stresses up to 'BBBsf' and maturity stresses up to 'Asf'. SLM 2005-4: Fitch has affirmed the class A-4 notes at 'AA+sf'/Stable. The notes pass all credit and maturity stresses. The legal final maturity date is July 15, 2040. Performance has remained stable since the prior review with low maturity risk and sufficient credit enhancement. Fitch has affirmed the class B notes at 'Asf'/Stable. The class B notes pass all maturity stresses and credit stresses up to 'AAsf'. The recommendation is to affirm as the total parity of the notes does not meet the 101.0% required for 'AAsf', per Fitch FFELP criteria. SLM 2005-5: Fitch has affirmed the class A-5 notes at 'AA+sf'/Stable. The notes pass all credit and maturity stresses. The legal final maturity date is Oct. 25, 2040. Performance has remained stable since the prior review with low maturity risk and sufficient credit enhancement. Fitch has affirmed the class B notes at 'BBBsf'/Stable. The class B notes pass credit and maturity stresses up to 'Asf', facing principal shortfalls in the 'AAsf' Up credit scenario, along with failing 'AAsf' and 'AAAsf' Up maturity stress scenarios. SLM 2007-4: Fitch has downgraded the class A-5 notes 'Asf' from 'AA+sf'. The Outlook is Negative Stable. The class A-5 notes pass all credit stresses and maturity stresses up to 'BBBsf'. The legal final maturity date is Jan. 27, 2042. Performance has remained stable since the prior review; however remaining term has increased and further pressured expected liquidity at maturity. Rating downgrade maintains one category difference with the Model-Implied Rating (MIR), as allowed per criteria which allows up to two rating categories difference in scenarios where the legal final maturity date is more than seven years away. The class B notes miss their legal final maturity date of Jan. 27, 2042 under both credit and maturity stresses in Fitch's cashflow modelling. In downgrading the ratings to 'Bsf' from 'BBBsf'; rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the time horizon until the class A maturity dates, current rate of amortization, the revolving credit agreements available to the trusts and the eventual full payment of principal in modeling. The classes were assigned a Stable Outlook following the downgrades. SLM 2007-5: Fitch has downgraded the class A-6 notes 'Asf' from 'AA+sf'. The Outlook is Negative. The class A-6 notes pass all credit stresses and maturity stresses up to 'Asf'. The legal final maturity date is Jan. 26, 2043. Performance has remained stable since the prior review; however remaining term has increased and further pressured expected liquidity at maturity. The class B-2 notes pass credit stresses up to 'Asf' and maturity stresses up to 'BBsf'. The recommendation is to downgrade as supported by cash flow modelling and assign a Negative Outlook, maintaining a one category difference with the MIR, as allowed per criteria which allows up to two rating categories difference in scenarios where the legal final maturity date is more than seven years away. The classes of SLM 2007-4 and 2007-5 do not experience a principal shortfall in Fitch's cashflow modelling. Instead, the downgrades reflect a reduction in the bonds ability to pay in full prior to or on the legal final maturity date for each class. In addition, the sustainable constant prepayment rate (sCPR) assumption was increased to 10.00% from 8.00% for SLM 2003-14, to 7.50% from 6.50% for 2005-4 and to 8.00% from 7.50% for SLM 2005-5. Prepayments, including those from loan consolidation, remain higher than Fitch previously expected and higher than historical levels for these transactions. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: For all transactions, 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 the constant prepayment rate (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 2003-14: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 14.75% under the base case scenario and a default rate of 40.56% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch assumed a sustainable constant default rate (sCDR) of 2.40%, and revised the sCPR to 10.00% from 8.00% in cash flow modelling. As of March 2024, the trailing-12-month (TTM) levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 2.09% (2.24% at March 31, 2023), 11.72% (10.87%) and 25.91% (23.75%). 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 days past due (DPD) have increased and the 91-120 DPD have decreased from March 2023 and are currently 3.48% for 31 DPD and 1.15% for 91 DPD compared to 2.90% and 1.19% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.13%, based on information provided by the sponsor. SLM 2005-4: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 12.25% under the base case scenario and a default rate of 33.69% 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 assumed a sCDR of 2.00%, and revised the sCPR to 7.5% from 6.50% in cash flow modelling. As of March 2024, the TTM levels of deferment, forbearance and IBR are 2.58% (2.42% at March 31, 2023), 10.11% (9.85%) and 16.69% (15.10%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Both 31-60 DPD and the 91-120 DPD have increased from March 2023 and are currently 2.30% for 31 DPD and 1.08% for 91 DPD compared to 2.00% and 0.64% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.21%, based on information provided by the sponsor. SLM 2005-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 17.25% under the base case scenario and a default rate of 47.44% 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 assumed a sCDR of 2.70%, and revised the sCPR to 8.00% from 7.50% in cash flow modelling. As of March 2024, the TTM levels of deferment, forbearance and IBR are 2.84% (2.94% at March 31, 2023), 12.33% (11.74%) and 19.63% (17.64%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Both 31-60 DPD and the 91-120 DPD have increased from March 2023 and are currently 3.02% for 31 DPD and 1.01% for 91 DPD compared to 2.77% and 0.98% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.14%, based on information provided by the sponsor. SLM 2007-4: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 25.50% under the base case scenario and a default rate of 70.13% 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 assumed a sCDR of 3.20%, and sCPR of 8.50% in cash flow modelling. As of March 2024, the TTM levels of deferment, forbearance and IBR are 3.82% (3.76% at March 31, 2023), 16.86% (16.70%) and 22.07% (20.64%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. both 31-60 DPD and 91-120 DPD have increased from March 2023 and are currently 4.08% for 31 DPD and 1.75% for 91 DPD compared to 4.06% and 1.23% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.09%, based on information provided by the sponsor. SLM 2007-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 24.00% under the base case scenario and a default rate of 66.00% 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 assumed a sCDR of 3.00%, and a sCPR of 8.50% in cash flow modelling. As of March 2024, the TTM levels of deferment, forbearance and IBR are 3.75% (4.04% at March 31, 2023), 16.48% (16.43%) and 24.43% (21.69%). 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 from March 2023 and are currently 3.86% for 31 DPD and 1.55% for 91 DPD compared to 3.96% and 1.22% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.09%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent distribution date, approximately 83.56%, 99.65%, 99.76%, 97.88% and 99.27% of the student loans of SLM 2003-14, 2005-4, 2005-5, 2007-4 and 2007-5, respectively, are indexed to SOFR, while the remainder are indexed to the 91-day T-bill rate. Almost all notes are indexed to 90-day Average SOFR plus the spread adjustment of 0.26161%, while class B of SLM 2007-5 is indexed to 30-day Average SOFR plus the spread adjustment of 0.11448%. Fitch applies its standard basis and interest rate stresses 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%, 100%, 100%, 99.96% and 99.72% for SLM 2003-14, 2005-4, 2005-5, 2007-4 and 2007-5, respectively. Liquidity support is provided by reserve funds currently sized at their floors of floors of $3,383,397, $3,773,732, $3,353,244, $7,500,000 and $3,750,000 for SLM 2003-14, 2005-4, 2005-5, 2007-4 and 2007-5, respectively. All transactions are releasing cash since target parity or OC levels are met. Operational Capabilities: Day-to-day servicing for all transactions is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as the largest servicer of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024 that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. SLM Student Loan Trust 2003-14 Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBBsf'; - Default increase 50%: class A 'AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'Bsf'; - Basis Spread increase 0.5%: class A 'AAsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'BBBsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'BBBsf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'BBBsf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'BBBsf'. - Remaining Term increase 25%: class A 'AA+sf'; class B 'BBBsf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'BBBsf'. SLM Student Loan Trust 2005-4 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 'BBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'Asf'; - CPR decrease 50%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'Asf'. - Remaining Term increase 25%: class A 'AAsf'; class B 'Asf'; - Remaining Term increase 50%: class A 'Bsf'; class B 'Asf'. SLM Student Loan Trust 2005-5 Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'Bsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAsf'; class B 'BBsf'; - CPR decrease 50%: class A 'Asf'; class B 'Bsf'; - IBR Usage increase 25%: class A 'Asf'; class B 'BBsf'; - IBR Usage increase 50%: class A 'Asf'; class B 'Bsf'. - Remaining Term increase 25%: class A 'BBsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2007-4 Credit Stress Rating Sensitivity - Default increase 25%: class A 'Asf'; class B 'CCCsf'; - Default increase 50%: class A 'Asf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'Asf'; class B 'CCCsf'; - Basis Spread increase 0.5%: class A 'BBBsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'BBBsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A 'BBBsf'; class B 'CCCsf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2007-5 Credit Stress Rating Sensitivity - Default increase 25%: class A 'Asf'; class B 'BBBsf'; - Default increase 50%: class A 'Asf'; class B 'BBBsf'; - Basis Spread increase 0.25%: class A 'Asf'; class B 'BBBsf'; - Basis Spread increase 0.5%: class A 'Asf'; class B 'BBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'BBsf'; class B 'Bsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'Asf'; class B 'BBsf'; - IBR Usage increase 50%: class A 'BBBsf'; class B 'BBsf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SLM Student Loan Trust 2003-14 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'Asf'; - Default decrease 50%: class B 'Asf'; - Basis Spread decrease 0.25%: class B 'Asf'; - Basis Spread decrease 0.5%: class B 'AAsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'Asf'; - CPR increase 50%: class B 'Asf'; - IBR Usage decrease 25%: class B 'Asf'; - IBR Usage decrease 50%: class B 'Asf'. - Remaining Term decrease 25%: class B 'Asf'; - Remaining Term decrease 50%: class B 'Asf'. SLM Student Loan Trust 2005-4 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. "Credit Stress Rating Sensitivity - Default decrease 25%: class B 'AAsf'; - 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 2005-5 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'Asf'; - Default decrease 50%: class B 'Asf'; - Basis Spread decrease 0.25%: class B 'Asf'; - Basis Spread decrease 0.5%: class B 'AAsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'Asf'; - CPR increase 50%: class B 'Asf'; - IBR Usage decrease 25%: class B 'Asf'; - IBR Usage decrease 50%: class B 'Asf'. - Remaining Term decrease 25%: class B 'AAsf'; - Remaining Term decrease 50%: class B 'AAsf'. SLM Student Loan Trust 2007-4 Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AA+sf'; class B 'CCCsf'; - Default decrease 50%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread decrease 0.5%: class A 'AA+sf'; class B 'Asf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'Asf'; class B 'BBsf'; - CPR increase 50%: class A 'AAsf'; class B 'BBBsf'; - IBR Usage decrease 25%: class A 'BBBsf'; class B 'CCCsf'; - IBR Usage decrease 50%: class A 'BBsf'; class B 'CCCsf'. - 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 2007-5 Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AA+sf'; class B 'Asf'; - Default decrease 50%: class A 'AA+sf'; class B 'AA+sf'; - Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'Asf'; - Basis Spread decrease 0.5%: class A 'AA+sf'; class B 'Asf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'Asf'; class B 'BBBsf'; - CPR increase 50%: class A 'AAsf'; class B 'Asf'; - IBR Usage decrease 25%: class A 'Asf'; class B 'BBsf'; - IBR Usage decrease 50%: class A 'Asf'; class B 'BBsf'. - Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - Remaining Term decrease 50%: class A 'AA+sf'; class B 'AA+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. TOWD POINT 2015-6: Moody's Upgrades Rating on Cl. B3 Certs to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 66 bonds issued by Towd Point Mortgage Trust between 2015 and 2019. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral is serviced by multiple servicers. 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: Towd Point Mortgage Trust 2015-1 Cl. B1, Upgraded to A1 (sf); previously on Oct 16, 2023 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2015-2 Cl. 1-B3, Upgraded to A1 (sf); previously on Oct 16, 2023 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2015-3 Cl. B3, Upgraded to A1 (sf); previously on Oct 23, 2023 Upgraded to A3 (sf) Issuer: Towd Point Mortgage Trust 2015-4 Cl. B3, Upgraded to A3 (sf); previously on Oct 23, 2023 Upgraded to Baa2 (sf) Issuer: Towd Point Mortgage Trust 2015-5 Cl. B3, Upgraded to Baa1 (sf); previously on Oct 23, 2023 Upgraded to Ba1 (sf) Issuer: Towd Point Mortgage Trust 2015-6 Cl. B3, Upgraded to Ba1 (sf); previously on Oct 23, 2023 Upgraded to B1 (sf) Issuer: Towd Point Mortgage Trust 2016-1 Cl. B3, Upgraded to A2 (sf); previously on Oct 23, 2023 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2016-2 Cl. B3, Upgraded to Baa2 (sf); previously on Oct 23, 2023 Upgraded to Ba3 (sf) Issuer: Towd Point Mortgage Trust 2016-3 Cl. B3, Upgraded to Aa2 (sf); previously on Oct 23, 2023 Upgraded to A1 (sf) Cl. B4, Upgraded to Ba1 (sf); previously on Oct 23, 2023 Upgraded to B3 (sf) Issuer: Towd Point Mortgage Trust 2016-4 Cl. B3, Upgraded to Aaa (sf); previously on Oct 23, 2023 Upgraded to Aa2 (sf) Cl. B4, Upgraded to Baa1 (sf); previously on Oct 23, 2023 Upgraded to Baa3 (sf) Issuer: Towd Point Mortgage Trust 2016-5 Cl. B1, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa1 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Oct 16, 2023 Upgraded to A2 (sf) Cl. B3, Upgraded to A2 (sf); previously on Mar 16, 2022 Upgraded to Baa3 (sf) Cl. B4, Upgraded to B1 (sf); previously on Oct 16, 2023 Upgraded to Caa2 (sf) Issuer: Towd Point Mortgage Trust 2017-1 Cl. B1, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa1 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Oct 16, 2023 Upgraded to A2 (sf) Cl. B3, Upgraded to Baa2 (sf); previously on Oct 16, 2023 Upgraded to Baa3 (sf) Issuer: Towd Point Mortgage Trust 2017-2 Cl. B2, Upgraded to Aa1 (sf); previously on Oct 23, 2023 Upgraded to Aa3 (sf) Cl. B3, Upgraded to A2 (sf); previously on Oct 23, 2023 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2017-3 Cl. B1, Upgraded to Aaa (sf); previously on Oct 23, 2023 Upgraded to Aa2 (sf) Cl. B2, Upgraded to A1 (sf); previously on Oct 23, 2023 Upgraded to A2 (sf) Cl. B3, Upgraded to Baa2 (sf); previously on Oct 23, 2023 Upgraded to Ba1 (sf) Issuer: Towd Point Mortgage Trust 2017-5 Cl. B2, Upgraded to Aa2 (sf); previously on Oct 16, 2023 Upgraded to A1 (sf) Cl. B3, Upgraded to Aa3 (sf); previously on Oct 16, 2023 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2017-6 Cl. B2, Upgraded to A2 (sf); previously on Oct 16, 2023 Upgraded to A3 (sf) Cl. B1, Upgraded to Aa2 (sf); previously on Oct 16, 2023 Upgraded to A1 (sf) Issuer: Towd Point Mortgage Trust 2018-1 Cl. B1, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to A1 (sf) Cl. B2, Upgraded to A1 (sf); previously on Oct 16, 2023 Upgraded to Baa1 (sf) Cl. B3, Upgraded to Baa3 (sf); previously on Oct 16, 2023 Upgraded to Ba2 (sf) Issuer: Towd Point Mortgage Trust 2018-2 Cl. B1, Upgraded to Aa2 (sf); previously on Oct 23, 2023 Upgraded to Baa3 (sf) Cl. B2, Upgraded to A2 (sf); previously on Oct 23, 2023 Upgraded to Ba2 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Oct 23, 2023 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2018-5 Cl. A2, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa1 (sf) Cl. A4, Upgraded to Aa1 (sf); previously on Oct 16, 2023 Upgraded to Aa2 (sf) Cl. B1, Upgraded to Baa3 (sf); previously on Oct 16, 2023 Upgraded to B2 (sf) Cl. B2, Upgraded to B1 (sf); previously on Feb 7, 2020 Assigned Ca (sf) Cl. M1, Upgraded to Aa2 (sf); previously on Oct 16, 2023 Upgraded to A1 (sf) Cl. M2, Upgraded to A2 (sf); previously on Oct 16, 2023 Upgraded to Ba1 (sf) Issuer: Towd Point Mortgage Trust 2018-6 Cl. B1, Upgraded to Baa2 (sf); previously on Oct 23, 2023 Upgraded to B2 (sf) Cl. B2, Upgraded to Ba1 (sf); previously on Oct 23, 2023 Upgraded to Caa2 (sf) Cl. B3, Upgraded to Caa1 (sf); previously on Feb 7, 2020 Assigned C (sf) Cl. M1, Upgraded to Aa2 (sf); previously on Oct 23, 2023 Upgraded to Aa3 (sf) Cl. M2, Upgraded to A2 (sf); previously on Oct 23, 2023 Upgraded to Ba1 (sf) Issuer: Towd Point Mortgage Trust 2019-1 Cl. A2, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa2 (sf) Cl. A3, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa1 (sf) Cl. B1, Upgraded to Ba2 (sf); previously on Feb 7, 2020 Assigned Caa1 (sf) Cl. B2, Upgraded to Caa1 (sf); previously on Feb 7, 2020 Assigned C (sf) Cl. M1, Upgraded to A2 (sf); previously on Oct 16, 2023 Upgraded to Baa1 (sf) Cl. M2, Upgraded to Baa2 (sf); previously on Oct 16, 2023 Upgraded to Ba3 (sf) Issuer: Towd Point Mortgage Trust 2019-4 Cl. B1, Upgraded to Baa1 (sf); previously on Oct 16, 2023 Upgraded to Baa3 (sf) Cl. B1A, Upgraded to Baa1 (sf); previously on Oct 16, 2023 Upgraded to Baa3 (sf) Cl. B1B, Upgraded to Baa1 (sf); previously on Oct 16, 2023 Upgraded to Baa3 (sf) Cl. B2, Upgraded to Baa3 (sf); previously on Oct 16, 2023 Upgraded to Ba2 (sf) Cl. M1, Upgraded to Aa1 (sf); previously on Oct 16, 2023 Upgraded to Aa2 (sf) Cl. M1A, Upgraded to Aa1 (sf); previously on Oct 16, 2023 Upgraded to Aa2 (sf) Cl. M1B, Upgraded to Aa1 (sf); previously on Oct 16, 2023 Upgraded to Aa2 (sf) Cl. M2, Upgraded to A2 (sf); previously on Oct 16, 2023 Upgraded to Baa1 (sf) Cl. M2A, Upgraded to A2 (sf); previously on Oct 16, 2023 Upgraded to Baa1 (sf) Cl. M2B, Upgraded to A2 (sf); previously on Oct 16, 2023 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2019-HY1 Cl. B1, Upgraded to Aa1 (sf); previously on Oct 16, 2023 Upgraded to A1 (sf) Cl. B2, Upgraded to A1 (sf); previously on Oct 16, 2023 Upgraded to Baa2 (sf) Issuer: Towd Point Mortgage Trust 2019-HY2 Cl. B1, Upgraded to A1 (sf); previously on Oct 16, 2023 Upgraded to A2 (sf) Cl. B2, Upgraded to Ba1 (sf); previously on Mar 16, 2022 Upgraded to Ba2 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and a one-year increase in credit enhancement of 9.7% on average, for the bonds Moody's upgraded. The loans underlying the pools have fewer delinquencies and have prepaid at a faster rate than originally anticipated, resulting in an improvement of approximately 5.3%, on average, in Moody's loss projections for the pools since Moody's last review (link above provides Moody's current estimates). Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While the majority of the shortfalls have since been recouped, the size, length and recency of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses on the bonds 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. Moody's analysis also considered the relationship of exchangeable bonds to the bonds they could be exchanged for. Principal Methodologies The methodologies used in these ratings were "Non-performing and Re-performing Loan Securitizations" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. TOWD POINT 2018-SL1: DBRS Hikes Class D-2 Notes Rating to BB ------------------------------------------------------------ DBRS, Inc. confirmed two notes and upgraded 13 notes from Towd Point Asset Trust 2018-SL1 and Towd Point Asset Trust 2021-SL1. Towd Point Asset Trust 2018-SL1 Class AB Notes AAA (sf) Upgraded Class B Notes AAA (sf) Upgraded Class AC Notes AA (sf) Upgraded Class C Notes AA (sf) Upgraded Class D-1 Notes BBB (sf) Upgraded Class D-2 Notes BB (sf) Upgraded Towd Point Asset Trust 2021-SL1 Class A1 Notes AAA (sf) Confirmed Class A2 Notes AAA (sf) Confirmed Class AB Notes AA (sf) Upgraded Class B Notes AA (sf) Upgraded Class AC Notes A (sf) Upgraded Class C Notes A (sf) Upgraded Class D Notes BBB (sf) Upgraded Class E Notes BB (sf) Upgraded Class F Notes B(high)(sf) Upgraded The credit rating actions are based on the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The upgrades on six classes from Towd Point Asset Trust 2018-SL1 and on seven classes from Towd Point Asset Trust 2021-SL1 are due to increasing credit enhancement and strong multiples commensurate with the respective credit ratings. -- Transaction capital structure, current credit ratings, and sufficient credit enhancement levels. -- Credit enhancement is in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination provided by the junior notes. -- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. -- The transactions parties' capabilities with regard to origination, underwriting, and servicing. Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2024-CES3: DBRS Finalizes B(high) Rating on B2 Notes --------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings to the Asset-Backed Notes, Series 2024-CES3 (the Notes) issued by Towd Point Mortgage Trust 2024-CES3 (TPMT 2024-CES3 or the Trust) as follows: -- $365.8 million Class A1 at AAA (sf) -- $35.4 million Class A2 at AA (high) (sf) -- $24.6 million Class M1 at A (high) (sf) -- $22.1 million Class M2 at BBB (high) (sf) -- $16.7 million Class B1 at BB (high) (sf) -- $9.3 million Class B2 at B (high) (sf) -- $16.7 million Class B1A at BB (high) (sf) -- $16.7 million Class B1AX at BB (high) (sf) -- $16.7 million Class B1B at BB (high) (sf) -- $16.7 million Class B1BX at BB (high) (sf) Morningstar DBRS assigned the following credit ratings to the below exchangeable notes: -- $22.1 million Class M2A at BBB (high) (sf) -- $22.1 million Class M2AX at BBB (high) (sf) -- $22.1 million Class M2B at BBB (high) (sf) -- $22.1 million Class M2BX at BBB (high) (sf) -- $22.1 million Class M2C at BBB (high) (sf) -- $22.1 million Class M2CX at BBB (high) (sf) -- $22.1 million Class M2D at BBB (high) (sf) -- $22.1 million Class M2DX at BBB (high) (sf) The issuer elected to add additional exchangeable notes after Morningstar DBRS assigned provisional ratings to certain notes. Class M2A, M2AX, M2B, M2BX, M2C, M2CX, M2D, and M2DX are exchangeable notes. These classes can be exchanged for proportionate shares of the Class M2 exchange notes as specified in the offering documents. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Class A1 Notes reflects 25.50% of credit enhancement provided by subordinate Notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 18.30%, 13.30%, 8.80%, 5.40%, and 3.50% of credit enhancement, respectively. This transaction is securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Notes, Series 2024-CES3 (the Notes). The Notes are backed by 6,409 mortgage loans with a total principal balance of $491,034,312 as of the Cut-Off Date (April 30, 2024). The portfolio, on average, is four months seasoned, though seasoning ranges from one to eight months. Borrowers in the pool represent prime and near-prime credit quality, weighted-average (WA) Morningstar DBRS-calculated FICO score of 729, Issuer-provided original combined loan-to-value ratio (CLTV) of 70.3%, and 100% originated with Issuer-defined full documentation. All the loans are current and none has been delinquent since origination. TPMT 2024-CES3 represents the fifth CES securitization by FirstKey Mortgage, LLC and second by CRM 1 Sponsor, LLC. Spring EQ, LLC (49.7%), Rocket Mortgage, LLC (Rocket; 21.7%), and PennyMac Loan Services, LLC (PennyMac; 15.5%) are the top originators for the mortgage pool. The remaining originator comprises less than 15% of the mortgage loans. Newrez, LLC d/b/a Shellpoint Mortgage Servicing (49.7%), Rocket (21.7%), PennyMac (15.5%), and Nationstar Mortgage LLC d/b/a Mr. Cooper (13.1%) are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as the Indenture Trustee, Administrative Trustee, and Administrator. U.S. Bank National Association and Computershare Trust Company, N.A. (rated BBB with a Stable trend by Morningstar DBRS) will act as the Custodians. CRM 1 Sponsor, LLC (CRM) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 1 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to Towd Point Mortgage Grantor Trust 2024-CES3 (the Grantor Trust). The Grantor Trust will issue two classes of certificates: P&I Grantor Trust Certificate and IO Grantor Trust Certificate. The Grantor Trust certificates will be issued in the name of the Issuer. The Issuer will pledge P&I Grantor Trust Certificate with the Indenture Trustee and will be the primary asset of the Trust. As the Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 35.1% of the loans are designated as non-QM, 25.2% are designated as QM Rebuttable Presumption, and 37.7% are designated as QM Safe Harbor. Approximately 2.0% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 150 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 180 days delinquent under the Mortgage Bankers Association delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and more subordinate bonds will not be paid from principal proceeds until the Class A1 Notes are retired. On or after (1) the payment date in May 2027 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the REO properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder will have the option to purchase P&I Grantor Trust Certificate so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (A) class balances of the Notes plus the accrued interest and unpaid interest, (B) any fees, expenses, and indemnification amounts, and (C) accrued and unpaid amounts owed to the Class X Certificates minus the Class AX distributable amount. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase P&I Grantor Trust Certificate at the minimum price (Clean-Up Call). Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Current Interest, Interest Shortfall, and the related Class Principal Balance. Morningstar DBRS' credit ratings on the Class A1, Class A2, Class M1, and Class M2 Notes also address the credit risk associated with the increased rate of interest applicable if the Class A1, Class A2, Class M1, and Class M2 Notes remain outstanding on or after the payment date in June 2028 in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. TRINITAS CLO XXIX: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trinitas CLO XXIX Ltd./Trinitas CLO XXIX LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital Management LLC. The 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 XXIX Ltd./Trinitas CLO XXIX LLC Class A-1, $310.000 million: AAA (sf) Class A-2, $15.000 million: AAA (sf) Class B-1, $50.000 million: AA (sf) Class B-2, $5.000 million: AA (sf) Class C (deferrable), $30.000 million: A (sf) Class D-1 (deferrable), $27.500 million: BBB (sf) Class D-2 (deferrable), $6.250 million: BBB- (sf) Class E (deferrable), $15.000 million: BB- (sf) Subordinated notes, $47.625 million: Not rated TX TRUST 2024-HOU: DBRS Finalizes BB Rating on Class HRR Certs -------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-HOU (the Certificates) to be issued by TX Trust 2024-HOU (TX 2024-HOU or the Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The collateral for the Trust includes the borrower's fee-simple interest in the Marriott Marquis Houston property (the Hotel), encompassing 1,000 keys. The subject mortgage loan of $325.0 million will retire approximately $319.9 million of existing debt and cover closing costs of approximately $5.1 million. The first mortgage loan is a two-year floating-rate interest-only mortgage loan, with three one-year extension options. The floating rate for the mortgage loan will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the initial weighted-average component spread of approximately 3.178%. The borrower will be required to purchase an interest rate cap agreement, with a one-month Term SOFR strike price of no greater than 6.000%. The Hotel was built and opened for business in 2016, and is well situated within the Houston central business district. The property is connected via a skybridge to the 1.9 million-square-foot (sf) George R. Brown Convention Center. Adjacent to the Hotel is Discovery Green, a 12-acre urban park that offers outdoor skating, fitness, concerts, art, and more. Additionally, the subject is close to stadiums for three major Houston sports teams: Minute Maid Park is the home of the Houston Astros, Toyota Center is the home of the Houston Rockets, and Shell Energy Stadium is the home of the Houston Dynamo FC. Altogether, the three venues host nearly 200 sporting events and concerts annually. The centrally located Hotel comprises 960 guest rooms and 40 suites, and boasts Houston's largest ballroom (39,295 sf), as part of its nearly 153,000 sf of meeting space across 52 spaces. The subject's robust amenity package consists of a rooftop terrace with cabanas, an infinity pool, a lazy river designed in the shape of Texas, eight food and beverage (F&B) outlets, a 5,000-sf spa, and a state-of-the-art fitness center. The loan is sponsored by an affiliate of RIDA Development Corporation (RIDA). RIDA was founded in 1972 and serves as a full-service commercial real estate organization. RIDA's corporate headquarters is on the fifth floor of the subject, with regional offices in Orlando, San Diego, and Warsaw, Poland. RIDA is experienced with convention hotels. RIDA's prior convention hotel developments include the 1,424-room Hilton Orlando, 1,008-room Omni Champions Gate, and 1,501-room Gaylord Rockies Resort & Convention Center, among others. RIDA is also currently developing the 1,600-room Gaylord Pacific Resort & Convention Center in Chula Vista, California. The Hotel is managed by Marriott International, with a management agreement extending through December 2046 with two automatic 10-year extension options. The City of Houston requested proposals for a new hotel development in 2012, which the sponsor ultimately won with its then private equity partner for a Marriott-branded hotel with unique amenities. Completed in 2016, the subject served as the host hotel for the 2017 Super Bowl. The sponsor has shown their commitment to the property by purchasing their private equity development partner's approximate 45% stake in the Hotel in September 2019 as well as carrying the Hotel through when its performance was meaningfully affected by the pandemic. Since development, the sponsor invested approximately $1.2 million to add a second F&B outlet on the leisure deck. The sponsor's future plans include an elective capital improvement plan that involves renovating all 1,000 keys in summer 2025. The planned room renovations will include upgrades to the soft goods and painting walls to make the rooms feels lighter and brighter. Although the $13.9 million planned renovation is expected to be funded through the furniture, fixtures, and equipment Reserve balance, there aren't any guarantees in place that such renovations will be completed as described or at all. In 2019, prior to the pandemic, the subject reported an occupancy rate of 76.5% and an average daily rate (ADR) of $208.17 for a revenue per available room (RevPAR) of $159.22. While occupancy has declined, the sponsor has been successful in recovering ADR and RevPAR to above their pre-pandemic levels. The property achieved a RevPAR of $172.61 as of the trailing 12 months ended March 31, 2024 (T-12 2024), after the pandemic-affected RevPAR of $56.13 in 2020. The property performance for the T-12 2024 is 8.4% above pre-pandemic levels, based on the 2019 RevPAR of $159.22. Morningstar DBRS believes the strong recent performance is at least partially due to a higher transient proportion in the hotel segmentation as a result of the pent-up demand because of the pandemic-related restrictions and therefore Morningstar DBRS believes room rates will normalize. The location, management initiatives, and experienced sponsorship should allow for modest growth above pre-pandemic levels. Morningstar DBRS concluded a stabilized RevPAR of $169.13 that is 6.2% above the 2019 level; however, it is 2.0% lower than the T-12 2024 level. Notes: All figures are in U.S. dollars unless otherwise noted. UBS-BARCLAYS COMMERCIAL 2012-C2: Moody's Cuts EC Certs to Ca ------------------------------------------------------------ Moody's Ratings has affirmed the ratings on three classes and downgraded the ratings on one class in UBS-Barclays Commercial Mortgage Trust 2012-C2, Commercial Mortgage Pass-Through Certificates, Series 2012-C2: Cl. B-EC, Affirmed Caa3 (sf); previously on May 31, 2023 Downgraded to Caa3 (sf) Cl. C-EC, Affirmed C (sf); previously on May 31, 2023 Downgraded to C (sf) Cl. EC, Downgraded to Ca (sf); previously on May 31, 2023 Downgraded to Caa3 (sf) Cl. X-B*, Affirmed C (sf); previously on May 31, 2023 Affirmed C (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes were affirmed because the ratings are consistent with expected recovery of principal and interest shortfall risks from the sole remaining specially serviced loan. The remaining special serviced loan was deemed non-recoverable by the master servicer as of the June 2024 remittance statement and interest shortfalls would likely increase if the specially serviced loan becomes delinquent on any debt service payments or the performance of the loan declines. Furthermore, Cl. C-EC has already realized a 42% realized loss based on its original balance. The ratings on IO class, Cl. X-B, was affirmed based on the credit quality of its referenced classes. The ratings on exchangeable class, Cl. EC was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Cl. EC originally referenced Classes A-S-EC, B-EC and C-EC, however, Cl. A-S-EC has previously paid off in full. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 42.4% of the current pooled balance, compared to 48.9% at Moody's last review. Moody's base expected loss plus realized losses is now 17.0% of the original pooled balance, compared to 16.4% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the June 2024 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $61.4 million from $1.22 billion at securitization. The certificates are collateralized by one mortgage loan that is currently in special servicing and has passed its original scheduled maturity date. Seven loans have been liquidated from the pool, resulting in the realized loss of $180.4 million (for an average loss severity of 75%). As a result of previously liquidated loans, Cl. C-EC has already realized a 42% realized loss based on its original balance and all classes subordinate to Cl. C-EC have experienced a 100% loss. The only remaining loan currently in special servicing is the Southland Center Mall Loan ($61.4 million – 100% of the pool), which is secured by a 611,000 SF portion of a 903,500 SF super-regional mall located in Taylor, Michigan. The mall is currently anchored by Macy's (non-collateral) and JC Penney. Other major tenants include Best Buy and a 12-screen, all-digital, Cinemark multiplex theater. The property's net operating income (NOI) has generally declined since 2019 but remains above levels at securitization. The full-year 2023 NOI was 16% higher than at securitization and essentially in-line with 2022 performance. The loan has amortized 22% since securitization and the NOI DSCR as of December 2023 was 1.92X based on a 5.1% interest rate and amortizing payments. The loan sponsor is Brookfield Properties. The loan transferred to special servicing in June 2022 and was previously extended through July 2023 but was unable to payoff at its extended maturity date. As of the June 2024 remittance statement, the loan is current and is being monitored in special servicing with a recommended short-term forbearance. The most recent appraisal value from August 2023 valued the property 43% below the value at securitization but slightly above the current outstanding loan balance. The master servicer has already deemed this loan non-recoverable, so there would likely be no further advances if the loan becomes delinquent on debt service payments. Furthermore, the loan has been unable to payoff for several years and due to the property type, historical performance trends, higher interest rate environment and the continued maturity default, the loan has potential for higher anticipated losses. UNISON TRUST 2024-1: DBRS Finalizes BB Rating on Class B Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by Unison Trust 2024-1 (UNSN 2024-1 or the Transaction): -- $110.8 million Class A Notes at BBB (sf) -- $12.9 million Class B Notes at BB (sf) The BBB (sf) rating reflects credit enhancement of 48.7% for the Class A Notes, and the BB (sf) rating reflects credit enhancement of 42.7% for the Class B Notes. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without the homeowners having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property. Some HEI programs include a returns cap, but no caps exist in UNSN 2024-1. Like reverse mortgage loans, the HEI underwriting approach is asset-based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Investment Amount and any Originator return is primarily subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return, if applicable. As of the cut-off date, 61 contracts in the transaction are first-lien contracts, representing roughly $5.91 million in original investment payment; 773 are second-lien contracts, representing roughly $62.55 million in original investment payment; 123 are third-lien contracts, representing roughly $12.36 million in original investment payment; and eight are fourth-lien contracts, representing roughly $0.71 million in original investment payment. Of the pool, 7.25% of the contracts by original investment amount are first lien and have a weighted-average original sensitivity ratio* of 3.97, 76.73% are second-lien contracts and have a weighted-average original sensitivity ratio of 3.95, 15.16% of the pool are third-lien contracts with a weighted-average original sensitivity ratio of 3.99, and the remaining 0.87% of the pool are fourth-lien contracts and have a weighted-average original sensitivity ratio of 4.00. This brings the entire transaction's weighted-average sensitivity ratio to 3.96. To better understand the impact and mechanics of sensitivity ratio, please see the example below, in the Contract Mechanics—Worked Example section. The current unadjusted loan-to-value ratio (LTV) of the pool is 39.96% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a weighted-average original option-to-value (OTV) of 15.23%, and a weighted-average original loan-plus-option-to-value (LOTV) of 71.23%. The transaction uses a sequential structure in which cash distributions are first made to reduce the Interest Amount and Cap Carryover Amount on Class A Notes. Payments are then made to the Note Amount of Class A Notes until such notes are reduced to zero followed by payments to reduce the Additional Accrued Amounts for the Class A Notes that accrued on any earlier payment date but have not been paid until the Additional Accrued Amounts are reduced to zero. The Class B Notes are full accrual notes and will not be entitled to receive any payments of principal until the Class A Notes and Class A Additional Accrued Amounts have been paid in full. Payments will not be made to the Class B Notes unless and until an Optional Redemption, Clean-Up Call, Auction Proceeds Redemption, or Indenture Default. Upon an Optional Redemption, Clean-Up Call, Auction Proceeds Redemption, or Indenture Default, payments are made to the aggregate Note Amount on the outstanding notes. Morningstar DBRS' credit ratings on the notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Note Amounts. In addition, the associated financial obligations for the Class A Notes include the related Cap Carryover and Interest Amounts. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the notes do not address Additional Accrued Amounts based on their position in the cash flow waterfall. Morningstar DBRS's long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. VELOCITY COMMERCIAL 2024-3: DBRS Finalizes BB Rating on 3 Classes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2024-3 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2024-3 (VCC 2024-3 or the Issuer) as follows: -- $140.3 million Class A at AAA (sf) -- $12.7 million Class M-1 at AA (low) (sf) -- $10.8 million Class M-2 at A (low) (sf) -- $19.5 million Class M-3 at BBB (low) (sf) -- $17.1 million Class M-4 at BB (sf) -- $4.2 million Class M-5 at B (high) (sf) -- $140.3 million Class A-S at AAA (sf) -- $140.3 million Class A-IO at AAA (sf) -- $12.7 million Class M1-A at AA (low) (sf) -- $12.7 million Class M1-IO at AA (low) (sf) -- $10.8 million Class M2-A at A (low) (sf) -- $10.8 million Class M2-IO at A (low) (sf) -- $19.5 million Class M-3A at BBB (low) (sf) -- $19.5 million Class M3-IO at BBB (low) (sf) -- $17.1 million Class M4-A at BB (sf) -- $17.1 million Class M4-IO at BB (sf) -- $4.2 million Class M5-A at B (high) (sf) -- $4.2 million Class M5-IO at B (high) (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 33.15% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (high) (sf) credit ratings reflect 27.10%, 21.95%, 12.65%, 4.50%, and 2.50% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2024-3 is a securitization of a portfolio of newly originated and seasoned fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Nine of these loans were originated through the U.S. Small Business Administration's (SBA) 504 loan program and are backed by first-lien, owner-occupied commercial real estate (CRE). The securitization is funded by the issuance of the Certificates. The Certificates are backed by 590 mortgage loans with a total principal balance of $209,854,567 as of the Cut-Off Date (May 1, 2024). The pool comprises approximately 45.3% in residential investor loans, about 50.7% in traditional SBC loans, and about 4.0% in the SBA's 504 loans mentioned above. Most of the loans in this securitization (87.7%) were originated by Velocity Commercial Capital, LLC (Velocity or VCC). Seventeen loans (8.6%) were originated by New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. Twenty-one of the loans (3.7%) were originated by another party and acquired in accordance with Velocity's guidelines. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the nine SBA 504 loans, which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day originated loans, underwriting was based on business cash flows, but the loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio (DSCR) in underwriting SBC loans with balances more than $750,000 for purchase transactions and more than $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA-RESPA Integrated Disclosure rule. On January 5, 2024, a suit was filed in the U.S. District Court for the Central District of California by Harvest Small Business Finance, LLC and Harvest Commercial Capital, LLC against certain employees of New Day Business Finance LLC and VCC doing business as New Day alleging violations of the Defend Trade Secrets Act, the California Uniform Trade Secrets Act, and the California Unfair Competition Law. New Day has indicated that it does not believe that this suit is material. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 17 New Day originated loans (including the nine SBA 504 loans), and PMC will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PMC will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under the Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class's target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class's target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net weighted-average coupon shortfalls (Net WAC Rate Carryover Amounts). Please see the Cash Flow Structure and Features section of the report for more details. COMMERICAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY - SMALL BALANCE COMMERICAL (SBC) LOANS The collateral for the SBC portion of the pool consists of 227 individual loans secured by 227 commercial and multifamily properties with an average cut-off date loan balance of $468,825. None of the mortgage loans are cross collateralized or cross defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted-average (WA) fixed interest rate of 11.7%. This is approximately 10 basis points (bps) higher than the VCC 2024-2 transaction, 10 bps higher than the VCC 2024-1 transaction, 20 bps lower than the VCC 2023-4 transaction, 30 bps lower than the VCC 2023-3 transaction, 30 bps higher than the VCC 2023-2 transaction, 120 bps higher than the VCC 2023-1 transaction, 240 bps higher than the VCC 2022-5 transaction, and more than 340 bps higher than the VCC 2022-4, VCC 2022-3, and VCC 2022-2 transactions, highlighting the recent increase in interest rates. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, seven loans, which represent 2.2% of the SBC pool, have an initial IO period of 60 or 120 months. All of the SBC loans were originated between August 2018 and April 2024 (100.0% of the cut-off date pool balance), resulting in a WA seasoning of 0.7 months. The SBC pool has a WA original term length of 357 months, or approximately 30 years. Based on the current loan amount, which reflects 30 bps of amortization, and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 60.9%. However, Morningstar DBRS made LTV adjustments to 30 loans that had an implied capitalization rate of more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 66.2%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in Morningstar DBRS' "Rating North American CMBS Interest-Only Certificates" methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one-third of the total default rate), and the term default rate was approximately 11%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO credit rating up by one notch from the Reference Obligation credit rating. When using the 10-year Idealized Default Table default probability to derive a probably of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche credit rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate. If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, approximately more than 73.7% of the deal has an Issuer net operating income DSCR of less than 1.0 times (x), which is in line with both the VCC 2024-2 and VCC 2024-1 transactions but a larger composition than previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 717 for the SBC loans, which is relatively similar to prior transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $468,825, a concentration profile equivalent to that of a transaction with 135.2 equal-size loans, and a top 10 loan concentration of 16.7%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (21.9% of the SBC pool) and office (19.0% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent 40.9% of the SBC pool balance. Morningstar DBRS applied a 21.3% reduction to the NCF for retail properties and a 30.0% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 88 loans Morningstar DBRS sampled, 25 were Average quality (28.1%), 46 were Average - quality (44.2%), 16 were Below Average quality (26.4%), and one was Poor quality (1.3%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received and reviewed appraisals for sampled loans within the top 39 of the pool, which represent 30.9% of the SBC pool balance. These appraisals were issued between November 2022 and April 2024 when the respective loans were originated. Morningstar DBRS was able to perform a loan-level cash flow analysis on 29 loans within the top 39 of the pool. The NCF haircuts for these loans ranged from +0.1% to -85.0%, with an average of -19.3%. No ESA reports were provided nor required by the Issuer; however, all of the loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss information or earthquake insurance requirements were provided. Therefore, a loss given default (LGD) penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 11.7%, which is indicative of the broader increased interest rate environment and represents a large increase over previous VCC deals. Initially, Morningstar DBRS generally assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small-balance borrowers and assessments from past-small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history on each loan between March and May 2024. If any loan had more than two late payments within this period or was 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This did not occur for any loans in the SBC pool. SBA 504 LOANS The transaction includes nine SBA 504 loans, totaling approximately $8.3 million, or 3.95% of the aggregate VCC 2024-3 collateral pool. These are owner-occupied, first-lien CRE-backed loans, originated via the U.S. SBA's 504 loan program in conjunction with community development companies, made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between March 5, 2024, and April 25, 2024, via New Day, which will also act as subservicer of the loans. The total outstanding principal balance as of the cut-off date is approximately $8.3 million, with an average balance of $921,888. ]The WA interest rate is 10.177%. The loans are subject to prepayment penalties of 5%, 4%, 3%, 2%, and 1%, respectively, in the first five years from origination. These loans are for properties where a small business owner both occupies and owns the property. The WA LTV is 51.49%. The WA DSCR is 1.11x, and the WA FICO of this subpool is 731. For these loans, Morningstar DBRS applied its "Rating U.S. Structured Finance Transactions" methodology, specifically Appendix XVIII: U.S. Small Business. As there is limited historical information for the originator, Morningstar DBRS used proxy data from the publicly available SBA dataset, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS dataset of LGD stratified by property type, LTV, and market rank. These were input into the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific credit rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 354 mortgage loans with a total balance of approximately $95.1 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. VOYA CLO 2024-2: Fitch Assigns 'BB-sf' Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Voya CLO 2024-2, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2024-2, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Voya CLO 2024-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.86, versus a maximum covenant, in accordance with the initial matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.59% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.31% versus a minimum covenant, in accordance with the initial matrix point of 69.3%. 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 5.0-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Voya 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. WELLS FARGO 2015-C31: DBRS Cuts Rating on 2 Tranches to Csf ----------------------------------------------------------- DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C31 issued by Wells Fargo Commercial Mortgage Trust 2015-C31 as follows: -- Class C to BBB (high) (sf) from A (low) (sf) -- Class D to B (low) (sf) from BBB (low) (sf) -- Class E to C (sf) from B (high) (sf) -- Class F to C (sf) from CCC (sf) -- Class X-D to B (sf) from BBB (sf) -- Class PEX to BBB (high) (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) Morningstar DBRS changed the trends on Classes B, C, D, X-B, X-D, and PEX to Negative from Stable. Classes A-3, A-4, A-SB, A-S, and X-A continue to carry Stable trends. There are no trends for Classes E and F, which are assigned credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating downgrades on Classes D, E, F, and X-D reflect Morningstar DBRS' increased loss projections for the loans in special servicing. Since the last credit rating action, two loans have transferred to special servicing, and there are currently three specially serviced loans, representing 15.1% of the pool balance. Morningstar DBRS' analysis included liquidation scenarios for all three specially serviced loans, resulting in total implied losses of approximately $63.0 million, an increase from Morningstar DBRS' projected losses of approximately $22.0 million from only one specially serviced loan, Sheraton Lincoln Harbor Hotel (Prospectus ID#2, 7.1% of the current pool balance), at the time of the last credit rating action. The current implied losses are projected to fully erode the unrated Class G certificate, the Class F certificate, and approximately 20% of the Class E certificate, further reducing credit enhancement to the junior bonds. The primary contributors to the increase in Morningstar DBRS' projected losses are the liquidation scenarios for the recently transferred CityPlace I (Prospectus ID#3, 5.4% of the current pool balance) and Patrick Henry Mall (Prospectus ID#7, 2.7% of the current pool balance) loans. The credit rating downgrades and Negative trends on Classes B, C, X-B, and PEX are reflective of increased pool expected losses in addition to Morningstar DBRS' concerns regarding increased default risk as the pool nears its maturity year. Nearly all of the remaining loans in the transaction are scheduled to mature by YE2025. In a wind-down scenario, Morningstar DBRS expects that the majority of non-specially serviced loans will successfully repay at maturity. However, Morningstar DBRS has identified 13 loans, representing 17.5% of the pool balance, that exhibit increased default risk given weak credit metrics and/or upcoming rollover risk. Morningstar DBRS expects that some of these loans will default as they near their respective maturity dates. To account for the increased risk, Morningstar DBRS used stressed loan-to-value ratios (LTVs) and/or elevated probabilities of default (PODs) for these loans to increase the expected loss (EL) as applicable. The resulting weighted-average (WA) expected loss for the pool increased by approximately 200 basis points with this review. Should performance of these loans deteriorate further or additional defaults occur, those classes with Negative trends may be subject to further credit rating downgrades. The credit ratings for the remaining Classes A-3, A-4, A-SB, A-S, and X-A were confirmed at AAA (sf), reflective of the otherwise overall steady performance of the remaining loans in the pool and Morningstar DBRS' expectation that these classes are sufficiently insulated from losses and will be recovered from loans expected to pay at maturity, based on their most recent year-end WA debt service coverage ratio above 2.0 times and WA debt yield above 15.0%. Specifically, for the subsenior Class A-S, while half of the outstanding bond balance is expected to be repaid by maturing loans, the recovery of this class is ultimately reliant on principal received from specially serviced loans and loans Morningstar DBRS deems are at high risk of default. Morningstar DBRS' analysis suggests there will be sufficient principal to repay the remaining balance of this bond in a conservative liquidation scenario. As of the May 2024 remittance, 90 of the original 102 loans remain in the trust, with an aggregate balance of $837.7 million, representing a collateral reduction of 15.2% since issuance. There are 25 fully defeased loans, representing 25.8% of the current pool balance. There are 12 loans on the servicer's watchlist, representing 8.9% of the pool balance, that are being monitored primarily for performance-related concerns and deferred maintenance items. Excluding defeased loans, the pool is most concentrated by retail, lodging, and office properties, which represent 24.7%, 16.8%, and 11.9% of the pool balance, respectively. Morningstar DBRS has a cautious outlook on the office asset type given the anticipated upward pressure on vacancy rates in the broader office market, challenging landlords' efforts to backfill vacant space, and, in certain instances, contributing to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. Morningstar DBRS' analysis includes an additional stress for select office loans exhibiting weakened performance, which resulted in a WA EL that is more than 50% higher than the pool's average EL. The largest loan in special servicing is the Sheraton Lincoln Harbor Hotel, which is secured by a 358-room, full-service hotel in Weehawken, New Jersey. The loan has a noncontrolling pari passu piece in the CSAIL 2016-C5 transaction, which is also rated by Morningstar DBRS. The loan transferred to the special servicer in January 2021 for payment default and the special servicer is pursuing foreclosure. Property operations have improved since the receiver took possession; however, the properties' increased expense ratio has kept cash flows quite low. An appraisal dated July 2023 valued the property at $80.5 million, a marginal improvement over the August 2022 value of $79.5 million, but a 37.1% decline from the issuance value of $128.0 million. In its analysis for this review, Morningstar DBRS liquidated the loan from the trust based on a haircut to the most recent appraised value, resulting in an implied loss just over 40%. The second-largest specially serviced loan is the largest contributor to Morningstar DBRS' liquidated loss projections. CityPlace I is secured by a 39-story, Class A office property totaling 884,366 square feet (sf) of space, located in downtown Hartford, Connecticut. Occupancy has declined significantly following the downsizing of the former largest tenant, UnitedHealthcare Services Inc (UHC), which formerly occupied 377,624 sf, or 42.7% of the net rentable area (NRA). UHC extended its lease, previously scheduled to expire in July 2023, for an additional five years to July 2028, on only 57,628 sf, or 6.6% of the NRA. This reduction has brought the occupancy down to 47.0%, compared with the YE2022 occupancy rate of 85.8%. The loan subsequently transferred to the special servicer in October 2023 for imminent payment default after the borrower indicated that it would no longer be funding operating shortfalls. As per the May 2024 remittance, the loan remains current. Morningstar DBRS expects that occupancy is likely to decline even further given tenants' additional downsizing options and the aggregate rollover risk of 6.4% prior to loan maturity in September 2025. UHC's downsizing also triggered the activation of a cash management account, which had a current balance of $1.2 million as of May 2024. There is also approximately $4.9 million in replacement, tenant, and other reserve accounts. As per Reis, office properties in Hartford CBD reported an average vacancy rate of 24.3% with an average asking rental rate of $22.78 per square foot (psf) as of Q1 2024, relatively in line with the average rental rate of $22.01 psf at the subject. While there is no updated appraisal, Morningstar DBRS believes that value has deteriorated from issuance given the challenged office landscape, soft submarket fundamentals, and increased vacancy at the subject. Morningstar DBRS' analysis, which includes a liquidation scenario based on a significant haircut to the issuance appraised value, is indicative of a loss severity in excess of 75.0%. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2015-SG1: DBRS Confirms CCC Rating on Class F Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-SG1 issued by Wells Fargo Commercial Mortgage Trust 2015-SG1 as follows: -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at B (high) (sf) -- Class E at B (sf) -- Class F at CCC (sf) Morningstar DBRS changed the trends on Classes D, E, and X-E to Negative from Stable. All other classes carry Stable trends with the exception of Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect the overall stable performance of the underlying collateral, as exhibited by a healthy weighted-average (WA) debt service coverage ratio (DSCR) of 1.99 times (x) based on the most recent financial reporting available. Twelve loans, representing 11.8% of the pool, have been fully defeased. Excluding defeased loans, the three largest property-type concentrations are retail (31.8% of the pool), lodging (20.9% of the pool), and office (18.2% of the pool). As the pool enters its maturity year in 2025, Morningstar DBRS has an overall positive outlook for the refinance prospects for most of the underlying loans. However, the Negative trends on Classes D, E and X-E reflect challenges for the pool, including three loans (14.1% of the pool) in special servicing and eight loans (representing 11.8% of the pool) that Morningstar DBRS has identified as being at increased risk of maturity default given recent performance challenges, weakening submarket fundamentals, and unfavorable lending conditions for certain property types. For the loans with elevated refinance risk, Morningstar DBRS applied an elevated probability of default penalty and/or loan-to-value ratio, resulting in a WA expected loss for these loans that is 1.3x the WA expected loss for the pool. Should these or other loans default, or should performance for specially serviced loans deteriorate further, Morningstar DBRS' projected losses for the pool may increase, and Classes with Negative trends may be subject to credit rating downgrades. As of the May 2024 remittance, 66 of the original 72 loans remain in the pool with an aggregate principal balance of $596.1 million, representing a collateral reduction of 16.8% since issuance as a result of loan repayment, scheduled loan amortization, and the liquidation of four loans. Pool losses to date have totaled $6.6 million, eroding the first-loss Class G certificate by 21.2%. Nine loans representing 13.8% of the pool are on the servicer's watchlist for declining performance metrics, upcoming rollover, and/or deferred maintenance. There are five loans representing 22.0% of the pool in special servicing. Morningstar DBRS liquidated three of the five loans in special servicing resulting in a total implied loss of $22.1 million that would be contained in the unrated Class G. Since the last review, Patrick Henry Mall (Prospectus ID#1, 9.7% of the pool) transferred to special servicing because of the bankruptcy of the guarantor. Another specially serviced loan, Bella at Baton Rouge (Prospectus ID#19, 1.6% of the pool), has been real estate owned since June 2022, with marketing efforts to sell the property under way. Based on the January 2024 appraisal, the property was valued at $5.9 million, down more than 40% from the September 2020 value of $9.5 million. Based on the appraised value, Morningstar DBRS analyzed a liquidation scenario for this loan from the trust, resulting in a projected loss of nearly $7.9 million or an implied loss severity in excess of 80.0%. Other specially serviced loans including Boca Park Marketplace (Prospectus ID#2, 6.9% of the pool) and Columbus Hotel Portfolio (Prospectus ID#26, 1.0% of the pool) are expected to be returned to the master servicer in the near to moderate term, according to servicer commentary. Boca Park Marketplace has been kept current with some moderate performance improvements, the borrower is working with tenants that were paying cotenancy deficient rates triggered by the departure of Haggen Food & Pharmacy and Fry's Electronics in 2015 and 2016, respectively. The servicer noted that the dark space would likely be backfilled by Q2 2024. The largest loan in special servicing, Patrick Henry Mall, is secured by the fee-simple interest in one anchor box and the in line retail space of a mid-tier regional mall in Newport News, Virginia. The trust debt of $57.8 million represents the A1 and A2 notes, with the pari passu A3 note securitized in WFCM 2015-C31 deal, also rated by Morningstar DBRS. The loan transferred to special servicing in January 2024 following the bankruptcy of the mall's owner and operator Pennsylvania Real Estate Investment Trust (PREIT) in December 2023. In April 2024, PREIT has reportedly emerged from bankruptcy through rounds of corporate restructuring and consolidation. As of a result of this reorganization, PREIT would now be privately held. The lender is working with the borrower to determine a workout strategy. As of the December 2023 rent roll, the property was 96.2% occupied. The largest collateral tenants include JCPenney (19.7% of the net rentable area (NRA); expiring May 2025) and Dick's Sporting Goods (11.6% of the NRA; expiring January 2027). The noncollateral anchor tenants include Macy's and Dillard's. A tenant sales report was not provided as of the date of this press release. Rollover risk is concentrated with leases representing 24.9% of the NRA scheduled to expire prior to the loan maturity in June 2025. As of the YE2023 financials, the loan reported a net cash flow of $7.6 million (a DSCR of 1.32x), down from $8.4 million (a DSCR of 1.46x) at YE2022, $9.0 million (a DSCR of 1.56x) at YE2021, and the Issuer's underwritten figure of $9.5 million (a DSCR of 1.66x). Given the increased risk associated with the upcoming tenant rollover, including the upcoming lease expiration for an anchor tenant, declining performance and likely value decline since issuance, Morningstar DBRS liquidated this loan from the pool after applying a 50% haircut to the issuance appraised value, resulting in an implied loss of $8.3 million, with a loss severity of nearly 15%. The Doubletree DFW loan (Prospectus ID#6, 2.8% of the pool) is secured by a 282-key hotel in Irving, Texas. The loan transferred to special servicing in March 2024 because of a nonmonetary default. The hotel was affected by damage sustained during a severe cold snap in 2021, and as a result several rooms at the hotel went offline and cash flows have remained severely depressed since. The loan remains current as of the May 2024 remittance, and the special servicer continues to work with the borrower to determine a workout strategy. However, the loan's DSCR has fallen precipitously alongside occupancy, with the YE2023 financials reporting a figure of 0.02x, compared with YE2022 figure of 0.16x, and significantly less than the Issuer's DSCR of 1.80x. As per the April 2024 STR report, the subject reported a trailing-12-month occupancy rate of 64.9%, average daily rate of $132.38, and revenue per available room (RevPAR) of $85.89, underperforming its competitive set with a RevPAR penetration of 77.5%. Given the sustained low cash flows and special servicing status of the loan, Morningstar DBRS analyzed a liquidation scenario, resulting in a loss severity in excess of 35%. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2016-BNK1: Fitch Lowers Rating on Two Tranches to CCC ----------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 10 classes of Wells Fargo Commercial Mortgage Trust 2016-BNK1 commercial mortgage pass-through certificates. Classes C and X-B were assigned Negative Rating Outlooks following their downgrades. The Outlooks for classes A-S and B were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-BNK1 A-2 95000GAX2 LT AAAsf Affirmed AAAsf A-3 95000GAY0 LT AAAsf Affirmed AAAsf A-S 95000GBA1 LT AAsf Affirmed AAsf A-SB 95000GAZ7 LT AAAsf Affirmed AAAsf B 95000GBD5 LT Asf Affirmed Asf C 95000GBE3 LT BBsf Downgrade BBBsf D 95000GAJ3 LT CCCsf Downgrade B-sf E 95000GAL8 LT CCsf Affirmed CCsf F 95000GAN4 LT Csf Affirmed Csf X-A 95000GBB9 LT AAAsf Affirmed AAAsf X-B 95000GBC7 LT BBsf Downgrade BBBsf X-D 95000GAA2 LT CCCsf Downgrade B-sf X-E 95000GAC8 LT CCsf Affirmed CCsf X-F 95000GAE4 LT Csf Affirmed Csf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased to 9.7% from 8.1% at Fitch's prior rating action. Six loans (26.1% of the pool) are considered Fitch Loans of Concern (FLOCs), all within the top 15, including one REO asset (7.1%). The downgrades on classes C, D, X-B and X-D reflect increased pool loss expectations since Fitch's prior rating action, driven by further performance deterioration of the Simon Premium Outlets, Pinnacle II and Brewer Hill loans, and sustained weak performance on the REO One Stamford Forum asset. The Negative Outlooks reflects possible future downgrades based upon an additional sensitivity scenario that incorporates a potential outsized loss of 75% on One Stamford Forum due to continued lack of leasing progress, weak submarket fundamentals and deteriorating office outlook, which would contribute to lower recovery expectations or a prolonged workout of the REO asset. The largest contributor to overall loss expectations is the REO One Stamford Forum asset (7.1%), a 504,471-sf suburban office building located in Stamford, CT. The loan transferred to special servicing in March 2019 for imminent monetary default when major tenant Purdue Pharma filed for bankruptcy due to lawsuits related to the opioid crisis. A foreclosure sale was completed in October 2023. The asset was 51.1% occupied as of the April 2024 rent roll, compared with 51.7% at YE2023, 53.9% at YE2022 and 53.8% at YE2021.The servicer-reported NOI DSCR was 0.22x at YE2023, -0.17x at YE2022 and -0.02x at YE2021. Major tenants include Purdue Pharma L.P. (25.3% of NRA, leased through December 2026), W.J. Deutsch & Sons LTD. (9.1%, March 2027), AirCastle Advisor, LLC (6.5%, August 2028) and CBRE, Inc. (2.9%, December 2026). According to the special servicer, a lease up strategy is being implemented with a projected disposition in 4Q25. Per CoStar, the property lies within the Stamford, CT CBD office submarket. As of 1Q24, submarket asking rents averaged $38.96 psf and the submarket vacancy rate was 23.8%. Fitch's 'Bsf' rating case loss of 57% (prior to a concentration adjustment) is based on a haircut to the most recent (July 2023) appraisal valuation, reflecting a stressed value of $99 psf. In addition to its base case analysis, Fitch performed a sensitivity analysis that assumed an outsized loss of 75% to reflect lower recovery expectations and a possible prolonged workout given the weak asset performance and submarket fundamentals. The second largest contributor to overall loss expectations is the Simon Premium Outlets (3.9%) loan, which is secured by a 782,765-sf portfolio of three outlet centers located in tertiary markets, including Lee, MA; Gaffney, SC and Calhoun, GA. Portfolio occupancy was 66.8% as of the March 2024 rent rolls, compared with 65% at YE2022, 65% at YE2021, 69% at YE2020 and 82% at YE2019. Per the March 2024 rent rolls, 17.6% of the portfolio NRA rolls by YE2024. Total portfolio sales have declined to $132.0 million as of the TTM March 2024, down 30.6% from the $190.2 million reported for 2018 and down 38.9% from the $215.9 million reported around the time of issuance. Fitch's 'Bsf' rating case loss of 38.9% (prior to a concentration adjustment) is based on a 25% cap rate and 15% stress to the YE 2022 NOI. Fitch's analysis assumed a higher probability of default due to the upcoming rollover, declining occupancy and sales trends and concerns with the loan refinancing at maturity. The third largest contributor to overall loss expectations is the Pinnacle II (4.9%) loan, which is secured by a 230,000-sf single tenant office building built in 2005 and located in Burbank, CA. The property has remained vacant since Warner Brothers Entertainment vacated at its lease expiration in October 2022. According to the servicer, the borrower is in negotiations with prospective tenants to backfill the vacant space. The loan has remained current since issuance. Per CoStar, the property lies within the Burbank office submarket of Los Angeles, CA. As of 1Q24, submarket asking rents averaged $44.38 psf and the submarket vacancy rate was 16.7%. Fitch's 'Bsf' rating case loss of 24.5% (prior to a concentration adjustment) is based on a 9.50% cap rate to the YE 2022 NOI. Fitch's analysis assumed a higher probability of default due to heighted maturity default concerns. The fourth largest contributor to overall loss expectations is the Brewers Hill (4.5%) loan, which is secured by a 382,213-sf mixed use property with office, self-storage and retail components) located in Baltimore, MD. This FLOC was flagged for declining occupancy and low DSCR. The property was 74.8% occupied as of the December 2023 rent roll. Occupancy has declined due to several tenants vacating upon lease expiry. The property's major tenants include Canton Self Storage (29.3% of NRA, leased through May 2045 - sponsor affiliated), Nexus Vets (14.2%, March 2032) and BH Hub LLC (6.3%, May 2024). The servicer-reported NOI DSCR was 0.73x at YE 2023, compared with 0.92x at YE 2021, 1.05x at YE 2020 and 1.64x at issuance. According to the servicer, the sponsor may be seeking a discussion regarding a workout in the near future. Fitch's 'Bsf' rating case loss of 25.3% (prior to a concentration adjustment) is based on a 9.25% cap rate to the YE 2023 NOI. Fitch's analysis assumed a higher probability of default due to declining performance trends and low DSCR. Increased Credit Enhancement (CE): As of the June 2024 remittance reporting, the pool's aggregate balance has been reduced by 8.3% to $798.1 million from $870.6 million at issuance. Five loans (4.8% of the pool) have been fully defeased. Twelve loans (40.1%) are full-term IO and 10 loans (29.0%) were partial-term IO, which have all started amortizing. To date, the trust has incurred $1.2 million in realized principal losses which have been absorbed by the non-rated class G and risk retention class RRI. Cumulative interest shortfalls totaling $1.4 million are affecting the non-rated class G, class F and risk retention class RRI. 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 or interest shortfalls occur. Downgrades to these classes are possible if there are lower than expected recoveries on the REO One Stamford Forum asset, and a large portion of non-FLOCs fail to pay off and default at or before maturity, exposing these classes to prolonged workouts. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from an outsized loss on the REO Stamford Forum asset and larger FLOCs or more loans than expected experience performance deterioration or default at or prior to maturity. Downgrades to the 'BB' rated classes are possible with further loan performance deterioration of FLOCs, particularly, Simon Premium Outlets, Pinnacle II and Brewers Hill, additional transfers to special servicing or with greater certainty of losses on the specially serviced loans or FLOCs. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing 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' 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 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. WESTGATE RESORTS 2024-1: DBRS Finalizes BB(low) Rating on D Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by Westgate Resorts 2024-1 LLC (Westgate 2024-1 or the Issuer): -- $69,028,000 Timeshare Collateralized Notes, Series 2024-1, Class A rated AAA (sf) -- $62,530,000 Timeshare Collateralized Notes, Series 2024-1, Class B rated A (low) (sf) -- $52,680,000 Timeshare Collateralized Notes, Series 2024-1, Class C rated BBB (low) (sf) -- $21,690,000 Timeshare Collateralized Notes, Series 2024-1, Class D rated BB (low) (sf) The credit ratings are based on Morningstar DBRS's review of the following analytical considerations: (1) The transaction's form and sufficiency of available credit enhancement. -- Credit enhancement will be in the form of subordination, overcollateralization (OC), amounts held in the reserve account, and excess spread, which create credit enhancement levels that are commensurate with the credit ratings. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit rating on the A class of notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity. The credit ratings on the B, C, and D class of notes address the ultimate payment of interest and the ultimate payment of principal on or before the final legal maturity. (3) Westgate 2024-1 employs a full turbo structure where all excess cashflow is used to repay note holders with no excess spread going back to issuer until the notes are paid in full. (4) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (5) Westgate Resorts, Ltd.'s (Westgate) 35+ year operating history and its capabilities with regard to developing and managing timeshare resorts, as well as the origination, underwriting, and servicing of Timeshare Loans. -- Morningstar DBRS has performed an operational review of Westgate and considers the entity to be an acceptable originator and servicer of Timeshare Loans. -- The Westgate senior management team averages 40+ years of experience in timeshare development, marketing, and management. (6) The credit quality of the collateral and the consistent performance of Westgate's timeshare loans portfolio. -- Average availability of historical performance data and a history of consistent performance on the Westgate portfolio. -- As of Statistical Calculation Date, the timeshare loans are seasoned approximately 32 months and contain Westgate originations from 2014 through 2024. The weighted-average (WA) remaining life of the initial timeshare loans is approximately 83 months. The WA FICO score of the initial timeshare loans is 723 (excludes foreign borrowers) and contains no FICO scores below 600. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of each of the depositor and the Issuer with Westgate, and ensure that the Issuer has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated are the Accrued Interest, Deferred Interest, and Class Principal Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that is not a financial obligation is the portion of Accrued Interest attributable to interest on unpaid Accrued Interest for the Timeshare Collateralized Notes, Series 2024-1, Class A. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in in U.S. dollars unless otherwise noted. WESTLAKE AUTOMOBILE 2024-2: DBRS Finalizes BB Rating on E Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the classes of notes issued by Westlake Automobile Receivables Trust 2024-2 (Westlake 2024-2 or the Issuer) as follows: -- $341,410,000 Class A-1 Notes at R-1 (high) (sf) -- $235,000,000 Class A-2-A Notes at AAA (sf) -- $225,920,000 Class A-2-B Notes at AAA (sf) -- $129,580,000 Class A-3 Notes at AAA (sf) -- $121,240,000 Class B Notes at AA (sf) -- $172,160,000 Class C Notes at A (sf) -- $153,570,000 Class D Notes at BBB (sf) -- $71,120,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date for each class. (2) The Morningstar DBRS CNL assumption is 14.00% based on the pool composition. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (3) The Westlake 2024-2 Notes are exposed to interest risk because of the fixed-rate collateral and the floating interest rate borne by the Class A-2-B Notes. -- Morningstar DBRS ran interest rate stress scenarios to assess the effect on the transaction's performance, and its ability to pay noteholders per the transaction's legal documents. -- Morningstar DBRS assumed two stressed interest rate environments for each rating category, which consist of increasing and declining forward interest rate paths for a 30-day average Secured Overnight Financing Rate based on the Morningstar DBRS Unified Interest Rate Tool. (4) The consistent operational history of Westlake Services, LLC (Westlake or the Company) and the strength of the overall Company and its management team. -- The Westlake senior management team has considerable experience and a successful track record within the auto finance industry, having managed the Company through multiple economic cycles. (5) The capabilities of Westlake with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of Westlake and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) The Company indicated that it is subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Westlake could take the form of class action complaints by consumers; however, the Company believes that it has taken prudent steps to address and mitigate the litigation risks associated with its business activities. (7) Computershare Trust Company, N.A. (rated BBB and R-2 (middle) with Stable trends by Morningstar DBRS) has served as a backup servicer for Westlake. (8) The legal structure and expected presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Westlake, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance." The collateral securing the notes consists entirely of a pool of retail automobile contracts secured by predominantly used vehicles that typically have high mileage. The loans are primarily made to obligors who are categorized as subprime, largely because of their credit history and credit scores. Westlake is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The ratings on the Class A-1, A-2-A, A-2-B, and A-3 Notes reflect 43.35% of initial hard credit enhancement provided by subordinated notes in the pool (32.05%), the reserve account (1.00%), and OC (10.30%). The ratings on the Class B, Class C, Class D, and Class E Notes reflect 35.85%, 25.20%, 15.70%, and 11.30% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any Noteholders' Interest Carryover Shortfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Confirms 34 Credit Ratings From 15 CPS Auto Trusts ----------------------------------------------------------- DBRS, Inc. upgraded 17 credit ratings and confirmed 34 credit ratings from 15 CPS Auto Receivables Trust transactions. The Affected Ratings are available at https://bit.ly/4byq6lB The Issuers are: CPS Auto Receivables Trust 2021-B CPS Auto Receivables Trust 2022-B CPS Auto Receivables Trust 2022-D CPS Auto Receivables Trust 2022-C CPS Auto Receivables Trust 2023-D CPS Auto Receivables Trust 2023-C CPS Auto Receivables Trust 2023-B CPS Auto Receivables Trust 2023-A CPS Auto Receivables Trust 2021-C CPS Auto Receivables Trust 2020-B CPS Auto Receivables Trust 2021-D CPS Auto Receivables Trust 2020-C CPS Auto Receivables Trust 2022-A CPS Auto Receivables Trust 2020-A CPS Auto Receivables Trust 2021-A The rating actions are based on the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. -- For CPS Auto Receivables Trust 2020-A through CPS Auto Receivables Trust 2021-C, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- For CPS Auto Receivables Trust 2021-D through CPS Auto Receivables Trust 2023-C, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- For CPS Auto Receivables Trust 2023-D, losses are tracking in line with the Morningstar DBRS initial base-case CNL expectations. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Accrued Note Interest and the related Note Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the interest on unpaid Accrued Note Interest for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. [*] DBRS Reviews 30 Classes From 13 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 30 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 13 transactions reviewed, on June 7, 2024, 11 are classified as ReREMICs of legacy RMBS, one as legacy subprime mortgage and one as reperforming mortgage. Of the 30 classes reviewed, Morningstar DBRS confirmed its credit ratings on 29 classes and discontinued its credit rating on one class. The Affected Ratings are available at https://bit.ly/45QvXBg The Issuers are: MASTR Re-securitization Trust 2008-3 Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS2 CSMC Series 2013-9R BCAP LLC 2013-RR8 Trust CSMC Series 2014-2R CSMC Series 2015-6R Ajax Mortgage Loan Trust 2022-B Financial Asset Securities Corp. AAA Trust 2005-2 Citigroup Mortgage Loan Trust 2010-2 Citigroup Mortgage Loan Trust 2009-11 Asset Backed Funding Corporation Series 2004-OPT5 CHL Mortgage Pass-Through Trust Re-securitization 2008-3R Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1 The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The discontinued credit rating reflects the full repayment of principal to bondholders. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 568 Classes From 26 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 568 classes from 26 U.S. residential mortgage-backed securities (RMBS) transactions. This review consists of 18 transactions generally classified as Prime, 5 transactions generally classified as Alt-A, and 1 transaction each generally classified as Investor, Manufactured Housing, and Home Equity. Of the 568 classes reviewed, Morningstar DBRS upgraded 79 credit ratings and confirmed 489 credit ratings on June 7, 2024. The Affected Ratings are available at https://bit.ly/3VUsJbs The Issuers are: MFA 2021-NQM2 Trust MFA 2022-CHM1 Trust PRKCM 2023-AFC2 Trust CHNGE Mortgage Trust 2023-3 Flagstar Mortgage Trust 2018-1 CSMLT 2015-1 Trust Verus Securitization Trust 2021-5 FIGRE Trust 2023-HE2 CSMC Trust 2015-3 Flagstar Mortgage Trust 2018-2 Flagstar Mortgage Trust 2018-5 Flagstar Mortgage Trust 2017-1 Flagstar Mortgage Trust 2018-4 CSMC Trust 2013-IVR4 J.P. Morgan Mortgage Trust 2022-7 J.P. Morgan Mortgage Trust 2017-3 J.P. Morgan Mortgage Trust 2023-6 Shellpoint Co-Originator Trust 2015-1 Residential Mortgage Loan Trust 2020-1 SoFi Mortgage Trust Series 2016-1 Wells Fargo Mortgage Backed Securities 2019-1 Trust WinWater Mortgage Loan Trust 2015-A WinWater Mortgage Loan Trust 2014-1 WinWater Mortgage Loan Trust 2015-4 WinWater Mortgage Loan Trust 2014-3 Towd Point Mortgage Trust 2019-MH1 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 72 Classes From 11 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 72 classes from 11 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as RMBS backed by reperforming mortgages. Of the 72 classes reviewed, Morningstar DBRS upgraded its credit ratings on 48 classes and confirmed its credit ratings on the remaining 24 classes on June 14, 2024. The Affected Ratings are available at https://bit.ly/4eKTesJ The Issuers are: CSMC 2017-FHA1 Trust Ajax Mortgage Loan Trust 2019-F Ajax Mortgage Loan Trust 2021-E Towd Point Mortgage Trust 2022-1 PRPM 2023-RCF1, LLC GS Mortgage-Backed Securities Trust 2021-RPL2 Citigroup Mortgage Loan Trust 2022-RP3 Citigroup Mortgage Loan Trust 2023-RP2 GS Mortgage-Backed Securities Trust 2022-RPL3 MetLife Securitization Trust 2018-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2022-2 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Moody's Upgrades Ratings on $147MM of US RMBS Issued 2021-2022 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 52 bonds from four US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Flagstar Mortgage Trust 2021-1 Cl. B, Upgraded to Aa3 (sf); previously on Aug 31, 2023 Upgraded to A2 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Aug 31, 2023 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Aug 31, 2023 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Aug 31, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 31, 2023 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on Aug 31, 2023 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa2 (sf); previously on Aug 31, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Aug 31, 2023 Upgraded to Baa1 (sf) Cl. B-3-A, Upgraded to A1 (sf); previously on Aug 31, 2023 Upgraded to Baa1 (sf) Cl. B-3-X*, Upgraded to A1 (sf); previously on Aug 31, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Feb 26, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Feb 26, 2021 Definitive Rating Assigned B2 (sf) Cl. B-X*, Upgraded to Aa3 (sf); previously on Aug 31, 2023 Upgraded to A2 (sf) Issuer: Flagstar Mortgage Trust 2021-2 Cl. A-3, Upgraded to Aaa (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-6*, Upgraded to Aaa (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B, Upgraded to A1 (sf); previously on Apr 28, 2021 Definitive Rating Assigned A3 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Apr 28, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Apr 28, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Apr 28, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Apr 28, 2021 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Apr 28, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-3-A, Upgraded to A3 (sf); previously on Apr 28, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-3-X*, Upgraded to A3 (sf); previously on Apr 28, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Apr 28, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Apr 28, 2021 Definitive Rating Assigned B2 (sf) Cl. B-X*, Upgraded to A1 (sf); previously on Apr 28, 2021 Definitive Rating Assigned A3 (sf) Issuer: Flagstar Mortgage Trust 2021-3INV Cl. B-1, Upgraded to Aa2 (sf); previously on May 25, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on May 25, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on May 25, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on May 25, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on May 25, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on May 25, 2021 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on May 25, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 25, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on May 25, 2021 Definitive Rating Assigned B3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-MM1 Cl. A-3, Upgraded to Aaa (sf); previously on Feb 8, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Feb 8, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Feb 8, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Feb 8, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Feb 8, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Feb 8, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 8, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Feb 8, 2022 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 8, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Feb 8, 2022 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Feb 8, 2022 Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions continue to display strong collateral performance, with each experiencing cumulative losses of less than .01% and a small number of loans in delinquencies. In addition, enhancement levels for the tranches have grown significantly, as the pool amortize relatively quickly. The credit enhancement since closing has grown, on average, 23% for the tranches upgraded. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. Two of the upgraded bonds have experienced historical interest shortfalls (GS Mortgage-Backed Securities Trust 2022-MM1, Class B-4, Class B-5). While all shortfalls 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 upgrades. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting upgrades. No actions were taken on other rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. This includes the relationship of exchangeable bonds to the bonds they could be exchanged for. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 104 Classes From 34 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 104 ratings from 34 U.S. RMBS transactions issued between 2001 and 2007. The review yielded 23 upgrades, eight downgrades, 67 affirmations, five withdrawals, and one discontinuance. A list of Affected Ratings can be viewed at: https://rb.gy/w9ydpj Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical and/or outstanding missed interest payments, or interest shortfalls; -- Small loan count; -- Available subordination and/or overcollateralization; and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "The downgrades primarily reflect the erosion of credit support resulting from the payment allocation trigger passing, which allows principal payments to be made to more subordinate classes, thus eroding the projected credit support for the downgraded classes. "We lowered our ratings on three classes from three transactions that reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. In accordance with our surveillance and withdrawal policies, we discontinued the class M-II-1 from RAMP Series 2004-RS4 Trust due to the class being paid down in full. "We also withdrew our ratings on five classes from three transactions due to the small remaining loan count on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***