/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230219.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, February 19, 2023, Vol. 27, No. 49 Headlines ACCESS TO LOANS 1998: Fitch Keeps CCC on C-1 Notes on Watch Neg. ACHM TRUST 2023-HE1: DBRS Finalizes B(low) Rating on Class C Notes AMERICAN CREDIT 2023-1: S&P Assigns BB-(sf) Rating on Cl. E Notes APIDOS CLO XLIII: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes BANK 2017-BNK5: Fitch Affirms 'B-sf' Rating on Class F Certificates BANK 2023-BNK45: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches CANTOR COMMERCIAL 2012-CCRE3: Fitch Cuts Rating on 2 Tranches to B CD 2017-CD4: Fitch Affirms 'BB-sf' Rating on Two Tranches COMM 2014-CCRE18: Fitch Affirms B-sf Rating on E Certs EFMT 2023-1: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs EXETER 2023-1: S&P Assigns Prelim BB (sf) Rating on Class E Notes FANNIE MAE 2023-R02: S&P Assigns B-(sf) Rating on Class 1B-2 Notes FIVE 2023-V1: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches HERTZ VEHICLE III: Moody's Assigns (P)Ba2 Rating to 2 Tranches HILDENE TRUPS 5: Moody's Assigns (P)Ba3 Rating to $12.75MM D Notes MADISON AVE 2002-A: Moody's Hikes Rating on Class B-2 Debt to Ba1 MFA 2023-INV1: S&P Assigns B (sf) Rating on Class B-2 Certs MORGAN STANLEY 2012-C4: Moody's Lowers Rating on Cl. D Certs to B2 MORGAN STANLEY 2014-C15: Fitch Hikes Rating to BB-sf on Cl. F Notes MORGAN STANLEY 2014-C16: Fitch Affirms CCCsf Rating on Cl. D Notes MORGAN STANLEY 2019-L2: Fitch Affirms 'B-sf' Rating on G-RR Certs MOSAIC SOLAR 2023-1: Fitch Gives 'BB(EXP)sf' Rating on Cl. D Notes NELNET EDUCATION 2004-1: Fitch Affirms Bsf Rating on Cl. A-2 Notes OFSI BSL XII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes PIKES PEAK 12: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes PRPM 2023-NQM1: S&P Assigns B(sf) Rating on Class B-2 Certificates RCMF 2023-FL11: Fitch Assigns 'B-sf' Rating on Class G Notes RR 25 LTD: Fitch Assigns 'BB(EXP)sf' Rating on Class D Notes RR 25 LTD: Moody's Assigns (P)B3 Rating to $500,000 Class E Notes START LTD: S&P Affirms B (sf) Rating on Cl. C Notes, On Watch Neg. SUMMIT ISSUER 2023-1: Fitch Gives BB-(EXP)sf Rating on Cl. C Notes TCW CLO 2023-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes TOWD POINT 2023-1: DBRS Finalizes B(high) Rating on Class B2 Certs TRICOLOR AUTO 2023-1: Moody's Gives B2 Rating to $14.41MM F Notes UBS COMMERCIAL 2018-C15: Fitch Affirms 'B-sf' Rating on G-RR Certs US CAPITAL V: Fitch Affirms 'Csf' Rating on Three Tranches WELLS FARGO 2012-C8: Fitch Hikes Rating on Class G Certs to 'BBsf' WELLS FARGO 2013-BTC: Moody's Lowers Rating on Cl. E Certs to Ba3 WELLS FARGO 2015-C29: Fitch Affirms 'B-sf' Rating on Class F Certs WELLS FARGO 2015-C30: Fitch Cuts Rating on Cl. F Certs to CCC WELLS FARGO 2015-SG1: Fitch Affirms 'BB-sf' Rating on Class D Notes WFRBS COMMERCIAL 2013-C11: S&P Lowers E Certs Rating to 'B+ (sf)' [*] Moody's Upgrades $7.7MM of US RMBS Issued 1996 to 1999 [*] S&P Takes Various Actions on 644 Classes on 35 US RMBS Deals [*] S&P Takes Various Actions on 93 Classes From 38 US RMBS Deals ********* ACCESS TO LOANS 1998: Fitch Keeps CCC on C-1 Notes on Watch Neg. ---------------------------------------------------------------- Fitch Ratings has maintained the Rating Watch Negative assigned to the ratings of Access to Loans for Learning Student Loan Corp - 1998 Master Trust IV (ALL SLC 1998). All bonds are rated 'CCCsf'. Entity/Debt Rating Prior ----------- ------ ----- Access to Loans for Learning Student Loan Corp. - 1998 Master Trust IV (CA) 1998 C-1 863903AT7 LT CCCsf Rating Watch Maintained CCCsf Access to Loans for Learning Student Loan Corp. - 1998 Master Trust IV (CA) 2007 IV-A-14 00433TAA1 LT CCCsf Rating Watch Maintained CCCsf IV-A-16 00433TAC7 LT CCCsf Rating Watch Maintained CCCsf IV-A-17 00433TAD5 LT CCCsf Rating Watch Maintained CCCsf IV-A-18 00433TAE3 LT CCCsf Rating Watch Maintained CCCsf Access to Loans for Learning Student Loan Corp. - 1998 Master Trust IV (CA) 2003-1 A-10 00432MAV1 LT CCCsf Rating Watch Maintained CCCsf A-8 00432MAS8 LT CCCsf Rating Watch Maintained CCCsf TRANSACTION SUMMARY On April 26, 2022, bondholders received a Notice of Settlement (Settlement Agreement) from the trustee, M&T Bank, regarding the December 2020 litigation with Kawa Capital Management, Inc. The Settlement Agreement provides for a liquidation of the trust collateral for a price of at least 96% of the outstanding principal balance and subsequent pro-rata redemption of the senior bonds within 90 days of the approval of the settlement agreement. Any bonds not redeemed will be cancelled. Sale of the trust is in progress, and since April 2022, the trust principal balance has decreased from $82.3 million to $33.3 million. While delayed from initial timing expectations, Fitch expects final liquidation to be completed within the next couple of months. If the sale of the collateral is not achieved at the specified price, an event of default may be declared. The Rating Watch Negative reflects the continued uncertainty of how the provisions of the settlement agreement will affect the assigned ratings of the trust. Fitch will resolve the Rating Watch Negative when there is additional information available on the progress of the portfolio sale. 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 'AAA'/Outlook Stable. Collateral Performance: Fitch maintained its sustainable constant default rate (sCDR) at 3.20% and its sustainable constant prepayment rate (sCPR; voluntary and involuntary) at 9.00%. The trailing-twelve-month (TTM) levels of deferment, forbearance and income-based repayment (prior to adjustment) are 3.8%, 11.5% and 6.2%, respectively. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. Fitch applies its standard basis and interest rate stresses to the transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread and subordination of the subordinate notes. As of December 31, 2022, reported senior and total parity is 94.7% and 81.9%, respectively. Liquidity support is provided by a reserve account that is sized at its floor of $1,000,000. In January 2018, the transaction changed to turbo structure and will not release cash until the notes are paid in full. Operational Capabilities: Day-to-day servicing is provided by Navient and Nelnet. Fitch believes both to be acceptable servicers, due to their extensive track records of servicing FFELP loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' 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 inability to sell the portfolio collateral, or at prices below par will likely result in a default of the outstanding classes and downgrade of the rating to 'Dsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch expects the trust to be liquidated over the next few months based on the terms of the settlement agreement. Rating upgrades are not expected as the portfolio liquidation proceeds will be used to pay back the notes or cancel them. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. ACHM TRUST 2023-HE1: DBRS Finalizes B(low) Rating on Class C Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2023-HE1 issued by ACHM Trust 2023-HE1: -- $105.1 million Class A at AAA (sf) -- $11.8 million Class B at BBB (low) (sf) -- $14.4 million Class C at B (low) (sf) The AAA (sf) rating on the Class A Notes reflects 31.15% of credit enhancement provided by subordinate notes. The BBB (low) (sf) and B (low) (sf) ratings reflect 23.45% and 14.00% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of first- and junior-lien revolving home equity lines of credit (HELOCs) recently originated mainly for debt consolidation and funded by the issuance of the Notes. The Notes are backed by 2,556 HELOCs with a total unpaid principal balance (UPB) of $152,662,297 and a total current credit limit of $156,271,573 as of the Cut-Off Date (December 31, 2022). The portfolio, on average, is five months seasoned, though seasoning ranges from two to 32 months. Approximately 98.3% of the HELOCs have been performing since origination. Lendage, LLC, doing business as Achieve Home Loans (AHL), a real estate finance company, is the Originator of all HELOCs in the pool. Launched in 2019, AHL is a residential mortgage lender that specializes in originating HELOCs to consumer borrowers. Lendage, LLC became known as Achieve Home Loans in December 2022 in connection with the rebranding by Freedom Financial Network Funding, LLC (Freedom Financial), the parent of AHL, to the Achieve brand. As of December 31, 2022, its HELOC portfolio consisted of approximately 6,900 HELOCs with an original loan balance of approximately $380 million. AHL is a subsidiary of Freedom Financial and Lendage Holding, LLC, both of which are subsidiaries of Pantheon Freedom, Inc., AHL's ultimate parent company. Within Freedom Financial, AHL is an affiliate of Freedom Financial Network, LLC (FFN). FFN was founded in 2002 in Silicon Valley to provide debt settlement services to consumers. Operating entities within FFN include Freedom Debt Relief; Freedom Financial Asset Management, LLC; bills.com; and AHL. These subsidiaries combined have settled more than $15.6 billion on behalf of consumers and have more than $7.0 billion of consumer debt under management as of June 30, 2022. The transaction's Sponsor is Series B, a series of Freedom Consumer Credit Fund, LLC (the Sponsor or the Fund), an affiliate of Freedom Financial Asset Management, LLC (FFAM). FFAM is an operating entity of FFN and a general partner in the Fund, acting as an advisor to the Fund. The Fund was set up to acquire the consumer loans from FFN and AHL, sponsor securitizations, and manage a portfolio of loans and securities, including the securities retained after the securitization issuance. The transaction is the second securitization of HELOCs by the Sponsor. Previously, the Fund sponsored 14 DBRS Morningstar-rated securitizations of the fixed-rate unsecured fully amortizing consumer installment loans originated by various originators under FFN debt consolidation programs. All of these asset-backed security transactions were issued under the FREED shelf. The transaction includes mostly junior-liens (all second-liens) and some first-lien HELOCs. AHL offers two HELOC products: the Achieve Debt Consolidation (Limited Cash-Out) HELOCs and the Achieve Expanded Use HELOCs. The Debt Consolidation HELOCs are designed for borrowers with available equity in their homes, but have secured or unsecured debts that generate significant interest expenses and/or limit the borrowers' cash flow. A minimum monthly payment savings of $200 is required under the Achieve Debt Consolidation program. The Achieve Expanded Use HELOCs (Cash-Out) are intended for borrowers with higher credit scores looking to improve their homes or plan for additional expenses and allows for less than $200 in payment savings. In this transaction, most of the HELOCs were originated under the Achieve Debt Consolidation program (91.6% of the pool) and the remaining loans under Achieve Expanded Use Program (8.4% of the pool). AHL uses income, employment, and asset verification (in certain circumstances) methods to qualify borrowers for income. In this transaction, all loans are open-HELOCs that have a draw period of five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen in certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period of generally five or 10 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. The HELOCs in this transaction have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. Relative to other types of HELOCs backing DBRS Morningstar-rated deals, the loans in the pool are all fully amortizing, have a shorter term, shorter draw period, and are made mainly for debt consolidation to lower borrowers' monthly payments. AHL is the Servicer of all loans in the pool. The initial annual servicing fee is 1.25% per annum. Specialized Loan Servicing LLC will subservice 100% of the loans. Wilmington Trust National Association (rated AA (low) with a Stable trend by DBRS Morningstar) will serve as Indenture Trustee, Custodian, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Owner Trustee. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A, B, C, and CE Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method will be charged-off. This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), then the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificates holder after the Closing Date). The Reserve Account has an ongoing target amount according to a schedule. The Reserve Account is partially funded at closing and has an initial balance equal to the target amount of $2,289,934 (or about 1.50% of the collateral balance as of the Cut-Off Date). The target amount will gradually build to $3,282,239 or 2.15% of the collateral balance as of the Cut-Off Date in March 2025 (26th payment period after the closing date) according to a schedule that prescribes the required reserve amount for each payment period and is provided in the transaction documents. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificates holder or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest collections, the Class FR Certificates holder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and, second, from the principal collections in subsequent collection periods. Freedom Financial, as a holder of the Trust Certificate/Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificates holder. The Reserve Account required amount will become $0 on the payment date in February 2028 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, DBRS Morningstar does not rely on the creditworthiness of either the Servicer or Freedom Financial. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. DBRS Morningstar performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. In HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, DBRS Morningstar also tests a combination of high draw and low prepayment scenarios to stress the transaction. Because most of the borrowers in this pool have drawn a significant amount of the available credit lines at closing, to test any high draw and low prepay combinations, DBRS Morningstar considers that the borrowers must first repay the credit line in order to draw any meaningful new funds again. Please see the Cash Flow Analysis section of the related report for more details of such scenarios. The transaction employs a sequential-pay cash flow structure. The excess interest remaining from covering the realized losses is used to maintain overcollateralization (OC) at the target of 14.00% of outstanding UPB after the Closing Date. The excess interest can be released to the residual holder if the OC is built to the target so long as the Credit Event, based on the cumulative loss and/or delinquency thresholds, does not exist. Please see the Cash Flow Structure and Features section of the related report for more details. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest on any HELOC. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% percentage interest of the Class CE Notes; initially, the Sponsor's affiliate). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more MBA delinquent under the MBA method (or in the case of any loan that has been subject to a Coronavirus Disease (COVID-19)-related forbearance plan, on any date from and after the date on which such loan becomes 90 days MBA delinquent following the end of the forbearance period) at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell eligible nonperforming loans (those 120 days or more MBA delinquent) or REO properties (both Eligible Non-Performing Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. AMERICAN CREDIT 2023-1: S&P Assigns BB-(sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to American Credit Acceptance Receivables Trust 2023-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 64.3%, 57.6%, 47.0%, 38.0%, and 33.7% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of S&P's expected cumulative net loss of 27.25% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which is in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned American Credit Acceptance Receivables Trust 2023-1 Class A, $129.71 million: AAA (sf) Class B, $29.75 million: AA (sf) Class C, $54.40 million: A (sf) Class D, $49.13 million: BBB (sf) Class E, $19.21 million: BB- (sf) APIDOS CLO XLIII: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO XLIII Ltd. Entity/Debt Rating ----------- ------ Apidos CLO XLIII Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Apidos CLO XLIII 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 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 96.9% first-lien senior secured loans and has a weighted average recovery assumption of 75.04%. 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 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 required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. 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 'Bsf' 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; and as these notes are in the highest rating category of 'AAAsf'. At other rating levels, 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; results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class C notes, 'A+sf' for class D notes and 'BBB+sf' for class E notes. 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. BANK 2017-BNK5: Fitch Affirms 'B-sf' Rating on Class F Certificates ------------------------------------------------------------------- Fitch Ratings has affirmed all 13 classes of BANK 2017-BNK5 Commercial Mortgage Pass-Through Certificates Series 2017-BNK5. Fitch maintains the Negative Rating Outlook on Class F. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK5 A-3 06541WAV4 LT AAAsf Affirmed AAAsf A-4 06541WAW2 LT AAAsf Affirmed AAAsf A-5 06541WAX0 LT AAAsf Affirmed AAAsf A-S 06541WBA9 LT AAAsf Affirmed AAAsf A-SB 06541WAU6 LT AAAsf Affirmed AAAsf B 06541WBB7 LT AA-sf Affirmed AA-sf C 06541WBC5 LT A-sf Affirmed A-sf D 06541WAC6 LT BBB-sf Affirmed BBB-sf E 06541WAE2 LT BB-sf Affirmed BB-sf F 06541WAG7 LT B-sf Affirmed B-sf X-A 06541WAY8 LT AAAsf Affirmed AAAsf X-B 06541WAZ5 LT AA-sf Affirmed AA-sf X-D 06541WAA0 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: The affirmations reflect the overall stable performance relatively in-line with Fitch's prior ratings action. The Negative Outlook on Class F reflects concerns with the Capital Bank Plaza loan (2% of the pool) , given declining collateral performance from high vacancy and lack of improving leasing velocity. Fitch's current ratings incorporate a base case loss of 3.90% of the current pool balance, Fitch has identified five loans as Fitch Loans of Concern (FLOCs) (14.8% of the pool). The largest contributor to losses and largest FLOC in the pool is the Starwood Capital Group Hotel Portfolio (6.7% of the pool). The loan is secured by a portfolio of 65 hotels totaling 6,370 keys located across 21 states with 14 different franchises. Occupancy has increased across the portfolio to 69.5% (June 2022) from 66% (YE 2021), 53.7% (YE 2020), along with ADR $110.56 (June 2022), from $101.76 (YE 2021), and $91.58 (YE 2020). This loan remains a FLOC, as the YE 2021 NOI reflects a 40.5% decline from YE 2019 NOI. The loan has remained current since issuance. Fitch's loss expectations of 12% reflects a value of approximately $69,250/key. The second largest contributor to losses, Capital Bank Plaza, is secured by a 148,142-sf office property located in the Raleigh, NC. The largest tenant was previously Capital Bank (41.2% NRA, 3/2021 exp. with one five-year extension option). Capital Bank merged with First Tennessee Bank in October 2019 and rebranded as First Horizon Bank, the tenant's operations were consolidated and moved to another building in Raleigh a few blocks away. Per the August 2022 rent roll, occupancy has fallen to 34.8%. Clark Nexsen, formerly the largest remaining tenant, representing 20% of NRA, vacated following their lease expiration in June 2022. Fitch performed a dark value analysis resulting in a value of approximately $110 psf. Loss expectations of 24.6% reflect the dark value analysis as well as a higher loss recognition. Hotel Loans of Concern: There are two hotel loans in the top 15 that have been identified as FLOCs, the Richmond Marriott Short Pump (2.1%) and the Charlotte Southpark Marriott (2.1%). The Richmond Marriott Short Pump is secured by 243-key, full-service hotel, located in Glen Allen, VA. The property was built in 2001 and renovated at a cost of approximately $11 million ($45,200/key) in 2015. The property is flagged as a Marriott hotel with a franchise agreement that expires 2037. The loan remains a FLOC, as the TTM September 2022 NOI reflects a 40% decline from YE 2019. Per the December 2022 STR report, occupancy has increased to 65.3% from 52.6% at YE 2021, and 29.4% at YE 2020; the occupancy improvement has helped drive the increase in RevPar to $89.34 (YE 2022), from $63.84 (YE 2021), and $36.15 (YE 2020). The Charlotte Southpark Marriott is secured by 199-key, full-service hotel located in the Southpark area of Charlotte, NC, approximately five miles south of the CBD and adjacent to Southpark Mall. The property was built in 1984 and the sponsor has spent $16 million on capital improvements since purchasing it in 2007, $5 million of which occurred in 2017. For the TTM ending in September 2022, NOI DSCR has improved to 0.94x, from 0.11x at YE 2021 and -0.09x at YE 2020, but remains significantly below 2.65x at YE 2019. The loan remains a FLOC due to the reported TTM September 2022 NOI declining 64% relative to YE 2019. Change to Credit Enhancement: The credit enhancement (CE) has increased since the prior rating action as a result of five loans paying off at or prior to their respective maturities. As of the January 2023 distribution date, the pool's aggregate principal balance has paid down by 12.0% to $1.07 billion from $1.23 billion at issuance. There are 79 of the original 87 loans still outstanding. Eighteen loans representing 48.1% of the pool are interest only (IO) for the full term and 18 additional loans representing 27% of the pool were structured with a partial IO component, each of which have begun amortizing. Since issuance, four loans representing 1.6% of the pool have been fully defeased. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool-level losses from FLOCs or underperforming loans. Downgrades to classes A-3 through A-S, and the associated IO class X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes B and X-B are possible should expected losses for the pool increase significantly and performance continues to decline for the FLOCs. Downgrades to classes D, E, and F and the associated IO class X-D may occur should loss expectations increase from further performance decline of the FLOCs and/or additional loans transfer to special servicing. A downgrade of class F is likely in the near term if performance of the Capital Bank Plaza loan fails to stabilize and/or there is a continued lack of leasing interest for the vacant space. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B , C and X-B would only occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs, particularly the Capital Bank Plaza and Starwood Capital Group Hotel Portfolio loans. Upgrades of classes D, E, and F are not likely without stabilization of performance on the FLOCs and substantially higher recoveries than expected on the specially serviced loans/assets; however, adverse selection and increased concentrations could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. The Negative Outlooks on class F may be revised back to Stable if performance of the FLOCs improves and/or there is a significant improvement in occupancy and performance of Capital Bank Plaza. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. BANK 2023-BNK45: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2023-BNK45, commercial mortgage pass-through certificates, series 2023-BNK45. Fitch has assigned the following expected ratings: Entity/Debt Rating ----------- ------ BANK 2023-BNK45 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-1 LT AAA(EXP)sf Expected Rating A-4-2 LT AAA(EXP)sf Expected Rating A-4-X1 LT AAA(EXP)sf Expected Rating A-4-X2 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-1 LT AAA(EXP)sf Expected Rating A-5-2 LT AAA(EXP)sf Expected Rating A-5-X1 LT AAA(EXP)sf Expected Rating A-5-X2 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-S-1 LT AAA(EXP)sf Expected Rating A-S-2 LT AAA(EXP)sf Expected Rating A-S-X1 LT AAA(EXP)sf Expected Rating A-S-X2 LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT AA-(EXP)sf Expected Rating B-X1 LT AA-(EXP)sf Expected Rating B-X2 LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating C-1 LT A-(EXP)sf Expected Rating C-2 LT A-(EXP)sf Expected Rating C-X1 LT A-(EXP)sf Expected Rating C-X2 LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G LT B-(EXP)sf Expected Rating H LT NR(EXP)sf Expected Rating RR Interest LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB(EXP)sf Expected Rating X-F LT BB-(EXP)sf Expected Rating X-G LT B-(EXP)sf Expected Rating X-H LT NR(EXP)sf Expected Rating - $12,454,000 class A-1 'AAAsf'; Outlook Stable; - $128,509,000 class A-2 'AAAsf'; Outlook Stable; - $15,769,000 class A-SB 'AAAsf'; Outlook Stable; - $3,008,000 class A-3 'AAAsf'; Outlook Stable; - $75,000,0000 class A-4 'AAAsf'; Outlook Stable; - $0b class A-4-1 'AAAsf'; Outlook Stable; - $0b class A-4-2 'AAAsf'; Outlook Stable; - $0bc class A-4-X1 'AAAsf'; Outlook Stable; - $0bc class A-4-X2 'AAAsf'; Outlook Stable; - $159,226,000 class A-5 'AAAsf'; Outlook Stable; - $0b class A-5-1 'AAAsf'; Outlook Stable; - $0b class A-5-2 'AAAsf'; Outlook Stable; - $0bc class A-5-X1 'AAAsf'; Outlook Stable; - $0bc class A-5-X2 'AAAsf'; Outlook Stable; - $468,966,000 class X-A 'AAAsf'; Outlook Stable; - $130,640,000 class X-B 'A-sf'; Outlook Stable; - $71,182,000 class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $34,335,000 class B 'AAsf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $25,123,000 class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $15,074,000 class D 'BBBsf'; Outlook Stable; - $22,611,000 class X-D 'BBBsf'; Outlook Stable; - $7,537,000 class E 'BBB-sf'; Outlook Stable; - $14,237,000 class F 'BB-sf'; Outlook Stable; - $14,237,000 class X-F 'BB-sf'; Outlook Stable; - $10,049,000 class G 'B-sf'; Outlook Stable; - $10,049,000 class X-G 'B-sf'; Outlook Stable. Fitch is not expected to rate the following classes - $23,448,666d class H; - $23,448,666d class X-H; - $35,260,614 class RR interest. a. The initial certificate balances of classes A-4 and A-5 are not yet known but are expected to be $309,226,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$150,000,000, and the expected class A-5 balance range is $159,226,000-$309,226,000. The balances of classes A-4 and A-5 above represent the hypothetical balance for class A-4 if class A-5 were sized at the midpoint of its range. In the event that the class A-5 certificates are issued with an initial certificate balance of $309,226,000, the class A-4 certificates will not be issued. b. Exchangeable Certificates. Class A-4, A-5, A-S, B and C certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the corresponding classes of exchangeable certificates. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-2 and A-4-X2. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-1 and A-5-X1. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-2 and A-5-X2. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1 and A-S-X1. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-2 and A-S-X2. Class B may be surrendered (or received) for the received (or surrendered) classes B-1 and B-X1. Class B may be surrendered (or received) for the received (or surrendered) classes B-2 and B-X2. Class C may be surrendered (or received) for the received (or surrendered) classes C-1 and C-X1. Class C may be surrendered (or received) for the received (or surrendered) classes C-2 and C-X2. c. Notional amount and IO. d. Privately placed and pursuant to Rule 144A. e. Represents the "eligible vertical interest" comprising 5.0% of the pool. The expected ratings are based on information provided by the issuer as of Feb. 3, 2023. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 24 loans secured by 35 commercial properties having an aggregate principal balance of $705,212,280 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC, and Bank of America, National Association. The Master Servicers are expected to be Wells Fargo Bank, National Association, and the Special Servicers are expected to be LNR Partners, LLC Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.6% of the properties by balance, cash flow analyses of 98.3% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Leverage Compared with Recent Transactions: The pool has lower leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 89.0% is significantly lower than the 2022 and 2021 averages of 99.3% and 103.3%, respectively. However, the pool's Fitch debt service coverage ratio (DSCR) of 1.24x is lower than the 2022 and 2021 averages of 1.31x and 1.38x, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 91.6% and 1.24x, respectively. High Pool Concentration: The pool's 10 largest loan represent 75.2% of its cutoff balance, which is significantly more concentrated than the 2022 and 2021 averages of 55.2% and 51.2%, respectively. The pool's Loan Concentration Index (LCI) is 652, significantly higher than the 2022 and 2021 averages of 422 and 381, respectively. Investment Grade Credit Opinion Loans: Two loans representing 14.9% of the pool received an investment-grade credit opinion. CX - 250 Water Street (7.8%) received a standalone credit opinion of 'BBBsf*' and Brandywine Strategic Office Portfolio (7.1%) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage of 14.9% is below the 2022 average of 14.4% and the 2021 average of 13.3%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'CCCsf'; - 20% NCF Decline: 'A-sf'/'BBB-sf'/'BB-sf'/'BB-sf'/'CCCsf'/'CCCsf'; - 30% NCF Decline: 'BBBsf'/'BB+sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'. Fitch's 2023 asset performance outlook for U.S. CMBS is deteriorating. The agency expects overall U.S. CMBS property performance to deteriorate as net cash flows (NCFs) decline from 2022 levels due to slowing revenue growth and increased expenses. Fitch projects loan delinquencies will increase to between 4.0% and 4.5% by year-end 2023 from 1.8% as of year-end 2022 as growing macroeconomic headwinds and higher interest rates contribute to an increase in maturity defaults. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'; - 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'A+sf'/'A-sf'/'BBB-sf'/'BBB-sf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. CANTOR COMMERCIAL 2012-CCRE3: Fitch Cuts Rating on 2 Tranches to B ------------------------------------------------------------------ Fitch Ratings has downgraded four and affirmed five classes of Cantor Commercial Real Estate's COMM 2012-CCRE3 commercial mortgage pass-through certificates, series 2012-CCRE3. Following the downgrades, the Rating Outlooks for classes B, C, and PEZ are Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2012-CCRE3 A-M 12624PAJ4 LT Asf Affirmed Asf B 12624PAL9 LT BBsf Downgrade BBBsf C 12624PAQ8 LT Bsf Downgrade BBsf D 12624PAS4 LT CCCsf Downgrade Bsf E 12624PAU9 LT CCsf Affirmed CCsf F 12624PAW5 LT Csf Affirmed Csf G 12624PAY1 LT Dsf Affirmed Dsf PEZ 12624PAN5 LT Bsf Downgrade BBsf X-A 12624PAF2 LT Asf Affirmed Asf KEY RATING DRIVERS Increased Loss Expectations: The downgrades of classes B, C, D and PEZ reflect increased loss expectations on the Solano Mall and Crossgates Mall loans, which comprise 71.2% of the pool. Both loans are secured by regional malls that have suffered sustained declines in occupancy and cash flow. The ultimate workout of the specially serviced Solano Mall loan remains uncertain at this time, and the Crossgates Mall loan has an upcoming maturity in May 2023 with anticipated refinance challenges. The Negative Outlooks on classes B, C and PEZ reflect the potential for future downgrades with further performance deterioration of Crossgates Mall or a prolonged workout of the Solano Mall loan. Alternative Loss Considerations; Significant Pool Concentration: Only four loans remain, three of which are in special servicing (67.5% of the pool). Due to the concentrated nature of the pool, Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their perceived likelihood of repayment and/or loss expectation. Fitch assumed the two regional malls are the last remaining assets in the pool; classes B and below are reliant on the regional malls. This scenario, along with greater certainty of higher losses, contributed to the downgrades and Negative Outlooks. Class A-M would be reliant on the Prince Building loan, which is currently in special servicing, to refinance; this class was capped at 'Asf'. Specially Serviced Loans: The largest contributor to overall loss expectations is the Solano Mall loan (38.7% of the pool), which is collateralized by 561,015-sf of inline space of a 1.0 million-sf regional mall located in Fairfield, CA. The mall is anchored by non-collateral JCPenney, Macy's and a partially vacant former Sears. The loan transferred to the special servicer in June 2020 due to imminent monetary default; the loan matured on Feb. 1, 2023 without repayment. The special servicer has filed a foreclosure action, and Spinoso Real Estate Group has been appointed as the receiver. The special servicer is currently evaluating disposition strategies. Prior to the pandemic, mall occupancy had already been trending downward after the loss of several tenants. YE 2021 occupancy fell to 74% from 77% at YE 2020, 94% at YE 2019 and 100% at YE 2018 The former non-collateral Sears store closed in 2018 and a portion of the space was re-leased to Dave & Busters in 2020. Additionally, Forever 21 (previously 8.1% NRA) vacated at its December 2019 lease expiration; the space remains vacant. While the December 2022 occupancy increased to 88.2%, a significant portion of the new leasing is from temporary tenants. In addition, there is significant upcoming rollover of 21.7% of the collateral NRA in 2023, including California Health MRC (7.9% of NRA, lease expiration in August 2023), and 23.7% in 2024, including Edwards Cinemas (11.0% of NRA; December 2024). Best Buy (8.3% of NRA) recently renewed its lease through January 2026. Recent in-line tenant sales, as of the trailing-twelve-months (TTM) November 2022, have improved to $453 psf from $284 psf at TTM ended November 2020 and $422 psf at YE 2019. Fitch's loss expectation of 49% reflects an implied cap rate of approximately 20% on the YE 2020 NOI. The second largest contributor to overall loss expectations is the Crossgates Mall loan (32.5% of the pool), which is secured by a 1.3 million sf portion of a 1.7 million sf regional mall located in Albany, NY. The mall is anchored by JCPenney, Regal Cinemas 18, Dick's Sporting Goods, Burlington Coat Factory and a non-collateral Macy's. Other large tenants include Forever 21, Apex Entertainment and Best Buy. A non-collateral Lord & Taylor closed at the end of 2020. The loan is considered a Fitch Loan of Concern due to performance declines and upcoming refinance concerns. The loan was modified in March 2021 and returned to the master servicer in June 2021. The loan had previously been transferred to special servicing in April 2020 for imminent monetary default. The borrower received pandemic-related relief, which included deferral of six months of debt service payment with repayment beginning in January 2021. Further relief was provided in the form of a one-year maturity extension to May 2023 and debt service was deferred until maturity. The loan is sponsored by Pyramid Management Group. Collateral occupancy, excluding specialty long-term tenants, was 85.4% as of December 2021, compared with 86.3% in December 2020 and 88.2% in December 2019. When including specialty long-term tenants, occupancy was 94.2% as of December 2021. The most recently available in-line tenant sales provided to Fitch for tenants occupying less than 10,000 sf were $430 psf, excluding Apple for the TTM February 2020 period, compared with $416 psf for TTM November 2019 and $413 psf in 2018. Fitch requested an updated rent roll and tenant sales, but they were not provided by the servicer. Fitch's loss expectation of 44% is based on a 20% cap rate and 5% stress to the YE 2021 NOI. The specially serviced Prince Building loan (27.6% of the pool) was transferred to special servicing in September 2022 due to imminent maturity default. The loan did not pay off at its maturity on Oct. 6, 2022. The loan was modified in December 2022, and the maturity date was extended to Oct. 6, 2023. Property performance has stabilized, and the YE 2021 NOI has improved 55% compared to YE 2020 NOI as tenants with free rent periods have burned off and are currently paying full rent in addition to tenants previously granted rent deferrals in 2020 and 2021. The property's occupancy remains stable at 93% as of September 2022, unchanged from YE 2021 and up from 90% at YE 2020 and 91% at YE 2019. The most recent NOI DSCR has improved to 2.50x as of September 2022, from 2.01x at YE 2021, 1.29x at YE 2020 and 2.11x at YE 2019. Improved Credit Enhancement: While credit enhancement has improved since Fitch's last rating action from multiple loan payoffs, this was offset by higher loss expectations on the regional mall loans. As of the January 2023 distribution date, the pool's aggregate principal balance has been reduced by 78.3% to $271.7 million from $1.25 billion at issuance. There are cumulative interest shortfalls of $3.2 million that are currently impacting the non-rated classes G and H. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from specially serviced loans. Downgrade to class A-M is not expected given the expectation The Prince Building should be able to refinance at maturity. Downgrades to classes B, C, PEZ and D are possible with further performance deterioration of Crossgates Mall or a prolonged workout of the Solano Mall loan. Downgrades to the distressed classes will occur as losses are realized or with a greater certainty of losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades are not currently expected given the pool's exposure to regional malls and the outlook for retail performance. Factors that lead to upgrades would include significantly improved performance coupled with pay down and/or defeasance. An upgrade to classes A-M is not possible as the rating is capped due to its reliance on the refinancing of the specially serviced Prince Building loan. Classes B, C, PEZ and D would only be upgraded should one or more of the regional malls dispose at greater than expected recoveries. Upgrades to the distressed classes are not likely. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. CD 2017-CD4: Fitch Affirms 'BB-sf' Rating on Two Tranches --------------------------------------------------------- Fitch Ratings has affirmed 17 classes of CD 2017-CD4 Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2017-CD4. Entity/Debt Rating Prior ----------- ------ ----- CD 2017-CD4 A-3 12515DAQ7 LT AAAsf Affirmed AAAsf A-4 12515DAR5 LT AAAsf Affirmed AAAsf A-M 12515DAT1 LT AAAsf Affirmed AAAsf A-SB 12515DAP LT AAAsf Affirmed AAAsf B 12515DAU8 LT AA-sf Affirmed AA-sf C 12515DAV6 LT A-sf Affirmed A-sf D 12515DAF1 LT BBB-sf Affirmed BBB-sf E 12515DAG9 LT BB-sf Affirmed BB-sf F 12515DAH7 LT CCCsf Affirmed CCCsf V-A 12515DAW4 LT AAAsf Affirmed AAAsf V-BC 12515DBU7 LT A-sf Affirmed A-sf V-D 12515DAZ7 LT BBB-sf Affirmed BBB-sf X-A 12515DAS3 LT AAAsf Affirmed AAAsf X-B 12515DAA2 LT A-sf Affirmed A-sf X-D 12515DAB0 LT BBB-sf Affirmed BBB-sf X-E 12515DAC LT BB-sf Affirmed BB-sf X-F 12515DAD6 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Stable Loss Expectations: The affirmations and Stable Rating Outlooks reflect overall stable loss expectations for the pool since Fitch's prior rating action. Six loans (14.3% of the pool) are considered Fitch Loans of Concern (FLOCs) including four (8.9%) specially serviced loans. Fitch's current ratings incorporate a base case loss of 4.9%. Fitch Loans of Concern/Largest Contributors to Loss: The largest contributor to overall losses and largest increase since the prior review is the 260 West 36th Street loan (3.2%), which is secured by an 85,000-sf office building located between Seventh and Eighth Avenue in the Garment District section of New York City. Performance has been declining with NOI debt service coverage ratio (DSCR) at June 2022 of 0.65x compared with 1.08x at YE 2021, 1.50x at YE 2020, and 1.79x at YE 2019. As of June 2022, occupancy was 87% with approximately 30% leases that expired in 2022 or were month-to-month. An additional 10% expires in 2023 and 20% in 2024. In December 2022 the loan was assumed by Ouni Mamrout and partner Meyer Equities for $33 million ($400 psf) from Albert Monasebian and Nader Hakakian. Fitch's loss expectation of 33% reflects recoveries of approximately $190 psf, factoring in a 10.25% cap rate and a 15% stress to the YE 2020 NOI. The second largest contributor to overall losses is the specially serviced Hamilton Crossing loan (2.4%), which is secured by a 590,917-sf office complex located in Carmel, IN. The loan transferred to the special servicer in July 2019 for imminent default after the property's top tenant, ADESA, which leased 30% of the NRA, vacated at its July 2019 lease expiry. Occupancy has since been recovering slowly. As of the September 2022 rent roll, occupancy was reported at 72.6%, compared with 67.7% at YE 2021, 53.8% at YE 2020 and 56.5% at YE 2019. Per the special servicer, Byrider Franchising LLC, (11.8% of NRA), is expected to downsize its space to 4.6% of NRA, which will result in overall property occupancy declining to approximately 65%. Fitch's loss expectation of 19% reflects a stressed value of $68 psf, factoring in a 10.75% cap rate and a 10% stress to the annualized YTD June 2022 NOI to account for the anticipated downsizing of Byrider. Improved Credit Enhancement: As of the January 2023 remittance, the pool's aggregate balance has been paid down by 17.3% to $745 million from $900.5 million at issuance. 45 of the original 47 loans remain in the pool; since the prior rating action, one specially serviced loan was disposed and the former largest loan paid in full. The Marriott Spartansburg, a 247-key limited-service hotel located in Spartansburg, SC, was disposed with a realized loss of $6.3 million (28% loss severity). 95 Morton Street ($95 million), paid in full post maturity. Nine loans (21.6% of the pool) are interest only (IO) for the full loan term, including four loans (16.4%) in the top 15. One loan (1.6%) has a remaining partial-term IO period and the remaining loans are amortizing (88%). Based on the scheduled balance at maturity, the pool is only expected to be reduced by 9.9% from amortization. Six (7.8%) loans are defeased. The majority of the pool matures in 2027 (90.1%); however, 2.3% of the pool matures in 2025, and 7.6% in 2026. Single-Tenant Concentration: Five loans among the largest 22 are secured by single-tenant properties (15.7% of the pool). Moffett Place Google (9.9%), Malibu Vista (2.4%), Alvogen Pharma US (2.2%), SG360 (2.2%), and Malibu Office (1.6%; Regus vacated) are secured by single-tenant properties. High Office and Hotel Loan Concentration: Loans backed by office properties represent 40.3% of the pool, including 34.7% in the top 15. Hotel properties represent 21.1%, including 18.2% in the top 20. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AA-sf' and 'AAAsf' categories are not expected given their high CE relative to expected losses and continued amortization, but may occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase considerably. Downgrades to the 'A-sf' and 'BBB-sf' categories would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'BB-sf' category would occur should loss expectations increase and if performance of the FLOCs or loans vulnerable to the pandemic fail to stabilize or additional loans default and/or transfer to the special servicer. Downgrades the 'CCCsf' category would occur with greater certainty of losses and/or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs could cause this trend to reverse. Upgrades to the 'BBB-sf' and 'BB-sf' categories would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to the 'CCCsf' category 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 class. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. COMM 2014-CCRE18: Fitch Affirms B-sf Rating on E Certs ------------------------------------------------------ Fitch Ratings has upgraded four and affirmed seven classes of Deutsche Bank Securities, Inc.'s commercial mortgage pass-through certificates, series 2014-CCRE18 (COMM 2014-CCRE18). The class B and X-B have been assigned Stable Outlooks. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-CCRE18 A-4 12632QAW3 LT AAAsf Affirmed AAAsf A-5 12632QAX1 LT AAAsf Affirmed AAAsf A-M 12632QAZ6 LT AAAsf Affirmed AAAsf A-SB 12632QAU7 LT AAAsf Affirmed AAAsf B 12632QBA0 LT AAAsf Upgrade AA-sf C 12632QBC6 LT Asf Upgrade A-sf D 12632QAE3 LT BBsf Affirmed BBsf E 12632QAG8 LT B-sf Affirmed B-sf PEZ 12632QBB8 LT Asf Upgrade A-sf X-A 12632QAY9 LT AAAsf Affirmed AAAsf X-B 12632QAA1 LT AAAsf Upgrade AA-sf KEY RATING DRIVERS Increased Credit Enhancement (CE): The upgrades reflect increasing CE as a result of amortization, loan payoffs and defeasance, as well as stable to improving pool performance. As of the January 2023 distribution date, the pool's aggregate principal balance has paid down by 41% to $838.9 million from $1 billion at issuance. Since prior rating action, one REO hotel asset was disposed resulting in a loss of $3.4 million. Total realized losses to date are $26.7 million. The significant increase in CE is attributed to the second largest loan (9.5% of the pool) paying off. Eleven loans (30%) have been fully defeased up from eight loans (20%) at the prior rating action. Relatively Stable Loss Expectations: Overall performance and base case loss expectations for the overall pool have remained relatively stable since the last rating action. Fitch's ratings reflect a base case loss of 3.9%. Largest increase in Loss Expectations: The largest increase in loss expectations is the 399 Thornall loan (5.6%), which is secured by a 335,000-sf office building located in Edison, NJ. Performance at the property has significantly declined since issuance, due to a decline in occupancy. As of September 2022, the property was 44% occupied which is a decline from 53% in September 2021. According to servicer updates, the vacant space is being marketed. Upcoming rollover at the property includes 2.2% of the NRA in 2023, followed by 24% in 2024 and 2.2% in 2025. The servicer reported YE 2021 debt service coverage ratio (DSCR) was 1.68x, which is a significant increase from 0.73x at YE 2020 and 0.84x at YE 2019. The increase is due to an increase in base rent as a result of the occupancy improvement in 2021, however, DSCR is projected to decline again due to falling occupancy. Fitch modeled a loss of approximately 10.5%, which utilizes a 10.5% cap rate and 25% haircut to the YE 2021 NOI to reflect an occupancy decline and upcoming rollover. Alternative Loss Consideration: Due to increasing CE and the stable to improving performance of the overall pool, Fitch's analysis included a scenario to test for positive rating actions. This included higher cap rates and NOI stresses for the entire pool. The upgrades reflect this stressed analysis. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to classes A-4 through C are not likely due to their position in the capital structure and the high CE; however, downgrades to these classes may occur if they incur interest shortfalls. Downgrades to class D and E would occur if loss expectations increase significantly and/or should CE be eroded. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes C and X-C would occur with continued improvement in CE and/or defeasance and continued stable to improving performance of the overall pool. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes, PEZ, D, X-D, and E may occur with significant improvement in CE and/or defeasance, but would be limited based on sensitivity to concentrations or the potential for future concentration. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. EFMT 2023-1: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to EFMT 2023-1. Entity/Debt Rating Prior ----------- ------ ----- EFMT 2023-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates to be issued by EFMT 2023-1, Mortgage Pass-Through Certificates, Series 2023-1 (EFMT 2023-1), as indicated above. The certificates are supported by 796 loans with a balance of $330.37 million as of the cutoff date. This will be the eighth EFMT transaction rated by Fitch and the first EFMT transaction in 2023. The certificates are secured mainly by non-qualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule (the Rule). Approximately 48.8% of the loans were originated by LendSure Mortgage Corporation, a joint venture between LendSure Financial Services, Inc. (LFS) and Ellington Financial, Inc. (EFC). Approximately 23.8% of the loans were originated by American Heritage Lending (AHL). The remaining 27.4% of the loans were originated by various other third-party originators that contributed no more than 10% each to the pool. Of the pool, 57.75% of the loans are designated as non-QM, and the remaining 42.25% are investment properties not subject to ATR. Rushmore Loan Management Services LLC (Rushmore) will be the servicer and Nationstar Mortgage LLC (Nationstar) will be the master servicer for the transaction. There is LIBOR exposure in this transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 0.16% of the pool comprises loans with an adjustable rate. These two ARM loans are based on one-year LIBOR. The offered certificates have the following coupon rates: classes A-1, A-2 and A-3 are fixed rate with a step-up coupon at year four and capped at the net weighted average coupon (WAC), while classes M-1, B-1, B-2 and B-3 pay the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.0% above a long-term sustainable level (versus 10.5% on a national level as of January 2023, down 1.7% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 9.2% YoY nationally as of October 2022. Nonprime Credit Quality (Mixed): Collateral consists of 30-year fully amortizing loans (71.34%), 40-year fully amortizing loans with a 10-year IO period (25.91%), 30-year fully amortizing loans with a 10-year IO period (2.46%), 30-year fully amortizing ARM loans (0.16%) and 25-year fully amortizing loans (0.12%). The vast majority of the pool is comprised of fixed-rate loans at 99.84% and the remaining 0.16% are ARM loans based off of one-year LIBOR. The pool is seasoned at about seven months in aggregate, as determined by Fitch (five months per the transaction documents). The borrowers in this pool have relatively strong credit profiles with a 725 weighted average (WA) FICO score (727 WA FICO per the transaction documents) and a 44.2% debt-to-income ratio (DTI), both as determined by Fitch, as well as moderate leverage, with an original combined loan-to-value ratio (CLTV) as determined by Fitch of 70.7% (70.8% per the transaction documents), translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 77.9%. Fitch considered 51.5% (51.53% per transaction documents) of the pool to consist of loans where the borrower maintains a primary residence, while 43.2% (42.25% per the transaction documents) comprises investor property and 5.3% (6.22% per the transaction documents) represents second homes. Fitch considers loans to foreign nationals to be investor occupied, which explains the difference in Fitch's percentages compared to the transaction's documents. There were 27 loans made to foreign nationals in the pool. If the co-borrower is a U.S. citizen or permanent resident, Fitch does not count those loans as loans to foreign nationals. Fitch does not make adjustments for loans to nonpermanent residents since historical performance has shown they perform the same or better than those to U.S. citizens. For foreign nationals, Fitch treated them as investor occupied, and made no documentation for income and employment. If a FICO was not provided for the foreign national, a FICO of 650 was assumed. Approximately, 98% of the loans were originated through a nonretail channel. Additionally, 57.75% of the loans are designated as non-QM, while the remaining 42.25% are exempt from QM status. The pool contains 58 loans over $1.0 million, with the largest loan at $2.99 million. The largest loan in the pool is a purchase loan for an owner occupied planned unit development home in Irvine, CA and has the following collateral attributes: 741 borrower FICO and 40% LTV. Fitch's analysis of the pool, determined that self-employed, non-debt service coverage ratio (non-DSCR) borrowers make up 50.4% of the pool; salaried non-DSCR borrowers make up 16.2%; and 33.4% (33.5% per the transaction documents) comprises investor cash flow DSCR loans. About 43.2% of the pool comprises loans for investor properties (this include loans underwritten to foreign nationals). Specifically, 9.8% underwritten to borrowers' credit profiles (including all loans to foreign nationals) and 33.4% (33.5% per the transaction documents comprising investor cash flow loans. There are no second liens in the pool, no loans with a modification, and no loans have subordinate financing. Around 25% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (8.3%), followed by the Miami MSA (7.1%) and the San Diego MSA (4.3%). The top three MSAs account for 19.8% of the pool. As a result, there was no adjustment for geographic concentration. As of Jan. 1, 2023, all but one loan was current (the one late borrower made the payment after Jan. 1, 2023). Fitch considered 100% of the loans to be current in its analysis. Overall, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans (Negative): Fitch determined that about 80.2% of the pool was underwritten to less than full documentation and 43.4% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to underwriting and documentation of the borrower's ATR. Additionally, 1.8% comprises an asset depletion product, 0.0% is a CPA or P&L product and 33.4% is a DSCR product. Fitch increased the PD on the non-full documentation loans to reflect the additional risk. The pool does not contain 'No Ratio' loans, which Fitch viewed as a positive feature of the collateral composition of the pool. 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 additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes A-1, A-2 and A-3 until they are reduced to zero. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after February 2027, since classes A-1, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1, A-2 and A-3 classes in and after February 2027. 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 41.5% 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 'AAAsf' ratings. 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. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Canopy, Clayton, Evolve, Infinity, Opus, and Selene 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 that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS EFMT 2023-1 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled in EFMT 2023-1, including strong transaction due diligence and the use of a servicer rated 'RPS1-' by Fitch; this results in a reduction in expected losses, which is relevant to the rating. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. EXETER 2023-1: S&P Assigns Prelim BB (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2023-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 14, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 60.23%, 52.86%, 43.46%, 32.83% and 26.92% credit support--hard credit enhancement and haircut to excess spread--for the class A (collectively, classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.85x, 2.50x, 2.05x, 1.55x, and 1.27x coverage of S&P's expected cumulative net loss of 21.00% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.55x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which we believe are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- The series' bank accounts at Citibank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and the backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Exeter Automobile Receivables Trust 2023-1 Class A-1, $63.00 million: A-1+ (sf) Class A-2, $135.00 million: AAA (sf) Class A-3, $52.02 million: AAA (sf) Class B, $75.72 million: AA (sf) Class C, $78.76 million: A (sf) Class D, $80.30 million: BBB (sf) Class E, $66.85 million: BB (sf) FANNIE MAE 2023-R02: S&P Assigns B-(sf) Rating on Class 1B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Fannie Mae Connecticut Avenue Securities Trust 2023-R02's notes. The note issuance is an RMBS transaction backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to primarily prime borrowers. The ratings reflect: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which we believe enhances the notes' strength; -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying representation and warranty framework; and -- The potential impact that current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we continue to maintain our updated 'B' FF for the archetypal pool at 3.25%, given our current outlook for the U.S. economy. With rising interest rates and inflation, the Russia-Ukraine conflict ongoing, tensions over Taiwan escalating, and the China slowdown exacerbating supply-chain and pricing pressures, the U.S. economy appears to be teetering toward recession." Ratings Assigned Fannie Mae Connecticut Avenue Securities Trust 2023-R02 Class 1A-H, $19,298,723,365: NR Class 1M-1, $375,337,000: BBB+ (sf) Class 1M-1H(i), $19,754,974: NR Class 1M-2A(ii), $51,328,000: BBB (sf) Class 1M-AH(i), $2,701,672: NR Class 1M-2B(ii), $51,328,000: BBB (sf) Class 1M-BH(i), $2,701,672: NR Class 1M-2C(ii), $51,328,000: BBB- (sf) Class 1M-CH(i), $2,701,672: NR Class 1M-2(ii), $153,984,000: BBB- (sf) Class 1B-1A(ii), $56,984,000: BB+ (sf) Class 1B-AH(i), $18,995,226: NR Class 1B-1B(ii), $56,984,000: BB- (sf) Class 1B-BH(i), $18,995,226: NR Class 1B-1(ii), $113,968,000: BB- (sf) Class 1B-2(ii), $65,848,000: B- (sf) Class 1B-2H(i), $65,849,325: NR Class 1B-3H(i), $121,566,761: NR Related combinable and recombinable notes exchangeable classes Class 1E-A1, $51,328,000: BBB (sf) Class 1A-I1, $51,328,000(iii): BBB (sf) Class 1E-A2, $51,328,000: BBB (sf) Class 1A-I2, $51,328,000(iii): BBB (sf) Class 1E-A3, $51,328,000: BBB (sf) Class 1A-I3, $51,328,000(iii): BBB (sf) Class 1E-A4, $51,328,000: BBB (sf) Class 1A-I4, $51,328,000(iii): BBB (sf) Class 1E-B1, $51,328,000: BBB (sf) Class 1B-I1, $51,328,000(iii): BBB (sf) Class 1E-B2, $51,328,000: BBB (sf) Class 1B-I2, $51,328,000(iii): BBB (sf) Class 1E-B3, $51,328,000: BBB (sf) Class 1B-I3, $51,328,000(iii): BBB (sf) Class 1E-B4, $51,328,000: BBB (sf) Class 1B-I4, $51,328,000(iii): BBB (sf) Class 1E-C1, $51,328,000: BBB- (sf) Class 1C-I1, $51,328,000(iii): BBB- (sf) Class 1E-C2, $51,328,000: BBB- (sf) Class 1C-I2, $51,328,000(iii): BBB- (sf) Class 1E-C3, $51,328,000: BBB- (sf) Class 1C-I3, $51,328,000(iii): BBB- (sf) Class 1E-C4, $51,328,000: BBB-(sf) Class 1C-I4, $51,328,000(iii): BBB- (sf) Class 1E-D1, $102,656,000: BBB (sf) Class 1E-D2, $102,656,000: BBB (sf) Class 1E-D3, $102,656,000: BBB (sf) Class 1E-D4, $102,656,000: BBB (sf) Class 1E-D5, $102,656,000: BBB (sf) Class 1E-F1, $102,656,000: BBB- (sf) Class 1E-F2, $102,656,000: BBB- (sf) Class 1E-F3, $102,656,000: BBB- (sf) Class 1E-F4, $102,656,000: BBB- (sf) Class 1E-F5, $102,656,000: BBB- (sf) Class 1-X1, $102,656,000(iii): BBB (sf) Class 1-X2, $102,656,000(iii): BBB (sf) Class 1-X3, $102,656,000(iii): BBB (sf) Class 1-X4, $102,656,000(iii): BBB (sf) Class 1-Y1, $102,656,000(iii): BBB- (sf) Class 1-Y2, $102,656,000(iii): BBB- (sf) Class 1-Y3, $102,656,000(iii): BBB- (sf) Class 1-Y4, $102,656,000(iii): BBB- (sf) Class 1-J1, $51,328,000: BBB- (sf) Class 1-J2, $51,328,000: BBB- (sf) Class 1-J3, $51,328,000: BBB- (sf) Class 1-J4, $51,328,000: BBB- (sf) Class 1-K1, $102,656,000: BBB- (sf) Class 1-K2, $102,656,000: BBB- (sf) Class 1-K3, $102,656,000: BBB- (sf) Class 1-K4, $102,656,000: BBB- (sf) Class 1M-2Y, $153,984,000: BBB- (sf) Class 1M-2X, $153,984,000(iii): BBB- (sf) Class 1B-1Y, $113,968,000: BB- (sf) Class 1B-1X, $113,968,000(iii): BB- (sf) Class 1B-2Y, $65,848,000(iii): B- (sf) Class 1B-2X, $65,848,000(iii): B- (sf) (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The class 1M-2 noteholders may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes and vice versa. The class 1B-1 noteholders may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes and vice versa. The class 1M-2A, 1M-2B, 1M-2C, 1B-1A, 1B-1B, and 1B-2 noteholders may exchange all or part of those classes for proportionate interests in the RCR notes, as specified in the offering documents. (iii)Notional amount. NR--Not rated. RCR--Related combinable and recombinable. FIVE 2023-V1: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to FIVE 2023-V1 Mortgage Trust Commercial Mortgage Pass-Through certificates, series 2023-V1, as follows: Entity/Debt Rating ----------- ------ FIVE 2023-V1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-M LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G LT B-(EXP)sf Expected Rating H LT NR(EXP)sf Expected Rating VRR LT NR(EXP)sf Expected Rating X-A LT AA-(EXP)sf Expected Rating X-F LT BB-(EXP)sf Expected Rating X-G LT B-(EXP)sf Expected Rating X-H LT NR(EXP)sf Expected Rating - $7,356,000 class A-1 'AAAsf'; Outlook Stable; - $200,000,000a class A-2 'AAAsf'; Outlook Stable; - $301,700,000a class A-3 'AAAsf'; Outlook Stable; - $79,994,000 class A-M 'AAAsf'; Outlook Stable; - $40,906,000 class B 'AA-sf'; Outlook Stable; - $629,956,000b class X-A 'AA-sf'; Outlook Stable; - $27,271,000 class C 'A-sf'; Outlook Stable; - $14,545,000 class D 'BBBsf'; Outlook Stable; - $7,272,000 class E 'BBB-sf'; Outlook Stable; - $14,544,000 class F 'BB-sf'; Outlook Stable; - $14,544,000b class X-F 'BB-sf'; Outlook Stable; - $10,909,000 class G 'B-sf'; Outlook Stable; - $10,909,000b class X-G 'B-sf'; Outlook Stable. Fitch is not expected to rate the following classes: - $22,726,047 class H; - $22,726,047b class X-H; - $38,274,898c class VRR. a. The exact initial certificate balances of the class A-2 and class A-3 certificates are unknown and will be determined based on the final pricing of those classes of certificates. b. Notional amount and IO. c. Vertical risk retention interest. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 26 loans secured by 43 commercial properties having an aggregate principal balance of $765,497,945 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., Barclays Capital Real Estate Inc., Bank of Montreal and Goldman Sachs Mortgage Company. The Master Servicer is expected to be Midland Loan Services, A Division of PNC Bank, National Association and the Special Servicer is expected to be Greystone Servicing Company LLC. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has significantly lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 90.0% is lower than both the 2022 and 2021 averages of 99.3% and 103.3%, respectively. However, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.16x is below the 2022 and 2021 averages of 1.31x and 1.38x, respectively, driven in large part by a higher average mortgage rate. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 95.6% and 1.13x, respectively. Highly Concentrated Pool by Loan Size: The pool's 10 largest loans represent 68.9% of its cutoff balance, which is well above the 2022 and 2021 averages of 55.2% and 51.2%, respectively. This results in a Loan Concentration Index (LCI) score of 595, which is higher than the 2022 and 2021 averages of 422 and 381, respectively. Investment-Grade Credit Opinion Loans: The pool includes four loans, representing 21.1% of the cutoff balance, that received an investment-grade credit opinion. Brandywine Strategic Office Portfolio received a standalone credit rating of 'BBB-sf', 428-430 North Rodeo received a standalone credit rating of 'BBB+sf', Gilardian NYC Portfolio received a standalone credit rating of 'Asf', and Park West Village received a standalone credit rating of 'BBB-sf'. This pool's total credit opinion percentage is higher than the 2022 and 2021 averages of 14.4% and 13.3%, respectively. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB+sf' / 'Bsf' / 'CCCsf'; - 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'B-sf' / 'CCCsf' / 'CCCsf' /'CCCsf'; - 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' /'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 20% NCF Increase: 'AAAsf' / 'AAAsf'/ 'AAsf' / 'A+sf' / 'Asf' / 'BBB+sf' /'BBB-sf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. HERTZ VEHICLE III: Moody's Assigns (P)Ba2 Rating to 2 Tranches -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the Series 2023-1 and Series 2023-2 Rental Car Asset-Backed Notes to be issued by Hertz Vehicle Financing III LLC (the Issuer), Hertz's rental car ABS facility. The Series 2023-1 Notes and the Series 2023-2 Notes will have a legal final maturity in 4 and 6 years, respectively. Hertz Vehicle Financing III LLC (HVFIII) is a Delaware limited liability company, which is a bankruptcy-remote special purpose entity (SPE) and a direct subsidiary of The Hertz Corporation (Hertz). The collateral backing the notes is a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the SPE by the original equipment manufacturers (OEMs). The complete rating actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2023-1 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2023-1 Rental Car Asset Backed Notes, Class B, Assigned (P)A1 (sf) Series 2023-1 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa2 (sf) Series 2023-1 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) Series 2023-2 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2023-2 Rental Car Asset Backed Notes, Class B, Assigned (P)A1 (sf) Series 2023-2 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa2 (sf) Series 2023-2 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The ratings are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which The Hertz Corporation (Hertz) uses in its rental car business, (2) the credit quality of Hertz, Corporate family rating of B2, as the primary lessee and as guarantor under the operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) the credit enhancement, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, (6) the transaction's legal structure including standard bankruptcy remoteness provisions and legal opinions, and (7) stable rental car market conditions bolstered by recovering travel demand and still tight vehicle supply. The Series 2023-1 and Series 2023-2 Class A, Class B, and Class C Notes benefit from subordination of 32.5%, 22.0% and 13.0% of the outstanding balance of each series, respectively. The proposed liquid enhancement is expected to be 3.75% of the outstanding note balance for Series 2023-1 and Series 2023-2, sized to cover six months of interest plus 50 basis points. Consistent with prior transactions, the series will be subject to a credit enhancement floor of 11.05% in the form of overcollateralization, regardless of fleet composition. As in prior issuances, the transaction documents stipulate that the required credit enhancement for the Series 2023-1 and Series 2023-2 Notes, sized as a percentage of the total assets, will be a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories as described below: » 5.00% for eligible program vehicle and receivable amount from investment grade manufacturers (any manufacturer that has Moody's long-term rating or senior unsecured rating or long-term corporate family rating (together, relevant Moody's ratings) of at least "Baa3" and any manufacturer that does not have a relevant Moody's rating and has a senior unsecured debt rating from Moody's of at least "Ba1") » 8.00% for eligible program vehicle amount from non-investment grade manufacturers » 15.00% for eligible non-program vehicle amount from investment grade manufacturers » 15.00% for eligible non-program vehicle amount from non-investment grade manufacturers » 8.00% for eligible program receivable amount from non-investment grade (high) manufacturers (any manufacturer that (i) is not an investment grade manufacturer and (ii) has a relevant Moody's rating of at least "Ba3") » 100.00% for eligible program receivable amount from non-investment grade (low) manufacturers (any manufacturer that has a relevant Moody's rating of less than "Ba3") » 35.0% for medium-duty truck amount » 0.00% for cash amount » 100% for remainder Aaa amount Consequently, the actual required amount of credit enhancement will fluctuate based on the mix of vehicles and receivables in the securitized fleet. Furthermore, the transaction documents dictate that the total enhancement should include a minimum portion which is liquid (in cash and/or letter of credit), sized as a percentage of the aggregate Class A / B / C / D principal amount, net of cash. The assumptions Moody's applied in the analysis of this transaction: Risk of sponsor default: Moody's assumed a 60% decrease in the probability of default (from Moody's idealized default probability tables) implied by the B2 rating of the sponsor. This reflects Moody's view that, in the event of a bankruptcy, Hertz would be more likely to reorganize under a Chapter 11 bankruptcy filing, as it would likely realize more value as an ongoing business concern than it would if it were to liquidate its assets under a Chapter 7 filing. Furthermore, given the sponsor's competitive position within the industry and the size of its securitized fleet relative to its overall fleet, the sponsor is likely to affirm its lease payment obligations in order to retain the use of the fleet and stay in business. Moody's arrive at the 60% decrease assuming a 80% probability Hertz would reorganize under a Chapter 11 bankruptcy and a 75% probability Hertz would affirm its lease payment obligations in the event of Chapter 11. Disposal value of the fleet: Moody's assumed the following haircuts to the net book value (NBV) of the vehicle fleet: Non-Program Haircut upon Sponsor Default (Car): Mean: 19% Non-Program Haircut upon Sponsor Default (Car): Standard Deviation: 6% Non-Program Haircut upon Sponsor Default (Truck): Mean: 35% Non-Program Haircut upon Sponsor Default (Truck): Standard Deviation: 8% Non-Program Haircut upon Sponsor Default (Tesla): Mean: 21% Non-Program Haircut upon Sponsor Default (Tesla): Standard Deviation: 10% Fixed Program Haircut upon Sponsor Default: 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Car): 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Truck): 20% Additional Fixed Non-Program Haircut upon Manufacturer Default (Tesla): 50% Fleet composition -- Moody's assumed the following fleet composition (based on NBV of vehicle fleet): Non-Program Vehicles (Car, Tesla & EVs): 90.25% Non-Program Vehicles (Trucks): 5% Program Vehicles (Car, Tesla & EVs): 4.75% Non-program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 10.0%, 2, A3 Baa Profile: 45.0%, 2, Baa3 Ba/B Profile: 20.0%, 1, Ba3; 25.0%, 1, Ba1 Program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 0.0%, 0, A3 Baa Profile: 50.0%, 1, Baa3 Ba/B Profile: 50.0%, 1, Ba3 Manufacturer Receivables: 10%; receivables distributed in the same proportion as the program fleet (Program Manufacturer Concentration and Manufacturer Receivables together should add up to 100%) Correlation: Moody's applied the following correlation assumptions: Correlation among the sponsor and the vehicle manufacturers: 10% Correlation among all vehicle manufacturers: 25% Default risk horizon -- Moody's assumed the following default risk horizon: Sponsor: 5 years Manufacturers: 1 year A fixed set of time horizon assumptions, regardless of the remaining term of the transaction, is used when considering sponsor and manufacturer default probabilities and the expected loss of the related liabilities, which simplifies Moody's modeling approach using a standard set of benchmark horizons. Detailed application of the assumptions are provided in the methodology. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations Methodology" published in October 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the Series 2023-1 and 2023-2 Subordinated Notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the ratings of the Series 2023-1 and 2023-2 Notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation, or (3) the residual values of the non-program vehicles collateralizing the transaction were to decrease materially relative to Moody's expectations. HILDENE TRUPS 5: Moody's Assigns (P)Ba3 Rating to $12.75MM D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Hildene TruPS Securitization 5, Ltd. (the "Issuer" or "Hildene 5"). Moody's rating action is as follows: US$105,000,000 Class A1-A Senior Secured Floating Rate Notes due 2043, Assigned (P)Aaa (sf) US$30,000,000 Class A1-B Senior Secured Fixed Rate Notes due 2043, Assigned (P)Aaa (sf) US$84,000,000 Class A2 Senior Secured Floating Rate Notes due 2043, Assigned (P)Aa2 (sf) US$15,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2043, Assigned (P)A3 (sf) US$14,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2043, Assigned (P)Baa3 (sf) US$12,750,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2043, 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 Moody's methodology and considers all relevant risks, particularly those associated with the TruPS CDO's portfolio and structure. Hildene 5 is a static cash flow TruPS CDO. The issued notes will be collateralized primarily by (1) trust preferred securities ("TruPS"), senior notes and subordinated debt issued by US community banks and their holding companies and (2) TruPS issued by insurance companies and their holding companies. Moody's expect the portfolio to be approximately fully ramped as of the closing date. Hildene Structured Advisors, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, deferring securities or credit risk securities. 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 interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of (1) TruPS, senior notes, and subordinated debt issued by 56 US community banks and (2) TruPS issued by 2 insurance companies, the majority of which Moody's does not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q3-2022 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $300,000,000 Weighted Average Rating Factor (WARF): 686 Weighted Average Spread Float Assets (WAS): 2.54% Weighted Average Coupon Fixed Assets (WAC): 9.10% Weighted Average Coupon Hybrid Assets (WAC): 6.88% Weighted Average Spread Hybrid Assets (WAS): 4.00% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 8.48 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. MADISON AVE 2002-A: Moody's Hikes Rating on Class B-2 Debt to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of four bonds from four US residential mortgage-backed transactions (RMBS), backed by manufactured housing loans issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3xtMLxE Complete rating actions are as follows: Issuer: Conseco Finance Securitization Corp. Series 2002-2 Class M-1, Upgraded to A3 (sf); previously on May 17, 2022 Upgraded to Baa2 (sf) Issuer: Conseco Finance Securitizations Corp. Series 2001-3 Class A-4, Upgraded to Baa3 (sf); previously on May 17, 2022 Upgraded to Ba2 (sf) Issuer: Madison Avenue Manufactured Housing Contract Trust 2002-A Cl. B-2, Upgraded to Ba1 (sf); previously on May 17, 2022 Upgraded to Ba3 (sf) Issuer: MERIT Securities Corp Series 12 1-M1, Upgraded to A2 (sf); previously on May 17, 2022 Upgraded to Baa1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MFA 2023-INV1: S&P Assigns B (sf) Rating on Class B-2 Certs ----------------------------------------------------------- S&P Global Ratings assigned its ratings to MFA 2023-INV1 Trust's mortgage pass-through certificates series 2023-INV1. The certificates issuance is an RMBS transaction backed by first-lien, fixed- and hybrid adjustable-rate, and fully amortizing residential mortgage loans (some of which have an initial interest-only period) secured by single-family residences, condominiums, townhomes, and two- to 31-unit multi-family residential properties to both prime and nonprime borrowers. The pool consists of 788 business-purpose investor loans backed by 1,554 properties (including 186 cross-collateralized loans backed by 952 properties) that are exempt from the qualified mortgage and ability-to-repay rules. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator and mortgage originator; and -- The current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While COVID-19 pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook for the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Ratings Assigned MFA 2023-INV1 Trust Class A-1, $108,858,000: AAA (sf)(i) Class A-2, $21,914,000: AA (sf)(i) Class A-3, $23,239,000: A (sf)(i) Class M-1, $14,372,000: BBB (sf)(i) Class B-1, $12,231,000: BB (sf)(i) Class B-2, $8,970,000: B (sf)(i) Class B-3, $14,269,952: Not rated(i) Class XS, Notional(ii): Not rated(i) Class R: Not rated(i) (i)The collateral and structural information in the presale report reflect the private placement memorandum dated Feb. 6, 2023. The ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. MORGAN STANLEY 2012-C4: Moody's Lowers Rating on Cl. D Certs to B2 ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on three classes in Morgan Stanley Capital I Trust 2012-C4, Commercial Mortgage Pass-Through Certificates, Series 2012-C4, as follows: Cl. D, Downgraded to B2 (sf); previously on Dec 21, 2021 Downgraded to B1 (sf) Cl. E, Downgraded to Ca (sf); previously on Dec 21, 2021 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Dec 21, 2021 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Dec 21, 2021 Affirmed C (sf) Cl. X-B*, Downgraded to C (sf); previously on Dec 21, 2021 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes were downgraded due to increased risk of losses and interest shortfalls as the result of the exposure to one remaining loan, The Shoppes at Buckland Hills (100% of the pool), that is in special servicing and secured by a regional mall that has exhibited declining performance since 2020. The ratings on two P&I classes were affirmed due to the ratings being consistent with Moody's expected loss. The ratings on one IO class, Cl. X-B, was downgraded due to decline in the credit quality of its referenced classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 64.6% of the current pooled balance, compared to 21.4% at Moody's last review. Moody's base expected loss plus realized losses is now 7.4% of the original pooled balance. 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, or a significant improvement in loan 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 the interest-only class 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 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the January 18, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $105 million from $1.098 billion at securitization. The certificates are collateralized by one remaining mortgage loan, The Shoppes at Buckland Hills (100% of the pool), which is in special servicing. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $13.7 million (for an average loss severity of 35%). The sole remaining loan is secured by a 535,000 square foot (SF) component of a 1.1 million SF regional mall located in the Buckland Hills section of Manchester, Connecticut, approximately 10 miles northeast of Hartford. The property's anchors include traditional department stores Macy's, Macy's Men's & Home, and JCPenney (these anchors are not part of the collateral). The property has two vacant anchors, a 221,000 SF former Sears which closed in January 2021 and a former Dicks Sporting Goods (part of the collateral) which closed in January 2022. The property's trade area covers the northeastern suburbs of Hartford and parts of the north-central part of Connecticut and competes with several regional malls and power centers, including the Westfarms Mall, the dominant regional mall in the Hartford MSA. As of September 2022, the collateral component of the property was 79% leased, with an inline occupancy of 88%. The historical performance of the property generally trended down since securitization with the 2021 net operating income (NOI) approximately 34% lower than securitization levels. The loan has been in special servicing since November 2020 and passed its original maturity date in March 2022. The loan is classified as "performing maturity balloon" as the loan has made monthly debt service payments through January 2023. A receiver has taken over management of the mall with the ultimate resolution to stabilize the property. The loan has amortized approximately 19% since securitization, however, the most recent appraisal value from November 2021 was 43% of the outstanding loan balance as of the January 2023 remittance statement. MORGAN STANLEY 2014-C15: Fitch Hikes Rating to BB-sf on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has upgraded four and affirmed eight classes of Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2014-C15 A-3 61763KAZ7 LT AAAsf Affirmed AAAsf A-4 61763KBA1 LT AAAsf Affirmed AAAsf A-S 61763KBC7 LT AAAsf Affirmed AAAsf A-SB 61763KAY0 LT AAAsf Affirmed AAAsf B 61763KBD5 LT AAAsf Upgrade AAsf C 61763KBF0 LT AAsf Upgrade Asf D 61763KAE4 LT BBB-sf Affirmed BBB-sf E 61763KAG9 LT BB+sf Affirmed BB+sf F 61763KAJ3 LT BB-sf Affirmed BB-sf PST 61763KBE3 LT AAsf Upgrade Asf X-A 61763KBB9 LT AAAsf Affirmed AAAsf X-B 61763KAA2 LT AAAsf Upgrade AAsf KEY RATING DRIVERS Improved Credit Enhancement (CE): The upgrades reflect improved CE, primarily from loan prepayments, continued amortization and additional defeasance since the last rating action, as well as Fitch's expectation of substantial loan repayments in the pool from upcoming maturities. All of the loans in the pool mature by March 2024. As of the January 2023 remittance period, the pool's aggregate principal balance has paid down by 33.6% to $717.5 million from $1.080 billion at issuance. Five loans (combined last rating action balance of $105.8 million) were prepaid in full since the last rating action. Eight loans comprising 28.7% of the pool have been fully defeased, up from 10.6% at the last rating action. Alternative Loss Consideration: Due to the significant upcoming maturity concentration in the pool, Fitch performed a look-through analysis, which grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and recovery prospects. The upgrade of classes B, C, PST and X-B reflects expected paydown from loans with low leverage and have strong performance metrics. The affirmation of classes D, E and F reflect their reliance on the Fitch Loan of Concern (FLOC) Arundel Mills & Marketplace (20.8% of the pool). Improved Loss Expectations: The upgrades also incorporate lower pool loss expectations since the last rating action. The La Concha Hotel & Tower loan (10.1%) was fully defeased, and performance of the Miami Airport Hotel Portfolio loan (4.5%) has stabilized after being negatively affected by the pandemic. Four loans (30.3%) were designated as FLOCs for high vacancy, low NOI DSCR, property type concerns and/or pandemic-related underperformance. As of the January 2023 remittance period, there were no specially serviced loans. The largest contributor to expected losses is Arundel Mills & Marketplace (FLOC, 20.8%) which is secured by a super-regional mall, and an adjacent one-story, anchored shopping center located in Hanover, MD. Major anchor tenants at the Arundel Mills property include Bass Pro Shops Outdoor (9.9% of NRA, lease expires in October 2026), Cinemark Theatres (8.3%, December 2025), Burlington (6.3%, January 2026) and T.J. Maxx (2.6%, January 2026). Anchor tenants at the Marketplace property include Aldi (32.6%, 2033) and Michael's (23.5%, March 2028). Fitch's loss expectation of 6% reflects a 10% haircut to the YE 2021 NOI and a 12.5% cap rate to reflect regional mall nature of the collateral, near-term lease rollover and volatility associated with the casino component/gaming revenue. In its look-through analysis, Fitch assumed that the loan would remain in the pool past the February 2024 maturity. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming assets. Downgrades to classes A-3 through C, PST and the interest-only classes X-A and X-B are not likely due to the increasing CE and expected paydown from upcoming maturing loans, but may occur should interest shortfalls affect these classes. Downgrades to classes D, E and F are possible should performance of the FLOCs, especially Arundel Mills & Marketplace, continue to decline, more maturity defaults occur than expected and with a greater certainty of losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'AAsf' rated classes would only occur with significant improvement in CE or defeasance, and/or improved pool loss expectations. An upgrade of the 'BBB-sf', 'BB+sf' and 'BB-sf' classes is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations; if performance improves and/or refinanceability of the Arundel Mills & Marketplace becomes more clear, upgrades are possible. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. MORGAN STANLEY 2014-C16: Fitch Affirms CCCsf Rating on Cl. D Notes ------------------------------------------------------------------ Fitch Ratings has affirmed 11 classes of Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16. Entity/Debt Rating Prior ----------- ------ ----- Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 A-4 61763MAE0 LT AAAsf Affirmed AAAsf A-5 61763MAF7 LT AAAsf Affirmed AAAsf A-S 61763MAH3 LT AAAsf Affirmed AAAsf A-SB 61763MAC4 LT AAAsf Affirmed AAAsf B 61763MAJ9 LT Asf Affirmed Asf C 61763MAL4 LT BBBsf Affirmed BBBsf D 61763MAR1 LT CCCsf Affirmed CCCsf E 61763MAT7 LT CCsf Affirmed CCsf PST 61763MAK6 LT BBBsf Affirmed BBBsf X-A 61763MAG5 LT AAAsf Affirmed AAAsf X-B 61763MAM2 LT Asf Affirmed Asf KEY RATING DRIVERS Stable Loss Expectations: The affirmations and Stable Rating Outlooks reflect overall loss expectations for the pool remaining relatively stable since Fitch's last rating action. Thirteen loans (51.3% of the pool) are considered Fitch Loans of Concern (FLOCs). Fitch's current ratings reflect a base case loss of 10.4%. The analysis incorporated a full recognition of losses on loans in the pool flagged as maturity defaults to reflect imminent refinance risk as loans approach maturity. Since the prior rating action, three REO assets were disposed. The Four Points by Sheraton Houston Hobby Airport, a 79-key limited-service hotel located in Houston, TX, was disposed with a realized loss of $3.8 million (70% loss severity). The Aspen Heights - Stillwater and The Holiday Inn Express Niagara Falls were disposed with no realized losses. Fitch Loans of Concern/Largest Contributors to Loss: The largest contributor to expected loss, Outlets of Mississippi (6.9%), is a 300,156-sf outlet mall located in Pearl, MS, which was constructed in 2013. The loan transferred to the special servicer in November 2018 due to imminent monetary default when the borrower indicated they had insufficient funds to cover operating expenses and debt service. As of June 2022, occupancy is 89% but many tenants are paying percentage rent which has contributed to the declining NOI DSCR of -1.02x at June 2022 compared with -0.57x at YE 2021, 0.27x at YE 2020, 0.59x at YE 2019, 1.08x at YE 2018 and 1.42x at YE 2017. The loan was returned to the master servicer in April 2021 as a modified loan, which included the loan being bifurcated into a $28 million A-Note and $34 million B-Note, the maturity date extended from June 2024 to June 2026, the conversion of the loan to interest only through maturity and the borrower's $5 million contribution in new equity. Fitch's loss expectation of approximately 85% is based on a 100% loss on the B-Note and 62% loss on the A-Note. The loss expectation was derived from a 15% cap rate and a 5% stress to YE 2019 NOI on the A-Note. As part of the return to the master servicer and loan modification, a workout delayed reimbursement amount (WODRA) totaling $1.16 million was applied. The second largest contributor to expected loss, The State Farm Portfolio (12.7%) is secured by 14 single-tenant office properties in various locations. The loan was flagged as a FLOC after various media reports confirmed that State Farm vacated some of the properties and is expected to vacate all 14 of the subject loan's collateral properties. Two of the properties have lease expirations in November 2023 (3.1%) and December 2026 but the majority are in November 2028. The loan has an anticipated repayment date (ARD) in April 2024 with a final maturity date of April 2029. If the loan does not repay at the ARD, the rate resets. In addition, the announcement by State Farm to vacate did not constitute a trigger event in itself, but the loan passing its ARD would trigger a cash sweep. Given the extended lease expirations, there is not significant term risk; however, the prospect of a vacant portfolio of office properties in secondary markets elevates the risk of maturity default. Fitch's analysis reflects concerns of the loan defaulting at maturity. Fitch applied a 10.0% stress to YE 2021 NOI and a 10.5% cap rate which resulted in an expected loss of 14.3%. The largest loan in the pool, Arundel Mills & Marketplace (16.2%) is secured by a super-regional mall, and an adjacent one-story, anchored shopping center located in Hanover, MD. Major anchor tenants at the Arundel Mills property include Bass Pro Shops Outdoor (9.9% of NRA, lease expires October 2026), Cinemark Theatres (8.3%, December 2025), Burlington (6.3%, January 2026) and T.J. Maxx (2.6%, January 2026). Anchor tenants at the Marketplace property include Aldi (32.6%, 2033) and Michael's (23.5%, March 2028). Fitch's loss expectation of approximately 6% reflects a total 10% haircut to YE 2021 NOI and a 12.5% cap rate to reflect regional mall nature of the collateral, near-term lease rollover and volatility associated with the casino component/gaming revenue. Improved Credit Enhancement: Credit Enhancement (CE) has increased since issuance due to loan payoffs, defeasance and scheduled amortization. As of the January 2023 distribution date, the pool's aggregate principal balance has been reduced by 29.6% to $891.4 billion from $1.267 billion at issuance. Eighteen loans have paid off since issuance, including the fourth largest loan, Green Hills Corporate Center. Ten loans, approximately 34.4% of the pool, are full-term, interest-only (IO), including the two largest loans in the pool Arundel Mills & Marketplace and State Farm Portfolio. All of the partial-term, IO loans (38.1%) are now amortizing except two loans that were modified and the interest only periods were extended. Thirteen loans (15.6%) are fully defeased which increased from nine loans (8.2%) at the prior review. Alternative Loss Considerations: All loans have a maturity date or ARD in 2024 with the exception of the extended Outlets of Mississippi loan in 2026 and one loan in 2029 (0.7%). Due to the large concentration of loan maturities in 2024, Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. Fitch assumed expected paydown from defeased loans, as well as loans with sufficient cash flow for assumed ability to refinance in a higher interest rate environment using Fitch's stressed refinance constants. The ratings and Outlooks reflect these scenarios. Certificates Undercollateralized: The transaction is slightly undercollateralized by approximately $1.16 million due to a WODRA on the Outlets of Mississippi loan, which was first reflected in the May 2021 remittance. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf' category are not expected given their high CE relative to expected losses and continued amortization, but may occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase considerably. Downgrades to the 'Asf' and 'BBBsf' categories would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'CCCsf' and 'CCsf' categories would occur as further losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'Asf' and 'BBBsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to the 'CCCsf' and 'CCsf' categories are unlikely absent significant performance improvement on the FLOCs. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. MORGAN STANLEY 2019-L2: Fitch Affirms 'B-sf' Rating on G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I Trust 2019-L2 commercial mortgage pass-through certificates, series 2019-L2. In addition, the Rating Outlooks on classes F-RR and G-RR have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- MSC 2019-L2 A-2 61768HAT3 LT AAAsf Affirmed AAAsf A-3 61768HAV8 LT AAAsf Affirmed AAAsf A-4 61768HAW6 LT AAAsf Affirmed AAAsf A-S 61768HAZ9 LT AAAsf Affirmed AAAsf A-SB 61768HAU0 LT AAAsf Affirmed AAAsf B 61768HBA3 LT AA-sf Affirmed AA-sf C 61768HBB1 LT A-sf Affirmed A-sf D 61768HAC0 LT BBBsf Affirmed BBBsf E 61768HAE6 LT BBB-sf Affirmed BBB-sf F-RR 61768HAG1 LT BB-sf Affirmed BB-sf G-RR 61768HAJ5 LT B-sf Affirmed B-sf X-A 61768HAX4 LT AAAsf Affirmed AAAsf X-B 61768HAY2 LT AA-sf Affirmed AA-sf X-D 61768HAA4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: While overall pool performance continues to remain relatively stable since Fitch's prior rating action, the Outlook revisions to Stable from Negative on classes F-RR and G-RR reflect improving performance of several larger loans stabilizing from the pandemic. These include the largest loan in the pool, Ohana Waikiki Malia Hotel & Shops (6.9% of pool) and Shingle Creek Crossing (2.5%), which returned to the master servicer and has had recent positive leasing activity. Fitch's current ratings reflect a base case loss of 4.20%. Seven loans (12.1%), including five (10.5%) in special servicing, were designated Fitch Loans of Concern (FLOCs). The largest decrease in expected losses since Fitch's prior rating action is Shingle Creek Crossing (2.5%), which is secured by a 173,107-sf retail center in Brooklyn Center, MN. The loan previously transferred to special servicing in May 2020 due to imminent monetary default as a result of the pandemic. In addition, Michaels (12.5% NRA; 5% base rents) had terminated its lease prior to the lease expiration (May 2025) and vacated the property in January 2022. The borrower has successfully leased the vacant space to Burlington. As of the TTM ended September 2022, occupancy was 94% and NOI DSCR was stable at 1.99x. The loan has remained current and returned to the master servicer in May 2022. Fitch's current analysis is based off a 9% cap rate and a 5% stress to the YE 2021 NOI, which resulted in no loss. The second largest decrease in expected losses since Fitch's prior rating action is Ohana Waikiki Malia Hotel & Shops (6.9%), which is secured by a 327-key hotel located in Honolulu, HI. Hotel performance significantly improved in 2022, with NOI DSCR increasing to 1.38x as of the YTD 2022 September from 0.21x at YE 2021 and -0.32x at YE 2020; however, it still remains below the issuer's underwritten NOI DSCR of 2.27x. Per STR and as of the TTM ended September 2022, occupancy, ADR, and RevPAR were 69.8%, $146.77 and $102.45, respectively. The RevPAR penetration rate was 80.5% for the same period. The loan has remained current since issuance. Fitch's current analysis is based off a 10% stress to the YE 2019 NOI, which resulted in no loss. Fitch's analysis gives credit for the improving performance and expects the hotel will to continue to stabilize. Specially Serviced Loans: The largest specially serviced loan, Le Meridien Hotel Dallas (4.4%), is secured by a 258-key full-service hotel in Dallas, TX. The loan transferred to special servicing in June 2020 for Monetary Default at the borrower's request as a result of the pandemic. Forbearance discussion are ongoing. Occupancy and servicer-reported NOI DSCR for this amortizing loan were 38% and 0.58x at YE 2021 compared with 82% and 1.72x at issuance. Servicer-reported NOI DSCR has since declined to 0.45x as of the YTD June 2022. Fitch's base case loss of 4.2% reflects a haircut to the most recent servicer provided appraisal value. The Fitch stressed value is approximately $175,000 per key and equates to a 10.70% cap rate on the YE 2019 pre-pandemic NOI. The second largest specially serviced loan, State of Kentucky Portfolio (2.5%), is secured by five office properties in Frankfort, Kentucky. The loan transferred to special servicing in August 2022 for imminent monetary default. A pre-negotiation letter has been executed by the borrower, and discussions are ongoing with the servicer. Occupancy was 81% as of the October 2022 rent roll. Servicer-reported NOI DSCR was 2.19x at YE 2021 based on IO payments as the 10-year loan has an initial four-year IO period. The largest tenant is Cabinet for Health & Family Services, which leases approximately 50% NRA, with half expiring in June 2023 and half expiring in June 2027. Fitch's base case loss of 17% reflects a 13% cap rate and a 5% stress off the YE 2021 NOI. Fitch's analysis accounts for the near-term rollover concerns, below average collateral quality and tertiary location. Minimal Change to Credit Enhancement (CE): As of the January 2023 distribution date, the pool's aggregate balance has been paid down by 1.8% to $917.8 million from $934.9 million at issuance. Twenty-six loans (61.8%) are full-term IO and 14 (24.0%) were structured with a partial-term IO component at issuance. Two loans (1.4%) are fully defeased. Cumulative interest shortfalls of $698,340 are currently affecting the non-rated classes H-RR and VRR. Pool Concentration: The top 10 loans comprise 45.0% of the pool. Loan maturities are concentrated in 2029 (90.3%), with one loan (2.0%) maturing in 2024 and four (7.7%) in 2028. Based on property type, the largest concentrations are office at 38.7%, retail at 17.9% and hotel at 17.4%. Credit Opinion Loans: Three loans received stand-alone, investment grade credit opinions at issuance: Serenity Apartments (4.0%; 'BBB-sf'), Fairfax Multifamily Portfolio (3.8%; 'BBB-sf') and University Towers (2.5%; 'AAAsf'). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of the classes in 'AAAsf' and 'AAsf' rated categories are not likely due to sufficient CE and the expected receipt of continued amortization but could occur if interest shortfalls affect the class. Classes C, D, E and X-D would be downgraded if additional loans become FLOCs or if performance of the FLOCs deteriorates further. Classes F-RR and G-RR would be downgraded if loss expectations increase or additional loans transfer to special servicing and/or become FLOCs. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes B, X-B, C, D, E and X-D may occur with significant improvement in CE and/or defeasance but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes F-RR and G-RR could occur if performance of the FLOCs improves significantly and/or if there is sufficient CE, which would likely occur if the non-rated class is not eroded and the senior classes pay-off. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. MOSAIC SOLAR 2023-1: Fitch Gives 'BB(EXP)sf' Rating on Cl. D Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to notes issued by Mosaic Solar Loan Trust 2023-1 (Mosaic 2023-1). Entity/Debt Rating ----------- ------ Mosaic Solar Loan Trust 2023-1 Class A LT AA-(EXP)sf Expected Rating Class B LT A-(EXP)sf Expected Rating Class C LT BBB(EXP)sf Expected Rating Class D LT BB(EXP)sf Expected Rating Class R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Mosaic 2023-1 is a securitization of consumer loans backed by residential solar equipment. The originator is Solar Mosaic, LLC, one of the longest-established solar lenders in the U.S.; it has advanced solar loans since 2014 and financed them through public securitizations since 2017. KEY RATING DRIVERS Limited History Determines 'AAsf' Cap: Residential solar loans in the U.S. typically have long terms, many of which are 25 years (and a small portion at 30 years). For Mosaic, more than seven years of performance data are available, which compares favorably with the other solar ABS that Fitch currently rates and the solar industry at large. Extrapolated Asset Assumptions: Fitch considered both originator-wide data and previous Mosaic transactions to set a lifetime default expectation of 8.3%. Fitch has also assumed a 30% base case recovery rate. Fitch's rating default rates (RDRs) for 'AA-sf', 'A-sf', 'BBBsf' and 'BBsf' are, respectively, 33.5%, 24.9%, 19.9% and 13.7%. Fitch's rating recovery rates (RRRs) are, respectively, 19%, 21.8%, 23.3% and 25.5%. Target OC and Amortization Trigger: The class A and B notes will amortize based on target overcollateralization (OC) percentages. The target OC is 100% of the outstanding adjusted balance for the first 16 months, ensuring that there is no leakage of funds initially, irrespective of the collateral performance; then it falls to 10.5%. Should the escalating cumulative loss trigger be breached, the payment waterfall will switch to turbo sequential, deferring any interest payments for class C and D and thus accelerating the senior note deleveraging. The repayment timings of class C and D are highly sensitive to the timing of a trigger breach. Standard, Reputable Counterparties; No Swap: The transaction account is with Wilmington Trust and the servicer's collection account is with Wells Fargo Bank. Commingling risk is mitigated by transfer of collections within two business days, the high initial ACH share and Wells Fargo's ratings. As both assets and liabilities pay a fixed coupon, there is no need for an interest rate hedge and, thus, no exposure to swap counterparties. Established Specialized Lender: Mosaic is one of the first-movers among U.S. solar loan lenders, with the longest track record among the originators of the solar ABS that Fitch rates. Underwriting is mostly automated and in line with those of other U.S. ABS originators. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Asset performance that indicates an implied annualized default rate (ADR) above 1.5% and a simultaneous fall in prepayments activity may put pressure on the rating or lead to a Negative Rating Outlook. Material changes in policy support, the economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also negatively affect the rating. Fitch shows model-implied rating sensitivities to changes in default and/or recovery assumptions. Increase of defaults (Class A / B / C / D): +10%: 'A+sf' / 'Asf' / 'A-sf'/ 'BBBsf'; +25%: 'Asf' / 'A-sf' / 'BBB+sf' / 'BBB-sf'; +50%: 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BB+sf'. Decrease of recoveries (Class A / B / C / D): -10%: 'AA-sf' / 'Asf' / 'A-sf' / 'BBBsf'; -25%: 'A+sf' / 'Asf' / 'A-sf' / 'BBBsf'; -50%: 'A+sf' / 'Asf' / 'A-sf' / 'BBBsf'. Increase of defaults and decrease of recoveries (Class A / B / C / D): +10% / -10%: 'A+sf' / 'Asf' / 'BBB+sf' / 'BBBsf'; +25% / -25%: 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'; +50% / -50%: 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BBsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch currently cap ratings in the 'AAsf' category due to limited performance history, while the assigned rating of 'AA-sf' is further constrained by the available credit enhancement (CE). As a result, a positive rating action could result from an increase in CE due to class A deleveraging, underpinned by good transaction performance, for example, through high prepayments and ADR at around 1% or below. The overall economic environment is also an important consideration and Fitch's ABS outlook is generally deteriorating in the short term. Fitch shows model-implied rating sensitivities, capped at 'AA+sf', to changes in default and/or recovery assumptions. Decrease of defaults (Class A / B / C / D): -10%: 'AAsf' / 'A+f' / 'Asf' / 'BBB+sf'; -25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'A-sf'; -50%: 'AA+sf' / 'AA+sf' / 'A+sf' / 'A+sf'. Increase of recoveries (Class A / B / C / D): +10%: 'AA-sf' / 'A+sf' / 'Asf' / 'BBB+sf'; +25%: 'AA-sf' / 'A+sf' / 'Asf' / 'BBB+sf'; +50%: 'AAsf' / 'AA-sf' / 'A+sf' / 'BBB+sf'. Decrease of defaults and increase of recoveries (Class A / B / C / D): -10% / +10%: 'AAsf' / 'A+sf' / 'Asf' / 'BBB+sf'; -25% / +25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'Asf'; -50% / +50%: 'AA+sf' / 'AA+sf' / 'A+sf' / 'A+sf'. CRITERIA VARIATION This analysis includes a criteria variation due to model-implied rating (MIR) variations in excess of the limit stated in the consumer ABS criteria report for new ratings. According to the criteria, the committee can decide to deviate from the MIRs, but, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variations for classes B to D are greater than one notch. Given the sensitivity of ratings to model assumptions and conventions, repayment timing, and tranche thickness, the ultimate ratings were constrained by sensitivity analysis. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or re-computing certain information with respect to 150 relevant loan contracts. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY The historical information available for this originator did not cover the asset tenor of up to 30 years, as originations began in 2014. Fitch applied a rating cap at the 'AAsf' category to address this limitation. The amortizing nature of the assets, the data available from previous Mosaic transactions and the application of an ADR to the static portfolio allowed us to determine lifetime default assumptions. Taking into account this analytical approach, the rating committee considered the available data sufficient to support a rating in the 'AAsf' category. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. NELNET EDUCATION 2004-1: Fitch Affirms Bsf Rating on Cl. A-2 Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings on outstanding classes of Nelnet Education Loan Funding Trust 2004-1 (NELF 2004-1) along with Nelnet Student Loan Trusts 2013-1, 2013-3 and 2013-5. Entity/Debt Rating Prior ----------- ------ ----- Nelnet Student Loan Trust 2013-3 A 64033DAA6 LT AAAsf Affirmed AAAsf B 64033DAB4 LT AAsf Affirmed AAsf Nelnet Student Loan Trust 2013-1 A 64033CAA8 LT AAAsf Affirmed AAAsf B 64033CAB6 LT AAsf Affirmed AAsf Nelnet Student Loan Trust 2013-5 A 64033GAA9 LT AAAsf Affirmed AAAsf B 64033GAB7 LT Asf Affirmed Asf NELF, Inc. – January 2004 Indenture of Trust (NE) 2004-1 A-2 64031RAS8 LT Bsf Affirmed Bsf NELF 2004-1: The class A-2 notes are affirmed at 'Bsf' despite not passing Fitch's base case cash flow stresses and in-line with Fitch's (Federal Family Education Loan Program) FFELP criteria. The affirmation is based on historical performance with higher prepayments from increased consolidation activity during the last twelve months, structural considerations (i.e. transaction can be called at 10% pool factor), and potential for sponsor support at maturity. The legal final maturity date of the notes is over seven years away, and the notes have stable credit enhancement with no material changes to the credit or maturity profile since the last review. The Rating Outlook remains Stable. Nelnet 2013-1, 2013-3, and 2013-5: The class A and B notes pass the credit and maturity stresses in cash flow modeling for their respective ratings with sufficient hard credit enhancement (CE). The class A notes are affirmed at 'AAAsf'. The class B notes are affirmed at 'AAsf' for Nelnet 2013-1 and 2013-3 and 'Asf' for Nelnet 2013-5. The sustainable constant default rate (sCDR) assumption was increased to 3.75% and 5.3%, for Nelnet 2013-1 and Nelnet 13-3, respectively, because the trend of defaults has increased, while Nelnet 2013-5 was decreased to 9.0% also reflective of recent performance trends. Overall, the performance of all transactions has been in line with Fitch's expectations since the last annual review. The Outlooks on all the notes remain Stable. 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 'AAA'/Stable. Collateral Performance Nelnet 2013-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 20.25% under the base case scenario and a default rate of 60.75% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is revising the sCDR upwards to 3.75% from 3.50% and maintaining the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 11.50% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 4.87% (5.71% at Jan. 31, 2022), 7.38% (8.91%) and 27.91% (25.83%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have increased from one year ago and are currently 4.45% for 31 DPD and 1.15% for 91 DPD compared to 2.62% and 1.06% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.19%, based on information provided by the sponsor. Nelnet 2013-3: 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 60.52% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is revising the sCDR upwards to 5.30% from 5.00% and maintaining the sCPR of 12.00% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAA' case. The TTM levels of deferment, forbearance and IBR are 5.80% (5.90% at Jan. 31, 2022), 8.20% (10.17%) and 30.34% (28.21%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have increased from one year ago and are currently 3.60% for 31 DPD and 1.95% for 91 DPD compared to 3.54% and 1.80% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.09%, based on information provided by the sponsor. Nelnet 2013-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 47.25% under the base case scenario and a default rate of 94.48% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is revising the sCDR downwards to 9.00% from 9.40% and maintaining the sCPR of 12.00% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAA' case. The TTM levels of deferment, forbearance and IBR are 6.92% (6.79% at Jan. 31, 2022), 11.34% (12.44%) and 18.73% (17.40%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased slightly and the 91-120 DPD have decreased slightly from one year ago and are currently 5.76% for 31 DPD and 3.19% for 91 DPD compared to 5.74% and 3.21% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.00%, based on information provided by the sponsor. NELF 2004-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 11.00% under the base case scenario and a default rate of 33.00% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining the sCDR of 2.20% and the sCPR of 9.00% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAA' case. The TTM levels of deferment, forbearance and IBR are 3.62% (3.80% at Jan. 31, 2022), 4.74% (5.20%) and 16.69% (15.24%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have decreased slightly and the 91-120 DPD have increased slightly from one year ago and are currently 1.76% for 31 DPD and 0.84% for 91 DPD compared to 2.05% and 0.65% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.18%, based on information provided by the sponsor. 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 most current reporting period, for Nelnet 2013-1, 2013-3, 2013-5, and NELF 2004-1, 97.52%, 97.57%, 87.57%, and 99.99% of the trust student loans are indexed to one-month LIBOR (with remainder indexed to 91-day T-bills), respectively. Nelnet 2013-1, 2013-3, 2013-5, and NELF 2004-1 notes pay one-month LIBOR plus a spread. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure Nelnet 2013-1: CE is provided by overcollateralization (OC), excess spread, and for the class A notes, subordination provided by the class B notes. As of the December 2022 collection period, Fitch's total and senior parity (including the reserve) are 101.91% (1.87% CE) and 113.23% (11.68% CE), respectively. Liquidity support is provided by a reserve account sized at the greater of 0.50% of the bond balance and $437,500.00, currently sized at $488,860.91. The transaction will continue to release cash as long as the target OC of 2.00% or $2,000,000 is maintained. Nelnet 2013-3: CE is provided by OC, excess spread and, for the class A notes, subordination provided by the class B notes. As of the December 2022 collection period, Fitch's total and senior parity (including the reserve) are 101.00% (0.99% CE) and 114.93% (12.99% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the bond balance and $765,000.00 currently sized at the floor. The transaction will continue to release cash as long as the target OC of 1.00% (with a floor of $2,000,000) is maintained. Nelnet 2013-5: CE is provided by OC, excess spread, and for the class A notes, subordination provided by the class B notes. As of the December 2022 collection period, Fitch's total and senior parity (including the reserve) are 102.03% (1.99% CE) and 113.58% (11.95% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the bond balance and $408,000.00, currently sized at the floor. The transaction will continue to release cash as long as the target OC of 1.50% or $2,000,000 is maintained. NELF 2004-1: CE is provided by excess spread and OC. As of the October 2022 collection period, Fitch's senior parity ratio (including the reserve) is 104.01% (3.86% CE). Liquidity support is provided by a reserve account sized at its floor of $1,515,000.00. The transaction will continue to release cash as long as the 101.00% total parity ratio is maintained. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc. Fitch believes Nelnet to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Nelnet Student Loan Trust 2013-1 Current Ratings: class A 'AAAsf'; class B 'AAsf' Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'Asf'; - Default increase 50%: class A 'AAAsf'; class B 'Asf'; - Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf'; - Basis spread increase 0.50%: class A 'AAAsf; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf'; - Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. Nelnet Student Loan Trust 2013-3 Current Ratings: class A 'AAAsf'; class B 'AAsf' Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'Asf'; - Default increase 50%: class A 'AAAsf'; class B 'BBBsf'; - Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf'; - Basis spread increase 0.50%: class A 'AAAsf; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf'; - Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. Nelnet Student Loan Trust 2013-5 Current Ratings: class A 'AAAsf'; class B 'Asf' Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'Asf' (Credit Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'Asf'; - Default increase 50%: class A 'AAAsf'; class B 'Asf'; - Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf'; - Basis spread increase 0.50%: class A 'AAAsf; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf'; - Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining Term increase 50%: class A 'Asf'; class B 'Asf'. NELF, Inc. - January 2004 Indenture of Trust (NE) 2004-1 Current Ratings: class A-2 'Bsf' Current Model-Implied Ratings: class A-2 'CCCsf' (Credit and Maturity Stress) The current ratings reflect the risk the senior notes miss their legal final maturity date under Fitch's base case maturity scenario. If the margin by which these classes miss their legal final maturity date increases, or does not improve as the maturity date nears, the ratings may be downgraded further. Additional defaults, increased basis spreads beyond Fitch's published stresses, lower-than-expected payment speed or loan term extension are factors that could lead to future rating downgrades. Factors that could, individually or collectively, lead to positive rating action/upgrade: Nelnet Student Loan Trust 2013-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AAAsf'; - Basis Spread decrease 0.25%: class B 'AAAsf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'AAAsf'; - IBR usage decrease 25%: class B 'AAAsf'; - Remaining Term decrease 25%: class B 'AAAsf'. Nelnet Student Loan Trust 2013-3 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AAAsf'; - Basis Spread decrease 0.25%: class B 'AAAsf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'AAAsf'; - IBR usage decrease 25%: class B 'AAAsf'; - Remaining Term decrease 25%: class B 'AAAsf'. Nelnet Student Loan Trust 2013-5 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AAAsf'; - Basis Spread decrease 0.25%: class B 'AAsf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'AAAsf'; - IBR usage decrease 25%: class B 'AAAsf'; - Remaining Term decrease 25%: class B 'AAAsf'. NELF, Inc. - January 2004 Indenture of Trust (NE) 2004-1 The current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of credit enhancement from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead positive rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. OFSI BSL XII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OFSI BSL XII CLO Ltd.'s fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by OFS CLO Management II LLC. The preliminary ratings are based on information as of Feb. 15, 2023. 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 OFSI BSL XII CLO Ltd. /OFSI BSL XII CLO LLC Class A-1, $180.00 million: AAA (sf) Class A-J, $9.00 million: AAA (sf) Class B, $39.00 million: AA (sf) Class C (deferrable), $16.50 million: A (sf) Class D-1 (deferrable), $7.50 million: BBB- (sf) Class D-2 (deferrable), $9.00 million: BBB- (sf) Class E (deferrable), $10.50 million: BB- (sf) Subordinated notes, $28.85 million: Not rated PIKES PEAK 12: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Pikes Peak CLO 12 Ltd. Entity/Debt Rating ----------- ------ Pikes Peak CLO 12 Ltd A LT NR(EXP)sf Expected Rating A-L LT NR(EXP)sf Expected Rating A-L Loans LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Pikes Peak CLO 12 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 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 24.52, versus a maximum covenant, in accordance with the initial expected matrix point of 26.31. 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 74.52% versus a minimum covenant, in accordance with the initial expected matrix point of 72.20%. Portfolio Composition (Positive): The largest three industries may comprise up to 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 performance of the rated notes at the other permitted matrix points is in line with other recent CLOs. 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; results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B notes, between 'B-sf' and 'BBB+sf' for class C notes, between less than ''B-sf' and 'BB+sf' for class D notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: 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, 'A+sf' for class C notes, 'A-sf' for class D notes, and 'BBB+sf' for class E notes. 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. PRPM 2023-NQM1: S&P Assigns B(sf) Rating on Class B-2 Certificates ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to PRPM 2023-NQM1 Trust's mortgage pass-through certificates series 2023-NQM1. The certificate issuance is an RMBS transaction backed by first-lien, fixed-and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by one- to four-family residential properties, planned-unit developments, townhouses, condominiums, condotels, manufactured housing, and five- to 10-unit multifamily residential properties and mixed-use properties. The pool consists of 736 loans (including 45 cross-collateralized loans) backed by 993 properties, which are either non-QM (non-QM/ATR compliant) or ATR-exempt mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, PRP Advisors LLC; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "Per our latest macroeconomic update, we continue to expect the U.S. will fall into recession in 2023. Recent indicators support our view, as rising prices and interest rates eat away at private-sector purchasing power. Indeed, of the leading indicators we track in our Business Cycle Barometer, only one of the nine indicators was in positive territory through October: Seven were negative and one was neutral. Although our 10-year/three-month term spread indicator remained neutral in September, daily readings have been inverted since Oct. 25. Moreover, both the 10-year/one-year and 10-year/two-year indicators have been inverted for, on average, three straight months, which signals a recession. The average 10-year/three-month indicator is headed for an inversion in November, with the average through Nov. 22 at -0.35%. If it's inverted for the second straight month, that would also be a recession signal. While economic momentum has protected the U.S. economy this year, what's around the bend in 2023 is the bigger worry. Extremely high prices and aggressive rate hikes will weigh on affordability and aggregate demand. With the Russia-Ukraine conflict ongoing, tensions over Taiwan escalating, and the China slowdown exacerbating supply-chain and pricing pressures, the U.S. economy appears to be teetering toward recession. As a result, we continue to maintain the revised outlook per the April 2020 update to the guidance to our residential mortgage-backed securities criteria (which increased the archetypal 'B' projected foreclosure frequency to 3.25% from 2.50%)." Ratings Assigned PRPM 2023-NQM1 Trust(i) Class A-1, $149,017,000: AAA (sf) Class A-2, $25,462,000: AA (sf) Class A-3, $32,832,000: A (sf) Class M-1, $19,030,000: BBB (sf) Class B-1, $14,875,000: BB (sf) Class B-2, $11,792,000: B (sf) Class B-3, $15,009,749: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class P, $100: Not rated Class R, Not applicable: Not rated (i)The ratings address the ultimate payment of principal, interest, and interest carryover amounts. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. RCMF 2023-FL11: Fitch Assigns 'B-sf' Rating on Class G Notes ------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to RCMF 2023-FL11, notes as follows: Entity/Debt Rating Prior ----------- ------ ----- RCMF 2023-FL11 A LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf F LT BB-sf New Rating BB-(EXP)sf G LT B-sf New Rating B-(EXP)sf H LT NRsf New Rating NR(EXP)sf - $316,457,000 class A 'AAAsf'; Outlook Stable; - $60,801,000 class A-S 'AAAsf'; Outlook Stable; - $41,022,000 class B 'AA-sf'; Outlook Stable; - $33,697,000 class C 'A-sf'; Outlook Stable; - $20,511,000 class D; 'BBBsf'; Outlook Stable; - $10,988,000 class E; 'BBB-sf'; Outlook Stable; - $21,243,000 class F; 'BB-sf'; Outlook Stable; - $13,919,000 class G; 'B-sf'; Outlook Stable. The approximate aggregate balance of the mortgage loans as of the cutoff date is $586,031,864 and does not include future funding. TRANSACTION SUMMARY The notes represent the beneficial ownership interest in the issuer, the primary assets of which are 38 loans secured by 65 commercial properties with an aggregate principal balance of $586,031,864 as of the cut-off date. The loans were contributed to the issuer by an affiliate of Ready Capital Corporation. The servicer and special servicer are expected to be KeyBank National Association (A-/Stable). KEY RATING DRIVERS Collateral Attributes: In general, the pool is secured by properties that have not yet completely stabilized or will undergo renovation. The associated risks, including cash flow interruption during renovation, lease-up and completion, are mitigated by experienced sponsorship, credible business plans and loan structural features that include guaranties, reserves, cash management and performance triggers, and additional funding mechanisms. See the individual loan discussions for specific details. Higher Leverage Compared with Recent Transactions: The pool has higher leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 225.7% is higher than the 2022 average of 99.3% and higher than the 2021 average of 103.3%. Additionally, the pool's Fitch debt service coverage ratio (DSCR) of 0.46x is lower than the 2022 and 2021 averages of 1.31x and 1.38x, respectively. Mortgage Coupons: The pool's WA mortgage coupon is 4.094%, in-line the 2022 and 2021 averages of 4.29% and 3.48%, respectively. All of the loans in the pool are floating rate with rate caps in place, except for four loans: Garden View Apartments, Willow Bend Apartments, Robin Hood Apartments, and Country Home Mobile Village. Business Plan Risk: The pool features 35 loans that have future fundings amounting to what would be 12.6% of the pool balance. These future fundings are to complete sponsor business plans that include capital expenditures. Fitch assessed each business plan and graded low, medium, or high risk and modeled accordingly. Pool Concentration: The pool concentration is in-line with the recently rated Fitch transactions. The top 10 loans in the pool make up 49.0% of the pool, is lower than the 2022 and 2021 levels of 55.2% and 51.2%, respectively. The pool's Loan Concentration Index (LCI) is 370, lower than the 2022 and 2021 averages of 422 and 381, respectively. Loan Structure: The loans in the pool are typically structured with initial terms ranging from two to four years. Most loans have extension options that make their fully extended loan terms four or five years. Fitch's historical loan performance analysis shows loans with terms less than 10 years have modestly lower default risk, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch-calculated net cash flow (NCF): Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; 10% NCF Decline: 'AA+sf'/'AA+sf'/'A+sf'/ 'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'/'CCCsf'; 20% NCF Decline: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBsf'; 30% NCF Decline: 'AA+sf'/'AA+sf'/Asf'/'BBB-sf'/'B+sf'/'CCCsf'/'CCCsf'/'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improved cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch-calculated NCF: Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBsf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. RR 25 LTD: Fitch Assigns 'BB(EXP)sf' Rating on Class D Notes ------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to RR 25 LTD. Entity/Debt Rating ----------- ------ RR 25 LTD A-1 LT NR(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating B-1 LT A+(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating C-1 LT BBB(EXP)sf Expected Rating C-2 LT BBB-(EXP)sf Expected Rating D LT BB(EXP)sf Expected Rating E LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY RR 25 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. 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 24.86, which is in line with that of recent CLOs. Issuers rated in the 'B'/'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 100.00% first-lien senior secured loans and has a weighted average recovery assumption of 75.35%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 3.1-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. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class A-2, between 'B+sf' and 'BBB+sf' for class B-1, between 'B+sf' and 'BBB+sf' for class B-2, between less than B-sf' and 'BB+sf' for class C-1, between less than 'B-sf' and 'BB+sf' for class C-2; and between less than 'B-sf' and 'B+sf' for class D. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'A+sf' for class B-2, 'A+sf' for class C-1, 'A-sf' for class C-2; and 'BBB+sf' for class D. 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 the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. RR 25 LTD: Moody's Assigns (P)B3 Rating to $500,000 Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by RR 25 LTD (the "Issuer" or "RR 25"). Moody's rating action is as follows: US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2036, Assigned (P)Aaa (sf) US$500,000 Class E Secured Deferrable Floating Rate Notes due 2036, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. RR 25 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 senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Moody's expect the portfolio to be approximately 95% ramped as of the closing date. Redding Ridge Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the 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 December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 3245 Weighted Average Spread (WAS): SOFR + 3.45% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 7.1 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. START LTD: S&P Affirms B (sf) Rating on Cl. C Notes, On Watch Neg. ------------------------------------------------------------------ S&P Global Ratings placed its ratings on 18 classes from eight aircraft and aircraft engine ABS transactions on CreditWatch with negative implications. Additionally, six ratings from two transactions were placed on CreditWatch with positive implications. The COVID-19 pandemic and resulting collapse in world travel negatively affected the liquidity and long-term credit of airlines whose lease payments partially secure the transactions. S&P said, "We believe the credit quality of the transactions on CreditWatch negative has declined due to health and safety fears related to the COVID-19 virus, despite the current strong recovery in the airline industry. We also believe this will continue to negatively impact the cash flows available to the issuers." The CreditWatch negative placements reflect the following, among other things: -- Continued pressure on lease collections and diminishing credit enhancement at current rating levels. -- The minimal principal repayments on some of the notes since our prior review, and the resulting accumulation of unpaid scheduled principal payment amounts on the notes. -- The concentration of leases expiring in the near term; and the uncertainty surrounding the ability to remarket the aircraft in current market conditions. -- Some transactions' declining debt service coverage ratios (DSCRs) due to lower collections because of lease restructurings, and the resulting delay in repayment of scheduled principal payment amounts. -- The CreditWatch positive placements reflect, among other things, the portfolios' stable performance since closing and improvements in credit enhancement at the notes' current rating levels due to faster-than-scheduled principal repayments. Environmental, social, and governance (ESG) credit factors for this change in credit rating/outlook and/or CreditWatch status: -- Health and safety Ratings List ISSUER NAME RATINGS SERIES MATURITY ID CLASS TO FROM Business Jet Securities 2020-1 LLC 2020-1 911270808 A A (sf)/CW Pos A (sf) Business Jet Securities 2020-1 LLC 2020-1 911270806 B BBB (sf)/CW Pos BBB (sf) Business Jet Securities 2020-1 LLC 2020-1 911270810 C BB (sf)/CW Pos BB (sf) Business Jet Securities 2021-1 LLC 2021-1 913214749 A A (sf)/CW Pos A (sf) Business Jet Securities 2021-1 LLC 2021-1 913214747 B BBB (sf)/CW Pos BBB (sf) Business Jet Securities 2021-1 LLC 2021-1 913214753 C BB (sf)/CW Pos BB (sf) KDAC Aviation Finance (Cayman) Ltd. 2017-1 892330546 A BB- (sf)/CW Neg BB- (sf) KDAC Aviation Finance (Cayman) Ltd. 2017-1 892330549 B B (sf)/CW Neg B (sf) Raptor Aircraft Finance I Ltd. 904516781 A BB+ (sf)/CW Neg BB+ (sf) Raptor Aircraft Finance I Ltd. 904516783 B B+ (sf)/CW Neg B+ (sf) Shenton Aircraft Investment I Ltd 519856835 2015-1A BBB+ (sf)/CW Neg BBB+ (sf) Shenton Aircraft Investment I Ltd 519856839 2015-1B BB+ (sf)/CW Neg BB+ (sf) START Ltd. 895320460 A BBB+ (sf)/CW Neg BBB+ (sf) START Ltd. 895320458 B BB (sf)/CW Neg BB (sf) START Ltd. 895320462 C B (sf)/CW Neg B (sf) Turbine Engines Securitization Ltd. 2013-1 439360223 2013-1A BBB+ (sf)/CW Neg BBB+ (sf) Turbine Engines Securitization Ltd. 2013-1 439360221 2013-1B BB+ (sf)/CW Neg BB+ (sf) WAVE 2017-1 LLC 2017-1 891894626 A BBB (sf)/CW Neg BBB (sf) WAVE 2017-1 LLC 2017-1 891894630 B BB (sf)/CW Neg BB (sf) WAVE 2017-1 LLC 2017-1 891894622 C B (sf)/CW Neg B (sf) WAVE 2019-1 LLC 2019-1 904265658 A BBB+ (sf)/CW Neg BBB+ (sf) WAVE 2019-1 LLC 2019-1 904265660 B BB+ (sf)/CW Neg BB+ (sf) WAVE 2019-1 LLC 2019-1 904265662 C B (sf)/CW Neg B (sf) Zephyrus Capital Aviation Partners 2018-1 Ltd. 2018-1 896669579 A BBB- (sf)/CW Neg BBB- (sf) SUMMIT ISSUER 2023-1: Fitch Gives BB-(EXP)sf Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings has issued a presale report for Summit Issuer, LLC's Secured Dark Fiber Network Revenue Notes, Series 2023-1. Entity/Debt Rating ----------- ------ Summit Issuer, LLC, Secured Dark Fiber Network Revenue Notes, Series 2023-1 A-1-L LT A(EXP)sf Expected Rating A-1-V LT A-(EXP)sf Expected Rating A-2 LT A-(EXP)sf Expected Rating B LT BBB-(EXP)sf Expected Rating C LT BB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Fitch expects to rate Summit Issuer, LLC's Secured Dark Fiber Network Revenue Notes, Series 2023-1 and assign Rating Outlooks as follows: - $12,000,000a series 2023-1, class A-1-L, 'Asf'; Outlook Stable; - $50,000,000b series 2023-1, class A-1-V, 'A-sf'; Outlook Stable; - $132,800,000 series 2023-1, class A-2, 'A-sf'; Outlook Stable; - $27,400,000 series 2023-1, class B, 'BBB-sf'; Outlook Stable; - $40,500,000 series 2023-1, class C, 'BB-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $14,000,000c series 2023-1, class R. (a) This note is a Liquidity Funding Note that can be drawn for the purpose of funding Liquidity Funding Advances subject to the satisfaction of certain conditions. The balance of the note will be $0 at issuance and is not counted when calculating debt/Fitch NCF ratio. (b) This note is a Variable Funding Note (VFN) and has a maximum commitment of $50 million contingent on leverage consistent with the class A-2 notes. This class will reflect a zero balance at issuance. (c) Horizontal credit risk retention interest representing 5% of the 2023-1 notes. TRANSACTION SUMMARY The transaction is a securitization of SummitIG's high capacity network of fiber optic cable assets. These assets include conduits, cable, permits, rights and contracts, which support SummitIG's dark fiber network. The notes will be secured by a first-priority perfected security interest in all of the equity interest in the issuer and the asset entities, along with the obligor's right, title and interest in the contracts and dark fiber assets. The collateral consists of mission-critical assets that support the largest data center hub in the U.S. This hub interconnects high-quality clients, including cloud providers, telecom companies, data center operators and large enterprise customers. The dark fiber network represents a differentiated deployment of a product providing crucial support to the internet. The majority of necessary capital expenditure has already been spent to deploy the assets and there are limited operating expenses, which allows for low operating leverage and stable cash flows. The sponsor is the leading participant in the Northern Virginia market and benefits from high barriers to entry, including the protection of collateral assets and corresponding cash flows by first-mover advantage, which precludes other providers from replicating service offerings. This advantage is further bolstered by sustained growth in internet usage and support for data center infrastructure, for which SummitIG's assets are a necessity. The company has deployed capacity in anticipation of supporting further growth. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch Ratings' net cash flow (NCF) on the pool is $37.0 million, inclusive of the cash flows associated with the prefunding account and variable funding notes, implying a 13.4% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 11.5x, versus the debt/issuer NCF leverage of 10.0x. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and Maximum Potential Leverage (MPL) include the high quality of the underlying collateral networks, scale, creditworthiness and diversity of the customer base, market position and penetration, capability of the operator, limited operational requirements and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - Higher network expenses or contract churn that lead to a sustained reduction in cash flow could result in downgrades; - Development of an alternative technology for digital transmission or the creation of a competing network with similar capacity and breadth of coverage that reduces SummitIG's offerings in the service area, could also result in downgrades. Factors that could, individually or collectively, lead to positive rating action/upgrade: - Structural contract escalators or new contracts resulting in increase in cash flow without an increase in corresponding debt could lead to upgrades. However, the transaction is capped at the 'A' category, given the potential for technological obsolescence and given the ability to issue additional notes, without the benefit of additional collateral; - Upgrades are further constrained by the Variable Funding Notes, which will likely offset any improvements in cash flow with a corresponding increase in debt, keeping leverage levels relatively flat. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison of certain dark fiber characteristics with respect to the portfolio of sample contracts and related sample cables in the data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. TCW CLO 2023-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TCW CLO 2023-1 Ltd./TCW CLO 2023-1 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by TCW Asset Management Co. LLC. The preliminary ratings are based on information as of Feb. 15, 2023. 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 TCW CLO 2023-1 Ltd./TCW CLO 2023-1 LLC Class A-1N, $186.00 million: AAA (sf) Class A-1L, $35.00 million: AAA (sf) Class A-1F, $25.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B-1, $29.50 million: AA (sf) Class B-F, $18.50 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $22.00 million: BBB- (sf) Class E (deferrable), $10.00 million: BB- (sf) Subordinated notes, $37.70 million: Not rated TOWD POINT 2023-1: DBRS Finalizes B(high) Rating on Class B2 Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Asset-Backed Securities, Series 2023-1 issued by Towd Point Mortgage Trust 2023-1 (the Trust): -- $412.4 million Class A1 at AAA (sf) -- $44.2 million Class A2 at AAA (sf) -- $23.8 million Class M1 at A (high) (sf) -- $17.1 million Class M2 at BBB (high) (sf) -- $12.2 million Class B1 at BB (high) (sf) -- $7.7 million Class B2 at B (high) (sf) -- $412.4 million Class A1A at AAA (sf) -- $412.4 million Class A1AX at AAA (sf) -- $412.4 million Class A1B at AAA (sf) -- $412.4 million Class A1BX at AAA (sf) -- $44.2 million Class A2A at AAA (sf) -- $44.2 million Class A2AX at AAA (sf) -- $44.2 million Class A2B at AAA (sf) -- $44.2 million Class A2BX at AAA (sf) -- $44.2 million Class A2C at AAA (sf) -- $44.2 million Class A2CX at AAA (sf) -- $23.8 million Class M1A at A (high) (sf) -- $23.8 million Class M1AX at A (high) (sf) -- $23.8 million Class M1B at A (high) (sf) -- $23.8 million Class M1BX at A (high) (sf) -- $23.8 million Class M1C at A (high) (sf) -- $23.8 million Class M1CX at A (high) (sf) -- $17.1 million Class M2A at BBB (high) (sf) -- $17.1 million Class M2AX at BBB (high) (sf) -- $17.1 million Class M2B at BBB (high) (sf) -- $17.1 million Class M2BX at BBB (high) (sf) -- $17.1 million Class M2C at BBB (high) (sf) -- $17.1 million Class M2CX at BBB (high) (sf) Classes A1AX, A1BX, A2AX, A2BX, A2CX, M1AX, M1BX, M1CX, M2AX, M2BX, and M2CX are interest-only notes. The class balances represent notional amounts. Classes A1A, A1AX, A1B, A1BX, A2A, A2AX, A2B, A2BX, A2C, A2CX, M1A, M1AX, M1B, M1BX, M1C, M1CX, M2A, M2AX, M2B, M2BX, M2C, and M2CX are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Notes reflects 25.40% and 17.40% of credit enhancement provided by subordinated certificates. The A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) ratings reflect 13.10%, 10.00%, 7.80%, and 6.40% of credit enhancement, respectively. This transaction is a securitization of a portfolio of predominantly seasoned performing and reperforming first-lien mortgages funded by the issuance of the Notes. The Notes are backed by 4,700 mortgage loans with a total principal balance of $552,839,306 as of the Cut-Off Date (December 31, 2022). The portfolio is approximately 115 months seasoned, 68.4% of which is greater than 24 months seasoned. The portfolio contains 37.7% modified loans, and modifications happened more than two years ago for 75.2% of the modified loans. Within the pool, 1,470 mortgages have non-interest-bearing deferred amounts, equating to approximately 3.9% of the total principal balance. There are no Home Affordable Modification Program and proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 95.5% of the pool is current, and 3.9% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, 0.6% of the pool is in bankruptcy (all non-coronavirus bankruptcy loans are performing or 30 days delinquent). Approximately 58.4% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method or since origination. The majority of the pool (53.8%) is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The loans subject to the ATR rules are designated as Temporary QM Safe Harbor or QM Safe Harbor (26.4%), Non-QM (18.8%), and Rebuttable Presumption (1.0%). FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans between July 2014 and December 2022 and are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. (Cerberus). Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, FirstKey, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the related servicing transfer date (February 1, 2023), 93.0% of the loans will be serviced by Select Portfolio Servicing, Inc. (SPS), and 7.0% of the loans will be serviced by Specialized Loan Servicing LLC (SLS). The SPS aggregate servicing fee rate for each payment date is 0.15% per annum, and the SLS aggregate servicing fee is 0.30% per annum. 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 certain advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain nonperforming loans or real estate-owned (REO) properties to unaffiliated third parties individually or in bulk sales. Such sales require an asset sale price to at least equal a minimum reserve amount of the product of (1) 70.41% and (2) the current principal amount of the mortgage loans or REO properties as of the sale date. When the aggregate pool balance of the mortgage loans is reduced to less than 30.0% of the Cut-Off Date balance, the Call Option Holder (TPMT 2023-1 COH, LLC, an affiliate of the Sponsor, the Seller, the Asset Manager, the Depositor, and the Risk Retention Holder) will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meet a minimum price. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the Call Option Holder may purchase all of the mortgage loans, REO properties, and other properties from the Issuer, as long as the aggregate proceeds meet a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid from principal proceeds until the Class A1 and A2 Notes are retired. Notes: All figures are in U.S. dollars unless otherwise noted. TRICOLOR AUTO 2023-1: Moody's Gives B2 Rating to $14.41MM F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Tricolor Auto Securitization Trust 2023-1 (TAST 2023-1). This is the first auto loan transaction of the year and the first rated by Moody's for Tricolor Auto Acceptance, LLC (Tricolor; unrated). The notes are backed by a pool of retail automobile loan contracts originated by affiliates of Tricolor, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: Tricolor Auto Securitization Trust 2023-1 $138,940,000, 6.48%, Class A Asset Backed Notes, Definitive Rating Assigned A1 (sf) $12,400,000, 6.84%, Class B Asset Backed Notes, Definitive Rating Assigned A1 (sf) $14,980,000, 7.24%, Class C Asset Backed Notes, Definitive Rating Assigned A1 (sf) $23,790,000, 8.56%, Class D Asset Backed Notes, Definitive Rating Assigned Baa1 (sf) $19,450,000, 13.45%, Class E Asset Backed Notes, Definitive Rating Assigned Ba2 (sf) $14,410,000, 16.00%, Class F Asset Backed Notes, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of Tricolor as the servicer and administrator and the presence of Vervent, Inc. (unrated) as named backup servicer. The governance risk for this transaction is moderate, because of the financially weak sponsor and servicer with limited securitization experience. Moody's median cumulative net loss expectation for the 2023-1 pool is 20.00% and the loss at a Aaa stress is 53.00%. Moody's based its cumulative net loss expectation and loss at a Aaa stress 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 Tricolor to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit from 53.30%, 49.00%, 43.80%, 35.50%, 28.80% and 23.80% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination, except for the Class F notes which do not benefit from subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the 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 excess spread is not sufficient to cover losses in a given month. 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. UBS COMMERCIAL 2018-C15: Fitch Affirms 'B-sf' Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 13 classes and maintained outlooks of UBS Commercial Mortgage Trust 2018-C15 commercial mortgage pass-through certificates series 2018-C15. Entity/Debt Rating Prior ----------- ------ ----- UBS 2018-C15 A-3 90278LAX7 LT AAAsf Affirmed AAAsf A-4 90278LAY5 LT AAAsf Affirmed AAAsf A-S 90278LBB4 LT AAAsf Affirmed AAAsf A-SB 90278LAW9 LT AAAsf Affirmed AAAsf B 90278LBC2 LT AA-sf Affirmed AA-sf C 90278LBD0 LT A-sf Affirmed A-sf D 90278LAC3 LT BBB+sf Affirmed BBB+sf D-RR 90278LAE9 LT BBB-sf Affirmed BBB-sf E-RR 90278LAG4 LT BB+sf Affirmed BB+sf F-RR 90278LAJ8 LT BB-sf Affirmed BB-sf G-RR 90278LAL3 LT B-sf Affirmed B-sf X-A 90278LAZ2 LT AAAsf Affirmed AAAsf X-B 90278LBA6 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Overall Stable Loss Expectations: The rating affirmations reflect the overall stable performance of the pool. The Negative Outlooks reflect Fitch's continued concern about Saint Louis Galleria and two office loans within Top-15 including 435 Tasso Street and 16300 Roscoe Blvd. Five loans (27.9% of the pool) have been designated as Fitch Loans of Concern (FLOC) including one loan (2.8%) which remains in special servicing. Fitch's current ratings incorporate a base case loss of 5.2%. Fitch Loans of Concern: The largest increase in loss to the pool is the Saint Louis Galleria (9.7%), a Brookfield-sponsored, super-regional mall located in St. Louis, MO. The mall is anchored by Dillard's, Macy's and Nordstrom which are non-collateral tenants. Property NOI has declined since issuance, with YE 2021 NOI approximately 29% below the issuers underwritten NOI and 12% below YE 2020. The NOI declines are mainly attributed to lower revenues since the pandemic, with YE 2021 revenue 19.5% below YE 2019. As of September 2022, reported NOI debt service coverage ratio (DSCR) was 1.57x which compares with 1.68x at YE 2021. Collateral occupancy declined to 88.5% as of September 2022 from 100% at YE 2021 as a result of several tenants vacating at or ahead of their lease expirations. The total mall occupancy was 96% as of the September 2022 rent roll. As of September 2022, reported TTM in-line comp tenant sales were $536 psf ($419 psf excluding Apple), compared with $523psf ($401 psf excluding Apple) at TTM ended September 2021 and $364psf ($294 psf excluding Apple) at YE 2020. Fitch's base case loss of 17% reflects an 11.50% cap rate and a 5% stress to the YE 2021 NOI. The second largest increase in loss to the pool is the 435 Tasso Street loan (6.5%), which is secured by a 32,128 -sf office property located in Palo Alto, CA. Occupancy as of September 2022 was 79%, in-line with YE 2021, but down from 90% in 2020 and 100% in 2019. East West Bank occupied the dark Science Exchange (32% of the NRA, October 2022) space under a sublease, but has signed a direct lease through December 2025 upon expiration of the existing lease. Fitch's modeled loss of 9% is based on a cap rate of 9.5% and a 15% stress to the YE 2021 NOI to account for the declined occupancy and the upcoming lease rollover risk. Specially Serviced Loan: Nebraska Crossing (2.8%) is a 367,048-sf retail outlet center located in Gretna, NE. The loan transferred to special servicing in May 2020 due to imminent monetary default as a result of the pandemic. Negotiations between the borrower and special servicer remain ongoing. The property was 93% occupied as of the September 2022 rent roll, up from 88% at June 2021. A new REI outdoors retailer opened its first Nebraska location at the subject in August 2022.Fitch modeled a minimal loss for the loan to account for special servicing fees. Significant Change to Credit Enhancement (CE): As of the January 2023 distribution date, the pool's aggregate balance has been reduced by 28.5% to $462.3 million from $646.5 million at issuance. Three loans with a combined balance of $120.6 million as of the prior review paid off in full. Four loans (6.9%) are fully defeased. Eleven loans (42.1%) are full-term IO and eight loans (26.3%) are partial IO. Interest shortfalls are currently affecting class NR-RR. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the senior classes, A-2, A-3, A-4, A-SB, X-A and A-S, are less likely due to the high CE, but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur. Downgrades to classes B, C, X-B, D, D-RR and E-RR would occur should overall pool losses increase and/or should additional loans transfer to special servicing. Downgrades to classes F-RR and G-RR would occur should loss expectations increase due to an increase in specially serviced loans. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes B, C and X-B would only occur with significant improvement in CE and/or defeasance, but would be limited should the deal become susceptible to concentration, whereby the underperformance of particular loans could cause this trend to reverse. An upgrade to classes D, D-RR and E-RR would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. An upgrade to classes F-RR and G-RR are not likely until the later years in a transaction, and only if the performance of the remaining pool is stable and/or if there is sufficient CE, which would likely occur when the senior classes payoff, and if the non-rated classes are not eroded. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. US CAPITAL V: Fitch Affirms 'Csf' Rating on Three Tranches ---------------------------------------------------------- Fitch Ratings has affirmed the ratings on 24 classes from four collateralized debt obligations (CDOs). The Rating Outlooks for 14 of the classes remain Stable. Rating actions and performance metrics for each CDO are reported in the accompanying rating action report. Entity/Debt Rating Prior ----------- ------ ----- MMCapS Funding XVIII, Ltd./Corp A-1 60688HAA3 LT AAAsf Affirmed AAAsf A-2 60688HAB1 LT AAAsf Affirmed AAAsf B 60688HAC9 LT AA-sf Affirmed AA-sf C-1 60688HAD7 LT BBsf Affirmed BBsf C-2 60688HAE5 LT BBsf Affirmed BBsf C-3 60688HAF2 LT BBsf Affirmed BBsf D 60688HAG0 LT Csf Affirmed Csf U.S. Capital Funding V Ltd./Corp. A-1 90342WAA5 LT AAsf Affirmed AAsf A-2 90342WAC1 LT A+sf Affirmed A+sf A-3 90342WAE7 LT BBsf Affirmed BBsf B-1 90342WAG2 LT Csf Affirmed Csf B-2 90342WAJ6 LT Csf Affirmed Csf C 90342WAL1 LT Csf Affirmed Csf U.S. Capital Funding VI, Ltd./Corp. Class A-1 903428AA8 LT A-sf Affirmed A-sf Class A-2 903428AB6 LT BB-sf Affirmed BB-sf Class B-1 903428AD2 LT Csf Affirmed Csf Class B-2 903428AE0 LT Csf Affirmed Csf Class C-1 903428AF7 LT Csf Affirmed Csf Class C-2 903428AC4 LT Csf Affirmed Csf Preferred Term Securities XVIII, Ltd./Inc. Class A 1 Senior Notes 74042WAA2 LT AAsf Affirmed AAsf Class A 2 Senior Notes 74042WAB0 LT AAsf Affirmed AAsf Class B Mezz Notes 74042WAC8 LT Asf Affirmed Asf Class C Mezz Notes 74042WAD6 LT CCCsf Affirmed CCCsf Class D Mezz Notes 74042WAE4 LT Csf Affirmed Csf TRANSACTION SUMMARY The CDOs are collateralized primarily by trust preferred securities issued by banks and insurance companies. KEY RATING DRIVERS All of the transactions deleveraged from collateral redemptions and/or excess spread, which led to the senior classes of notes receiving paydowns ranging from 1% to 41% of their last review note balances. The magnitude of the deleveraging for each CDO is reported in the accompanying rating action report. For three transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, deteriorated, while the remaining transaction exhibited positive credit migration. No new cures, deferrals or defaults have been reported since last review. The ratings for the class B note in MMCapS Funding XVIII, Ltd./Corp (MMCaps XVIII) is one notch lower than its MIR given the modest cushion at the MIR. The ratings for classes C-1, C-2 and C-3 notes in MMCaps XVIII and the class C notes in Preferred Term Securities XVIII, Ltd./Inc. (PreTSL XVIII) are one notch higher than their MIR given their marginal failures in the sector-wide sensitivity scenario at their MIR. The ratings for the class A-1 and A-2 notes in U.S. Capital Funding VI, Ltd./Corp. are one notch lower than their MIR due to their sensitivity to the increase in three-month LIBOR, as demonstrated by lower passing ratings in the interest shortfall risk scenario compared to those at last review. The Stable Outlooks on 14 tranches in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with the classes' ratings. Fitch considered the rating of the issuer account bank in the ratings for the class A-1 and A-2 notes in PreTSL XVIII and the class A-1 notes in U.S. Capital Funding V Ltd./Corp., due to the transaction documents not conforming to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria." These transactions are allowed to hold cash, and their transaction account bank (TAB) does not collateralize cash. Therefore, these classes of notes are capped at the same rating as that of its TAB. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. Factors that could, individually or collectively, lead to positive rating action/upgrade: Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. 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 or information on the risk-presenting entities. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. WELLS FARGO 2012-C8: Fitch Hikes Rating on Class G Certs to 'BBsf' ------------------------------------------------------------------ Fitch Ratings has upgraded class G of Wells Fargo Bank, National Association, WFRBS Commercial Mortgage Trust 2012-C8 commercial mortgage pass-through certificates (WFRBS 2012-C8) to 'BBsf' from 'B-sf'. The Rating Outlook for class G is Stable following the upgrade. Entity/Debt Rating Prior ----------- ------ ----- WFRBS 2012-C8 G 92936YAV3 LT BBsf Upgrade B-sf TRANSACTION SUMMARY As of the January 2023 distribution date, the pool's aggregate principal balance has paid down by 95.5% since issuance, with only one asset remaining. The remaining asset in the pool is The Town Center at Cobb which is a 559,940-sf portion of a 1.28 million sf regional mall located in Kennesaw, GA, approximately 22 miles northwest of Atlanta. The collateral consists of a 128,819-sf Belk anchor box, a 31,026-sf portion of the JCPenney anchor box and 400,095-sf of in-line space. Non-collateral anchors include Macy's, Macy's Furniture and JCPenney. A non-collateral Sears closed its store in 2020. Belk (23% of NRA) recently extended their lease for an additional two years through August 2024. As of September 2022, collateral occupancy improved to 90% from 89% as of YE 2021 and NOI DSCR was 1.65x as compared to 1.72x over the same timeframe. YE 2021 NOI has declined 9% from YE 2020 and remains 30% below the originator's NOI underwritten at issuance. The asset has been in special servicing since June 2020 and became REO in February 2021. The special servicer has marketed the asset for sale and is in the process of finalizing an offer and moving forward with a contract. Fitch's loss and recovery analysis was based on a discount to a servicer provided value to account for fees and expenses. The stressed value reflects an implied cap rate of 22% on YE 2021 and recovery proceeds of $114 psf. Recoveries required on class G are $66 psf and $298 psf on the non-rated class H. KEY RATING DRIVERS High Senior Class Credit Enhancement: The senior-most bond has a high likelihood of recovery given the credit support of the non-rated subordinate class and low recovery required to pay off the class. Increasing Certainty of Disposition: The Stable Outlook reflects the increasing certainty of disposition as the asset moves forward in the process for sale and high likelihood of recoverability for class G given current estimates of value; however, Fitch limited the upgrade for the class to below investment grade as the class is reliant on the liquidation of a regional mall asset that has been REO to pay off the class. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: A downgrade of class G could occur if the valuation of Town Center at Cobb declines significantly. If workout for the asset is prolonged, fees and expenses could continue to increase the total exposure and loss expectations would continue to increase. Factors that could, individually or collectively, lead to positive rating action/upgrade: An upgrade of class G is unlikely due to concentration but may be possible if the valuation of Town Center at Cobb improves significantly, with increased certainty for timing of disposition and recoverability. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. WELLS FARGO 2013-BTC: Moody's Lowers Rating on Cl. E Certs to Ba3 ----------------------------------------------------------------- Moody's Investors Service has downgraded six classes in Wells Fargo Commercial Mortgage Trust 2013-BTC, Commercial Mortgage Pass-Through Certificates Series 2013-BTC as follows: Cl. A, Downgraded to Aa2 (sf); previously on Nov 8, 2018 Affirmed Aaa (sf) Cl. B, Downgraded to Aa3 (sf); previously on Nov 8, 2018 Affirmed Aa1 (sf) Cl. C, Downgraded to A2 (sf); previously on Nov 8, 2018 Affirmed Aa3 (sf) Cl. D, Downgraded to Baa2 (sf); previously on Nov 8, 2018 Affirmed A3 (sf) Cl. E, Downgraded to Ba3 (sf); previously on Mar 4, 2021 Downgraded to Ba1 (sf) Cl. X-A*, Downgraded to Aa2 (sf); previously on Nov 8, 2018 Affirmed Aaa (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on five P&I classes were downgraded due to the decline in loan performance and the uncertainty around refinancing at its upcoming maturity date in April 2023. As of the January 2023 distribution date, the loan remains current and the servicer commentary states that they had reached out to the borrower regarding payoff plans. The interest only fixed rate loan (3.560%) had a net cash flow (NCF) DSCR of 2.16X based on the first nine months of 2022. 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. The rating on the interest-only (IO) class was downgraded due to decline in the credit quality of the referenced class. 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. 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 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 January 19, 2023 distribution date the transaction's certificate balance was $300 million, the same as at securitization. The certificates are collateralized by a single fixed-rate loan secured by the west parcel (1 million square feet (SF)) of a regional outlet center known as Bergen Town Center located in Bergen County, NJ. The East parcel (210,709 SF) is not part of the collateral. The retail center was originally constructed in 1957 as an enclosed regional mall, and was renovated and repositioned by the sponsor (Vornado Realty Trust - Long Term Rating Ba1, Stable Outlook) post purchase in 2003. Anchor tenants at the property include Target and Whole Foods. Major tenants include Marshall's, Nordstrom's Rack, Off 5th, Home Goods, H&M, Last Call Studio, and Bloomingdale's Outlet. The property is located along the Paramus, NJ retail corridor which is a dominant retail hub catering to the wealthy suburbs surrounding NYC. The property's NCF for the first nine months of 2022 was $17.5 million compared to $23.4 million and $28.9 million achieved in full year 2021 and 2020, respectively. Prior to 2020, the performance for the loan has been very stable since securitization with NCF having ranged between a low of $21.9 MM (in 2016) and a high of $28.9 million (in 2020). In Q4 2020, Century 21 (15% of the net rentable area (NRA)) vacated the property as a result of their bankruptcy filing. A significant portion of the space (131,700 SF) has been leased to Kohl's starting November 2022 with a lease expiration date in January 2038. As of the September 2022 rent roll, the occupancy was at 78% which is significantly below pre-pandemic historical levels (between 93% and 97%) and does not account for the Kohl's lease. Moody's stressed NCF is $23 million. Moody's stressed loan to value (LTV) ratio is 111%, and Moody's stressed debt service coverage ratio (DSCR) is 0.83x. The current IO fixed rate loan has a coupon of 3.560% and the reported NCF DSCR through September 2022 was 2.16X. There are no outstanding advances or interest shortfalls as of the current distribution date. WELLS FARGO 2015-C29: Fitch Affirms 'B-sf' Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 11 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2015-C29 commercial mortgage pass-through certificates. The Rating Outlooks for class B, C and PEX have been revised to Positive from Stable. The Rating Outlooks for class E and F have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-C29 A-3 94989KAU7 LT AAAsf Affirmed AAAsf A-4 94989KAV5 LT AAAsf Affirmed AAAsf A-S 94989KAX1 LT AAAsf Affirmed AAAsf A-SB 94989KAW3 LT AAAsf Affirmed AAAsf B 94989KBA0 LT AA-sf Affirmed AA-sf C 94989KBB8 LT A-sf Affirmed A-sf D 94989KBC6 LT BBB-sf Affirmed BBB-sf E 94989KAE3 LT BBsf Affirmed BBsf F 94989KAG8 LT B-sf Affirmed B-sf PEX 94989KBD4 LT A-sf Affirmed A-sf X-A 94989KAY9 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Decline in Loss Expectations: The overall pool performance has stabilized since the last rating action. The Outlook revisions on classes E and F to Stable from Negative reflect improved performance of the pool. In addition, the Outlook revisions for class B and C to Positive from Stable reflect the increased credit support since issuance. There are 17 Fitch Loans of Concern (FLOCs; 21.2%) compared to 24 FLOCs and 25.9% at the last rating action; this reflects improved performance and loss expectations for former FLOCs, as well as the resolution of loans previously in special servicing that were either modified, repaid or took nominal losses. There are currently no specially serviced loans as of the January 2023 reporting period. Fitch's current ratings incorporate a base case loss of 4.9%. The largest contributor to losses are Cathedral Place - Parking (0.8%), Hall Office Park (2.3%), and Parkway Crossing East Shopping Center (2.3%). The Cathedral Place - Parking loan is secured by a 941- unit parking facility located in Milwaukee, WI. The loan is on the servicer's watchlist due a decline in occupancy and DSCR. According to the servicer, the YE 2021 NOI DSCR of 0.42x decreased significantly from YE 2020 NOI DSCR of 1.58x as a result of Husch Blackwell, a previous tenant at the Cathedral Place property, which this parking deck services, terminated 217 of its parking spaces, following the tenant's departure, as of January 2021. In addition, as a result of the pandemic and remote work, an additional 286 spaces were relinquished from tenants, impacting daily revenue as well. Occupancy improved to 41% as of September 2022, as a result of commuter traffic and return to office mandates; however, occupancy has declined from 100% pre-pandemic. According to the September 2022 rent roll, several tenants increased their stall allocation in early 2022, with the 3Q22 NOI improving to 0.36x. Fitch's base case loss of 77.9% reflects a 10% cap rate on the annualized 3Q22 NOI. The next largest increase in loss since the prior rating action is the Hall Office Park loan, which is secured by a six-story office building located in Frisco, TX. The loan is on the servicer's watchlist due a decline in occupancy and DSCR. YE 2021 NOI of $2.6 million increased significantly from YE 2020 NOI of $941,273, as occupancy rebounded to 82% (as per December 2021 rent roll) from 68%, respectively. Occupancy improved in 2021 due to a new five-year lease executed with Sofi Lending Corp (8.7% of NRA leased through May 2026) and existing tenant Premier Health Insurance expanding into an additional 15,544 sf, increasing its footprint to 12% of NRA from 5.4%. However, the property occupancy declined once again to 73.2% as of the October 2022 rent roll, which was mainly attributed to Levi Strauss (12% NRA) vacating upon its lease expiration in July 2022. Per the rent roll, the borrower signed a lease with a smaller tenant and Premier Health Insurance (14.9%; January 2031) further expanded their space by an additional 2,869 sf (1.8% NRA). Current largest tenants include Premier Health Insurance (14.9%; January 2031), Sofi Lending Corp (8.1%; May 2026), and 16 Capital Investments (5.8%; October 2023). As of the October 2022 rent roll, upcoming lease rollover includes 13.2% in 2023, 8.4% in 2024, and 2.7% in 2025. Fitch's base case loss of 23.9% reflects a 10% cap rate on the annualized Q3 2022 NOI. The third largest increase in loss since the prior rating action is the Parkway Crossing East Shopping Center loan, which is secured by an anchored retail center located in Woodbridge, Virginia. The loan is on the servicer's watchlist due to a decline in property performance following the bankruptcy filing and departure of Babies 'R' Us (20.9% NRA) and Thomasville (7.3% NRA) in 2018. According to the October 2022 rent roll, the occupancy rate was 94.0%. As of January 2023, the servicer noted that the borrower has executed a 10-year lease with a trampoline park tenant to take the former Babies R' Us and Thomasville Space for a total 40,404 sf (28%). The reported YE 2021 NOI increased 12.4% from YE 2020 due to lower operating expenses, with decreases in real estate taxes and repairs and maintenance. The largest tenants include Bed Bath & Beyond (24.5% of NRA leased through January 2025), Michaels (16.7%; February 2025) and Mattress Firm (2.5%; November 2025). As a result of the improvement in occupancy, performance is expected to stabilize in 2023; however, at a reduced level due to lower rents executed by the new tenant. Fitch's base case loss of 22.8% reflects a 9% cap rate on the YE 2021 NOI. Increased Credit Enhancement (CE): As of the January 2023 distribution date, the pool's principal balance has paid down by 16.3% to $984.7 million from $1.18 billion at issuance. Since Fitch's prior rating action, five loans ($21.2 million) were repaid or disposed from the pool, three of which repaid ahead of their scheduled 2025 maturity dates, one of which repaid at loan maturity, and one loan took a nominal loss. Twenty-three loans (20.4%) are defeased, an increase from 17 loans (16%) at the prior rating action. Fifteen loans (14.8%) are full-term interest-only, and the remainder of the pool is now amortizing. All remaining loans in the pool mature in 2025. Co-Op Collateral: The pool contains 21 loans (4.4% of pool) secured by multifamily co-operative properties, all of which are located in New York, within the greater New York City Metro area. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of classes rated in the 'AAAsf' and 'AAsf' categories are not likely due to sufficient CE and the expected receipt of continued amortization but could occur if interest shortfalls affect the class. Classes C, PEX, D, E and F would be downgraded if additional loans become FLOCs and/or loss expectations increase. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes B, C, and PEX are expected with continued improvement in CE and/or defeasance and continued stable to improving performance of the overall pool. Upgrades of classes D, E and F may occur with significant improvement in CE and/or defeasance, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. WELLS FARGO 2015-C30: Fitch Cuts Rating on Cl. F Certs to CCC ------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed nine classes of Wells Fargo Commercial Mortgage Trust 2015-C30 (WFCM 2015-C30) commercial pass-through certificates. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-C30 A-3 94989NBD8 LT AAAsf Affirmed AAAsf A-4 94989NBE6 LT AAAsf Affirmed AAAsf A-S 94989NBG1 LT AAAsf Affirmed AAAsf A-SB 94989NBF3 LT AAAsf Affirmed AAAsf B 94989NBK2 LT AA-sf Affirmed AA-sf C 94989NBL0 LT A-sf Affirmed A-sf D 94989NAL1 LT BBB-sf Affirmed BBB-sf E 94989NAN7 LT B-sf Downgrade BB-sf F 94989NAQ0 LT CCCsf Downgrade B-sf PEX 94989NBM8 LT A-sf Affirmed A-sf X-A 94989NBH9 LT AAAsf Affirmed AAAsf X-E 94989NAA5 LT B-sf Downgrade BB-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations since the last rating action primarily due to higher expected losses on Riverpark Square (8.2%), the largest Fitch Loan of Concern (FLOC). Nine additional loans (6.4%) were flagged as FLOCs due to declining performance, including three loans (3.3%) in special servicing. Fitch's current ratings are based on a base case loss for the pool of 6.9%. FLOCs: The largest contributor to loss expectations, Riverpark Square loan (8.3% of the pool), is the second largest loan in the pool and the largest Fitch Loan of Concern (FLOC). The loan is secured by a 374,490 square foot (sf) regional mall located in Spokane, WA and anchored by collateral tenants Nordstrom and AMC Theater. Occupancy and debt service coverage ratio (DSCR) were 89% and 1.57x, respectively as of YTD September 2022, compared to 96% and 1.05x at YE 2020. Nordstrom recently extended its lease for two years to February 2025, five months prior to the loan's scheduled maturity. The store's sales were declining prior to the pandemic and are historically below the retailer's national average. The YE 2021 sales were $99 psf compared with $53 psf at YE 2020 and $139 psf at YE 2019. Inline tenant sales excluding Apple were $289 psf at YE 2021 compared to $173 psf at YE2020 and $332 psf at YE 2019. This Nordstrom location was not on the retailer's previous list of store closures; however, the potential loss of the mall's only traditional anchor tenant presents a major binary risk for the loan's ongoing performance. Upcoming rollover is as follows: 3.5% (2023; 4.4% base rent); 10.8% (2024; 21.2% base rent); 36.4% (2025; 11.1% base rent). Fitch's base case loss of 43% reflects rollover concerns during loan term and refinanceability of the loan. The second largest contributor to loss expectations, Bristol Retail Portfolio (1.1%), transferred to specially servicing in February 2019 and is currently REO. It is secured by a portfolio of nine retail properties totaling 84,984 sf located within a 10-mile radius of Bristol, TN and Bristol, VA. As of September 2022, the portfolio was 48% occupied. A property management company and leasing agent have been engaged to stabilize operations before a sale. Fitch's base case loss of 49.5% reflects a stressed value of $57 psf based on a haircut to the most recent appraised value. The third largest contributor to loss expectations, Eisenhower Crossing (0.9%), has been REO since 2020. It is secured by an 81,765-sf neighborhood shopping center located in Macon, GA. Occupancy declined to 46% from 60% in June, after Sears vacated in November 2022. A new leasing team is in place in efforts to increase occupancy. Fitch's base case loss of 61.4% reflects a stressed value of $45 psf based on a haircut to the most recent appraised value. Changes to Credit Enhancement: As of the January 2023 distribution date, the pool's aggregate principal balance was paid down by 11.5% to $655 million from $740 million at issuance. Nineteen loans (28.7% of the pool) are fully defeased, including two loans (2.6%) that previously modeled losses. There have been no realized losses since issuance. Interest shortfalls of approximately $867,000 are currently contained to the non-rated H certificate. Excluding defeasance, four loans (1.4%) are full term interest only. The remainder of the pool is currently amortizing. All of the remaining loans in the pool are scheduled to mature in 2025. Co-Op Collateral: The pool contains 17 loans (6.4% of the pool) secured by multifamily co-operative properties, all of which are located in New York, within the greater New York City metro area. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to classes A-3, A-4, A-SB, X-A and A-S are not likely due to their position in the capital structure and the high CE; however, downgrades to these classes may occur should interest shortfalls occur. Downgrades to class B, C and PEX would occur if loss expectations increase significantly and/or should CE be eroded. Downgrades to the classes D, E, X-E and F would occur if loans are unable to refinance, the performance of the FLOCs continues to decline and/or fail to stabilize or additional loans transfer to special servicing. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of class B would occur with continued improvement in CE and/or defeasance and continued stable to improving performance of the overall pool. Upgrades of classes C, PEX, D, E, X-E and F may occur with significant improvement in CE and/or defeasance, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. WELLS FARGO 2015-SG1: Fitch Affirms 'BB-sf' Rating on Class D Notes ------------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2015-SG1 (WFCM 2015-SG1). Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-SG1 A-4 94989QAV2 LT AAAsf Affirmed AAAsf A-S 94989QAX8 LT AAAsf Affirmed AAAsf A-SB 94989QAW0 LT AAAsf Affirmed AAAsf B 94989QBA7 LT Asf Affirmed Asf C 94989QBB5 LT BBBsf Affirmed BBBsf D 94989QBD1 LT BB-sf Affirmed BB-sf E 94989QAL4 LT CCCsf Affirmed CCCsf F 94989QAN0 LT CCsf Affirmed CCsf PEX 94989QBC LT BBBsf Affirmed BBBsf X-A 94989QAY6 LT AAAsf Affirmed AAAsf X-E 94989QAA8 LT CCCsf Affirmed CCCsf X-F 94989QAC4 LT CCsf Affirmed CCsf KEY RATING DRIVERS Decreased Loss Expectations; Boca Park Marketplace: The affirmations reflect overall stable pool performance and decreased loss expectations compared to the prior rating action primarily due to the expected reinstatement and stabilization of the Boca Park Marketplace loan (6.9%). There are eight loans (30.2%) that have been designated as Fitch Loans of Concern, including four loans (10.6%) in special servicing. Fitch's current ratings incorporate a base case loss of 6.5%. Boca Park Marketplace is the largest improvement in expected losses and was the largest driver of pool losses at the prior rating action. The loan is currently in special servicing, but payments have been brought current, and the loan is expected to return to the master servicer imminently. The collateral is a 148,095-sf shopping center located in Las Vegas, NV. Major tenants include Ross Dress for Less (20.7% NRA), Lamps Plus (7.5% NRA), Petland (5.6% NRA), and Tilly's (5.4% NRA). The property is part of a larger retail development and is shadow anchored by Target, REI, Total Wine & More, Office Max. Due to co-tenancy clauses associated with a non-collateral Von's grocery store that has been vacant since 2016, three of the major tenants at the property (Ross, Tilly's and Famous Footwear) are paying percentage rent that is on-average 70% below the tenant's base rent. However, a new grocery store is expected to occupy a portion of the former Von's space. The sponsor (Triple Five Investment, Ltd.) is working with tenants to negotiate new lease terms now that the co-tenancy clause will be fulfilled. According to the September 2022 rent roll, occupancy remains high at 97.5% compared to 94% the year prior and 96% in 2020. The servicer reports that were no loan modifications or equity infusions from the sponsor prior to the reinstatement. Property value and NOI have both increased due to new leases, rent increases and higher sales/rent from tenants paying percentage rent. Fitch's loss expectations of 2.7% are in place to account for special servicing fees and reflect an approximate 9% cap rate on the annualized June 2022 NOI. The largest FLOC and largest contributor to expected losses is the Patrick Henry Mall loan (9.8%), which is secured by a 432,401-sf portion of a 716,558-sf regional mall located in Newport News, VA. The largest collateral tenant is JCPenney (19.7% of NRA), which renewed in 2020 for five years through October 2025 with four renewal options remaining. Other major tenants include Dick's Sporting Goods (11.6% NRA) and Forever 21 (4.9% NRA). Macy's and Dillard's are non-collateral anchors. The mall was 96.7% occupied and inline occupancy was 91.3% as of June 2022. In-line sales for tenants occupying under 10,000 sf were $406 psf as of June 2020, compared with $426 psf as of YE 2019 and $405 psf at issuance. Fitch's expected loss of 23.6% reflects a 15% cap rate and 5% stress to the YE 2021 NOI and factors in a higher loss recognition on this loan to account for refinancing concerns at its July 2025 maturity. The next largest contributor to expected losses is Bella of Baton Rouge (1.6%). The asset, a 220-unit multi-family property, is real estate owned (REO) after foreclosure was completed in October 2022. The property has experienced low occupancy since 2016, when a major flood caused major water damage. According to the November 2022 appraisal, the property is approximately 45% occupied and there are 48 down units in various states of disrepair. The servicer reports that the property is being actively marketed. Given the REO status and current state of the property, Fitch's expects a high loss severity of 65%, which reflects a stressed value of $26,000 per unit. Increased Credit Enhancement (CE) and Defeasance: As of the January 2023 distribution date, the pool's aggregate principal balance has been reduced by 14.3% to $613.5 million from $716.3 million at issuance. Eleven loans (12.4%) are full-term and the remaining loans (86%) are amortizing. Eleven loans (9.8%) are fully defeased, up from six loans (4.2%) at the prior rating action. Loan maturities include one loan (0.7%) in 2024; and 64 loans (97.7%) in 2025. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-4, A-SB, A-S and X-A are not likely due to the increasing CE, expected continued paydown and overall stable to improving performance but may occur should interest shortfalls affect these classes. Downgrades to classes B, C and PEX may occur should pool loss expectations increase significantly and should all of the FLOCs suffer losses, which would erode CE. Downgrades to class D may occur with further performance deterioration of the FLOCs, should additional loans default or transfer to special servicing and/or losses from the Bella of Baton Rouge asset are higher than anticipated. Downgrades to the distressed classes E, F, X-E and X-F would occur as losses are realized or become more certain. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B and C would occur with improvement in CE, defeasance, and/or performance stabilization of FLOCs, particularly Boca Park Marketplace. Upgrades to class D may occur as the number of FLOCs are reduced and there is sufficient CE to the class. Class D would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to class E, F, X-E and X-F are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. WFRBS COMMERCIAL 2013-C11: S&P Lowers E Certs Rating to 'B+ (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from WFRBS Commercial Mortgage Trust 2013-C11, a U.S. CMBS transaction. At the same time, S&P affirmed the rating on class B from the same transaction. Rating Actions S&P said, "The downgrades on classes C, D, E, and F and affirmation on class B primarily reflect our reevaluation of the two largest loans remaining in the pool, which are currently also with the special servicer, representing 87.0% of the pooled trust balance: Republic Plaza ($134.6 million pooled trust balance; 49.2% of the remaining pooled trust balance) and 515 Madison Avenue ($103.4 million; 37.8%). The loans are each backed by an underperforming office property that recently defaulted due to the borrowers' inability to pay them off by their late 2022/early 2023 maturity dates. Based on the observed year-over-year decline in performance at the underlying collateral properties, we revised and lowered our sustainable net cash flow (NCF) for both properties, aligning it closer to the servicer's reported year-end 2021 NCF (discussed below). The downgrade of class F to 'CCC (sf)' further reflects our view that the risk of default and loss is elevated upon the eventual resolution of the specially serviced loans due to current market conditions. "While the model-indicated ratings were higher than the revised ratings on classes C and D and the current rating on class B, we downgraded classes C and D and affirmed class B because, in our view, the transaction faces adverse selection with 87.0% of the pooled trust balance in special servicing, and we considered the potential further reduced liquidity support from the two specially serviced loans, particularly in the event that property performance and/or market value decline more than our expectations. "We will continue to monitor the transaction's performance and any developments, including the workout resolutions of the specially serviced Republic Plaza and 515 Madison Avenue loans. To the extent future developments differ meaningfully from our underlying assumptions, we may revisit our analysis and take further rating actions as we deem necessary. "We lowered our rating on the class X-B interest-only (IO) certificates based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount on class X-B references classes B and C." Transaction Summary As of the January 2023 trustee remittance report, the collateral pool balance was $273.4 million, which is 19.0% of the pool balance at issuance. The pool currently includes 11 fixed-rate loans, down from 82 loans at issuance. Two of these loans ($238.0 million, 87.0%) are with the special servicer, four ($7.5 million, 2.7%) are defeased, and four ($23.6 million, 8.6%) are on the master servicer's watchlist due to near-term maturities. Excluding the four defeased loans and using adjusted servicer-reported numbers, we calculated a 1.07x S&P Global Ratings weighted average debt service coverage (DSC) and 108.8% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.62% S&P Global Ratings weighted average capitalization rate, for the seven remaining loans. To date, the transaction has experienced $12.2 million in principal losses, or 0.9% of the original pool trust balance. Loan Details Republic Plaza loan ($134.6 million pooled trust amount; 49.2% of the pooled trust balance) This trust loan is the largest remaining in the pool and is secured by the borrower's fee simple interest in a 1982-built, 56-story, 1.3 million-sq.-ft. class A office property and an adjacent 1982-built, 12-story, 1,275-space parking garage located in the central business district of Denver. The office property is the tallest building in Denver and is centrally located near mass transit stations. The loan has a pooled trust balance and total exposure of $134.6 million (down from $155.0 million at issuance) and a whole loan balance of $243.1 million (down from $280.0 million). The pari passu note totaling $108.5 million is in WFRBS Commercial Mortgage Trust 2012-C10, a U.S. CMBS transaction (all performance figures referenced herein are whole-loan based). The whole loan amortizes on a 30-year schedule after an initial three-year IO period, pays a fixed interest rate of 4.24% per annum, and matured on Dec. 1, 2022. The whole loan transferred to the special servicer, CWCapital Asset Management LLC (CWCapital), on Nov. 22, 2022, due to imminent maturity default. The sponsor, Brookfield Office Properties Inc., was not able to refinance the outstanding mortgage by the maturity date. According to recent special servicer comments, the borrower continues to make its debt service payments in a timely manner, and discussions with the borrower on various resolution strategies, including a potential loan modification and maturity date extension, are ongoing. The special servicer indicated that a new appraisal report has been ordered. The property was last appraised when the loan was originated in 2012 at $535.4 million ($412 per sq. ft.). The servicer-reported occupancy at the office property fluctuated during the COVID-19 pandemic, dropping to 82.0% in 2020 from 96.0% in 2019. While occupancy improved to 91.4% in 2021, it dropped back down to 81.2% in September 2022. However, the servicer-reported NCF declined each year, even before the pandemic: from $24.1 million in 2018 to $23.9 million in 2019. NCF fell further to $22.3 million in 2020 and to $21.9 million in 2021. In the nine months ending Sept. 30, 2022, the NCF was $15.9 million. According to the September 2022 rent roll, the property was 81.2% occupied; however, it faces elevated rollover risk because 10.8% of the net rentable area (NRA) rolls in 2023. The rollover is mainly attributable to the second-largest tenant at the property, DCP Operating Company L.P. (146,000 sq. ft., 10.3% of NRA). Its lease expires in May 2023. According to media reports and the special servicer, DCP Operating Company L.P. is expected to vacate the property upon its lease expiration. If the borrower is not able to backfill the vacant space in timely manner, S&P expects occupancy to further drop to around 70.9%. The servicer reported a DSC of 1.29x for the nine months ended Sept. 30, 2022, and 1.33x as of year-end 2021. S&P said, "In addition to the aforementioned decline in performance, our property-level analysis also reflects the weakened office submarket fundamentals from lower demand and longer re-leasing time frames as companies continue to embrace a hybrid or remote work arrangement. As a result, we revised and lowered the S&P Global Ratings long-term sustainable NCF by 18.3% to $19.2 million from $23.4 million in our last review in August 2020. We assumed a 75.0% occupancy rate, reflecting known tenant movements (down from an 81.2% occupancy rate as of the September 2022 rent roll), $37.27 per sq. ft. average gross rent, and 48.7% operating expense ratio. Our 25.0% vacancy rate and gross rent assumptions are in-line with CoStar's CBD Denver office submarket vacancy rate of 24.9%, and asking rent of $34.28 per sq. ft., as of February 2023. Using a 7.75% S&P Global Ratings capitalization rate, unchanged from our last review, we derived an S&P Global Ratings expected-case value of $247.2 million, or $190 per sq. ft., which is 18.4% lower than that of our last review value of $302.8 million and 53.8% lower than that of the issuance appraisal value of $535.4 million. This yielded a 98.4% S&P Global Ratings LTV ratio on the whole loan balance. We will continue to monitor the loan's performance, tenancy, and refinancing prospects and will adjust our analysis as future developments may warrant." 515 Madison Avenue loan ($103.4 million pooled trust amount; 37.8% of the pooled trust balance) This loan is the second-largest remaining in the pool and is secured by the borrower's fee simple interest in a 42-story, 1931-built, 324,265-sq.-ft. class B office property, with 8,701-sq.-ft. of ground floor retail space, located at 515 Madison Avenue, on the corner of 53rd Street and Madison Avenue in the Plaza District office submarket of midtown Manhattan. The property is near public transportation and the Grand Central Terminal. The loan has a pooled trust balance and total exposure of $103.4 million (down from $120.0 million at issuance). The loan amortizes on a 30-year schedule after an initial three-year IO period, pays a fixed interest rate of 3.86% per annum, and matured on Jan. 1, 2023. The loan transferred to CWCapital on Nov. 23, 2022, due to imminent maturity default. The sponsor, Jeffrey Gural, was not able to refinance the outstanding mortgage by its maturity date. According to recent special servicer comments, the borrower is current on its debt service payments and discussions with the borrower on various resolution strategies, including a potential loan modification and maturity date extension, are ongoing. CWCapital informed us that a new appraisal report has been ordered. The property was last appraised when the loan was originated in 2012 at $230.0 million ($667 per sq. ft.). The servicer-reported occupancy was relatively stable prior to the pandemic (between 85.0% and 100.0% from 2013 to 2019). However, the servicer-reported occupancy rate dropped from 94.0% in 2019 to 78.8% in 2020 and 82.6% in 2021. Occupancy was 84.3% as of September 2022. Servicer-reported NCF, however, has steadily declined since 2019: from $11.3 million in 2018 to $9.8 million in 2019, $7.6 million in 2020, and $4.9 million in 2021. In the nine months ending Sept. 30, 2022, the NCF was $4.0 million. The decline in NCF is primarily driven by higher vacancy and rent abatements coupled with stable servicer-reported operating expenses ranging between $10.1 million and $11.2 million from 2018 to 2021. According to the September 2022 rent roll, the property was 84.3% occupied. However, the special servicer expects the property's occupancy to drop to around 78.0% when the second-largest tenant, Memorial Sloan Kettering (22,600 sq. ft., 6.6% of NRA) vacates upon its lease expiration in June 2023. The servicer reported DSC was 0.80x for the nine months ended Sept. 30, 2022, and 0.72x as of year-end 2021. S&P said, "In addition to the decline in the property's performance, as discussed above, our property-level analysis also reflects the weakened office submarket fundamentals as companies continue to embrace a hybrid or remote work arrangement. Therefore, we revised and lowered our long-term sustainable NCF by 40.3% to $5.5 million from $9.2 million in our last review in August 2020. We assumed a 22.3% vacancy rate, which includes the expected vacancy of Memorial Sloan Kettering, $59.89 per sq. ft. average rent, and 60.6% operating expense ratio." This compares with CoStar's vacancy rate of 14.1% and asking rent of $89.75 per sq. ft. for the Plaza District office submarket as of February 2023. S&P said, "Using a 7.25% S&P Global Ratings capitalization rate, up from 7.00% at last review, reflecting higher volatility in the office sector due to current market conditions, we derived an S&P Global Ratings expected-case value of $75.8 million ($220 per sq. ft.), which is 42.30% lower than that of our last review value of $131.5 million and 67.00% lower than that of the issuance appraisal value of $230.0 million. This yielded a 136.40% S&P Global Ratings LTV ratio on the trust loan balance. We will continue to monitor the loan's performance, tenancy, and refinancing prospects, and will adjust our analysis as future developments may warrant." Ratings Lowered WFRBS Commercial Mortgage Trust 2013-C11 Class C to 'BBB+ (sf)' from 'A- (sf)' Class D to 'BB+ (sf)' from 'BBB- (sf)' Class E to 'B+ (sf)' from 'BB (sf)' Class F to 'CCC (sf)' from 'B (sf)' Class X-B to 'BBB+ (sf)' from 'A- (sf)' Rating Affirmed WFRBS Commercial Mortgage Trust 2013-C11 Class B: AA- (sf) [*] Moody's Upgrades $7.7MM of US RMBS Issued 1996 to 1999 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three bonds from three US residential mortgage-backed transactions (RMBS), backed by manufactured housing loans issued by multiple issuers. A List of Affected Credit Ratings is available at https://bit.ly/3E1WAXk Complete rating actions are as follows: Issuer: Greenpoint Manufactured Housing Contract Trust 1999-5 Cl. M-1B, Upgraded to A1 (sf); previously on May 17, 2022 Upgraded to A3 (sf) Issuer: Green Tree Financial Corporation MH 1996-09 M-1, Upgraded to B2 (sf); previously on Mar 30, 2009 Downgraded to Caa1 (sf) Issuer: UCFC Funding Corporation 1997-2 M, Upgraded to B2 (sf); previously on Dec 16, 2011 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of an increase in credit enhancement available to the bonds. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 644 Classes on 35 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 644 classes from 35 U.S. RMBS credit risk transfer transactions issued from 2016 to 2020 by both Fannie Mae and Freddie Mac. The transactions are primarily backed by prime conforming collateral. The review yielded 606 upgrades, 21 affirmations, and 17 discontinuances. A list of Affected Ratings can be viewed at: https://bit.ly/3xv2rkp S&P said, "For each mortgage reference pool, we performed credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. "We used a mortgage operational assessment (MOA) factor of 0.80x for both Fannie Mae and Freddie Mac, except for two transactions backed by seasoned originations: Freddie Mac STACR Trust 2018-HRP2 and Connecticut Avenue Securities Trust 2019-HRP1, for which the MOA factor was 1.0x. In addition, we used the same representation and warranty, due diligence, and self-employment assumption factors that were applied at issuance for all transactions." The upgrades primarily reflect deleveraging as the transactions season and lower default expectations for the remaining collateral as combined loan-to-value ratios decrease. The transactions benefit from low delinquencies, low accumulated losses to date, sequential payment to the rated classes, and a growing percentage of credit support to the rated classes. Of the 606 upgraded classes, 524 were related exchangeable notes. Excluding the exchangeables, the upgrades reflect an average rating movement of 2.7 notches. The affirmations reflect S&P's view that the projected collateral performance relative to its projected credit support on these classes remain relatively consistent with our prior projections. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by the application of its criteria. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance or delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected short duration; and -- Available subordination and credit enhancement floors. [*] S&P Takes Various Actions on 93 Classes From 38 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review on the ratings of 93 classes from 38 U.S. RMBS transactions issued between 2001 and 2007. The review yielded 26 upgrades, 11 downgrades, 42 affirmations, one discontinuance, and 13 withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3YyNJVj 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; -- Tail risk; -- Historical missed interest payments or interest shortfalls; 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. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding, and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we'd previously anticipated. In addition, most of these classes are receiving all of the principal payments or are next in the payment priority when the more senior class pays down. "We raised three ratings from three transactions by five notches, due to increased credit support. Bayview Financial Mortgage Pass-Through Trust, series 2005-B's class B-2 was raised to 'BBB (sf)' from 'B+ (sf)', and its credit support increased to 61.75% in January 2023 from 49.62% in February 2022. CWABS Revolving Home Equity Loan Trust Series 2004-Q's class 1-A was raised to 'A- (sf)' from 'BB (sf)', and its credit support increased to 67.08% in January 2023 from 36.50% in February 2022. FFMLT 2007-FFB-SS's class A was raised to 'A+ (sf)' from BBB- (sf)', and its credit support increased to 92.55% in January 2023 from 63.95% in February 2022. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We lowered our rating on Terwin Mortgage Trust 2007-9SL's class A-1 to 'D (sf)' from 'BB (sf)' due to the assessment of reduced interest payments due to loan modifications, and subsequently withdrew the rating due to the small number of loans remaining within the related group or structure. "We withdrew our ratings on 13 classes from seven transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* 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 2023. 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 ***