/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230430.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, April 30, 2023, Vol. 27, No. 119 Headlines AMERICAN CREDIT 2022-2: S&P Affirms B (sf) Rating on Class F Notes APIDOS CLO XLIV: Fitch Assigns Final 'BB-sf' Rating on Cl. E Notes APIDOS CLO XLIV: Moody's Assigns B3 Rating to $500,000 Cl. F Notes BARCLAYS MORTGAGE 2023-NQM1: Fitch Gives B(EXP) Rating on B2 Certs BENCHMARK 2023-B38: Fitch Gives Final BB- Rating on Two Tranches BENCHMARK 2023-B38: Moody's Assigns B2 Rating to 2 Tranches BRAVO RESIDENTIAL 2023-NQM3: Fitch Puts Bsf Rating on B-2 Notes CHASE HOME 2023-RPL1: Fitch Gives B(EXP) Rating on Cl. B-2 Certs CMLS ISSUER 2014-1: Fitch Affirms B- Rating on Cl. G Certs COMM 2012-CCRE3: Moody's Lowers Rating on 2 Tranches to B1 COMM 2013-CCRE12: Moody's Lowers Rating on Cl. B Certs to B1 CONNECTICUT AVENUE 2023-R03: Moody's Affirms (P)Ba1 on 25 Tranches DT AUTO 2023-2: S&P Assigns 'BB' Rating on $29.27MM Class E Notes ELMWOOD CLO 23: S&P Assigns B- (sf) Rating on $6.6MM Class F Notes EMPOWER CLO 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes FLAGSHIP CREDIT 2023-2: S&P Assigns Prelim 'BB-' Rating on E Notes FREDDIE MAC 2023-DNA2: S&P Assigns B(sf) Rating on Cl. B-1I Notes GS MORTGAGE 2012-BWTR: Moody's Lowers Rating on 2 Tranches to Ba2 GS MORTGAGE 2013-G1: S&P Lowers Class DM Certs Rating to 'CCC(sf)' GS MORTGAGE 2013-GCJ14: Moody's Lowers Rating on Cl. E Certs to B2 KODIAK CDO I: Fitch Affirms 'Dsf' Rating on Class B Notes MIDOCEAN CREDIT XII: Fitch Assigns 'BB-sf' Rating on Class E Notes OSD CLO 2023-27: Fitch Assigns BB-sf Rating on E Notes PGA NATIONAL 2023-RSRT: Fitch Gives Final B+ Rating on HRR Certs PIKES PEAK 14 (2023): Fitch Assigns 'BB-' Rating on Cl. E Notes PRESTIGE AUTO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E Notes RAD CLO 19: Fitch Gives 'BB-(EXP)' Rating on Class E Notes ROCKFORD TOWER 2022-2: Fitch Affirms 'BB' Rating on Class E Notes SANTANDER BANK 2022-A: Fitch Affirms 'BBsf' Rating on Class D Notes SHACKLETON 2017-XI: Moody's Cuts Rating on $7.5MM F Notes to Caa3 SLM STUDENT 2008-2: S&P Lowers Class A-3 Notes Rating 'D (sf)' SOLOSO CDO 2007-1: Fitch Affirms Csf Rating on 3 Tranches SOUND POINT VII-R: Moody's Lowers Rating on $10MM F Notes to Caa2 TABERNA PREFERRED IX: Fitch Affirms 'Dsf' Rating on Two Tranches TRALEE CLO IV: S&P Affirms B- (sf) Rating on Class F Notes VIBRANT CLO XVI: Fitch Assigns 'BB-(EXP)' Rating on Cl. D Notes WAND NEWCO 3: S&P Alters Outlook to Positive, Affirms 'B-' ICR WFRBS COMMERCIAL 2012-C10: Moody's Cuts Cl. C Certs Rating to B3 WIND RIVER 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes WOODMONT 2023-11: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes [*] DBRS Reviews 472 Classes From 24 US RMBS & ReREMIC Deals [*] Moody's Takes Action on $168MM of US RMBS Issued 1998-2006 [*] Moody's Upgrades $321MM of US RMBS Issued 2004-2007 [*] S&P Takes Various Actions on 47 Classes From 16 U.S. RMBS Deals ********* AMERICAN CREDIT 2022-2: S&P Affirms B (sf) Rating on Class F Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on four classes from American Credit Acceptance Receivables Trust (ACAR) 2022-1 and 2022-2 and removed them from CreditWatch with negative implications. At the same time, it raised its ratings on six classes and affirmed its ratings on two classes from the same transactions. S&P said, "The rating actions reflect the transactions' collateral performance to date and our expectations regarding future collateral performance, including an increase in each series' cumulative net loss (CNL) expectations. These rating actions also account for each transaction's structure and level of credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Based on these factors and American Credit Acceptance LLC's (ACA's) capital contribution of $11.1 million to ACAR 2022-2, we believe the notes' creditworthiness is consistent with the raised and affirmed ratings. "Each transaction's collateral performance is trending worse than our original CNL expectations. Cumulative gross losses were significantly higher than recent prior transactions, which, coupled with lower cumulative recoveries, resulted in elevated CNLs. Delinquencies and extensions were equally elevated. Excess spread has largely been used to cover net losses, leaving very little or no funds available to build the transactions' overcollateralization amount in dollar terms. Table 1 ACAR 2022-1 Collateral Performance (%) Pool 60+ day Mo.(i) factor CGL CRR CNL delinq. Ext. Feb-22 98.11 0.00 0.00 0.00 1.65 0.06 Mar-22 96.59 0.08 55.78 0.04 4.09 0.08 Apr-22 94.21 0.74 36.69 0.47 7.35 0.16 May-22 90.90 2.36 28.39 1.69 9.79 0.34 Jun-22 87.11 4.52 25.52 3.37 12.12 0.55 Jly-22 83.03 7.05 26.84 5.16 13.33 1.86 Aug-22 78.53 9.97 25.58 7.12 12.32 5.44 Sep-22 74.66 12.46 29.52 8.78 10.25 5.19 Oct-22 70.86 14.88 31.09 10.25 9.46 4.78 Nov-22 68.01 16.55 32.37 11.21 10.87 3.09 Dec-22 65.27 18.21 32.99 12.20 11.76 3.11 Jan-23 62.21 20.07 33.23 13.40 13.24 3.25 Feb-23 59.57 21.67 34.23 14.25 11.65 2.44 Mar-23 56.77 23.31 34.69 15.22 10.33 2.78 (i)As of the monthly collection period. Mo.--Month. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 2 ACAR 2022-2 Collateral Performance (%) Pool 60+ day Mo.(i) factor CGL CRR CNL delinq. Ext. May-22 98.39 0.00 0.00 0.00 0.85 0.08 Jun-22 96.76 0.06 56.68 0.03 5.69 0.09 Jly-22 94.48 0.86 29.70 0.61 10.67 0.40 Aug-22 90.04 3.62 22.11 2.82 12.72 1.71 Sep-22 85.57 6.86 22.87 5.29 12.08 3.66 Oct-22 80.87 10.01 25.93 7.42 10.86 5.17 Nov-22 76.83 12.67 28.14 9.10 11.15 3.77 Dec-22 73.70 14.74 29.95 10.32 11.41 4.26 Jan-23 69.96 17.00 30.68 11.78 12.70 3.53 Feb-23 66.89 18.85 31.88 12.84 10.77 2.66 Mar-23 63.71 20.80 33.13 13.91 9.42 2.56 (i)As of the monthly collection period. Mo.--Month. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 3 ACAR 2022-1 Overcollateralization Current Target Current Target Mo.(i) (%)(ii) (%)(iv) ($ mil.)(iii) ($ mil.)(iv) Feb-22 7.65 10.50 33.64 46.20 Mar-22 8.82 10.50 49.01 58.32 Apr-22 9.98 10.50 54.08 56.88 May-22 10.30 10.50 53.84 54.88 Jun-22 10.16 10.50 50.87 52.59 Jul-22 9.89 10.50 47.21 50.13 Aug-22 9.38 10.50 42.35 47.42 Sep-22 9.04 10.50 38.82 45.08 Oct-22 9.25 10.50 37.70 42.78 Nov-22 9.88 10.50 38.62 41.06 Dec-22 10.50 10.50 39.41 39.41 Jan-23 10.50 10.50 37.56 37.56 Feb-23 10.50 10.50 35.97 35.97 Mar-23 10.50 10.50 34.27 34.27 (i)As of the monthly collection period. (ii)Percentage of the current collateral pool balance. (iii)Amount of overcollateralization for the collection month. (iv)The target overcollateralization amount on any distribution date for series 2022-1 is equal to the greater of 10.50% of the current pool balance and 2.50% of initial and prefunded collateral balance. Mo.--Month. Table 4 ACAR 2022-2 Overcollateralization Current Target Current Target Mo.(i) (%)(ii) (%)(iv) ($ mil.)(iii) ($mil.)(iv) May-22 8.19 12.50 36.61 55.90 Jun-22 9.45 12.50 41.57 54.98 Jul-22 10.26 12.50 44.07 53.68 Aug-22 9.55 12.50 39.10 51.16 Sep-22 8.49 12.50 33.04 48.62 Oct-22 7.88 12.50 28.97 45.95 Nov-22 7.62 12.50 26.62 43.66 Dec-22 7.84 12.50 26.26 41.87 Jan-23 7.77 12.50 24.71 39.75 Feb-23 8.27 12.50 25.14 38.01 Mar-23 8.66 12.50 25.09 36.20 (i)As of the monthly collection period. (ii)Percentage of the current collateral pool balance. (iii)Amount of overcollateralization for the collection month. (iv)The target overcollateralization amount on any distribution date for series 2022-2 it is the greater of 12.50% of the current pool balance and 2.50% of initial and prefunded collateral balance. Mo.--Month. For ACAR 2022-1, ACA forwent its servicing fees for the November and December 2022 collection periods, which aided the series in reaching its overcollateralization target. For ACAR 2022-2, from the November 2022 collection period to the March 2023 collection period, ACA forwent its servicing fees, which slowed the decline in the overcollateralization amount during these months. These supportive actions, together with a reduction in monthly gross charge-offs and higher monthly recovery rates during the January to March 2023 collection periods, are credit positive for maintaining and building the series' overcollateralization. Nevertheless, ACAR 2022-2 remains below its overcollateralization target. In view of each series' performance to date, which is trending worse than our initial CNL expectations, along with continued adverse economic headwinds, we raised our expected CNLs for both series. Table 5 CNL Expectations (%) Original Revised lifetime lifetime Series CNL exp. CNL exp.(i) 2022-1 25.50-26.50 30.00 2022-2 25.50-26.50 31.50 (i)As of the collection period ended March 2023. CNL exp.--Cumulative net loss expectations. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes except the lowest-rated subordinate class. Each transaction also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, and excess spread. The non-amortizing reserve account for each transaction remains at its required level, which increases as a percentage of the current pool balance as the pool amortizes. Table 5 Hard Credit Enhancement(i) Total hard Current total Current CE at hard CE Series Class rating issuance (%) (% of current) 2022-1 A AAA (sf) 57.00 101.22 2022-1 B AAA (sf) 44.50 79.20 2022-1 C AA (sf) 31.60 56.48 2022-1 D A (sf) 19.70 35.51 2022-1 E BB+ (sf) 10.35 19.04 2022-1 F BB- (sf) 6.50 12.26 2022-2 A AAA (sf) 57.50 92.55 2022-2 B AAA (sf) 48.25 78.03 2022-2 C AA- (sf) 31.75 52.13 2022-2 D A- (sf) 19.90 33.53 2022-2 E BB- (sf) 10.70 19.09 2022-2 F B (sf) 7.50 14.07 (i)As of the March 2023 collection (April 2023 distribution) date. CE--Credit enhancement. S&P said, "In our analysis, we considered a written plan from ACA to contribute additional capital to ACAR 2022-2 effective April 12, 2023. The capital contribution of $11.1 million to the series' reserve account, which amounts to 2.44% of the initial collateral balance, is a one-time cash infusion intended to make up the difference between the actual and target overcollateralization amounts as of the March 2023 collection month (April 2023 distribution). The contribution will be available to cover interest or principal shortfalls, if needed. As the transaction continues to build overcollateralization in subsequent collection periods, the contribution will be released to ACA, the certificate holder, in the amount by which the overcollateralization increased in that collection period. Once the target overcollateralization is reached, the reserve account will remain at its original target of 1.00% of original pool balance for the remainder of the transaction. Our analysis indicated that the contribution will increase credit enhancement for the series' notes. Although no credit was given to ACA's commitment to continue forgoing its servicing fee to the extent the overcollateralization amount is below its target, we view this support as credit positive for building overcollateralization to the target in a shorter time period. "We incorporated a cash flow analysis to assess the loss coverage levels for each notes, giving credit to stressed excess spread for each series. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "In our view, the cash flow results demonstrated that all of the classes have adequate credit enhancement at the raised and affirmed rating levels, which is based on our analysis as of the collection period ended March 2023 and gives credit to ACA's capital contribution to ACAR 2022-2. "We will continue to monitor the performance of each transaction to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED American Credit Acceptance Receivables Trust Rating Series Class To From 2022-1 B AAA (sf) AA (sf) 2022-1 C AA (sf) A (sf) 2022-1 D A (sf) BBB+ (sf) 2022-2 B AAA (sf) AA (sf) 2022-2 C AA- (sf) A (sf) 2022-2 D A- (sf) BBB (sf) RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE American Credit Acceptance Receivables Trust Rating Series Class To From 2022-1 E BB+ (sf) BB+ (sf)/Watch Neg 2022-1 F BB- (sf) BB- (sf)/Watch Neg 2022-2 E BB- (sf) BB- (sf)/Watch Neg 2022-2 F B (sf) B (sf)/Watch Neg RATINGS AFFIRMED American Credit Acceptance Receivables Trust Series Class Rating 2022-1 A AAA (sf) 2022-2 A AAA (sf) APIDOS CLO XLIV: Fitch Assigns Final 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Apidos CLO XLIV Ltd. Entity/Debt Rating ----------- ------ Apidos CLO XLIV Ltd A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Apidos CLO XLIV 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 $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B'/'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 96.5% first-lien senior secured loans and has a weighted average recovery assumption of 74.8%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D 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 class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A-sf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY A majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis, according to its applicable rating methodologies, indicates that it is adequately reliable. APIDOS CLO XLIV: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of notes issued by Apidos CLO XLIV Ltd (the "Issuer" or "Apidos XLIV"). Moody's rating action is as follows: US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2035, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos XLIV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. The portfolio is fully ramped as of the closing date. CVC Credit Partners, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 issued five other classes of 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: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2875 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 7 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. BARCLAYS MORTGAGE 2023-NQM1: Fitch Gives B(EXP) Rating on B2 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Barclays Mortgage Loan Trust 2023-NQM1 (BARC 2023-NQM1). Entity/Debt Rating ----------- ------ BARC 2023-NQM1 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 699 nonprime loans with a total balance of approximately $352.2 million as of the cutoff date. Loans in the pool were primarily originated by Angel Oak Mortgage Solutions LLC, Newfi Lending and Impac Mortgage Corp., or acquired by Sutton Funding, LLC. Loans are currently serviced by Select Portfolio Servicing, Inc. 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 5.9% above a long-term sustainable level (versus 7.8% on a national level as of March 2023, down 2.7% since the prior quarter). The rapid gain in home prices through the pandemic has begun to moderate with a decline observed in Q3 2022. Driven by strong gains in H1 2022, home prices rose 5.8% YoY nationally as of December 2022. Non-QM Credit Quality (Negative): The collateral consists of 699 loans, totaling $352.2 million and seasoned approximately nine months in aggregate. The borrowers have a moderate credit profile (739 Fitch model FICO and 42.4% model debt to income [DTI] ratio), which takes into account Fitch's converted debt service coverage ratio (DSCR) values. The borrowers also have moderate leverage with a 75.7% sustainable loan to value (sLTV) ratio and 72.6% original combined LTV (cLTV). The pool consists of 58.4% of loans where the borrower maintains a primary residence, while 37.5% comprise an investor property. Additionally, 0.1% are safe-harbor qualified mortgages (SHQMs) and 62.5% are non-qualified mortgages (non-QMs); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 21.00%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 94.3% of the loans in the pool were underwritten to less than full documentation, and 62.1% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay Rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the rule's mandates with respect to the underwriting and documentation of the borrower's ability to repay. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 595bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 299 DSCR products in the pool (42.8% by loan count). These business-purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. Compared to standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI, and treats them as low documentation. Fitch's expected loss for these loans is 27.4% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 29.4% weighted average concentration. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then the paying agent will be obligated to make such advance. 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 to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. BARC 2023-NQM1 has a step-up coupon for the senior classes (A-1A, A-1B, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC. The unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes. As a sensitivity to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut, given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded scenario. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. SUMMARY OF FINANCIAL ADJUSTMENTS International scale credit ratings for Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, EdgeMac, Stonehill, Infinity, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 45bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. 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. BENCHMARK 2023-B38: Fitch Gives Final BB- Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2023-B38 Mortgage Trust commercial mortgage pass-through certificates series 2023-B38 as follows: Entity/Debt Rating Prior ----------- ------ ----- BMARK 2023-B38 A-1 081916AA6 LT AAAsf New Rating AAA(EXP)sf A-2 081916AB4 LT AAAsf New Rating AAA(EXP)sf A-3 081916AC2 LT AAAsf New Rating AAA(EXP)sf A-4 081916AE8 LT AAAsf New Rating AAA(EXP)sf A-M 081916AG3 LT AAAsf New Rating AAA(EXP)sf A-SB 081916AD0 LT AAAsf New Rating AAA(EXP)sf B 081916AH1 LT AA-sf New Rating AA-(EXP)sf C 081916AJ7 LT A-sf New Rating A-(EXP)sf D 081916AT5 LT BBBsf New Rating BBB(EXP)sf E 081916AV0 LT BBB-sf New Rating BBB-(EXP)sf F 081916AX6 LT BB-sf New Rating BB-(EXP)sf G 081916AZ1 LT NRsf New Rating NR(EXP)sf H 081916BB3 LT NRsf New Rating NR(EXP)sf PDC-A1 081916BH0 LT BBsf New Rating BB(EXP)sf PDC-A2 081916BK3 LT BBsf New Rating BB(EXP)sf PDC-HRR 081916BM9 LT BBsf New Rating BB(EXP)sf RR Interest 081916BR8 LT NRsf New Rating NR(EXP)sf X-A 081916AF5 LT AAAsf New Rating AAA(EXP)sf X-D 081916AK4 LT BBB-sf New Rating BBB-(EXP)sf X-F 081916AM0 LT BB-sf New Rating BB-(EXP)sf X-G 081916AP3 LT NRsf New Rating NR(EXP)sf X-H 081916AR9 LT NRsf New Rating NR(EXP)sf - $6,484,000 class A-1 'AAAsf'; Outlook Stable; - $201,433,000 class A-2 'AAAsf'; Outlook Stable; - $50,784,000 class A-3 'AAAsf'; Outlook Stable; - $4,164,000 class A-SB 'AAAsf'; Outlook Stable; - $173,967,000 class A-4 'AAAsf'; Outlook Stable; - $507,037,000a class X-A 'AAAsf'; Outlook Stable; - $70,205,000 class A-M 'AAAsf'; Outlook Stable; - $31,202,000 class B 'AA-sf'; Outlook Stable; - $24,182,000 class C 'A-sf'; Outlook Stable; - $14,821,000b class D 'BBBsf'; Outlook Stable; - $6,241,000b class E 'BBB-sf'; Outlook Stable; - $21,062,000ab class X-D 'BBB-sf'; Outlook Stable; - $12,481,000b class F 'BB-sf'; Outlook Stable; - $12,481,000ab class X-F 'BB-sf'; Outlook Stable; - $ 10,000,000d class PDC-A1 'BBsf'; Outlook Stable; - $ 9,000,000d class PDC-A2 'BBsf'; Outlook Stable; - $ 1,000,000d class PDC-HRR 'BBsf'; Outlook Stable. The following classes are not rated by Fitch: - $10,140,000b class G; - $10,140,000ab class X-G; - $17,942,153b class H; - $17,942,153ab class X-H; - $32,844,535bc RR Interest. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Represents the "eligible vertical interest" comprising 5.0% of the pool. (d) Secured by the non-pooled subordinate debt of the Pacific Data Center. Credit enhancement for these classes is based on the whole loan amount. Transaction pool totals and statistics do not include these amounts. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 25 loans secured by 42 commercial properties having an aggregate principal balance of $656,890,689 as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation, Goldman Sachs Mortgage Company, JPMorgan Chase Bank, National Association and Citi Real Estate Funding Inc. The master servicer is Midland Loan Services, a Division of PNC Bank N.A., and the special servicer is LNR Partners, LLC. 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 85.1% is lower than both the YTD 2023 and 2022 averages of 91.4% and 99.3%, respectively. The Fitch net cash flow (NCF) and debt yield (DY) of 10.6% is higher than the YTD 2023 and 2022 averages of 10.3% and 9.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 93.2% and 10.5%, respectively, against the equivalent conduit YTD 2023 LTV and DY averages of 95.2% and 10.1%, respectively. Investment-Grade Credit Opinion Loans: Four loans representing 34.7% of the pool received an investment-grade credit opinion: Pacific Design Center (10.0% of the pool) received a standalone credit opinion of 'BBB-sf*', 1201 Third Avenue (9.1%) received a standalone credit opinion of 'BBB+sf*', 250 Water Street (8.1%) received a standalone credit opinion of 'BBBsf*' and Scottsdale Fashion Square (7.5%) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage of 34.7% is above the 2023 YTD and 2022 averages of 15.8% and 14.4%, respectively. Below Average Amortization: Based on the scheduled balances at maturity, the pool will pay down by 1.9%, which is below the 2023 YTD average of 2.6% and the 2022 average of 3.3%. The pool has 18 interest-only (IO) loans. These comprise 81.2% of the pool by balance, which is higher than the 2023 YTD average of 71.0% and the 2022 average of 77.5%. One loan, at 1.5% of the pool by balance, is partial IO, which is below the 2023 YTD and 2022 averages of 12.4% and 10.2%, respectively. Highly Concentrated Pool by Loan Size: The pool is highly concentrated with a Herfindahl score of 17.5 and the top 10 loans accounting for 68.5% of the pool. This represents a top 10 loan concentration well above with the 2023 YTD and 2022 top 10 loan averages of 60.2% and 55.2%, respectively. The 2023 YTD and 2022 average comparable Herfindahl scores are 19.6 and 23.7, respectively. 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 NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BBsf' / 'Bsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS 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. BENCHMARK 2023-B38: Moody's Assigns B2 Rating to 2 Tranches ----------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 16 classes of CMBS securities, issued by Benchmark 2023-B38 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2023-B38: Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-M, Definitive Rating Assigned Aa1 (sf) Cl. A-SB, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa2 (sf) Cl. E, Definitive Rating Assigned Baa3 (sf) Cl. F, Definitive Rating Assigned Ba1 (sf) Cl. G, Definitive Rating Assigned B2 (sf) Cl. X-A*, Definitive Rating Assigned Aa1 (sf) Cl. X-D*, Definitive Rating Assigned Baa3 (sf) Cl. X-F*, Definitive Rating Assigned Ba1 (sf) Cl. X-G*, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The Certificates are collateralized by 25 loans secured by 42 properties. The ratings are based on the collateral and the structure of the transaction and the following Structured Credit Assessments: Moody's assigned an SCA of aa1 (sca.pd) to the 1201 Third Avenue loan, which represents approximately 9.1% of the pool balance. The loan is secured by the borrower's fee simple interests in 55-story Class A office building in Seattle, WA. Moody's assigned a SCA of baa2 (sca.pd) to the CX – 250 Water Street loan, which represents approximately 8.1% of the pool balance. The loan is secured by the borrower's fee simple interest in an approximately 479,000 SF, Class A, mixed-use, life sciences laboratory and office building located in Cambridge, MA. Moody's assigned an SCA of baa2 (sca.pd) to the Green Acres loan, which represents approximately 7.6% of the pool balance. The loan is secured by the borrower's fee simple and leasehold interests in an approximately 2.1 million SF regional mall in Valley Stream, NY. Moody's assigned an SCA of baa1 (sca.pd) to the Great Lakes Crossing, which represents approximately 7.6% of the pool balance. The loan is secured by the borrower's fee simple interests in an approximately 1.4 million retail outlet center in Auburn Hills, MI. Moody's assigned an SCA of aa2 (sca.pd) to the Scottsdale Fashion Square, which represents approximately 7.5% of the pool balance. The loan is secured by the borrower's fee simple interests in an approximately 1.6 million SF super regional mall in Scottsdale, AZ. Moody's assigned an SCA of a1 (sca.pd) to The Grove, which represents approximately 1.8% of the pool balance. The loan is secured by the borrower's fee simple in an approximately 136,614 sf retail anchor center in Hoover, AL. Moody's approach to rating CMBS deals combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's Actual DSCR of 1.48x (1.68x excluding SCAs) is lower than the trailing four quarters (ending 1Q 2023) conduit/fusion transaction average of 2.08x (1.71x excluding SCAs). The Moody's Stressed DSCR of 1.09x (1.16x excluding SCAs) is higher than the trailing four quarters (ending 4Q 2022) conduit/fusion transaction average of 1.04x (0.93x excluding SCAs). The pooled trust loan balance of $656,890,689 represents a Moody's LTV ratio of 89.8% (100.0% excluding SCAs), which is lower than the trailing four quarters (ending 1Q 2023) conduit/fusion transaction average of 109.2% (117.7% excluding SCAs). The Moody's adjusted LTV is 82.2% (90.0% excluding SCAs), compared to 82.1% (89.9% excluding SCAs) issued at Moody's provisional rating, based on Moody's adjusted Moody's value taking into account the current interest rate environment. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level Herfindahl score is 16.9 (12.7 excluding SCAs). The transaction loan level diversity profile is lesser than Moody's-rated transactions during the trailing four quarters (ending 1Q 2023), which averaged 23.4 (20.7 excluding SCAs). With respect to property level diversity, the pool's property level Herfindahl score is 17.7 (14.0 excluding SCAs). Notable strengths of the transaction include: (i) six loans assigned an investment-grade SCA; (ii) low Moody's LTV with little leverage dispersion (iii) above-average market composition; (iv) average loan size; and (v) multiple property share. Notable concerns of the transaction include: (i) the pool's low diversity; (ii) full-term interest-only profile (iii) office properties concentration; (iv) high share of refinancing loans; and (v) certain asset-level legal considerations. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.00 (2.32 excluding SCAs), which is in line with the trailing four quarters (ending 1Q 2023) average score of 2.14 (2.31 excluding SCAs). The principal methodology used in rating all classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis of credit enhancement levels for conduit deals is driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment-grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. BRAVO RESIDENTIAL 2023-NQM3: Fitch Puts Bsf Rating on B-2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed notes issued by BRAVO Residential Funding Trust 2023-NQM3 (BRAVO 2023-NQM3). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2023-NQM3 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 FB LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by 674 loans with a total interest-bearing balance of approximately $302 million as of the cut-off date. There is also roughly 130,201 of non-interest-bearing deferred amounts whose payments or losses will be used solely to pay down or write off the class FB notes. Loans in the pool were originated primarily by Acra Lending and LoanStream Mortgage, with the remainder coming from multiple originators. The loans are serviced by Citadel and Rushmore Loan Management Services LLC. 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 5.4% above a long-term sustainable level (versus 7.8% on a national level as of January 2023, down 2.7% qoq). The rapid gain in home prices through the coronavirus pandemic has shown signs of moderating, with declines in 3Q22 and 4Q22. Home prices rose 5.8% yoy nationally as of December 2022 due to strong gains in 1H22. Non-Qualified Mortgage Credit Quality (Negative): The collateral consists of 674 loans totaling $302 million and seasoned at approximately 18 months in aggregate, calculated as the difference between the origination date and the cutoff date. The borrowers have a moderate credit profile — a 727 model FICO and a 51% debt-to-income ratio (DTI), which includes mapping for debt service coverage ratio (DSCR) loans — and leverage, as evidenced by a 67% sustainable loan-to-value ratio (sLTV). The pool comprises 40.0% of loans treated as owner-occupied, while 60.0% are treated as an investor property or second home, which includes loans to foreign nationals or loans where residency status was not confirmed. Additionally, 9.1% of the loans were originated through a retail channel. Of the loans, 1.1% are higher priced qualified mortgage (HPQM) and 47.0% are non-QM. Loan Documentation (Negative): Approximately 96.6% of the pool loans were underwritten to less than full documentation and 36.2% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's Ability-to-Repay (ATR)/QM Rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of the borrower's ability to repay. Modified Sequential Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes while shutting out subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 notes until they are reduced to zero. No P&I Advancing (Mixed): The transaction is structured without servicer advances for delinquent P&I. The lack of advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.5% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 34bps as a result of the diligence review. 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. CHASE HOME 2023-RPL1: Fitch Gives B(EXP) Rating on Cl. B-2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2023-RPL1 (Chase 2023-RPL1). Entity/Debt Rating ----------- ------ Chase 2023-RPL1 A-1-A LT AAA(EXP)sf Expected Rating A-1-B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating B-X LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by Chase Home Lending Mortgage Trust 2023-RPL1 (Chase 2023-RPL1) as indicated above. The transaction is expected to close on May 4, 2023. The certificates are supported by one collateral group that consists of 2,565 seasoned performing loans (SPLs) and re-performing loans (RPLs) with a total balance of approximately $526.40 million, which includes $49.7 million, or 9.4%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the statistical calculation date. The majority of the loans in the transaction were originated by J.P. Morgan Chase Bank or Washington Mutual Bank (one loan was originated by EMC Mortgage Corp.) and all loans have been held by J.P. Morgan Chase since origination or acquisition of Washington Mutual Bank and Bear Stearns/EMC Mortgage Corp. All the loans have been serviced by J.P. Morgan Chase Bank N.A. since origination or acquisition of Washington Mutual/EMC. Chase is considered an 'Above Average' originator by Fitch. JPMorgan Chase Bank, N.A., rated 'RPS1-' by Fitch, is the named servicer for the transaction. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated certificates until the most senior certificates outstanding are paid in full. The servicer will not be advancing delinquent monthly payments of P&I. There is no Libor exposure in the transaction. The collateral is 100% fixed rate and the A-1 bonds are fixed rate and capped at the net weighted average coupon (WAC)/available fund cap and the A-2 and subordinate bonds are based on the net WAC/available fund cap. 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 7.1% above a long-term sustainable level (versus 7.8% on a national level as of March 2023, down 2.7% since last quarter). The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. Driven by the strong gains seen in 1H22, home prices rose 5.8% yoy nationally as of December 2022. Seasoned Performing and Reperforming Credit Quality (Mixed): The collateral consists of 2,565 seasoned performing fixed-rate fully amortizing and balloon mortgage loans secured by first liens on primarily one- to four-family residential properties, planned unit developments (PUDs), condominiums, townhouses, manufactured homes, mobile homes, cooperatives and unimproved land, totaling $526 million, and seasoned approximately 205 months in aggregate according to Fitch (202 months per the transaction documents). The loans were originated mainly by Chase (37%) and Washington Mutual (63%) with one loan was originated by EMC. The vast majority of the loans originated by EMC and Washington Mutual, were modified by Chase after they were acquired. All loans have been serviced by J.P. Morgan Chase Bank N.A. since origination or since the loans were acquired from Washington Mutual or EMC. The borrower profile is typical of recent seasoned RPL transactions that Fitch has seen recently. The borrowers have a moderate credit profile (701 FICO according to Fitch and 726 per the transaction documents) and low current leverage with an updated loan-to-value (LTV) of 41.3% (original LTV of 76.6% as determined by Fitch), and a sustainable LTV as determined by Fitch of 63.9%. Borrower debt to incomes (DTIs) were not provided so Fitch assumed each loan had a 45% DTI in its analysis. 98.4% of the pool has been modified, with 27.2% being borrower retention modifications. In Fitch's analysis, Fitch only considered 71.2% of the pool as having a modification, since these modifications were made due to credit issues (Fitch does not consider loans that have a borrower retention modification as having been modified in its analysis). As of the cut-off date the pool is 100% current. 91.4% of loans have been clean current with 22.7% being clean current for 24 months and 68.8% have been clean current for 36 months. The majority of the prior delinquencies were related to COVID-19 and the borrowers that were impacted by COVID-19 have successfully completed their COVID-19 relief plan. The pool consists of 87.9% of loans where the borrower maintains a primary residence, while 12.1% are investment properties or second homes. Fitch viewed the high percentage of primary residences as a positive feature in it analysis. There are loans in the pool with potential principal reduction amounts, that total $17,143.54. Since this amount will be forgiven, Fitch increased its loss expectation by this amount (the increase in loss was not material). There are six loans in the pool that were affected by a natural disaster and incurred minor damage ranging from a max of $10,000 or $25,000. Since the damage rep carves out damage on these loans, Fitch reduced the updated property value by the amount of the estimated damaged as determined by the property inspection. As a result, the sLTV was increased for these loans which in turn increased the loss severity (LS). Geographic Concentration (Negative): Approximately 35.7% of the pool is concentrated in California. The largest MSA concentration is in the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (15.5%), the Los Angeles-Long Beach-Santa Ana, CA MSA (14.5%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA (8.5%). The top three MSAs account for 38.5% of the pool. As a result, there was a 1.01x probability of default (PD) penalty for geographic concentration, which increased the 'AAA' loss by 0.09%. No Advancing (Positive): The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated certificates prior to other principal distributions is highly supportive of timely interest payments to that class with no advancing. 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 39.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was performed on 34% of the loans in the transaction pool. The third-party due diligence described in Form 15E focused on compliance review, payment history review, servicing comment review, and title review. All loans in the compliance due diligence sample set that are in the final pool received a compliance grade of A or B with no material findings. AMC conducted a tax and title review on 1,191 of the loans (46%). The review found there are $218,427.22 in outstanding tax, municipal, HOA liens (0.04% of the total pool balance). The servicer confirmed they are monitoring for outstanding tax, municipal, HOA liens and will advance as needed to maintain the first lien position. The servicer confirmed that all liens are in first lien position and that lien status is being monitored and will be advanced on, as needed. All the loans are serviced by Chase, and Chase stated they follow standard servicing practices to monitor lien status, tax and title issues (including municipal and HOA liens) and advance as needed to maintain the first lien status of the loans. A custodial review was conducted on all loans. There are 630 missing or defective documents that impact 488 loans in the pool, which Chase is actively tracking down. Chase also consulted their foreclosure attorney who confirmed that the majority of the missing documents would not prevent a foreclosure. If Chase is not able to obtain the missing documents by the time the loan goes to foreclosure, and they are not able to foreclose, they will repurchase the loan. A pay history review was conducted on a sample set of loans by AMC. This review that confirmed the pay strings are accurate and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool had the payment history confirmed. Fitch considered the results of the due diligence in its analysis. Fitch did not make any adjustments to the expected losses due to the fact that the review resulted in no material findings and mitigating factors. The mitigating factors that Fitch took into consideration are that the outstanding tax and tile issues are insignificant and would not have a material impact on the losses, JPMorgan Chase is the servicer and is monitoring for tax/title issues in order to maintain the first lien position, the servicer confirmed the payment history on 100% of the loans, the custodian is actively tracking down missing documents and the missing documents would not prevent a foreclosure, and JPMorgan Chase is the R&W provider who holds an investment-grade rating from Fitch. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 34.0% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance grades. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale for more details. AMC also performed a serving comment review, payment history review, and data integrity review of the loans that had a compliance review. 1,191 had a tax and title review performed by AMC. For 100% of the loans in the pool, Fitch also received confirmation from the servicer on the payment history provided in the loan tape and confirmation that all liens are in the first lien position. JPMorgan Chase has a very robust process for confirming the data in loan tape is accurate based on the documentation they have in the loan files and servicing systems, which is a mitigating factor to the limited data integrity review by AMC in addition to the R&W being provided by JPMorgan Chase. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information; however, this information was not provided based on the American Securitization Forum's (ASF) data layout format. Despite this difference in data presentation, Fitch considered the data to be comprehensive. The data contained in the data tape were reviewed by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS Chase 2023-RPL1 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled for in Chase 2023-RPL1, including an 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses and 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. CMLS ISSUER 2014-1: Fitch Affirms B- Rating on Cl. G Certs ---------------------------------------------------------- Fitch Ratings has affirmed eight classes of CMLS Issuer Corp.'s (CMLSI) commercial mortgage pass-through certificates series 2014-1. In addition, Fitch has revised the Rating Outlook on class B to Positive from Stable. The Outlook on Class G remains Negative. Entity/Debt Rating Prior ----------- ------ ----- CMLS Issuer Corporation 2014-1 A-1 125824AA0 LT AAAsf Affirmed AAAsf A-2 125824AB8 LT AAAsf Affirmed AAAsf B 125824AC6 LT AAsf Affirmed AAsf C 125824AD4 LT Asf Affirmed Asf D 125824AE2 LT BBBsf Affirmed BBBsf E 125824AF9 LT BBB-sf Affirmed BBB-sf F 125824AG7 LT BBsf Affirmed BBsf G 125824AH5 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance and Loss Expectations; Improving Credit Enhancement: The affirmations and Stable Outlooks reflect that overall pool performance and base case loss expectations have remained relatively stable since Fitch's prior review. The Positive Outlook for class B reflects the potential for an upgrade as all loans are expected to payoff from February through December 2024. The Negative Outlook on class G reflects continued concerns with the Spring Garden Place loan and limited credit enhancement for the class. Fitch has identified two Fitch Loans of Concern (FLOCs; 8.2% of the pool balance). There are currently no delinquent or specially serviced loans. Fitch's current ratings incorporate a base case loss of 4.1%. As of the April 2023 remittance, the pool's aggregate principal balance has been reduced by 38.9% to $173.2 million from $283.7 million at issuance. Twelve loans (22.3% of the loan) paid off either at or ahead of their respective maturity dates. There are no defeased loans. Seven loans (20.2% of the pool) had partial interest only payments at issuance, all of which are now amortizing. The remainder of the pool is amortizing. The largest contributor to overall loss expectations is the Spring Garden Place loan (6.3% of the pool), which is secured by a 113,807-sf multitenant office and retail building located in downtown Halifax, NS. The mixed-use development includes first floor and below-ground retail, three levels of class B office space, and a parking garage with approximately 306 spaces. The major tenants in the property are the Province of Nova Scotia (26.4% of NRA; through April 2023, January 2028, April 2028, May 2028), Nova Scotia Health Authority (16.5% of NRA; April 2026), Nova Scotia Limited (13.7%; July 2023, August 2023, July 2025, August 2031), and Bank of Nova Scotia (5.2%; August 2024). The property's occupancy as of April 2022 had improved to 91.5% from 85% at YE 2021 and 65% at YE 2019. Upcoming rollover includes 23.9% of the NRA (eleven leases) in 2023 and 8.1% (five leases) in 2024. Debt service coverage ratio (DSCR) remains low, with NOI DSCR reporting at 0.44x as of YE 2021 from 0.28x at YE 2020, 0.41x at YE 2019, 0.60x at YE 2018, and 1.34x at YE 2017. The loan remains current; however, it is non-recourse. Fitch's analysis includes an 9% cap rate and 5% total haircut to the YE 2018 NOI to account for the low DSCR, performance concerns and impact from the pandemic resulting in an approximate 47% modeled loss. The next largest contributor to overall expected loss is the Nautilus Place Quebec City (1.9%) loan, which is secured by a 42,506-sf retail center, anchored by Nautilus (gym) in Quebec City. As of July 2022, the total property was 78.3% occupied, down from 81% in December 2021, 89% in December 2020, and 100% at issuance. The current tenants are Nautilus (45.1% of NRA; through September 2029), Deco Luminaire (29.4% of NRA; September 2024), and 9244-4975 Quebec Inc. (3.8%; January 2028). Upcoming lease rollover includes 29.4% of the NRA (1 lease) in 2024. Servicer-reported NOI DSCR for this loan was 1.05x as of YE 2021, 1.36x as of YE 2020, and 1.46x at issuance. Fitch's analysis includes an 9.50% cap rate and 10% total haircut to the YE 2021 NOI to reflect low DSCR and occupancy decline resulting in a 9% modeled loss. Alternative Loss Consideration: Due to the expected concentrated nature of the pool due to upcoming maturities (100% of the pool matures by December 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. This analysis contributed to the Positive and Negative Outlooks. Geographic Concentration: 67.6% of the properties are located in Ontario, which is in line with previous Canadian deals. Significant Retail Concentration: Retail properties represent the highest concentration of the pool at 40.7% (most of the properties are anchored by grocery stores or pharmacies). Additionally, mixed-use properties represent 17.4% followed by multi-family at 15.5%, industrial at 11%, office at 11% and hotel at 4.5%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming and specially serviced loans/assets; - Downgrades to the 'AAAsf' and 'AAsf' classes are not likely due to the continued expected amortization and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes; - Downgrades to the 'Asf', 'BBBsf' and 'BBB-sf' classes would occur should expected losses for the pool increase substantially, with continued underperformance of the FLOCs and/or the transfer of loans to special servicing; - Downgrades to the 'BBsf' and 'B-sf' classes would occur should loss expectations increase as FLOC performance declines or fails to stabilize. Factors that could, individually or collectively, lead to positive rating action/upgrade: - Sensitivity factors that could lead to upgrades include stable to improved asset performance, coupled with additional paydown and/or defeasance; - Upgrades to the 'AAsf' and 'Asf' classes may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse; - Upgrades to classes 'BBBsf' and 'BBB-sf' may occur as the number of FLOCs are reduced, and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls; - Upgrades to classes 'BBsf' and 'B-sf' are not likely and only if the performance of the remaining pool is stable, FLOCs stabilize, and/or there is sufficient CE to the bonds. 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 2012-CCRE3: Moody's Lowers Rating on 2 Tranches to B1 ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings on seven classes and affirmed the ratings on three classes in COMM 2012-CCRE3 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE3, as follows: Cl. A-M, Downgraded to A3 (sf); previously on Jul 13, 2022 Affirmed A1 (sf) Cl. B, Downgraded to B1 (sf); previously on Jul 13, 2022 Affirmed Ba2 (sf) Cl. C, Downgraded to Caa1 (sf); previously on Jul 13, 2022 Affirmed B2 (sf) Cl. D, Downgraded to Caa2 (sf); previously on Jul 13, 2022 Affirmed Caa1 (sf) Cl. E, Affirmed Caa3 (sf); previously on Jul 13, 2022 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Jul 13, 2022 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Jul 13, 2022 Affirmed C (sf) Cl. PEZ, Downgraded to B1 (sf); previously on Jul 13, 2022 Affirmed Ba2 (sf) Cl. X-A*, Downgraded to A3 (sf); previously on Jul 13, 2022 Downgraded to Aa2 (sf) Cl. X-B*, Downgraded to Ca (sf); previously on Jul 13, 2022 Affirmed Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four P&I classes, Cl. A-M, Cl. B, Cl. C, and Cl. D, were downgraded due to higher anticipated losses and increased risk of interest shortfalls due to the significant exposure to specially serviced loans. All the remaining loans are in special servicing and two loans, representing 71% of the pool, are secured by regional malls that have exhibited declining performance in recent years. The ratings on three P&I classes, Cl. E, Cl. F, and Cl. G were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. In this rating action Moody's also analyzed loss and recovery scenarios to reflect the recovery value on the remaining loans, the current cash flow at the properties and the timing to ultimate resolution. Cl. G has already realized a 23% realized loss based on its original certificate balance. The ratings on the two IO classes were downgraded based on the credit quality of the referenced classes. The rating on Cl. X-A was also downgraded due to principal paydowns of higher quality reference classes. Cl. X-A originally referenced classes A-1, A-2, A-SB. A-3 and A-M, however, as of the April 2023 remittance statement all referenced classes other than Cl. A-M have paid off in full. The rating on one exchangeable class, Cl. PEZ, was downgraded based on a decline in the credit quality of its referenced exchangeable classes as well as principal paydowns of the higher quality reference 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. Moody's rating action reflects a base expected loss of 39.1% of the current pooled balance, compared to 13.2% at Moody's last review. Moody's base expected loss plus realized losses is now 12.2% of the original pooled balance, compared to 10.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced 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 and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the April 17, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 78% to $271.0 million from $1.25 billion at securitization. The certificates are collateralized by four mortgage loans, all of which are in special servicing. The largest specially serviced loan is the Solano Mall Loan ($105.0 million -- 39% of the pool), which is secured by a 561,000 square feet (SF) portion of 1.1 million SF super regional mall located in Fairfield, California. The mall's non-collateral anchors include Macy's, J.C. Penney, and a now vacant Sears, though Dave and Buster's backfilled approximately 30,000 SF of the total former Sears space of 149,000 SF. The largest collateral tenant is Edwards Cinemas (11.2% of net rentable area (NRA), lease expiration December 2024). A junior anchor tenant, Forever 21, previously closed its space but has been backfilled by California Health MRC. As of December 2022, the property's inline space was 93% leased (including temporary tenants). The property's net operating income (NOI) was already declining prior to 2020 but was further significantly impacted by the coronavirus pandemic and performance has remained well below levels at securitization. The 2019 NOI was 33% lower than in 2012, and the 2022 NOI declined a further 17% from 2019 levels. The loan is interest only for its entire term with an interest rate of 4.5% and the 2022 NOI DSCR was 1.86X compared to 2.24X in 2019. The loan has been in special servicing since June 2020 and passed its original maturity date in July 2022. A February 2023 appraisal valued the property 54% below the securitization value and 16% below the outstanding loan balance. As of the April 2023 remittance date, the loan is last paid through its March 2023 payment date and is classified as "non-performing maturity balloon". The second largest specially serviced loan is the Prince Building loan ($75.0 million – 27.7% of the pool), which represents a pari passu portion of a $200 million whole loan. The loan is secured by a 354,600 SF mixed-use property located in the SoHo neighborhood of New York City. The ground floor portion is leased to retail tenants including Equinox, Forever 21 and Hugo Boss. The office portion is leased by tenants including Group 9 Media and ZocDoc, who combined, represent 49.9% of the property NRA. As of December 2022, the property was 93% occupied, with an average occupancy of 96% since securitization. The property's NOI peaked in 2016, and then fell sharply in 2018 before gradually recovering through 2021. The 2021 NOI remained below underwritten level, however, the 2022 NOI was essentially the same as the NOI at securitization. The loan transferred to the special servicer in September 2022 due to the loan not being able to refinance at its original maturity date in October 2022. The most recent appraisal value in 2022 was 11% below the value at securitization but well above the outstanding loan balance. The loan is fully interest only and was recently extended with a new maturity date in October 2023. The loan was current on its monthly interest only payments as of the April 2023 remittance date. The third largest specially serviced loan is Crossgates Mall Loan ($87.7 million – 32.4% of the pool), which represents a pari passu portion of a $243.7 million mortgage loan. The loan is secured by a two-story, 1.3 million SF super regional mall located in Albany, New York. The mall is anchored by Macy's (non-collateral), J.C. Penney, Dick's Sporting Goods, Burlington Coat Factory, Best Buy, and Regal Crossgates 18. A non-collateral anchor, Lord & Taylor, has closed its store at the property due to its recent filing for Chapter 11 bankruptcy reorganization. As of December 2022, the total mall and collateral occupancy was 94%, compared to 96% in June 2020. The in-line occupancy was 76% in December 2022 compared to 86% occupied in June 2020 and 90% in December 2019. Several large tenants leasing spaces over 5,000 SF are listed as month-to-month as of the December 2022 rent roll. The property's 2021 NOI was above levels at securitization, however, the 2022 NOI saw a 13% decrease year over year. The mall represents a dominant super-regional mall with over 10 anchors and junior anchors and benefits from its location at the junction of Interstate 87 and Interstate 90. The loan first transferred to special servicing in April 2020 in relation to the business disruptions from the coronavirus pandemic and was subsequently extended through May 2023 after receiving a loan modification. However, the loan transferred back to special servicing for imminent default in February 2023. As of the April 2023 remittance date, the loan was current on P&I payments, and had amortized by 18.3% since securitization. The fourth largest specially serviced loan is secured by a limited service hotel in South Carolina that transferred to special servicing for payment default in November 2019. Moody's has estimated an aggregate loss of $106 million (a 39% expected loss on average) for the specially serviced loans. COMM 2013-CCRE12: Moody's Lowers Rating on Cl. B Certs to B1 ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on three classes and downgraded the ratings on five classes in COMM 2013-CCRE12 Mortgage Trust, Commercial Pass-Through Certificates, Series 2013-CCRE12 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Nov 18, 2022 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Nov 18, 2022 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Nov 18, 2022 Affirmed Aaa (sf) Cl. A-M, Downgraded to Baa2 (sf); previously on Nov 18, 2022 Downgraded to A1 (sf) Cl. B, Downgraded to B1 (sf); previously on Nov 18, 2022 Downgraded to Baa3 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Nov 18, 2022 Downgraded to B2 (sf) Cl. PEZ, Downgraded to B3 (sf); previously on Nov 18, 2022 Downgraded to Ba2 (sf) Cl. X-A*, Downgraded to Aa3 (sf); previously on Nov 18, 2022 Affirmed Aa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) are within acceptable ranges. The rating on three P&I classes were downgraded due to higher anticipated losses and increased risk of potential interest shortfalls from specially serviced and troubled loans. Six loans representing 26% of the pool are currently in special servicing. The largest specially serviced loan, the 175 West Jackson loan, is secured by an office property with a recent appraisal of $195 million, a decline of 52% from the value at securitization. In addition, the Oglethorpe Mall Loan (6% of the pool) is secured by a regional mall that has seen declining performance since securitization. All the remaining loans mature by November 2023 and if certain loans are unable to pay off at their maturity date, the outstanding classes may face increased interest shortfall risk. The rating on one interest only (IO) class Cl. X-A was downgraded due to a decline in the credit quality of its referenced classes. The rating on one exchangeable class Cl. PEZ was downgraded due to a decline in the credit quality of its exchangeable 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 20.2% of the current pooled balance, compared to 16.0% at Moody's last review. Moody's base expected loss plus realized losses is now 17.2% of the original pooled balance, compared to 14.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the April 12, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $866 million from $1.20 billion at securitization. The certificates are collateralized by 46 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten loans (excluding defeasance) constituting 59% of the pool. Twenty-two loans, constituting 33% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of seven, compared to a Herf of eight at Moody's last review. Seventeen loans, constituting 36% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $32.5 million (for an average loss severity of 54%). Six loans, constituting 26% of the pool, are currently in special servicing. The largest specially serviced loan is the 175 West Jackson Loan ($134.7 million – 15.7% of the pool), which represents a pari-passu portion of a $251 million mortgage loan. The loan is secured by a Class A, 22-story office building totaling 1.45 million square feet (SF) and located within the CBD of Chicago, Illinois. The property performance has declined steadily since 2015, with occupancy declining to 64% in 2022 from 86% in 2015, and the year-end 2022 net operating income (NOI) was 58% lower than underwritten levels. The loan previously transferred to special servicing in March 2018 for imminent monetary default and was subsequently assumed by Brookfield Property Group as the new sponsor, in connection with the purchase of the property for $305 million, and returned to the master servicer in August 2018. However, in November 2021, the loan transferred to special servicing and is last paid through its November 2021 remittance date. As of the April 2023 remittance statement, the master servicer has recognized a $60 million appraisal reduction on this loan and special servicer commentary indicates a receiver has been appointed and the servicer is in discussions with the borrower about potential cooperative marketing and sale of the property or a deed-in-lieu. The second largest specially serviced loan is the Harbourside North Loan ($35.5 million – 4.1% of the pool), which is secured by the leasehold interest in a Class A office building in the Georgetown submarket of Washington D.C. The property operates subject to ground lease payments, which have historically represented a high share of the property's expenses. The loan transferred to the special servicer in July 2018 due to delinquent payments and became REO in March 2019. Property performance had declined in 2021 due to reduced occupancy and rental revenues and high ground lease payments. The property was appraised at $7.3 million in December 2020, a significant decline from the securitization appraisal of $53.9 million and as of the April 2023 remittance statement, the loan has been deemed non-recoverable by the master servicer. The third largest specially serviced loan is the MAve Hotel Loan ($18.6 million – 2.2% of the pool), which is secured by an independent limited-service 12-story boutique hotel with 2,200 SF of ground floor retail space located at 27th and Madison Avenue in New York, New York. The property operated as a homeless shelter for three years with a month-to-month contract with the DHS to rent out 100% of the hotel. DHS left at the end of 2020 and the loan transferred to special servicing in April 2021 due to delinquent payments. The hotel remains closed and special servicer commentary indicates a foreclosure action has been filed. The remaining three specially serviced loans are secured by an office property located in Chicago, Illinois; an anchored retail property located in Elkview, West Virginia; and a single tenant retail property located in New York, New York. Moody's estimates an aggregate $136.9 million loss for the specially serviced loans (62% expected loss on average). Moody's has also assumed a high default probability for two poorly performing loans, constituting 7% of the pool, and has estimated an aggregate loss of $26 million (a 45% expected loss on average) from these troubled loans. The largest troubled loan is the Oglethorpe Mall Loan ($54.7 million – 6.3% of the pool), which is secured by a regional mall located in Savannah, Georgia. At securitization the mall included four anchor tenants, Macy's, JC Penney, Belk and Sears. Both the Belk and Sears space were non-collateral. However, in 2018 Sears vacated and the anchor space remains vacant. The property's historical performance generally improved through 2016, but NOI has since declined annually due to both lower rental revenue and higher expenses. The December 2021 NOI was 23% below 2018 and declined well below the property's underwritten NOI. The property represents the dominant mall in the greater area of Savannah, however, it faces competition from the Savannah Outlet Mall, approximately 15 miles southeast of the subject. In-line sales ( CONNECTICUT AVENUE 2023-R03: Moody's Affirms (P)Ba1 on 25 Tranches ------------------------------------------------------------------ Moody's Investors Service has affirmed provisional ratings to 62 classes of credit risk transfer (CRT) residential mortgage-backed securities (RMBS) to be issued by Connecticut Avenue Securities Trust 2023-R03, and sponsored by Federal National Mortgage Association (Fannie Mae) following the revision of the transaction's capital structure since Moody's initially assigned provisional ratings on Mar 9, 2023. The underlying collateral balance reduced by $543.1mn and the number of loans reduced by 1,251. Under the revised capital structure, the subordination for all classes except class 2A-H remain unchanged. The subordination for 2A-H increased by 0.30%. The securities reference a pool of mortgages loans acquired by Fannie Mae, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Connecticut Avenue Securities Trust 2023-R03 Cl. 2M-1, Affirmed (P)Baa2 (sf); previously on Mar 9, 2023 Assigned (P)Baa2 (sf) Cl. 2M-2A, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2M-2B, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2M-2C, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2M-2, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2B-1A, Affirmed (P)Ba2 (sf); previously on Mar 9, 2023 Assigned (P)Ba2 (sf) Cl. 2B-1B, Affirmed (P)B2 (sf); previously on Mar 9, 2023 Assigned (P)B2 (sf) Cl. 2B-1, Affirmed (P)Ba3 (sf); previously on Mar 9, 2023 Assigned (P)Ba3 (sf) Cl. 2E-A1, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2A-I1*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-A2, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2A-I2*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-A3, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2A-I3*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-A4, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2A-I4*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-B1, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2B-I1*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-B2, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2B-I2*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-B3, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2B-I3*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-B4, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2B-I4*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-C1, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2C-I1*, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2E-C2, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2C-I2*, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2E-C3, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2C-I3*, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2E-C4, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2C-I4*, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2E-D1, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-D2, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-D3, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-D4, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-D5, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2E-F1, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2E-F2, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2E-F3, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2E-F4, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2E-F5, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-X1*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2-X2*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2-X3*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2-X4*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2-Y1*, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-Y2*, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-Y3*, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-Y4*, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-J1, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-J2, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-J3, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-J4, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-K1, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-K2, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-K3, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2-K4, Affirmed (P)Ba1 (sf); previously on Mar 9, 2023 Assigned (P)Ba1 (sf) Cl. 2M-2Y, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2M-2X*, Affirmed (P)Baa3 (sf); previously on Mar 9, 2023 Assigned (P)Baa3 (sf) Cl. 2B-1Y, Affirmed (P)Ba3 (sf); previously on Mar 9, 2023 Assigned (P)Ba3 (sf) Cl. 2B-1X*, Affirmed (P)Ba3 (sf); previously on Mar 9, 2023 Assigned (P)Ba3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the GSE's oversight of originators and servicers, and the third-party review. Moody's expected loss for this pool in a baseline scenario-mean is 1.38%, in a baseline scenario median is 1.12% and reaches 6.32% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2023. Please note that a Request for Comment was published in which Moody's requested market feedback on potential revisions to one or more of the methodologies used in determining these Credit Ratings. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. DT AUTO 2023-2: S&P Assigns 'BB' Rating on $29.27MM Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned ratings to DT Auto Owner Trust 2023-2's asset-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 60.69%, 54.23%, 44.14%, 35.46%, and 32.11% credit support (hard credit enhancement and a haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on the final pool stressed break-even cash flow scenarios. These credit support levels provide at least 2.37x, 2.12x, 1.72x, 1.38x, and 1.25x coverage of S&P's expected cumulative net loss of 25.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.38x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned ratings. -- The collateral characteristics of the 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 Bridgecrest Acceptance Corp. as servicer, along with its view of the originator'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 that are in line with its sector benchmark. -- The transaction's payment and legal structure. Ratings Assigned DT Auto Owner Trust 2023-2 Class A, $293.88 million: AAA (sf) Class B, $62.62 million: AA (sf) Class C, $69.54 million: A (sf) Class D, $94.71 million: BBB (sf) Class E, $29.27 million: BB (sf) ELMWOOD CLO 23: S&P Assigns B- (sf) Rating on $6.6MM Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Elmwood CLO 23 Ltd./Elmwood CLO 23 LLC's 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 Elmwood Asset Management. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 23 Ltd./Elmwood CLO 23 LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $23.00 million: BBB- (sf) Class E (deferrable), $13.40 million: BB- (sf) Class F (deferrable), $6.60 million: B- (sf) Subordinated notes, $30.75 million: Not rated EMPOWER CLO 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC's 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 Empower Capital Management LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $27.50 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinate notes, $45.00 million: Not rated FLAGSHIP CREDIT 2023-2: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Flagship Credit Auto Trust 2023-2's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 24, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 44.12%, 38.11%, 29.47%, 22.87%, and 17.84% credit support--hard credit enhancement and haircut to excess spread--for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x coverage of S&P's expected net loss of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 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 the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime automobile loans in this transaction, 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 UMB Bank N.A. (UMB Bank), which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Flagship Credit Acceptance LLC as servicer, along with its view of the company's underwriting and the backup servicing arrangement with UMB Bank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Flagship Credit Auto Trust 2023-2 Class A-1, $42.00 million: A-1+ (sf) Class A-2, $188.00 million: AAA (sf) Class A-3, $58.76 million: AAA (sf) Class B, $37.77 million: AA (sf) Class C, $51.10 million: A (sf) Class D, $36.18 million: BBB (sf) Class E, $36.19 million: BB- (sf) FREDDIE MAC 2023-DNA2: S&P Assigns B(sf) Rating on Cl. B-1I Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Freddie Mac STACR REMIC Trust 2023-DNA2's notes. The note issuance is an RMBS securitization 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 mostly prime borrowers. S&P said, "Since we assigned preliminary ratings on April 17, 2023, the sponsor, Freddie Mac, increased the class B-1, B-1A, B-1AR, B-1AI, B-1B, B-1R, B-1S, B-1T, B-1U, and B-1I note amounts and reduced the corresponding reference tranche B-1AH and B-1BH amounts. However, there were no changes to the credit enhancement on these notes or our loss coverage levels. After analyzing the revised bond balances, we assigned ratings in line with our preliminary ratings." The ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The real estate mortgage investment conduit (REMIC) structure that reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments but, at the same time, pledges the support of Freddie Mac (a highly rated counterparty) to cover shortfalls, if any, on interest payments and to 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, in our view, enhances the notes' strength; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties framework; and -- The potential effect 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 effect the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While COVID-19 pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Ratings Assigned Freddie Mac STACR REMIC Trust 2023-DNA2 Class A-H(i), $16,907,300,413: Not rated Class M-1A, $382,000,000: BBB+ (sf) Class M-1AH, $20,554,771: Not rated Class M-1B, $127,000,000: BBB- (sf) Class M-1BH, $7,184,924: Not rated Class M-2, $169,000,000: BB- (sf) Class M-2A, $84,500,000: BB+ (sf) Class M-2AH, $4,956,616: Not rated Class M-2B, $84,500,000: BB- (sf) Class M-2BH, $4,956,616: Not rated Class M-2R, $169,000,000: BB- (sf) Class M-2S, $169,000,000: BB- (sf) Class M-2T, $169,000,000: BB- (sf) Class M-2U, $169,000,000: BB- (sf) Class M-2I, $169,000,000: BB- (sf) Class M-2AR, $84,500,000: BB+ (sf) Class M-2AS, $84,500,000: BB+ (sf) Class M-2AT, $84,500,000: BB+ (sf) Class M-2AU, $84,500,000: BB+ (sf) Class M-2AI, $84,500,000: BB+ (sf) Class M-2BR, $84,500,000: BB- (sf) Class M-2BS, $84,500,000: BB- (sf) Class M-2BT, $84,500,000: BB- (sf) Class M-2BU, $84,500,000: BB- (sf) Class M-2BI, $84,500,000: BB- (sf) Class M-2RB, $84,500,000: BB- (sf) Class M-2SB, $84,500,000: BB- (sf) Class M-2TB, $84,500,000: BB- (sf) Class M-2UB, $84,500,000: BB- (sf) Class B-1, $84,000,000: B (sf) Class B-1A, $42,000,000: B+ (sf) Class B-1AR, $42,000,000: B+ (sf) Class B-1AI, $42,000,000: B+ (sf) Class B-1AH, $2,728,308: Not rated Class B-1B, $42,000,000: B (sf) Class B-1BH, $2,728,308: Not rated Class B-1R, $84,000,000: B (sf) Class B-1S, $84,000,000: B (sf) Class B-1T, $84,000,000: B (sf) Class B-1U, $84,000,000: B (sf) Class B-1I, $84,000,000: B (sf) Class B-2H(i)(ii), $134,184,924: Not rated Class B-3H(i), $44,728,308: Not rated (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. (ii)Class B-2H is deemed to bear interest solely for the purposes of calculating modification gain or loss amounts. GS MORTGAGE 2012-BWTR: Moody's Lowers Rating on 2 Tranches to Ba2 ----------------------------------------------------------------- Moody's Investors Service has downgraded six classes in GS Mortgage Securities Corporation Trust 2012-BWTR, Commercial Pass-Through Certificates, Series 2012-BWTR as follows: Cl. A, Downgraded to Baa2 (sf); previously on Jan 25, 2023 Downgraded to Aa2 (sf) and Placed Under Review for Possible Downgrade Cl. B, Downgraded to Ba2 (sf); previously on Jan 25, 2023 Downgraded to Baa3 (sf) and Placed Under Review for Possible Downgrade Cl. C, Downgraded to B2 (sf); previously on Jan 25, 2023 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. D, Downgraded to Caa1 (sf); previously on Jan 25, 2023 Downgraded to B2 (sf) and Placed Under Review for Possible Downgrade Cl. X-A*, Downgraded to Baa2 (sf); previously on Jan 25, 2023 Downgraded to Aa2 (sf) and Placed Under Review for Possible Downgrade Cl. X-B*, Downgraded to Ba2 (sf); previously on Jan 25, 2023 Downgraded to Baa3 (sf) and Placed Under Review for Possible Downgrade * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four P&I classes were downgraded due to the Moody's LTV ratio as well as the decline in market value and uncertainty of the ultimate recovery value on the asset. As of the April 2023 remittance report an appraisal reduction amount (ARA) of $110.3 million was recognized due to the most recent reported appraisal value being 32% lower than the outstanding trust mortgage balance. The appraisal reduction amount impacts up to Cl. A, however, the loan remained current as of the April 2023 payment date and the trust has not experienced any interest shortfalls. Historically, the property's net cash flow (NCF) exhibited very stable operating performance from securitization through 2019, and benefits from its location in Somerset County, one of the most affluent in the US with very strong demographics. Furthermore, the trust mortgage had a DSCR of 2.44X based on the interest rate of 3.339% and the property's 2022 NCF of approximately $24.5 million. The annual excess cash flow was $14.1 million above the loan's interest only debt service obligation in 2022 and excess cash accumulation is now being trapped. Due to the current and historical performance of the asset, Moody's anticipates the loan will remain current on its monthly debt service obligations for the foreseeable future even though it has now passed its original maturity date. The special servicer's commentary also mentions that the special servicer has been working with borrower on a potential deed in lieu, but is also simultaneously working with a buyer on a possible loan assumption and modification. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple loss and recovery scenarios to reflect the loan's recovery value, the current cash flow at the property and timing to ultimate resolution. The ratings on two interest-only (IO) classes, Cl. X-A and Cl. X-B, were downgraded due to decline in the credit quality of their respective 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. The actions conclude the review for downgrade that was initiated on January 25, 2023. 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 April 7, 2023 distribution date the transaction's certificate balance was $300 million, the same as at securitization. The original 10-year, fixed rate loan is secured by fee simple interest in Bridgewater Commons Mall and matured on November 1, 2022. The sponsor of the borrower is Four State Properties, LLC; a joint venture between Fourmall Acquisition, LLC (65%) and NYSTRS and JP Morgan & Chase Co. (35%). Fourmall Acquisition, LLC is a joint venture between the New York State Teachers' Retirement System (NYSTRS) and the Commingled Pension Trust Fund of JPMorgan Chase Bank, National Association, which is managed by JPMorgan Asset Management – Global Real Estate Assets. The loan transferred to special servicer in August 2022 due to imminent default ahead of its scheduled maturity date. Special servicer commentary indicated the borrower believed the property's current value is insufficient to cover the loan and was no longer willing to provide additional equity to support the asset. As a result, the special servicer is working on a potential deed in lieu foreclosure on the asset but also simultaneously working with a buyer on a possible loan assumption and modification. The collateral for the loan is 546,511 square feet (SF) portion within Bridgewater Commons Mall, an 898,762 SF super-regional mall and an adjacent 93,799 SF lifestyle center (The Village at Bridgewater Commons), located in Bridgewater, New Jersey. The property benefits from its location in Somerset County, one of the most affluent in the US with very strong demographics. Furthermore, the property has exhibited strong fundamentals and a proven track record of stable performance prior to the pandemic. The property was originally constructed in 1988 and renovated and expanded between 2005 and 2010. The current mall anchors include Macy's and Bloomingdales. Lord & Taylor closed its store at this location in January 2022 and the space remains vacant. Macy's and the former Lord & Taylor's improvements are not collateral for the loan. As of the March 2023 rent roll the collateral (excluding former Lord & Taylor space) was 89% leased unchanged from June 2022. The property's NCF for 2022 was $24.5 million compared to $25.3 million achieved in full year 2021. This showed a marked decline from the 2020 NCF of $30.9 million. Prior to 2020, the performance for the loan has been very stable since securitization with NCF having ranged between a low of $31.1MM (in 2014) and a high of $36.0 million (in 2017) between 2012 and 2019 period. Moody's stressed NCF is $25.0 million. Moody's stressed loan to value (LTV) ratio is 102%, and Moody's stressed debt service coverage ratio (DSCR) is 0.90x. The current IO fixed rate loan has a coupon of 3.339% and the reported NCF DSCR for calendar year 2022 was 2.44X. As of the April 2023 remittance statement the loan had passed its original maturity date but has continued to make monthly debt service payment and was paid through the April 2023 remittance date. There are cumulative accrued unpaid advance interest totaling $15,707 and no interest shortfalls outstanding as of the current distribution date. GS MORTGAGE 2013-G1: S&P Lowers Class DM Certs Rating to 'CCC(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from GS Mortgage Securities Trust 2013-G1, a U.S. CMBS transaction. In addition, S&P affirmed its ratings on two other classes from the transaction. This transaction is backed by one remaining fixed-rate mortgage whole loan secured by the borrower's fee-simple interest in a portion (343,910 sq. ft.) of the 1.04 million-sq.-ft. Deptford Mall in Deptford, N.J. Rating Actions S&P said, "The downgrades on classes D and DM reflect our current revised net cash flow (NCF) and valuation of the remaining loan in the pool, Deptford Mall, which declined 18.0% from both the NCF and valuation that we derived in our last review in November 2020. The affirmations on classes B and C account for the significant deleveraging of the pooled trust balance (70.8%) since our last review. The rating actions also reflect, among other factors, the inability of the sponsors (Macerich Company and Heitman) to refinance the loan by its April 3, 2023, maturity date. The loan was transferred to the special servicer, Wells Fargo Bank N.A., on March 6, 2023, because the sponsors stated that they were facing difficulty securing refinancing proceeds to pay off the loan due to current market conditions. Since the onset of the COVID-19 pandemic, the servicer-reported occupancy and NCF at the mall had declined to 78.8% and $12.6 million in 2020, 78.9% and $16.7 million in 2021, and 85.8% and $10.4 million as of the nine months ended Sept. 30, 2022, from 89.8% and $20.3 million in 2019 and 96.6% and $21.8 million in 2018. The decline in performance is mainly attributable to lower occupancy and rental rates and flat operating expenses. The borrower's 2023 budget projects NCF to be approximately $15.4 million. S&P said, "As a result, in our current analysis, we revised and lowered our long-term sustainable NCF assumption to $13.6 million from $16.6 million in our last review. Using an S&P Global Ratings' capitalization rate of 9.25% (unchanged from our last review), we arrived at an expected-case value of $147.3 million, down 18.0% from our last review's value of $179.7 million and 56.7% from the issuance appraised value of $340.0 million. This yielded an S&P Global Ratings' loan-to-value ratio of 95.2% on the pooled trust balance and 108.5% on the whole loan balance." S&P said, "Specifically, the downgrade on class DM (which derives its cash flow from a subordinate nonpooled component of the Deptford Mall whole loan) to 'CCC (sf)' reflects our view that the susceptibility to liquidity interruption and risk of default and loss are elevated based on our revised expected-case value and current market conditions. "Although the model-indicated rating was higher than class B's current rating, we affirmed our rating on the class because we weighed certain qualitative considerations: specifically, the uncertainty surrounding the potential resolution of the defaulted loan and new appraisal value. The sponsors and the special servicer have agreed upon a short-term, 60-day maturity extension to provide more time to negotiate a potential longer-term modification. The special servicer indicated that a new appraisal report has been ordered, but it has not yet been finalized. "We will continue to monitor the loan's status. If we receive information that differs materially from our expectations, such as an updated appraisal value that is substantially below our expected-case value, property performance that is materially below our assumptions, and/or a workout strategy that negatively impact the transaction's liquidity and recovery, we may revisit our analysis and take further rating actions." Property-Level Analysis The collateral property consists of 343,910 sq. ft. of Deptford Mall, a 1.04 million-sq.-ft., two-story regional mall in Deptford, which is 12 miles southeast of Philadelphia. The mall's anchors include Macy's (202,610 sq. ft., noncollateral), Boscov's (161,350 sq. ft., noncollateral), JCPenney (143,995 sq. ft., noncollateral), and Dick's Sporting Goods and Round One Bowling and Amusement (188,487 sq. ft. in aggregate of former Sears space, noncollateral). As previously discussed, the mall's performance was negatively affected by the pandemic. While the occupancy rate on the collateral property improved to 92.9%, based on the Sept. 30, 2022, rent roll, S&P expects NCF at the property to remain depressed due primarily to lower rental rates. The five largest collateral tenants comprised 20.9% of the net rentable area (NRA) and included: -- H&M (6.5% of NRA, paying percentage rent, January 2026 lease expiration); -- Forever 21 (5.9%, paying percentage rent, January 2023). While the borrower has not yet provided an update on the tenant's status, S&P considered the tenant to be in-place in its analysis because it is still listed on the mall's directory; -- Victoria's Secret (3.2%, 2.5% of gross rent as calculated by S&P Global Ratings, March 2024); -- Go! Calendars Go! Games Go! Toys (2.7%, paying percentage rent, January 2023). While the borrower has yet to provide an update on the tenant's status, we assumed the tenant is in place in S&P's analysis because it is still listed on the mall's directory); and -- American Eagle Outfitters (2.6%, 2.1%, January 2027). S&P said, "The mall faces concentrated tenant rollover in the next four years: Leases comprising 27.2% of NRA expire in 2023, 19.2% in 2024, 7.3% in 2025, and 16.4% in 2026. "We visited the property on Feb. 15, 2023, at around 2 p.m. Located in Deptford, a central New Jersey suburb about 45 minutes east of Philadelphia, we found the mall to be easily accessible from Route 42, an east to west freeway connecting the Jersey shorelines to Philadelphia. However, in our opinion, the two-story mall looks somewhat dated from the exterior, although the Round One/Dick's Sporting Goods wing presents well. We noted a moderate number of shoppers at the mall during our visit. The mall anchors, JCPenney, Boscov's, Macy's, Dick's Sporting Goods, and Round One, were either one or two stories and were all occupied. Overall, we assessed that the subject was a traditional solid class B mall catering to middle-income customers. Many were apparel or footwear tenants, with Round One as the major experiential tenant. The mall includes a small food court comprised mainly of local eateries and a children play area. An AMC movie theater was across the street to the north of the mall. We also observed minimal inline vacancies and that the center of the mall, especially the Starbucks store, was the main draw. "Our current analysis considered the property's performance, tenant bankruptcies, and store closures and excluded income from tenants that are no longer listed on the mall directory website or that have announced store closures. This resulted in our assumed collateral occupancy rate of 91.7% and revised sustainable NCF of $13.6 million, which is 18.5% lower than the 2021 servicer-reported NCF and 11.5% lower than the borrower's 2023 budget." Transaction Summary As of the April 13, 2023, trustee remittance report, the transaction consists of one loan with a pooled trust balance of $140.2 million and a total trust balance, inclusive of the nonpooled loan component, of $159.9 million, down from three uncrossed loans with a pooled trust balance of $543.9 million and a total trust balance of $569.0 million at issuance. The pooled trust has not incurred principal losses to date; however, the nonpooled class DM had a reported realized principal loss of $74, which we deemed de minimis. The remaining loan, Deptford Mall, amortizes on a 30-year schedule, pays a fixed per annum interest rate of 3.73%, and matured on April 3, 2023. The loan has a reported performing matured balloon payment status and, as previously discussed, is currently with the special servicer due to maturity default. The sponsors and special servicer are currently negotiating a potential longer-term loan modification and extension. The master servicer, KeyBank Real Estate Capital, reported a 1.22x debt service coverage on the whole loan balance for the nine months ended Sept. 30, 2022. Ratings Affirmed GS Mortgage Securities Trust 2013-G1 Class B: AA- (sf) Class C: BBB (sf) Ratings Lowered GS Mortgage Securities Trust 2013-G1 Class D to 'B- (sf)' from 'BB- (sf)' Class DM to 'CCC (sf)' from 'B- (sf)' GS MORTGAGE 2013-GCJ14: Moody's Lowers Rating on Cl. E Certs to B2 ------------------------------------------------------------------ Moody's Investors Service has affirmed the rating on six classes and downgraded the ratings on five classes in GS Mortgage Securities Trust 2013-GCJ14 ("GSMS 2013-GCJ14"), Commercial Mortgage Pass-Through Certificates, Series 2013-GCJ14 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Jun 15, 2021 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Jun 15, 2021 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jun 15, 2021 Affirmed Aaa (sf) Cl. B, Downgraded to Aa3 (sf); previously on Jun 15, 2021 Affirmed Aa2 (sf) Cl. C, Downgraded to A3 (sf); previously on Jun 15, 2021 Affirmed A2 (sf) Cl. D, Downgraded to Ba3 (sf); previously on Jun 15, 2021 Affirmed Ba1 (sf) Cl. E, Downgraded to B2 (sf); previously on Jun 15, 2021 Affirmed B1 (sf) Cl. F, Downgraded to Caa2 (sf); previously on Jun 15, 2021 Downgraded to Caa1 (sf) Cl. G, Affirmed Caa3 (sf); previously on Jun 15, 2021 Downgraded to Caa3 (sf) Cl. PEZ, Affirmed Aa3 (sf); previously on Jun 15, 2021 Affirmed Aa3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jun 15, 2021 Affirmed Aaa (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the three principal and interest (P&I) classes, Cl. A-4, Cl. A-5, and Cl. A-S were affirmed due to the significant credit support and because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. Furthermore, defeasance now represents 17.9% of the outstanding pool balance. The ratings on five P&I classes, Cl. B, Cl. C, Cl. D, Cl. E and Cl. F, were downgraded due to potential for higher losses and interest shortfalls from the increased risk of refinance challenges for certain poorly performing loans with upcoming maturity dates. Two troubled loans, the W Chicago - City Center (9.4%) and Mall St. Matthews (3.8%), have had significant declines in net operating income (NOI) since securitization. All loans, other than the Mall St. Matthews loan, mature by August 2023 and if certain loans are unable to pay off at their maturity date, the outstanding classes may face increased interest shortfall risk. The rating on one P&I class, Cl. G, was affirmed because the rating is consistent with Moody's expected loss. In the rating action Moody's also analyzed loss and recovery scenarios to reflect the recovery value on the remaining loans, the current cash flow at the properties and the timing to ultimate resolution The rating on the IO class, Cl. X-A, was affirmed based on the credit quality of its referenced classes. The rating on the exchangeable class, Cl. PEZ, was affirmed due to the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 8.2% of the current pooled balance, compared to 7.5% at Moody's last review. Moody's base expected loss plus realized losses is now 5.8% of the original pooled balance, compared to 6.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the April 13, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 36% to $800 million from $1.24 billion at securitization. The certificates are collateralized by 56 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans (excluding defeasance) constituting 63% of the pool. Twenty-five loans, constituting 18% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 10, compared to 16 at Moody's last review. As of the April 2023 remittance report, loans representing 99% were current or within their grace period on their debt service payments and 96% of the pool have loan maturity in or prior to August 2023. Twenty-eight loans, constituting 77% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $7 million (for an average loss severity of 34%). One loan, the Marketplace Shopping Center Loan ($8.5 million – 1.1% of the pool), is in special servicing. The loan is secured by a retail center in Fairview Heights, IL. It transferred to special servicer in June 2020 due to payment default and became REO in January 2023. Due to the most recent appraisal being lower than the outstanding loan amount, the loan recognized an appraisal reduction of $1.9 million as of the April 2023 remittance statement. Moody's has also assumed a high default probability for four poorly performing loans, constituting 18% of the pool, and has estimated an aggregate loss of $51 million (a 34% expected loss on average) from these troubled and specially serviced loans. The largest troubled loan is the W Chicago - City Center Loan ($75.5 million – 9.4% of the pool), which is secured by a 403-room, full-service, luxury hotel located in the Loop of Chicago, Illinois. The loan previously transferred to special servicing in March 2021 for payment default but was returned to the master servicer as a corrected loan in February 2022. The property's performance had already declined from securitization through 2019 and was then significantly impacted by the coronavirus pandemic. The property had negative net operating income (NOI) in 2020 and 2021, but rebounded in 2022. However, the 2022 NOI DSCR remained below 1.00X and as a result the loan may face increased refinance risk at its maturity date in August 2023. The second largest troubled loan is the Mall St. Matthews loan ($30.6 million –3.8% of the pool), which represents a pari passu portion of a $143.6 million mortgage loan. The loan is secured by a 670,000 SF portion of a 1.0 million SF regional mall located in Louisville, KY. The property is anchored by Dillard's, Dillard's Men & Home, and JC Penney, with JC Penney included as part of the collateral. The property is also anchored by a Dave & Busters that replaced a former Forever 21. The loan transferred to special servicing in June 2020 as the borrower was unable to refinance the loan prior to the loan maturity date in June 2020. The loan was modified in March 2022, extending the maturity date to 2025 and requiring the sponsor to contribute an additional $7 million of equity. The loan transferred back to the master servicer in August 2022 and was current as of the April 2023 remittance statement. However, the property's 2022 NOI remained 20% lower than in 2013 and due to the recent performance Moody's identified this as a troubled loan. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2021 operating results for 96% of the pool, and full or partial year 2022 operating results for 98% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 110%, compared to 98% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 30% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed conduit DSCRs are 1.46X and 1.06X, respectively, compared to 1.56X and 1.12X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 36% of the pool balance. The largest loan is the 11 West 42nd Street Loan ($150 million – 18.7% of the pool), which represents the pari passu portion of a $300 million whole loan. The loan is secured by a 943,700 SF Class B office tower located in New York City. The largest tenant is Michael Kors (25% of the NRA) with a lease expiration in March 2026. The second largest tenant, First-Citizens Bank (16% of the NRA), renewed the majority of its space through May 2034. The third largest tenant, New York University (12% of the NRA), has exercised 5-year renewal option through June 2027. The property has minimal rollover risk through 2025, however, two of the three largest tenants have lease expirations in 2026 and 2027 with a combined 38% of the NRA having a scheduled lease expiration in next four years. As of December 2022, the property was 97% occupied, compared to 89% occupied in December 2021. The property's 2022 NOI improved year over year but remained similar to levels in 2013. The loan matures in June 2023. The second largest loan is the ELS Portfolio Loan ($90.7 million – 11.3% of the pool), which is secured by twelve manufactured housing and RV sites totaling 5,849 pads. The properties are located across four states (Florida, Texas, Maine, and Arizona) with the highest concentration in Florida (57% of pads). Subsequent to an April 2018 modification, one property with 424 pads was released and two properties with combined pads of 619 were added to the portfolio. The loan appears on the watchlist due to a drop in occupancy of more than 20% from underwriting. As of September 2021, the portfolio was 56% occupied, compared to 91% in December 2021 and 73% at securitization. However, the loan has amortized 17.5% since securitization and the 2022 NOI was significantly above levels at securitization. Moody's LTV and stressed DSCR are 81% and 1.34X, respectively, compared to 85% and 1.28X at the last review. The third largest loan is Cranberry Woods Office Park ($47.4 million -- 5.9% of the pool), which is secured by three 4-story suburban office buildings located in Cranberry Township, Pennsylvania, a suburb 25 miles north of Pittsburg CBS. All improvements were constructed between 1999 and 2003. The loan is collateralized by both the leasehold and fee simple ownership of the property. The ground is owned by an affiliate of the borrower and is leased to the borrower for a term of 29 years and 11 months. The combined occupancy was 86% leased as of December 2022, with two of the buildings 100% leased and one building (Building 800), only 56% leased due to several tenants recently vacating or reducing space. The office park's largest tenant is Omnicell (35% of the total NRA) recently renewed and has a lease expiration in December 2028. However, the second largest tenant at the office park, representing 31% of the NRA, has a lease expiration in December 2023. The property's NOI has also declined year over year and the loan matures in August 2023. The loan has amortized 14.6% since securitization but may face increased refinance risk due to the declines in NOI and occupancy as well as the significant upcoming lease rollover. Moody's LTV and stressed DSCR are 142% and 0.76X, respectively. KODIAK CDO I: Fitch Affirms 'Dsf' Rating on Class B Notes --------------------------------------------------------- Fitch Ratings has downgraded the class A-2 notes of Kodiak CDO I, Ltd./Inc. (Kodiak I) and affirmed the ratings on the remaining 10 classes in Kodiak I and the nine classes of notes in Kodiak CDO II, Ltd./Corp. (Kodiak II). Two classes of notes were removed from Rating Watch Negative (RWN) and assigned Rating Outlooks. Entity/Debt Rating Prior ----------- ------ ----- Kodiak CDO I, Ltd./Inc. A-2 50011PAB2 LT BBB+sf Downgrade A-sf B 50011PAC0 LT Dsf Affirmed Dsf C 50011PAD8 LT CCsf Affirmed CCsf D-1 50011PAE6 LT Csf Affirmed Csf D-2 50011PAJ5 LT Csf Affirmed Csf D-3 50011PAK2 LT Csf Affirmed Csf E-1 50011PAF3 LT Csf Affirmed Csf E-2 50011PAL0 LT Csf Affirmed Csf F 50011PAG1 LT Csf Affirmed Csf G 50011PAH9 LT Csf Affirmed Csf H 50011NAC5 LT Csf Affirmed Csf Kodiak CDO II, Ltd./Corp. A-2 50011RAB8 LT A+sf Affirmed A+sf A-3 50011RAC6 LT BB+sf Affirmed BB+sf B-1 50011RAD4 LT B-sf Affirmed B-sf B-2 50011RAE2 LT B-sf Affirmed B-sf C-1 50011RAF9 LT CCsf Affirmed CCsf C-2 50011RAG7 LT CCsf Affirmed CCsf D 50011RAH5 LT CCsf Affirmed CCsf E 50011RAJ1 LT Csf Affirmed Csf F 50011QAA2 LT Csf Affirmed Csf TRANSACTION SUMMARY The collateralized debt obligations (CDOs) are collateralized by trust preferred securities (TruPS), senior and subordinated debt issued by real estate investment trusts (REITs), corporate issuers, tranches of structured finance CDOs and commercial mortgage-backed securities. KEY RATING DRIVERS The downgrade of Kodiak I's class A-2 notes is due to Fitch's downgrade of Pacific Western Bank (PWB) to 'BB+' from 'BBB-' with a Negative Rating Outlook on April 14, 2023. Kodiak I and Kodiak II have exposure to PWB, comprising 9% and 8% of their portfolio balances, respectively. Fitch also removed PWB from RWN. An error was identified in Kodiak II. In the March 2023 review, the rating of one of the assets in the underlying pool, which comprises 4% of the portfolio, was entered incorrectly. This caused the class A-2 notes to be incorrectly placed on RWN. Today's rating actions on Kodiak II reflect the application of the correct rating of this asset. The rating actions are in line with the model implied ratings (MIRs) as defined in the criteria, except for the class A-3, B-1 and B-2 notes in Kodiak II which are one notch lower than their MIR given the modest cushions at their respective MIRs. Kodiak I is in acceleration, which diverts excess spread to the most senior classes outstanding while cutting off interest due on the timely class B notes, which is currently rated 'Dsf'. The Negative Outlook on the class A-2 notes in Kodiak II reflects the class's modest cushion in the interest shortfall scenario in conjunction with the transaction's highly concentrated portfolio. The Stable Outlooks on three remaining tranches of Kodiak II in this review, as well as the class A-2 notes in Kodiak I, 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 such classes' rating. Non-rated collateral for Kodiak I and Kodiak II totaled 16% and 7% of their performing pools, respectively. These assets are assumed to have default probability corresponding to the 'CCC' quality. The non-rated assets reflect lack of information required to evaluate these assets via credit opinions. As transactions are deleveraging, Fitch expects increasing reliance on non-rated assets and will continue to evaluate the adequacy of information to maintain the ratings. 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/Downgrade 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. MIDOCEAN CREDIT XII: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XII Ltd. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO XII Ltd A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY MidOcean Credit CLO XII Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.4, versus a maximum covenant, in accordance with the initial expected matrix point of 26.6. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.2% versus a minimum covenant, in accordance with the initial expected matrix point of 73.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2; and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2; and 'BBB+sf' for class E. 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. OSD CLO 2023-27: Fitch Assigns BB-sf Rating on E Notes ------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to OSD CLO 2023-27, Ltd. Entity/Debt Rating ----------- ------ OSD CLO 2023-27, Ltd. A LT AAAsf New Rating AL LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB+sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY OSD CLO 2023-27, Ltd., is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Onex Credit Partners, 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 loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.9, versus a maximum covenant, in accordance with the initial expected matrix point of 23.8. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.63% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.27% versus a minimum covenant, in accordance with the initial expected matrix point of 76%. Portfolio Composition (Positive): The largest three industries may constitute up to 50% of the portfolio balance in aggregate, while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a two-year replenishment period. The transaction's eligibility criteria are similar to other CLOs'. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the P&I waterfalls, and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of the classes at the other permitted matrix points is in line with that of other recent CLOs. The weighted average life (WAL) used for the transaction stress portfolio and matrix analyses is 12 months less than the WAL covenant to account for structural and replenishment conditions after the replenishment 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-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 class A notes, 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; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A+sf' for class D, and between 'BBB+sf' and 'BBsf' for class E. 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. PGA NATIONAL 2023-RSRT: Fitch Gives Final B+ Rating on HRR Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to PGA National Resort Commercial Mortgage Trust 2023-RSRT, commercial mortgage pass-through certificates, series 2023-RSRT. Entity/Debt Rating Prior ----------- ------ ----- PGA National Resort Commercial Mortgage Trust 2023-RSRT A 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 BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf HRR LT B+sf New Rating B+(EXP)sf - $127,300,000 class A 'AAAsf'; Outlook Stable; - $24,700,000 class B 'AA-sf'; Outlook Stable; - $19,500,000 class C 'A-sf'; Outlook Stable; - $27,400,000 class D 'BBB-sf'; Outlook Stable; - $38,600,000 class E 'BB-sf'; Outlook Stable; - $12,500,000(a) class HRR 'B+sf'; Outlook Stable. (a) horizontal credit risk retention interest. TRANSACTION SUMMARY The PGA National Resort Commercial Mortgage Trust 2023-RSRT (PGA 2023-RSRT) certificates represent the beneficial interests in a trust that holds a two-year (with three one-year extension options), floating-rate, IO $250 million mortgage loan secured by a first priority mortgage lien on the fee simple interests in the 339-key (plus 21 cottages) PGA National Resort, a full service resort hotel and golf course located in Palm Beach Gardens, FL. Loan proceeds were used to refinance approximately $199.4 million of existing debt, fund upfront reserves, pay closing costs and return approximately $46.3 million of cash equity to the sponsor. The loan sponsor is Brookfield Real Estate Partners III (BSREP III) and several related entities, collectively. The borrowers consist of two entities, BSREP III PBG Golf LLC and BSREP III PBG Resort LLC. The hotel is leased by the latter borrower to BSREP III PBG Resort TRS LLC, as operating lessee. The hotel portion of the property is managed by Crescent Hotel Management Services, LLC, and the golf courses are managed by Sequoia Management Services LLC d/b/a ClubLife Management LLC. KEY RATING DRIVERS Moderate Fitch Stressed Leverage: Fitch's stressed loan-to-value ratio (LTV) ratio, base case LTV, and debt yield (DY) for the total $250 million of trust debt are 94.3%, 81.6%, and 10.9%, respectively. The Fitch leverage metrics are based on a stressed cap rate of 10.25% and a net cash flow (NCF) of $27.2 million, a significant stress to current market metrics. High Quality Asset with Unique Amenities: The newly renovated hotel features six golf courses totaling 99 holes. This includes The Champion course, which has hosted nearly 40 professional golf events including a RyderCup, a PGA Championship, 19 Senior PGA Championships and 17 Honda Classic tournaments. Other amenities include 60,000 sf of event space, a 35,000-sf fitness center, a 40,000-sf spa, eight food and beverage (F&B) outlets and a private membership club providing varying access to the property amenities. Fitch assigned the PGA National Resort a property quality grade of 'B+'. Recent Capital Investment: Since its acquisition in December 2018 for $232 million, the sponsor has invested approximately $105.3 million in renovations that included a full guestroom and corridor overhaul, the repositioning and creation of the eight F&B outlets, the introduction of two new golf courses, a renovated spa, improved meeting space and a member's club, as well as addressing deferred maintenance left by the prior owner. In addition, the sponsor has purchased and renovated 21 two-bedroom cottages offering larger floorplans and more in-unit amenities. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf': - 10% NCF Decline: 'AAsf'/A-sf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'; - 20% NCF Decline: 'Asf'/'BBB-sf'/'BBsf'/'B+sf'/'CCCsf'/'CCCsf'; - 30% NCF Decline: 'BBBsf'/'BBsf'/'B+sf'/'B-sf'/'CCCsf'/'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan and related mortgaged properties in the data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS 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. PIKES PEAK 14 (2023): Fitch Assigns 'BB-' Rating on Cl. E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 14 (2023) Ltd. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 14 (2023) Ltd A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Pikes Peak CLO 14 (2023) 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 $340.0 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.59 versus a maximum covenant, in accordance with the initial expected matrix point of 24.60. 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 100.0% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.3% versus a minimum covenant, in accordance with the initial expected matrix point of 71.9%. Portfolio Composition (Positive): The largest three industries may constitute up to 45.0% 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 5.0-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 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, and 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, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. PRESTIGE AUTO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Prestige Auto Receivables Trust 2023-1's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 26, 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 availability of approximately 58.78%, 49.68%, 39.52%, 30.56% and 24.29% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash-flow scenarios. These credit support levels provide at least 3.10x, 2.60x, 2.10x, 1.60x, and 1.27x coverage of its expected cumulative net loss of 18.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x 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 it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which does not constrain the preliminary ratings. -- S&P's operational risk assessment of Prestige Financial Services Inc. as servicer, and its view of the company's underwriting and the backup servicing with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Prestige Auto Receivables Trust 2023-1 Class A-1, $41.10 million: A-1+ (sf) Class A-2, $90.16 million: AAA (sf) Class B, $43.59 million: AA (sf) Class C, $40.95 million: A (sf) Class D, $32.03 million: BBB (sf) Class E, $34.23 million: BB- (sf) RAD CLO 19: Fitch Gives 'BB-(EXP)' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to RAD CLO 19, Ltd. Entity/Debt Rating ----------- ------ Rad CLO 19, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY RAD CLO 19, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Irradiant Partners, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor of the indicative portfolio is 24.3, versus a maximum covenant, in accordance with the initial expected matrix point of 25.8. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97% first-lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 75.1% versus a minimum covenant, in accordance with the initial expected matrix point of 74.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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. 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 'AA+sf' and 'BBB+sf' for class A-2, between 'A+sf' and 'BB+sf' for class B, between 'BBB+sf' and 'B+sf' for class C, between 'BB+sf' and less than 'B-sf' for class D; and between 'B+sf' and less than 'B-sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Upgrade scenarios are not applicable to class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for class D; and 'BBB+sf' for class E. Class A-2 notes are already in the highest rating category. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ROCKFORD TOWER 2022-2: Fitch Affirms 'BB' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class B, C and D notes of Rockford Tower CLO 2022-1, Ltd. (Rockford Tower 2022-1) and the class B, D-1, D-2 and E notes of Rockford Tower CLO 2022-2, Ltd. (Rockford Tower 2022-2). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Rockford Tower CLO 2022-1, Ltd. B 77340JAC9 LT AAsf Affirmed AAsf C 77340JAE5 LT Asf Affirmed Asf D 77340JAG0 LT BBB-sf Affirmed BBB-sf Rockford Tower CLO 2022-2, Ltd. B 77340LAE0 LT AAsf Affirmed AAsf D-1 77340LAJ9 LT BBB+sf Affirmed BBB+sf D-2 77340LAL4 LT BBB-sf Affirmed BBB-sf E 77340NAA4 LT BBsf Affirmed BBsf TRANSACTION SUMMARY Rockford Tower 2022-1 and Rockford Tower 2022-2 are arbitrage collateralized loan obligations (CLOs) managed by Rockford Tower Capital Management, L.L.C. Rockford Tower 2022-1 closed in May 2022 and will exit its reinvestment period in July 2027. Rockford Tower 2022-2 closed in July 2022 and will exit its reinvestment period in July 2024. Both CLOs are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The affirmations are due to the portfolios' stable performance since closing. The credit quality of both portfolios as of March 2023 reporting is at the 'B'/'B-' rating level compared at the 'B' rating level at closing. The Fitch weighted average rating factors for Rockford Tower 2022-1 and Rockford Tower 2022-2 portfolios were 24.8 on average, compared to average 24.4 at closing. The portfolio for Rockford Tower 2022-1 consists of 304 obligors, and the largest 10 obligors represent 8.8% of the portfolio. Rockford Tower 2022-2 has 248 obligors, with the largest 10 obligors comprising 9.7% of the portfolio. There was one trustee reported defaulted asset comprising 0.1% of the portfolio for Rockford Tower 2022-1 and no reported defaults for Rockford Tower 2022-2. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 20.7% and 7.5%, respectively, for Rockford Tower 2022-1 and 20.5% and 6.4%, respectively, for Rockford Tower 2022-2. On average, first lien loans, cash and eligible investments comprise 98.3% of the portfolios and fixed rated assets 1.4% of the portfolios. Fitch's weighted average recovery rate of the portfolios was 75.4% on average, compared to average 74.9% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance for both transactions. Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since both transactions are still in their reinvestment periods. The FSP analysis stressed the- portfolios from the March 2023 trustee reports to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average life of 7.35 years for Rockford Tower 2022-1 and six years for Rockford Tower 2022-2. Weighted average spreads were stressed to the covenant minimum levels of 3.40% for Rockford Tower 2022-1 and 3.65% for Rockford Tower 2022-2. Second lien loans and senior secured bonds were stressed to 8.0% and 2.0%, respectively, for Rockford Tower 2022-1, and non-senior secured assets were stressed at 7.5% for Rockford Tower 2022-2. Other FSP assumptions for both CLOs include 5% fixed rate assets and 7.5% 'CCC' assets. The rating actions are in line with the model implied ratings (MIRs) as defined in the criteria, except for the class C and D notes in Rockford Tower 2022-1 and the class B and D-2 notes for Rockford Tower 2022-2. The class D notes for Rockford Tower 2022-1 were affirmed two notches below its MIR, and the other notes were affirmed one notch below their respective MIRs due to the minimal positive cushions derived on the MIRs from the re-run FSP, remaining reinvestment periods, and growing macroeconomic headwinds. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to two rating notches for Rockford Tower 2022-1 and up to three rating notches for Rockford Tower 2022-2, based on the MIRs. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five rating notches for both transactions, based on the MIRs. SANTANDER BANK 2022-A: Fitch Affirms 'BBsf' Rating on Class D Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the class B note and upgraded the classes C and D notes of Santander Bank Auto Credit-Linked Notes 2022-A. Additionally, class D has been assigned a Positive Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- Santander Bank Auto Credit- Linked Notes, Series 2022-A B 80290CAS3 LT BBBsf Affirmed BBBsf C 80290CAT1 LT BBBsf Upgrade BBsf D 80290CAU8 LT BBsf Upgrade Bsf TRANSACTION SUMMARY Santander Bank Credit-Linked Notes, Series 2022-A is a hypothetical financial guaranty issued for the purpose of transferring credit risk on a reference pool of auto loans from SBNA to private investors. While the reference pool is similar in concept to auto loan ABS, there is no actual sale of auto loans to an issuing agent; the risk transfer will be effected through a tranched financial guaranty wherein SBNA will be the buyer of protection on the auto receivables (the reference obligations, and collectively, the reference pool). The reference pool performance will be credit-linked to the notes being issued, but the actual cash flows from the pool will not be used to pay the noteholders. Instead, SBNA will be solely responsible for paying the interest and principal due on the notes, which will become general unsecured debt obligations of the bank. As a result of this reliance on SBNA, the ratings on the notes are directly linked to the bank. KEY RATING DRIVERS The affirmations and upgrades of the outstanding notes reflect loss coverage levels consistent with revised ratings for the transaction. The cumulative net losses (CNL) are tracking inside of Fitch's initial base case credit proxy, and hard credit enhancement levels (CE) have grown for all classes since close. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration of the portfolio's credit quality in stress scenarios, and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks reflect the potential for a rating upgrade in the next one to two years. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated base case proxy. For this transaction, the base case proxy was derived using Fitch's initial base case assumptions and projections based on current performance. The base case proxy utilized is 1.60%, revised from the initial 1.80% assigned at closing for the series 2022-A transaction. Given the current economic environment, Fitch deemed it appropriately conservative to utilize this approach for the transaction. As of the March 2023 servicer report, 60+ day delinquencies total 0.32%, and CNLs are 0.22%. CNLs are currently tracking within Fitch's revised CNL proxy of 1.60%. Hard CE has increased to 5.66%, 4.77%, and 3.75% from 4.50%, 3.50%, and 2.80% since close for the class B, C and D notes, respectively. Under the revised lifetime CNL proxy, cash flow modelling was able to support multiples in excess of the requisite multiples for all classes. Excessive Counterparty Exposure: The excessive exposure in the transaction arises due to SB's role providing a material degree of credit support to the transaction. Noteholders will not have recourse to the reference portfolio or to the cash generated by the assets. Instead, the transaction relies on SBNA to make interest payments based on the note rate and principal payments based on the performance of the reference pool. The monthly payment due will be deposited by SBNA into a segregated trust account held at Citibank, N.A. (A+/F1/Stable; the securities administrator) for the benefit of the notes. If SBNA fails to make a payment to noteholders, it will be deemed an event of default. SBNA is also the servicer and will retain the class A certificates. Given this dependence on the bank, ratings on the notes are directly linked to, and capped by, the IDR of the counterparty, SBNA (BBB+/F2/Stable)(June 14, 2022). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy, and affect available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss expectation for each transaction. To date, the transactions have strong performance with losses within Fitch's initial expectations with adequate loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset collateral to have a potential negative impact on the outstanding ratings. Factors that could, individually or collectively, lead to positive rating action/upgrade: Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than projected CNL proxy, the ratings could be maintained/upgraded. 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. SHACKLETON 2017-XI: Moody's Cuts Rating on $7.5MM F Notes to Caa3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Shackleton 2017-XI CLO, Ltd.: US$50,250,000 Class B-R1 Senior Secured Floating Rate Notes due 2030 (the "Class B-R1 Notes"), Upgraded to Aa1 (sf); previously on March 5, 2020 Assigned Aa2 (sf) US$9,750,000 Class B-R2 Senior Secured Fixed Rate Notes due 2030 (the "Class B-R2 Notes"), Upgraded to Aa1 (sf); previously on March 5, 2020 Assigned Aa2 (sf) Moody's has also downgraded the rating on the following notes: US$7,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on August 25, 2020 Downgraded to Caa2 (sf) Shackleton 2017-XI CLO, Ltd., originally issued in August 2017 and partially refinanced in March 2020 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in August 2022. RATINGS RATIONALE The upgrade rating actions reflect an expectation that the notes will continue to be repaid in order of seniority, given the end of the deal's reinvestment period in August 2022. During the amortization period, the deal also benefits from a shortening of the weighted average life of the portfolio, which corresponds to a reduction in portfolio default risk. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on trustee reported values, the Moody's-calculated OC ratios for the Class F notes were in 102.55% in March 2023 versus 104.69% in March 2022. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $460,725,891 Defaulted par: $10,152,838 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): (before accounting for reference rate floors): 3.38% Weighted Average Recovery Rate (WARR): 48.35% Weighted Average Life (WAL): 3.94 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SLM STUDENT 2008-2: S&P Lowers Class A-3 Notes Rating 'D (sf)' -------------------------------------------------------------- S&P Global Ratings lowered its rating on the class A-3 notes from SLM Student Loan Trust 2008-2 to 'D (sf)' from 'CC (sf)' and placed the class B notes on CreditWatch with developing implications. The notes are backed by student loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). S&P said, "We use a CreditWatch when we believe that there is at least a one-in-two likelihood of a rating change in the short term. CreditWatch with developing implications indicates that the rating on the class B notes may be raised, lowered, or affirmed. CreditWatch developing is used for situations where potential future events are unpredictable and differ so significantly that the rating could be raised, lowered, or affirmed. "Our review considered the transaction's collateral performance and liquidity position, overall credit enhancement, and capital and payment structures. We also considered secondary credit factors, such as credit stability, peer comparisons, and issuer-specific analyses." Rationale The downgrade of the class A-3 notes reflects the failure of the class A-3 to be repaid on its legal final maturity date. This class has faced liquidity constraints, as the loans have not amortized at a pace that allows for the class to be repaid by its legal final maturity date. The rating action primarily reflects the liquidity pressure the A-3 class is experiencing and not the credit enhancement levels available to the class for ultimate principal repayment, subsequent to its legal final maturity date. Under the transaction documents, a default of class A-3 is an event of default (EOD). After an EOD is triggered, the trustee and/or noteholders have several courses of action they can take, which may affect the amount and timing of payments that are expected to be received by the class B notes. For example, the allocation of payments per the pre-EOD waterfall could be maintained, or the allocation of payments per the post-EOD waterfall could occur, or the trust estate could be sold. In addition, uncapped expenses could be allowed post-EOD. As such, the class B notes are placed on CreditWatch developing until the post-EOD actions are determined. This transaction is backed by student loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). The ED reinsures at least 97% of the principal and interest on defaulted loans serviced, according to the FFELP guidelines. Due to the high level of recoveries from the ED on defaulted loans, defaults effectively function similarly to prepayments. S&P said, "Thus, we expect net losses to be minimal. While our expectation of net losses is minimal, the pace of the collateral amortization is such that we expect the class A-3 notes to be repaid subsequent to their legal final maturity date." CreditWatch S&P will determine whether to raise, lower, or affirm its rating on the class B notes, based on the trustee's and/or the noteholders' actions after the event of default. SOLOSO CDO 2007-1: Fitch Affirms Csf Rating on 3 Tranches --------------------------------------------------------- Fitch Ratings has downgraded the rating of the class A-1LA notes and affirmed the class A-1LB, A-2L, A-3L, A-3F and B-1L of Soloso CDO 2007-1 Ltd./Corp. (Soloso 2007-1). Class A-1LA was removed from Rating Watch Negative and assigned a Stable Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- Soloso CDO 2007-1 Ltd./Corp. A-1LA 83438JAA4 LT A+sf Downgrade AA-sf A-1LB 83438JAC0 LT A-sf Affirmed A-sf A-2L 83438JAE6 LT B+sf Affirmed B+sf A-3F 83438JAJ5 LT Csf Affirmed Csf A-3L 83438JAG1 LT Csf Affirmed Csf B-1L 83438JAL0 LT Csf Affirmed Csf TRANSACTION SUMMARY Soloso 2007-1 is a collateralized debt obligation (CDO) collateralized primarily by trust preferred securities (TruPS) issued by banks. KEY RATING DRIVERS The downgrade was due to the deterioration of the credit quality of the collateral portfolio, as measured by a combination of Fitch's bank scores and public ratings, where 20% downgrades outpaced 9% upgrades since the January 2023 review. This negative migration includes the two-notch downgrade of a bank that Fitch placed on Rating Watch Negative (RWN) on March 10, 2023, which comprises 2% of its portfolio balance. No new cures, deferrals or defaults have been reported. The rating on the class A-1LA notes is one notch lower than its model-implied rating (MIR) as defined in the criteria due to the sensitivity of the rating outcome in the interest shortfall scenario. All other rated noted are in line with their MIR. The Stable Outlooks on the notes 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 such classes' rating. 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. SOUND POINT VII-R: Moody's Lowers Rating on $10MM F Notes to Caa2 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following note issued by Sound Point CLO VII-R, Ltd.: US$10,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa2 (sf); previously on August 14, 2020 Downgraded to B3 (sf) Sound Point CLO VII-R, Ltd., originally issued in October 2018 and partially refinanced in June 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2023. RATINGS RATIONALE The downgrade rating action on the Class F notes is primarily due to loss of par and deterioration in Over-Collateralization (OC) ratio. Based on Moody's calculation, the transaction's current performing par plus principal proceeds total is approximately $479 million compared to the reinvestment target par of $500 million. In addition, according to Moody's calculation, the Class F OC ratio is currently 102.15%. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $478,989,189 Defaulted par: $10,073,413 Diversity Score: 81 Weighted Average Rating Factor (WARF): 2626 Weighted Average Spread (WAS): 3.45% Weighted Average Recovery Rate (WARR): 47.04% Weighted Average Life (WAL): 4.59 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in this rating 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 Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TABERNA PREFERRED IX: Fitch Affirms 'Dsf' Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has downgraded the ratings of the class A-1LA and A-1LAD notes and affirmed the class A-1LB, A-2LA, A-2LB, A-3LA, A-3LB, B-1L and B-2L of Taberna Preferred Funding IX, Ltd./Inc. (Taberna IX). The Rating Outlooks for class A-1LA and A-1LAD are Stable. Fitch has also removed class A-1LA and A-1LAD from Rating Watch Negative (RWN), which were placed on March 24, 2023. Entity/Debt Rating Prior ----------- ------ ----- Taberna Preferred Funding IX, Ltd./Inc. Class A-1LA 87331XAA2 LT BBB+sf Downgrade A-sf Class A-1LAD 87331XAB0 LT BBB+sf Downgrade A-sf Class A-1LB 87331XAH7 LT Dsf Affirmed Dsf Class A-2LA 87331XAJ3 LT Dsf Affirmed Dsf Class A-2LB 87331XAK0 LT Csf Affirmed Csf Class A-3LA 87331XAL8 LT Csf Affirmed Csf Class A-3LB 87331XAM6 LT Csf Affirmed Csf Class B-1L 87331XAN4 LT Csf Affirmed Csf Class B-2L 87331WAA4 LT Csf Affirmed Csf TRANSACTION SUMMARY Taberna IX is a collateralized debt obligation (CDO) collateralized by trust preferred securities (TruPS), senior and subordinated debt issued by real estate investment trusts (REITs), corporate issuers and tranches of commercial mortgage-backed securities. KEY RATING DRIVERS The downgrade of Taberna IX's class A-1LA and A-1LAD notes is due to Fitch's downgrade of Pacific Western Bank (PWB) to 'BB+' from 'BBB-' with a Negative Rating Outlook on April 14, 2023. Taberna IX has exposure to PWB, comprising 8% of its portfolio balance. Fitch also removed PWB from RWN. The transaction is in acceleration, which diverts excess spread to the most senior classes outstanding while cutting off interest due on the timely class A-1LB and A-2LA notes, which are currently rated 'Dsf'. The rating actions are in line with the model implied ratings (MIRs) as defined in the criteria. The Stable Outlooks 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 such classes' rating. Non-rated collateral made up 18% of the performing pool. These assets are assumed to have default probability corresponding to the 'CCC' quality. The non-rated assets reflect lack of information required to evaluate these assets via credit opinions. As transactions are deleveraging, Fitch expects increasing reliance on non-rated assets and will continue to evaluate the adequacy of information to maintain the ratings. 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/Downgrade 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. TRALEE CLO IV: S&P Affirms B- (sf) Rating on Class F Notes ---------------------------------------------------------- S&P Global Ratings placed its ratings on 10 classes from nine CLO transactions on CreditWatch with negative implications. The transactions in the CreditWatch placements are in their amortization phase, and all of these tranches have already had a rating action in the past. While paydowns to senior notes are generally a positive for the credit enhancement of the senior portion of the capital structure, increased exposure to poor-quality assets and portfolio concentration in such amortizing transactions can increase the credit risk of the junior CLO notes. Per the recent trustee reports, all of these CLOs are failing their junior overcollateralization (O/C) tests, which, in some cases, have deteriorated since the time of our last rating action. Some of these tranches have started to defer some of their interest. S&P expects this to continue as long as their senior coverage tests fail and the transaction does not have adequate proceeds to cure those failures. The decline in the O/C ratios is primarily due to the increase in haircut due to excess exposure to 'CCC' rated assets and defaults. In addition, we considered other factors, such as indicative cash flow runs, existing defaults, current exposure to 'CCC' collateral, and the tranches' current pure O/C ratios (without any haircut) in relation to the overall market average. The decline in the credit support led to the CreditWatch negative placements on these junior CLO notes. S&P said, "We intend to resolve these CreditWatch placements within 90 days, following a committee review. We will continue to monitor the transactions we rate and take rating actions, including CreditWatch placements, as we deem appropriate." Ratings Placed On CreditWatch With Negative Implications Cathedral Lake CLO 2013 Ltd. Class D-R to 'B (sf)/Watch Neg' from 'B (sf)' Cent CLO 21 Ltd. Class D-R2 to 'BB- (sf)/Watch Neg' from 'BB- (sf)' Class E-R2 to 'B- (sf)/Watch Neg' from 'B- (sf)' Columbia Cent CLO 28 Ltd. Class D to 'B+ (sf)/Watch Neg' from 'B+ (sf)' Marathon CLO VII Ltd. Class D to 'CCC (sf)/Watch Neg' from 'CCC (sf)' Shackleton 2013-III CLO Ltd. Class F-R to 'B- (sf)/Watch Neg' from 'B- (sf)' Telos CLO 2013-4 Ltd. Class E-R to 'B (sf)/Watch Neg' from 'B (sf)' Telos CLO 2014-5 Ltd. Class E-R to 'B- (sf)/Watch Neg' from 'B- (sf)' Telos CLO 2014-6 Ltd. Class E to 'CCC+ (sf)/Watch Neg' from 'CCC+ (sf)' Tralee CLO IV Ltd. Class F to 'B- (sf)/Watch Neg' from 'B- (sf)' VIBRANT CLO XVI: Fitch Assigns 'BB-(EXP)' Rating on Cl. D Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Vibrant CLO XVI, Ltd. Entity/Debt Rating ----------- ------ Vibrant CLO XVI, Ltd. A-1A LT NR(EXP)sf Expected Rating A-1AL LT NR(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB-(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Vibrant CLO XVI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Vibrant Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor of the indicative portfolio is 24.67, versus a maximum covenant, in accordance with the initial expected matrix point of 25.27. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 75.7% versus a minimum covenant, in accordance with the initial expected matrix point of 72.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1B, between 'BB+sf' and 'A+sf' for class A-2, between 'Bsf' and 'BBB+sf' for class B, between 'less than B-sf' and 'BB+sf' for class C; and between 'less than B-sf' and 'B+sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Downgrade 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, 'Asf' for class C; and 'BBB+sf' for class D. Upgrade scenarios are not applicable to the class A-1B notes, as these notes are in the highest rating category of 'AAAsf'. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis, according to its applicable rating methodologies, indicates that it is adequately reliable. WAND NEWCO 3: S&P Alters Outlook to Positive, Affirms 'B-' ICR -------------------------------------------------------------- S&P Global Ratings revised its outlook on Wand NewCo 3 Inc. (doing business as Caliber Collision) to positive from stable and affirmed its ratings, including its 'B-' issuer credit rating. The positive outlook reflects that S&P could raise its ratings on the company over the next 12 months if labor shortages, inflationary pressures, and weaker macroeconomic conditions does not significantly affect its operating performance and its credit metrics remain in line with our expectations. S&P said, "The outlook revision reflects Caliber's sound operating performance in 2022 and our expectation it will continue to benefit from favorable demand trends in 2023.The company's operating performance improved in 2022 supported by the healthy demand for collision repairs as vehicle miles traveled remained strong. At the same time, labor shortages and wage inflation kept supply in the collision repair industry tight, causing repair demand to materially outpace capacity during the year. These dynamics enabled Caliber to increase the prices it charged to insurance companies, which supported its financial performance. Consequently, the company improved its debt to EBITDA (to 7.3x in 2022 from 10.1x in 2021) and free operating cash flow (FOCF) to debt (to 4.9% in 2022 from 1.7% in 2021). "We forecast Caliber's credit metrics will improve in 2023.We anticipate that the demand for collision repairs will continue to outpace capacity over the next 12 month. While we believe the volume of vehicle miles traveled has fully recovered from the effects of the coronavirus pandemic, we view the collision repair industry as still rebuilding from the disruption stemming from COVID-19, especially in terms of labor capacity. Furthermore, we see Caliber as well positioned to benefit from this trend over the next 12 months, which will likely support a solid financial performance in 2023. This is offset to some degree by ongoing inflationary pressures, labor shortages, and limited parts availability. Additionally, Caliber's aggressive acquisition and development strategy, which entails requires high initial investments and additional staffing, limits it capacity to generate FOCF and improve its credit measures. "Nonetheless, we believe the fundamentals of the collision repair industry remain favorable. Steady increases in the volume of vehicle miles traveled and a rise in repair severity--stemming from the higher complexity of modern vehicle technology--is leading to more auto insurance claims at a higher cost of repair, which we view as a tailwind over the medium term. However, we will continue to monitor the number of total losses as a share of claims. Insurance companies may find it cheaper to pay for a new car rather than repair an old one. Therefore, we forecast Caliber's debt to EBITDA will improve to the mid-6x area in 2023 and to about 6x in 2024. We also forecast the company will increase its FOCF to debt to the mid-5% area in 2023 and the 7% area in 2024. "Caliber is the largest collision repair company in the U.S. with an economically resilient business model. Historically, the collision repair industry has remained stable, even during recessions, because demand is mainly related to the volume of vehicle miles driven and insurance claims. However, we also view Caliber's business as highly concentrated with limited scale, a narrow scope of operations, and a lack of diversity. "Despite the positive outlook, we expect Caliber will remain acquisitive in 2023, utilizing its available liquidity, while maintaining elevated leverage. The company and its sponsors' primary strategy is to expand rapidly by acquiring and building new stores. After adding about 200 centers in 2021 and about 135 centers in 2022, Caliber intends to add between 130 and 175 new stores in 2023. These acquisitions and developments necessitate high initial investment, which we anticipate it will likely finance with a combination of cash from operations and available liquidity. However, Caliber has maintained adequate liquidity because it managed to extend and upsize its revolving credit facility (to 2025 and $344 million) before year-end 2022, which eliminated its near-term maturities. Consequently, its total liquidity was over $345 million as of Dec. 31, 2022, including cash on hand and revolver availability. In March 2023, Caliber upsized the revolver to $385 million, further improving its liquidity position. Furthermore, the company's interest-rate swaps provide some stability and visibility into its exposure to rising interest rates through its floating-rate debt, especially in 2023, which we expect will remain manageable. "The positive outlook on Caliber reflects the at least one-in-three chance we will raise our ratings over the next 12 months if the demand environment for collision repairs remains favorable and the company continues to expand its labor capacity in 2023, supporting a sustained improvement in its credit metrics. "We could revise our outlook on Caliber to stable if its EBITDA contracts due to integration issues, protracted technical labor and parts constraints, and an inability to the raise prices it charges insurance companies, which would make a sustained improvement in its leverage or FOCF generation unlikely. "We could raise our ratings on Caliber if it reduces its debt to EBITDA below 7x while maintaining FOCF to debt of at least 3%-5% on a sustained basis. This could occur if it sustainably improves its margins and employs a less-aggressive growth strategy." ESG credit indicators: E-2, S-2, G-3 S&P said, "Environmental credit factors have an overall neutral influence on our rating analysis of Caliber. The company is focused on collision repair, the demand and cost for which will face no material impact from the increased electrification of the powertrain. While the company must manage its use of paint and disposal of old parts, the cost of oversight is quite reasonable. Governance is a moderately negative consideration. Our highly leveraged assessment of the company's financial risk profile reflects its corporate decision-making that prioritizes the interests of its controlling owners, in line with our view of the majority of rated entities owned by private-equity sponsors. Our assessment also reflects private-equity owners' generally finite holding periods and focus on maximizing shareholder returns." WFRBS COMMERCIAL 2012-C10: Moody's Cuts Cl. C Certs Rating to B3 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes and downgraded the ratings on four classes in WFRBS Commercial Mortgage Trust 2012-C10 ("WFRBS 2012-C10"), Commercial Mortgage Pass-Through Certificates Series 2012-C10 as follows: Cl. A-S, Affirmed Aaa (sf); previously on Apr 5, 2022 Affirmed Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Apr 5, 2022 Downgraded to A3 (sf) Cl. C, Downgraded to B3 (sf); previously on Apr 5, 2022 Downgraded to B1 (sf) Cl. D, Affirmed Caa3 (sf); previously on Apr 5, 2022 Downgraded to Caa3 (sf) Cl. E, Downgraded to C (sf); previously on Apr 5, 2022 Downgraded to Ca (sf) Cl. F, Affirmed C (sf); previously on Apr 5, 2022 Affirmed C (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Apr 5, 2022 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Ba2 (sf); previously on Apr 5, 2022 Downgraded to Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on one P&I class was affirmed because of its substantial credit support and expected recoveries from the remaining loans. The ratings on three P&I classes were downgraded due to higher anticipated losses and increased risk of interest shortfalls from specially serviced loans. All of the remaining loans are in special servicing and four of the loans are secured by regional malls. The largest loan, the Republic Plaza Loan (36% of the deal), is secured by an office property that has seen a 22% decline in net operating income (NOI) in 2022 from 2013 and has had a recent appraised value of $298 million, a 44% decline from the value at securitization. The rating on one P&I class, Cl. D, was affirmed due to the rating being consistent with expected losses from specially serviced loans, the expected loss and recovery scenarios to reflect the recovery value on the remaining loans, the cash flow on the remaining loans and the timing to ultimate resolution. The rating on one P&I class, Cl. F, was affirmed due to the rating being consistent with the expected losses from the specially serviced loans. The rating on one IO class was affirmed based on the credit quality of its referenced classes. The rating on one IO class was downgraded due to a decline in the credit quality of its referenced classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 45.3% of the current pooled balance, compared to 11.2% at Moody's last review. Moody's base expected loss plus realized losses is now 10.4% of the original pooled balance, compared to 8.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 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 class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the March 17, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 77% to $300 million from $1.31 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from 3% to 36% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of four, compared to a Herf of 13 at Moody's last review. One loan has been liquidated from the pool, resulting in an aggregate realized loss of less than $100,000. All remaining loans are currently in special servicing. The largest specially serviced loan is the Republic Plaza Loan ($108.1 million – 36.0% of the pool), which represents a pari-passu portion of a $242.1 million loan. The loan is secured by a 56-story Class-A trophy office tower and a separate 12-story parking garage located in downtown Denver, Colorado. Major tenants include Encana Oil & Gas, DCP Midstream LP and Wheeler Trigg O'Donnell LLP. DCP Midstream LP, which leases approximately 11% of the net rentable area (NRA), reportedly plans to vacate at their lease expiration in May 2023. The property was 79% leased as of December 2022, compared to 80% in September 2021, 82% in December 2020 and 96% in December 2019. This loan passed its maturity date in 2022 and has since become nonperforming. The second largest specially serviced loan is the Dayton Mall Loan ($74.3 million – 24.7% of the pool), which is secured by a 778,500 square foot (SF), component of a 1.45 million SF, two-story regional mall located in Dayton, Ohio. The property is sponsored by Washington Prime Group (WPG). The mall's current anchor tenants include Macy's (non-collateral), JC Penney (collateral) and Dick's Sporting Goods (collateral). Sears, a prior non-collateral anchor, closed at this location during 2018. The mall has had other major tenants vacate due to bankruptcy including a 203,000 SF Elder Beerman (non-collateral) in early 2018 and a 30,000 SF HHgregg (collateral) in 2017. The former HHgregg space has since been replaced by Ross Dress for Less which opened in October 2019. The total mall was 92% occupied as of December 2022. Property performance has steadily declined since securitization. Year-end 2019 and 2020 NOI were 41% and 45% lower than securitization, respectively. The loan transferred to special servicing in June 2021 due to the sponsor filing for bankruptcy. WPG has deemed the property as a non-core asset and requested the lender to consider taking title to the property via a Deed in Lieu or appoint a receiver to the property. A receiver was appointed in December 2021 and is working to stabilize occupancy at the property, as well as collect past due rents. The loan has passed its maturity date in 2022 but is performing. The third largest specially serviced loan is the Rogue Valley Mall Loan ($47.7 million – 15.9% of the pool), which is secured by a 453,935 SF component of an approximately 640,000 SF two-story regional mall located in Medford, Oregon. The mall has two non-collateral anchors, Macy's and Kohl's, and two collateral anchors, JCPenney and Macy's Home Store. The mall is the dominant mall in the trade area and the only enclosed regional mall within a 100-mile radius. Performance has declined since securitization, with 2019 NOI down 26% compared to underwriting. The collateral was 88% leased as of June 2022, compared to 91% leased in September 2021, 94% in December 2019 and 96% in December 2018. The loan transferred to special servicing in June 2020 for payment default. The loan was returned to the master servicer as a corrected mortgage effective October 2021 but has since passed its maturity date in 2022 and is performing. The remaining three specially serviced loans are all performing and past their maturity dates. The Animas Valley Mall loan is secured by a regional mall located in Farmington, New Mexico that has reportedly been listed for sale and a winning bidder selected. The Towne Mall loan is secured by a regional mall located in Elizabethtown, Kentucky that has had a more than 80% decline in appraised value from securitization. The Philadelphia Industrial Portfolio loan is secured by an industrial portfolio located in Philadelphia, Pennsylvania. Moody's estimates an aggregate $126.6 million loss for the specially serviced loans (49% expected loss on average). As of the March 2023 remittance statement cumulative interest shortfalls were $674,553. Moody's anticipates interest shortfalls will continue and may increase because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. WIND RIVER 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Wind River 2023-1 CLO Ltd./Wind River 2023-1 CLO LLC's floating-rate notes. The notes 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 First Eagle Alternative Credit LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Wind River 2023-1 CLO Ltd./Wind River 2023-1 CLO LLC Class A, $305.00 million: AAA (sf) Class B, $62.50 million: AA (sf) Class C-1 (deferrable), $22.50 million: A (sf) Class C-2 (deferrable), $15.00 million: A (sf) Class D (deferrable), $22.50 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $56.40 million: Not rated WOODMONT 2023-11: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Woodmont 2023-11 Trust's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by middle-market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by MidCap Financial Services Capital Management LLC. The preliminary ratings are based on information as of April 20, 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 diversification of the collateral pool, which consists primarily of middle market speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Woodmont 2023-11 Trust Class A-1, $522.00 million: AAA (sf) Class A-2, $36.00 million: AAA (sf) Class B, $54.00 million: AA (sf) Class C (deferrable), $72.00 million: A+ (sf) Class D (deferrable), $54.00 million: BBB (sf) Class E (deferrable), $54.00 million: BB- (sf) Certificates, $113.82 million: Not rated [*] DBRS Reviews 472 Classes From 24 US RMBS & ReREMIC Deals ------------------------------------------------------------ DBRS, Inc. reviewed 472 classes from 24 U.S. residential mortgage-backed securities (RMBS) and resecuritization of real estate mortgage investment conduit (ReREMIC) transactions. Of the 472 classes reviewed, DBRS Morningstar confirmed 470 ratings and discontinued two ratings. The Affected ratings Are Available at https://bit.ly/41w2BoI The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the full repayment of principal to bondholders. The pools backing the reviewed RMBS and ReREMIC transactions consist of prime, Alt-A, option adjustable-rate mortgage, and non-Qualified Mortgage collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output. -- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4 -- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4 -- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4 -- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4 -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3 -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-A -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-X -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-Y -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-Z -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-4 -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-5 -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-2 -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-2-A -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-2-X -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-3 -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-3-A -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-3-X -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-4 -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-5 -- Mello Mortgage Capital Acceptance 2021-MTG2, Mortgage Pass-Through Certificates, Series 2021-MTG2, Class B5 -- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3 -- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4 -- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3 -- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-14 -- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-18 -- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-22 -- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-26 -- BCAP LLC 2008-RR2 Trust, Resecuritization Pass-Through Certificates, Series 2008-RR2, Class A-32 -- RUN 2022-NQM1 Trust, Mortgage-Backed Notes, Series 2022-NQM1, Class B-2 Notes: The principal methodology applicable to the ratings is U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498) [*] Moody's Takes Action on $168MM of US RMBS Issued 1998-2006 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 bonds and downgraded the ratings of three bonds from eight US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3LbRoD9 Complete rating actions are as follows: Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Cl. M-3, Upgraded to Aaa (sf); previously on Jul 21, 2022 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Aa1 (sf); previously on Jul 21, 2022 Upgraded to Aa3 (sf) Cl. M-5, Upgraded to Baa2 (sf); previously on Jul 21, 2022 Upgraded to Ba1 (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-7 Cl. A-1, Downgraded to Aa1 (sf); previously on Oct 15, 2004 Assigned Aaa (sf) Cl. A-2, Downgraded to A1 (sf); previously on Jul 5, 2022 Downgraded to Aa2 (sf) Cl. M-1, Downgraded to Baa2 (sf); previously on Jul 5, 2022 Downgraded to A3 (sf) Issuer: CSFB Home Equity Asset Trust 2005-8 Cl. M-2, Upgraded to Aa3 (sf); previously on Jul 12, 2022 Upgraded to A2 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-4 Cl. M-6, Upgraded to Baa1 (sf); previously on Jul 12, 2022 Upgraded to Baa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-11 Cl. AF-5A, Upgraded to A1 (sf); previously on Jul 7, 2022 Upgraded to A3 (sf) Cl. AF-5B, Upgraded to A1 (sf); previously on Jul 7, 2022 Upgraded to A3 (sf) Underlying Rating: Upgraded to A1 (sf); previously on Jul 7, 2022 Upgraded to A3 (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Stable on June 22, 2022) Cl. AF-6, Upgraded to Aa3 (sf); previously on Jul 7, 2022 Upgraded to A2 (sf) Issuer: IMC Home Equity Loan Trust 1998-1 A-5, Upgraded to A3 (sf); previously on Oct 26, 2018 Upgraded to Baa2 (sf) A-6, Upgraded to A2 (sf); previously on Oct 26, 2018 Upgraded to A3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8 Cl. M-1, Upgraded to A2 (sf); previously on Jul 21, 2022 Upgraded to Baa1 (sf) Issuer: Morgan Stanley Capital I Inc. Trust 2006-NC2 Cl. A-2d, Upgraded to Aa2 (sf); previously on Jul 21, 2022 Upgraded to A1 (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. The rating downgrades are primarily due to a deterioration in collateral performance, and/or decline in credit enhancement available to the bonds due to the deal passing performance triggers. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Upgrades $321MM of US RMBS Issued 2004-2007 ------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 16 bonds from nine US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3n28sn4 The complete rating actions are as follows: Issuer: Chase Funding Trust, Series 2004-1 Cl. IA-5, Upgraded to A2 (sf); previously on Jul 21, 2022 Upgraded to Baa1 (sf) Cl. IA-7, Upgraded to A2 (sf); previously on Jul 21, 2022 Upgraded to Baa1 (sf) Issuer: Long Beach Mortgage Loan Trust 2006-1 Cl. I-A, Upgraded to Aa3 (sf); previously on Jul 21, 2022 Upgraded to A2 (sf) Issuer: Nationstar Home Equity Loan Trust 2007-B Cl. 1-AV-1, Upgraded to Aaa (sf); previously on Jul 21, 2022 Upgraded to Aa2 (sf) Cl. 2-AV-4, Upgraded to Aa3 (sf); previously on Jul 21, 2022 Upgraded to A2 (sf) Issuer: Nomura Home Equity Loan Trust 2005-HE1 Cl. M-5, Upgraded to Aa3 (sf); previously on Jul 21, 2022 Upgraded to A2 (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC2 Cl. A-1, Upgraded to A1 (sf); previously on Jul 21, 2022 Upgraded to A3 (sf) Issuer: Soundview Home Loan Trust 2006-OPT2 Cl. A-4, Upgraded to Aa3 (sf); previously on Jul 21, 2022 Upgraded to A1 (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF4 Cl. M6, Upgraded to Aa1 (sf); previously on Jul 21, 2022 Upgraded to Aa3 (sf) Cl. M7, Upgraded to A2 (sf); previously on Jul 21, 2022 Upgraded to Baa1 (sf) Cl. M8, Upgraded to Caa3 (sf); previously on Dec 1, 2017 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2006-BC6 Cl. A1, Upgraded to Aa2 (sf); previously on Jul 21, 2022 Upgraded to A1 (sf) Cl. A4, Upgraded to Aaa (sf); previously on Jul 21, 2022 Upgraded to Aa1 (sf) Cl. A5, Upgraded to A1 (sf); previously on Jul 21, 2022 Upgraded to A3 (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF1 Cl. M5, Upgraded to Aa3 (sf); previously on Jul 21, 2022 Upgraded to A2 (sf) Cl. M6, Upgraded to Caa1 (sf); previously on Jul 21, 2022 Upgraded to Caa2 (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. 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 47 Classes From 16 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 47 ratings from 16 U.S. RMBS transactions issued between 1998 and 2006. The review yielded five upgrades, six downgrades, and 36 affirmations. A list of Affected Ratings can be viewed at: https://bit.ly/3Ne87bG Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical and/or outstanding missed interest payments/interest shortfalls; -- Payment priority; and -- The assessment of reduced interest payments due to loan modifications and other credit-related events. 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. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "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." ********* 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. 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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 ***