/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230625.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, June 25, 2023, Vol. 27, No. 175 Headlines ACCESS TO LOANS IV: S&P Lowers Class A-11 Bonds Rating to D (sf) ANGEL OAK 2023-3: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Certs ANGEL OAK 2023-4: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Debts BBCMS MORTGAGE 2023-C20: Fitch Gives B-(EXP)sf Rating on H-RR Certs BRAVO RESIDENTIAL 2023-NQM4: Fitch Gives Bsf Rating on B-2 Notes CHNGE MORTGAGE 2023-2: DBRS Finalizes B(high) Rating on B-2 Certs CHNGE MORTGAGE 2023-3: Fitch Gives 'B(EXP)sf' Rating on B-2 Certs COMMERCIAL MORTGAGE 2000-CMLB1: Moody's Cuts Cl. X Certs to Caa3 ELLINGTON CLO I: Moody's Cuts Rating on $12.4MM F-R Notes to Ca ELLINGTON CLO II: Moody's Cuts Rating on $45MM Class E Notes to Ca EXETER 2023-3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes FLAGSHIP CREDIT: DBRS Confirms 12 Ratings from 11 Transactions GENERATE CLO 10: Fitch Affirms BB- Rating on Class E Notes GOLUB CAPITAL 62(B): Fitch Affirms BB- Rating on Cl. E Notes HOMES TRUST 2023-NQM2: DBRS Gives Prov. B Rating on B-2 Certs JP MORGAN 2014-C20: Moody's Lowers Rating on Cl. C Certs to Ba2 JP MORGAN 2023-4: DBRS Gives Prov. B(low) Rating on B-5 Certs MORGAN 2013-ALTM: S&P Affirms BB- (sf) Rating on Class E Certs MORGAN STANLEY 2015-C21: DBRS Confirms C Rating on 3 Classes NATIXIS COMMERCIAL 2019-MILE: DBRS Confirms B(low) Rating on F Debt PRPM 2023-RCF1: Fitch Assigns Final BB-sf Rating on Class M-2 Notes RCKT MORTGAGE 2023-CES1: Fitch Gives B(EXP)sf Rating on B-2 Notes REGATTA XXV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes SLM STUDENT 2012-1: Fitch Affirms Bsf Rating on Two Tranches SOUND POINT IV-R: Moody's Cuts Rating on $30MM Class E Notes to B1 STACR REMIC 2023-HQA1: DBRS Finalizes BB(high) Rating on 16 Classes STRUCTURED ASSET 2004-AR7: Moody's Cuts Rating on Cl. X Debt to Ca STUDENT LOAN 2007-2: Moody's Cuts Rating on Cl. IO Certs to Caa2 ZAIS CLO 19: S&P Assigns Prelim BB- (sf) Rating on Class E Notes [*] DBRS Reviews 463 Classes From 42 US RMBS Transactions [*] S&P Takes Various Actions on 56 Classes From 14 US RMBS Deals ********* ACCESS TO LOANS IV: S&P Lowers Class A-11 Bonds Rating to D (sf) ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on six classes from Access To Loans For Learning Student Loan Corp.'s series IV master trust to 'D (sf)', and then subsequently withdrew our ratings on these classes (see list). The trust is a student loan asset-backed securities trust collateralized by a pool of consolidation loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). S&P was informed that a settlement agreement was reached in which the trust assets were liquidated and the remaining proceeds were allocated to the senior noteholders. The proceeds were not enough to repay all of the senior and subordinate notes. The senior and subordinate notes that are not redeemed will then be cancelled. The rating actions reflect that the notes will not be redeemed in full. The senior and subordinate bonds were previously downgraded to 'CCC (sf)' and 'CC (sf)', respectively, in accordance with S&P's 'CCC'/'CC' criteria, "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. Classes rated 'CCC (sf)' did not have sufficient collateralization and were vulnerable to nonpayment without favorable business, financial, or economic conditions. The 'CC' rating reflected our expectation that default would be virtually certain, regardless of the time to default. Ratings Lowered Access to Loans For Learning Student Loan Corp. (Series IV) -- Series IV A-6 THRU A-10, IV-C-2, class IV-A-8: to 'D (sf)' from 'CCC (sf)' -- Series IV A-14 THRU A-18, class IV-A-14: to D (sf) from 'CCC (sf)' -- Series IV A-14 THRU A-18, class IV-A-16: to D (sf) from 'CCC (sf)' -- Series IV A-14 THRU A-18, class IV-A-17: to D (sf) from 'CCC (sf)' -- Series IV A-14 THRU A-18, class IV-A-18: to D (sf) from 'CCC (sf)' -- Series IV A-11, A-12, class IV-C-1: to D (sf) from 'CC (sf)' ANGEL OAK 2023-3: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2023-3 (AOMT 2023-3). Entity/Debt Rating ----------- ------ AOMT 2023-3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the RMBS to be issued by Angel Oak Mortgage Trust 2023-3 Series 2023-3 (AOMT 2023-3) as indicated above. The certificates are supported by 732 loans with a balance of $416.93 million as of the cutoff date. This represents the 29th Fitch-rated AOMT transaction and the third Fitch-rated AOMT transaction in 2023. The certificates are secured by mortgage loans mainly originated by Angel Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC (AOHL). All other originators make up less than 10% of the loan pool. Of the loans, 67.1% are designated as nonqualified mortgage (non-QM) loans, and 32.9% are investment properties not subject to the Ability to Repay (ATR) Rule. There is no Libor exposure in this transaction, as none of the ARM loans reference Libor and the certificates do not have Libor exposure. Class A-1, A-2 and A-3 certificates are fixed rate, are capped at the net weighted average coupon (WAC) and have a step-up feature. Class M-1, B-1, B-2 and B-3 certificates are principal-only classes and are not entitled to receive payments of interest. In addition, the waterfall will prioritize payment to the A-1, A-2 and/or A-3 interest payments prior to the payment of principal. 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 5.2% above a long-term sustainable level (versus 7.8% on a national level as of March 2023, down 2.7% qoq). The rapid gain in home prices through the coronavirus pandemic has shown signs of moderating, with a decline observed in 3Q22. Driven by the strong gains observed in 1H22, home prices rose 5.8% yoy nationally as of December 2022. Non-QM Credit Quality (Mixed): The collateral consists of 732 loans totaling $416.93 million and seasoned at approximately 16 months in aggregate, according to Fitch, and 15 months per the transaction documents. The borrowers have a strong credit profile (a 738 FICO and a 41.5% debt-to-income [DTI] ratio, both as determined by Fitch), along with relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 73.2%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 72.2%. Of the pool, 66.1% represents loans whereby the borrower maintains a primary or secondary residence, while the remaining 33.9% comprises investor properties based on Fitch's analysis. Fitch determined that 11.2% of the loans were originated through a retail channel. Additionally, 67.1% are designated as non-QM, while the remaining 32.9% are exempt from QM status, as they are investor loans. The pool contains 108 loans over $1.0 million, with the largest amounting to $3.0 million. Loans on investor properties (7.0% underwritten to the borrower's credit profile and 26.9% comprising investor cash flow and no ratio loans) represent 33.9% of the pool, as determined by Fitch. There are no second lien loans, and 1.5% of the borrowers were viewed by Fitch as having a prior credit event in the past seven years. Per the transaction documents, one of the loans has subordinate financing. In Fitch's analysis, Fitch also considered loans with deferred balances to have subordinate financing. In this transaction, there were no loans with deferred balances; therefore, Fitch performed its analysis considering one of the loans to have subordinate financing. Fitch determined that 25 of the loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as ASF1 (no documentation) for employment and income documentation, and removed the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for these borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2022 and 2021, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's nonprime model. Geographic Concentration (Negative): The largest concentration of loans is in California (40.1%), followed by Florida and Texas. The largest MSA is Los Angeles (22.9%), followed by Miami (11.5%) and San Diego (5.1%). The top three MSAs account for 39.6% of the pool. As a result, there was a 1.03x penalty applied for geographic concentration, which increased losses at the 'AAAsf' level by 31 basis points (bps). Loan Documentation (Negative): Fitch determined that 92.2% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 91.1% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and the transaction documents. Of the loans underwritten to borrowers with less than full documentation, Fitch determined that 56.8% were underwritten to a 12-month or 24-month business or personal bank statement program for verifying income, which is not consistent with the previously applicable Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 26.9% comprise a debt service coverage ratio (DSCR) product, 0.1% comprise a no ratio product and 1.4% are an asset depletion product. One loan in the pool is a no ratio DSCR loan; for this loan, employment and income were considered to be no documentation in Fitch's analysis and Fitch assumed a DTI ratio of 100%. This is in addition to the loan being treated as investor occupied. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies (DQs). Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the subordinate certificates from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. As of the closing date there is approximately 62bps of excess spread in the transaction; this excess spread is available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after the distribution date in July 2027, since the class A certificates have a step-up coupon feature whereby the coupon rate will be the lesser of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. To offset the impact of the class A certificates' step-up coupon feature, the M and B classes are principal-only classes and are not entitled to receive interest. This feature is supportive of classes A-1 and A-2 being paid timely interest at the step-up coupon rate and class A-3 being paid ultimate interest at the step-up coupon rate. 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 38.4% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses 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. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Canopy, Consolidated Analytics, Covius, EdgeMAC, Evolve, Infinity, Inglet Blair, Maxwell, Recovco, and Selene to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS 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. ANGEL OAK 2023-4: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Debts ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2023-4 (AOMT 2023-4). Entity/Debt Rating ----------- ------ AOMT 2023-4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the RMBS to be issued by Angel Oak Mortgage Trust 2023-4, Series 2023-4 (AOMT 2023-4), as indicated above. The certificates are supported by 606 loans with a balance of $284.53 million as of the cutoff date. This represents the 30th Fitch-rated AOMT transaction and the fourth Fitch-rated AOMT transaction in 2023. The certificates are secured by mortgage loans mainly originated by Angel Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC (AOHL), and Impac Mortgage Holdings, Inc. All other originators make up less than 10% of the loan pool. Of the loans, 64.5% are designated as nonqualified mortgage (non-QM) loans, and 35.5% are investment properties not subject to the Ability-to-Repay (ATR) Rule. There is no Libor exposure in this transaction, as none of the ARM loans reference Libor and the certificates do not have Libor exposure. Class A-1, A-2 and A-3 certificates are fixed rate, are capped at the net weighted average coupon (WAC) and have a step-up feature. Class M-1, B-1, B-2 and B-3 certificates are principal-only classes and are not entitled to receive payments of interest. In addition, the waterfall will prioritize payment to the class A-1, A-2 and/or A-3 interest payments prior to the payment of principal. 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 5.2% above a long-term sustainable level (versus 7.8% on a national level as of March 2023, down 2.7% qoq). The rapid gain in home prices through the coronavirus pandemic has shown signs of moderating, with a decline in 3Q22. Driven by the strong gains in 1H22, home prices rose 5.8% yoy nationally as of December 2022. Non-QM Credit Quality (Mixed): The collateral consists of 606 loans totaling $284.53 million and seasoned at approximately 19 months in aggregate, according to Fitch, and 17 months per the transaction documents. The borrowers have a strong credit profile (737 FICO and 38.2% debt-to-income [DTI] ratio, both as determined by Fitch), along with relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 71.4%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 66.8%. Of the pool, 63.7% represents loans whereby the borrower maintains a primary or secondary residence, while the remaining 36.3% comprises investor properties based on Fitch's analysis. Fitch determined that 20.0% of the loans were originated through a retail channel. Additionally, 64.5% are designated as non-QM, while the remaining 35.5% are exempt from QM status, as they are investor loans. The pool contains 51 loans over $1.0 million, with the largest amounting to $2.5 million. Loans on investor properties (11.4% underwritten to the borrower's credit profile and 24.9% comprising investor cash flow and no ratio loans) represent 36.3% of the pool, as determined by Fitch. There are no second lien loans, and 1.6% of the borrowers were viewed by Fitch as having a prior credit event in the past seven years. Per the transaction documents, two of the loans have subordinate financing. Fitch also considered loans with deferred balances to have subordinate financing. In this transaction, there were no loans with deferred balances; therefore, Fitch performed its analysis considering two of the loans to have subordinate financing. Fitch determined that 14 of the loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as ASF1 (no documentation) for employment and income documentation, and removed the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for these borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2022 and 2021, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's nonprime model. Geographic Concentration (Negative): The largest concentration of loans is in California (43.2%), followed by Florida and Texas. The largest MSA is Los Angeles (22.9%), followed by Miami (10.8%) and San Francisco (5.1%). The top three MSAs account for 38.9% of the pool. As a result, a 1.03x penalty was applied for geographic concentration, which increased losses at the 'AAAsf' level by 30 basis points (bps). Loan Documentation (Negative): Fitch determined that 91.3% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 91.5% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and the transaction documents. Of the loans underwritten to borrowers with less than full documentation, Fitch determined that 57.8% were underwritten to a 12-month or 24-month business or personal bank statement program for verifying income, which is not consistent with the previously applicable Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 24.9% comprise a debt service coverage ratio (DSCR) product, 0.3% comprise a no ratio product, 1.6% are an asset depletion product, and 0.2% are a DU/LP approved/eligible product. One loan in the pool is a no ratio DSCR loan; for this loan, employment and income were considered to be no documentation in Fitch's analysis and Fitch assumed a DTI ratio of 100%. This is in addition to the loan being treated as investor occupied. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies (DQs). Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the subordinate certificates from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. As of the closing date there is approximately 69bps of excess spread in the transaction; this excess spread is available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after the distribution date in July 2027, since the class A certificates have a step-up coupon feature whereby the coupon rate will be the lesser of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. To offset the impact of the class A certificates' step-up coupon feature, the M and B classes are principal-only classes and are not entitled to receive interest. This feature is supportive of classes A-1 and A-2 being paid timely interest at the step-up coupon rate and class A-3 being paid ultimate interest at the step-up coupon rate. 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 38.4% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses 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. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsors engaged AMC, Canopy, Consolidated Analytics, Covius, Evolve, Infinity, IngletBlair, Recovco and Selene to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS AOMT 2023-4 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled for in AOMT 2023-4, including strong transaction due diligence and the majority of the pool being serviced by an 'RPS1-' servicer. These attributes have a positive impact on the credit profile that resulted in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. 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. BBCMS MORTGAGE 2023-C20: Fitch Gives B-(EXP)sf Rating on H-RR Certs ------------------------------------------------------------------- Fitch Ratings has issued a presale report on BBCMS Mortgage Trust 2023-C20, commercial mortgage pass-through certificates, series 2023-C20. Entity/Debt Rating ----------- ------ BBCMS 2023-C20 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D-RR LT BBB+(EXP)sf Expected Rating E-RR LT BBB(EXP)sf Expected Rating F-RR LT BBB-(EXP)sf Expected Rating G-RR LT BB-(EXP)sf Expected Rating H-RR LT B-(EXP)sf Expected Rating J-RR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT AA-(EXP)sf Expected Rating Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $4,630,000 class A-1 'AAAsf'; Outlook Stable; - $149,200,000 class A-2 'AAAsf'; Outlook Stable; - $29,880,000 class A-3 'AAAsf'; Outlook Stable; - $72,500,000a class A-4 'AAAsf'; Outlook Stable; - $316,300,000a class A-5 'AAAsf'; Outlook Stable; - $5,129,000 class A-SB 'AAAsf'; Outlook Stable; - $577,639,000b class X-A 'AAAsf'; Outlook Stable; - $144,409,000b class X-B 'AA-sf'; Outlook Stable; - $107,275,000 class A-S 'AAAsf'; Outlook Stable; - $37,134,000 class B 'AA-sf'; Outlook Stable; - $21,208,000 class C 'A-sf'; Outlook Stable; - $13,863,000c class D-RR 'BBB+sf'; Outlook Stable; - $9,284,000c class E-RR 'BBBsf'; Outlook Stable; - $8,252,000c class F-RR 'BBB-sf'; Outlook Stable; - $14,441,000c class G-RR 'BB-sf'; Outlook Stable; - $10,315,000c class H-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $25,787,604c class J-RR. (a) The initial certificate balances of classes A-4 and A-5 are not yet known but are expected to be $388,800,000 subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 - $145,000,000, and the expected class A-5 balance range is $243,800,000 - $388,800,000. Balances for classes A-4 and A-5 reflect the midpoint of each range. (b) Notional amount and IO; (c) Privately placed and pursuant to Rule 144A; Horizontal Risk Retention Interest classes. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 32 loans secured by 146 commercial properties with an aggregate principal balance of $825,198,605 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Argentic Real Estate Finance 2 LLC, LMF Commercial, LLC, Starwood Mortgage Capital LLC, UBS AG, Bank of Montreal, Bank of America, National Association and Societe Generale Financial Corporation. The master servicer is expected to be KeyBank National Association, and the special servicers are expected to be LNR Partners, LLC and KeyBank National Association for the Ashburn Data Center loan. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch Ratings. The pool's weighted-average Fitch loan to value ratio (LTV) of 81.8% is lower than the YTD 2023 average of 91.4% and 2022 average of 106.1%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.1% of the pool, higher than the 2023 YTD and 2022 levels of 60.2% and 55.2%, respectively. The pool's effective loan count of 19 is slightly lower than the YTD 2023 average of 21. Investment-Grade Credit Opinion Loans: Four loans representing 28.9% of the pool received an investment-grade credit opinion. Fashion Valley Mall (10.0% of the pool) received a standalone credit opinion of 'AAAsf', CX - 250 Water Street (9.1%) received a standalone credit opinion of 'BBBsf', Ashburn Data Center (7.3%) received a standalone credit opinion of 'BBB-sf', South Lake at Dulles (2.5%) received a standalone credit opinion of 'A-sf'. The pool's total credit opinion percentage of 28.9% is above the 2023 YTD and 2022 averages of 15.8% and 14.4%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. 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. BRAVO RESIDENTIAL 2023-NQM4: Fitch Gives Bsf Rating on B-2 Notes ---------------------------------------------------------------- Fitch Ratings assigns ratings to the residential mortgage-backed notes issued by BRAVO Residential Funding Trust 2023-NQM4 (BRAVO 2023-NQM4). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2023-NQM4 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 SA LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by 653 loans with a total interest-bearing balance of approximately $295million as of the cut-off date. Almost half of the loans in the pool were originated by ClearEdge Lending LLC (ClearEdge) and Acra Lending (Acra). The remaining loans were originated by multiple entities. The loans are serviced by Select Portfolio Servicing, Inc. (SPS) and Acra Funding (subserviced by ServiceMac). 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 6% above a long-term sustainable level (versus 7.8% on a national level as of 4Q22, down 2.7% qoq). While up in the first quarter of 2023, home prices are down on a year over year basis as of March 2023 Non-qualified Mortgage Credit Quality (Negative): The collateral consists of 653 loans totaling $295 million and seasoned at approximately nine months in aggregate, calculated as the difference between the origination date and the cutoff date. The borrowers have a moderate credit profile — a 730 model FICO and a 43% debt-to-income ratio (DTI), which includes mapping for debt service coverage ratio (DSCR) loans — and leverage, as evidenced by a 75% sustainable loan-to-value ratio (sLTV). The pool comprises 56.0% of loans treated as owner-occupied, while 44.0% are treated as an investor property or second home, which includes loans to foreign nationals or loans where residency status was not confirmed. Additionally, 11% of the loans were originated through a retail channel. Of the loans, 60.0% are non-QM. Loan Documentation (Negative): Approximately 94.1% of the pool loans were underwritten to less than full documentation and 56.3% 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 (CFPB) Ability-to-Repay/Qualified Mortgage Rule (ATR), 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. Additionally, 30.3% of the loans % is DSCR product while the remaining is a mix of Asset Depletion, CPA letter, Profit and Loss statements and Written Verification of Employment documentation standards. Modified Sequential Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes 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 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. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 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. Additionally, at issuance, 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 long as the B-3 is not written down. As additional analysis 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 benchmark scenario. No P&I Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of principal and interest. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement to pay timely interest to senior notes during stressed delinquency and cash flow periods. 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 38.9% 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 44bps 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. CHNGE MORTGAGE 2023-2: DBRS Finalizes B(high) Rating on B-2 Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2023-2 (the Certificates) issued by CHNGE Mortgage Trust 2023-2 (CHNGE 2023-2 or the Trust): -- $213.8 million Class A-1 at AAA (sf) -- $22.4 million Class A-2 at AA (sf) -- $21.0 million Class A-3 at A (sf) -- $257.3 million Class A-4 at A (sf) -- $14.9 million Class M-1 at BBB (sf) -- $10.3 million Class B-1 at BB (high) (sf) -- $7.8 million Class B-2 at B (high) (sf) Class A-4 is an exchangeable certificate. This class can be exchanged for combinations of the initial exchangeable certificates as specified in the offering documents. The AAA (sf) rating on the Class A-1 certificates reflects 30.35% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (high) (sf), and B (high) (sf) ratings reflect 23.05%, 16.20%, 11.35%, 8.00%, and 5.45% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of a portfolio of fixed- and adjustable-rate expanded prime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 616 mortgage loans with a total principal balance of $306,994,031 as of the Cut-Off Date (May 1, 2023). CHNGE 2023-2 represents the seventh securitization issued by the Sponsor, Change Lending, LLC (Change or Change Lending), that is composed entirely of loans from its Community Mortgage and EZ-Prime programs, and its eighth overall. All of the loans in the pool were originated by Change, which is certified by the U.S. Department of the Treasury as a Community Development Financial Institution (CDFI). As a CDFI, Change is required to lend at least 60% of its production to certain target markets, which include low-income borrowers or other underserved communities. In addition to the above-mentioned transactions, DBRS Morningstar has rated other transactions composed mostly of, as well as in lesser amounts of, Change, and other CDFI, originated mortgage loans. While loans originated by a CDFI are not required to comply with the Consumer Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules, the mortgages included in this pool were made to generally creditworthy borrowers with near-prime credit scores, low loan-to-value ratios (LTVs), and robust reserves. The loans in the pool were underwritten through Change's Community Mortgage (99.5%) and E-Z Prime (0.5%) programs, both of which are considered weaker than other origination programs because they do not require income documentation verification. Generally, underwriting practices of these programs focus on borrower credit, borrower equity contribution, housing payment history, and liquid reserves relative to monthly mortgage payments. Although post-2008 crisis historical performance is still relatively limited on these products compared to long-standing sectors such as prime securitizations, DBRS Morningstar notes the increasing number of rated transactions backed by CDFI originated mortgage loans, and their performance history. For these transactions, delinquencies have so far remained acceptable (with no significant/material liquidations or losses to date), while prepayments have also been acceptable as described in the Historical Performance section. These rated transactions show general performance trends in line with non-QM transactions of similar vintages. DBRS Morningstar considered this while determining the expected losses for the loans in its analysis, as described in further detail in the Key Probability of Default Drivers section of the related presale report. On or after the earlier of (1) the distribution date occurring in May 2026 and (2) the date on which the aggregate stated principal balance of the loans falls to 30% or less of the Cut-Off Date balance, at its option, the Depositor may redeem all of the outstanding certificates at the redemption price (par plus interest). Such optional redemption may be followed by a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent (not related to a Coronavirus Disease (COVID-19) forbearance) under the Mortgage Bankers Association (MBA) method at par plus interest, provided that such purchases in aggregate do not exceed 7.5% of the total principal balance as of the Cut-Off Date. Change is the Servicer for the transaction. NewRez LLC (Newrez) doing business as (dba) Shellpoint Mortgage Servicing (Shellpoint; 90.1%) and LoanCare, LLC (LoanCare; 9.9%) are the Subservicers. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent, contingent upon recoverability determination. The Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. In contrast to the previous six Change transactions backed by Community Mortgage and E-Z Prime loans, which used pure sequential payment structures with a single senior class, this transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Class A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (a Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on Class A-1 and then A-2 before being applied sequentially to amortize the balances of the certificates (IIPP). For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full. This structure is similar to that of Change 2022-NQM1, and other issuers recent Non-QM transactions. Of note, the Class A-1, A-2, and A-3 fixed rates step up by 100 basis points after the payment date in May 2027, and interest and principal otherwise payable to the Class B-3 as accrued and unpaid interest may also be used to pay related Cap Carryover Amounts. Furthermore, excess spread can be used to cover realized losses and prior period bond write-down amounts first, before being allocated to unpaid cap carryover amounts to Class A-1, A-2, and A-3. Class A-1, A-2, and A-3 may be exchanged for all or a portion of the Class A-4 (or vice versa) as detailed in the offering documents. In such cases, the Class A-4 will receive a proportionate share of interest and principal funds, and/or allocations of write-downs/write-ups, otherwise allocable to the Class A-1, A-2, and A-3, as specified by the offering documents. Under the U.S. Risk Retention Rules, CDFI loans fall within the definition of "community-focused residential mortgages." A securitization transaction containing only community-focused residential mortgages is exempt under the U.S. Risk Retention Rules and accordingly, the Sponsor will not be required to retain any credit risk under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Notwithstanding the exemption, Change has elected to initially retain the Class B-3, A-IO-S, and XS certificates. Notes: All figures are in U.S. dollars unless otherwise noted. CHNGE MORTGAGE 2023-3: Fitch Gives 'B(EXP)sf' Rating on B-2 Certs ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by CHNGE Mortgage Trust 2023-3 (CHNGE 2023-3). Entity/Debt Rating ----------- ------ CHNGE 2023-3 A-1 LT NR(EXP)sf Expected Rating A-2 LT NR(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 732 non-prime loans with a total balance of approximately $345 million as of the cut-off date. Loans in the pool were originated by Change Lending. The loans are currently serviced by Shellpoint Mortgage Servicing and LoanCare. CHNGE 2023-3 is the ninth securitization issued by the Sponsor, Change Lending, LLC (Change) but the second rated by Fitch. Change is an independent Community Development Financial Institution (CDFI) lender certified by the U.S. Department of the Treasury. In order to maintain its CDFI designation, a CDFI is expected to originate at least 60% of its volumes (by count and balance) to its CDFI Target Markets, which generally focus on certain underserved or low-income communities and individuals. KEY RATING DRIVERS Change Community Mortgage Product (Negative): Change has multiple lending programs, but this pool is 100% of their Community Mortgage product. The Community Mortgage product is underwritten to borrower assets, borrower credit history, FICO and LTV. The Community Mortgage product does not require income, employment, or debt-to-income (DTI) documentation. Although this program is compliant with applicable law and aligned to the CDFI's mandate to serve low income individuals, low income communities, African Americans and Hispanics, Fitch considers it a no-ratio and low documentation product, and, thus, it carries higher risk. As a CDFI, all loans originated by Change are CDFI loans and are exempt from certain sections of Reg Z, including the Consumer Financial Protection Bureau's (CFPB) qualified mortgage (QM) and ability-to-repay (ATR) rules. This allows Change to originate no-ratio consumer mortgage loans without income or DTI documentation. While the loans in this pool were originated to creditworthy borrowers based on their FICO, equity contributions and assets, the lack of income and employment documentation required to align these mortgages' underwriting standards post-GFC is a rating concern. Additionally, with the CDFI ATR exemption, the lack of underwriting using a DTI is a greater risk. Given this, Fitch capped the highest possible initial rating at 'Asf'. Nonprime Credit Quality (Negative): The collateral consists of 732 loans, totaling $345 million and seasoned approximately two months in aggregate. The borrowers have a strong credit profile of a 743 model FICO and leverage with a 66.7% sustainable loan-to-value ratio (sLTV) and 62.9% combined current LTV (cLTV). Of the pool, 91.6% consists of loans where the borrower maintains a primary residence, 8.4% are loans for second homes, and there are no investor property loans. 0% are QM, as the QM rule does not apply to loans in this transaction due to the CDFI exemption. Fitch's expected loss in the 'Asf' stress is 10%. This is mainly because most are low doc / no-ratio loans with compensating factors, including borrower equity, strong FICOs and large reserves. From an LTV and FICO standpoint, the collateral in this pool is prime-like; however, due to the low documentation and lack of DTI underwriting, Fitch considers this collateral nonprime. 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 6.0% above a long-term sustainable level compared with 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 begun to moderate, with declines in 2H22. Driven by the strong gains in 1H22, home prices rose 2.0% yoy nationally as of February 2023. 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 the class A-1, 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 securities administrator will be obligated to make the 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. CHNGE 2023-3 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. The unrated class B-3 interest allocation goes toward the senior cap carryover amount (classes A-1, A-2 and A-3) for as long as any unpaid cap carryover is outstanding. This increases the P&I allocation for the senior classes. As a sensitivity to its rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 29.5% at 'A'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'Asf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'Asf' ratings. 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 CHNGE 2023-2 has an ESG Relevance Score of '4' for Exposure to Social due to human rights, community relations and access & affordability, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. CHNGE 2023-2 has an ESG Relevance Score of '4' for Exposure to Governance due to transaction parties and operational risk, which has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. 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. COMMERCIAL MORTGAGE 2000-CMLB1: Moody's Cuts Cl. X Certs to Caa3 ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the interest-only class (IO) in Commercial Mortgage Leased-Backed Certificates 2000-CMLB1 (CMLBC 2001-CMLB1). Cl. X*, Downgraded to Caa3 (sf); previously on Mar 14, 2023 Downgraded to Caa2 (sf) * Reflects Interest-Only Class RATINGS RATIONALE The rating on the IO Class was downgraded due to the decline in the credit performance resulting from principal paydowns of higher quality reference classes. The IO class is the only outstanding Moody's-rated class in this transaction. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. The ratings of Credit Tenant Lease (CTL) deals (reference classes) are primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenants leasing the real estate collateral supporting the bonds. Other factors that are also considered are Moody's dark value of the collateral (value based on the property being vacant or dark), which is used to determine a recovery rate upon a loan's default and the rating of the residual insurance provider, if applicable. Factors that may cause an upgrade of the ratings include an upgrade in the rating of the corporate tenant or significant loan paydowns or amortization which results in a lower loan to dark value ratio. Factors that may cause a downgrade of the ratings include a downgrade in the rating of the corporate tenant or the residual insurance provider. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in this rating were "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in June 2020. DEAL PERFORMANCE As of the May 2023 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $15.2 million from $476.3 million at securitization. The certificates are collateralized by nine mortgage loans. Five of the loans, representing 25% of the pool, are CTL loans secured by properties leased to five corporate credit tenants. Four loans, representing 75% of the pool, have defeased and are collateralized with U.S. Government securities. The CTL pool, excluding defeasance, consists of five loans secured by properties leased to five tenants. The largest exposure is Kohls Corporation ($1.86 million – 12.2% of the pool; senior unsecured rating: Ba3 -- negative outlook). Three of the five corporate tenants (10% of the pool) have a Moody's investment grade rating. The bottom-dollar weighted average rating factor (WARF) for this pool (including defeasance) is 346. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability. ELLINGTON CLO I: Moody's Cuts Rating on $12.4MM F-R Notes to Ca --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Ellington CLO I, Ltd.: US$22,600,000 Class B-2R Senior Secured Fixed Rate Notes due 2029 (the "Class B-2R Notes"), Upgraded to Aaa (sf); previously on March 8, 2021 Assigned Aa1 (sf) US$29,400,000 Class C-R Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Upgraded to Aa1 (sf); previously on February 8, 2022 Upgraded to Aa3 (sf) Moody's has also downgraded the ratings on the following notes: US$43,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Downgraded to Caa1 (sf); previously on November 5, 2020 Downgraded to B1 (sf) US$12,400,000 Class F-R Secured Deferrable Floating Rate Notes due 2029 (the "Class F-R Notes"), Downgraded to Ca (sf); previously on November 5, 2020 Downgraded to Caa3 (sf) Ellington CLO I, Ltd., originally issued in June 2017, refinanced in August 2018 and partially refinanced in March 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 ended in October 2021. RATINGS RATIONALE The upgrade rating actions on the Class B-2R and Class C-R notes are primarily a result of deleveraging of the senior notes. The Class A-R notes have been paid down by approximately 38% or $67.5 million since May 2022. Based on the trustee's May 2023 report[1], the OC ratio for the Class B-2R is reported at 186.92% versus a May 2022 level[2] of 179.67%. The deal has also benefited from a shortening of the portfolio's weighted average life since then as well. The downgrade rating actions on the Class E-R and Class F-R notes reflects the increased risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's May 2023 report[3], the OC ratio for the Class D-R, and Class E-R notes are reported at 121.86%, and 99.48% versus May 2022 levels[4] of 132.82%, and 114.53% respectively. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and is currently 4869 compared to 4563 in May 2022[5], and failing the trigger of 4505. Moody's notes that based on the April 2023 trustee report[6], both the Class D-R and Class E-R OC tests were reported as failing their threshold trigger levels of 128.98% and 113.85% respectively. As a result, certain interest proceeds were used to repay a portion of the senior notes, and the Class E-R and Class F-R notes did not receive interest payments on the April distribution date. 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: $221,895,002 Defaulted par: $86,200,088 Diversity Score: 30 Weighted Average Rating Factor (WARF): 4219 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.79% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.21% Weighted Average Life (WAL): 3.1 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. ELLINGTON CLO II: Moody's Cuts Rating on $45MM Class E Notes to Ca ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on the following notes issued by Ellington CLO II, Ltd.: US$45,000,000 Class E Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Downgraded to Ca (sf); previously on November 10, 2020 Downgraded to Caa1 (sf) Ellington CLO II, Ltd., originally issued January 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in February 2021. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's May 2023 report[1], the OC ratio for the Class E notes is reported at 89.76% versus a May 2022 level[2] of 111.90%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and is currently 5511, compared to 5110 in May 2022[3]. 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: $152,224,564 Defaulted par: $91,602,406 Diversity Score: 17 Weighted Average Rating Factor (WARF): 4827 Weighted Average Spread (WAS)(before accounting for reference rate floors): 4.29% Weighted Average Coupon (WAC): 10.00% Weighted Average Recovery Rate (WARR): 47.80% Weighted Average Life (WAL): 2.4 years Par haircut in OC tests: 5.33% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in 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. EXETER 2023-3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2023-3'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 June 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 availability of approximately 61.75%, 53.19%, 44.30%, 33.29%, and 26.71% credit support--hard credit enhancement and haircut to excess spread--for the class A (collectively, classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of S&P's expected cumulative net loss (ECNL) of 22.00% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x 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, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, 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. (Citibank), which does not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC (Exeter) as servicer, along with its view of the company's underwriting and the backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Exeter Automobile Receivables Trust 2023-3 Class A-1, $71.29 million: A-1+ (sf) Class A-2, $114.00 million: AAA (sf) Class A-3, $63.32 million: AAA (sf) Class B, $94.73 million: AA (sf) Class C, $83.30 million: A (sf) Class D, $84.88 million: BBB (sf) Class E, $75.98 million: BB- (sf) FLAGSHIP CREDIT: DBRS Confirms 12 Ratings from 11 Transactions -------------------------------------------------------------- DBRS, Inc. upgraded 19 ratings and confirmed 12 ratings from 11 Flagship Credit Auto Trust transactions. The Affected Ratings are available at https://bit.ly/3Nqhgfz The affected debt series are: -- Flagship Credit Auto Trust 2020-4 -- Flagship Credit Auto Trust 2018-3 -- Flagship Credit Auto Trust 2020-2 -- Flagship Credit Auto Trust 2019-2 -- Flagship Credit Auto Trust 2020-1 -- Flagship Credit Auto Trust 2018-2 -- Flagship Credit Auto Trust 2019-1 -- Flagship Credit Auto Trust 2019-4 -- Flagship Credit Auto Trust 2020-3 -- Flagship Credit Auto Trust 2018-4 -- Flagship Credit Auto Trust 2019-3 The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - April 2023 Update, published on April 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The rating actions are the result of collateral performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement. -- The transaction's capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings. GENERATE CLO 10: Fitch Affirms BB- Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class B-1, B-2, C, D-1, D-2 and E notes of Generate CLO 10 Ltd. (Generate 10). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Generate CLO 10 Ltd. B-1 37148DAE6 LT AAsf Affirmed AAsf B-2 37148DAL0 LT AAsf Affirmed AAsf C 37148DAG1 LT Asf Affirmed Asf D-1 37148DAJ5 LT BBB+sf Affirmed BBB+sf D-2 37148DAN6 LT BBB-sf Affirmed BBB-sf E 37148CAA6 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Generate 10 is a broadly syndicated collateralized loan obligation (CLO) managed by Generate Advisors, LLC. The transaction closed in July 2022 and will exit its reinvestment period in July 2027. The CLO is 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 driven by the portfolio's stable performance since closing. As of May 2023 reporting, the Fitch weighted average rating factor of the portfolio increased to 25.9 (B/B-) from 24.8 (B/B-) at closing. The portfolio remains diversified across 284 obligors, with the largest 10 obligors comprising 7.9% of the portfolio. There have been no defaults in the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 17.9% and 9.2%, respectively. First lien loans, cash and eligible investments comprise 97% of the portfolio. Fitch's weighted average recovery rate of the portfolio was 75.4%, compared to 75.8% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Cash Flow Analysis Fitch conducted updated cash flow analysis based on newly run Fitch Stressed Portfolio (FSP) since the transaction is still in its reinvestment period. The FSP analysis stressed the current portfolio from the latest trustee report to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average life of 7.3 years and the weighted average spread was modeled at the covenant level of 3.50%. Other FSP assumptions include 8.0% non-senior secured assets, 5% fixed rate assets and 7.5% CCC assets. The ratings are in line with their respective model-implied rating (MIR), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. 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 one notch for the class B-1, B-2, D-2 and E notes, two notches for the class C notes, and three notches for the class D-1 notes, 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 an upgrade of one notch for the class C notes, two notches for the class B-1 and B-2 notes, three notches for the D-1 notes and five notches for the D-2 and E notes, based on the MIRs. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, 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. GOLUB CAPITAL 62(B): Fitch Affirms BB- Rating on Cl. E Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings of class A-1, A-2, B, C, D, and E notes in Golub Capital Partners CLO 62(B), Ltd. (Golub 62). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 62(B), Ltd. A-1 38179BAA8 LT AAAsf Affirmed AAAsf A-2 38179BAE0 LT AAAsf Affirmed AAAsf B 38179BAC4 LT AAsf Affirmed AAsf C 38179BAG5 LT Asf Affirmed Asf D 38179BAJ9 LT BBB-sf Affirmed BBB-sf E 38179DAA4 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Golub 62 is a broadly syndicated collateralized loan obligation (CLO) managed by OPAL BSL LLC. The transaction closed in July 2022 and will exit its reinvestment period in July 2026. The CLO is secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, and Portfolio Composition The affirmations are driven by the portfolio's stable performance since closing. As of May 2023 reporting, the Fitch weighted average rating factor (WARF) of the portfolio increased to 25.4 (B/B-), from 25.0 (B/B-) at closing. The portfolio remains diversified across 209 obligors, with the top 10 obligors comprising 9.4% of the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 12.9% and 2.8%, respectively. There have been no defaults in the portfolio. First lien loans, cash and eligible investments comprise 99.9% of the portfolio. Fitch's weighted average recovery rate (WARR) of the portfolio was 77.2%, unchanged from closing. All coverage tests, concentration limitations, and collateral quality tests (CQTs) are in compliance. Cash Flow & FSP Analysis Fitch conducted updated cash flow analysis based on newly run Fitch Stressed Portfolio (FSP) since the transaction is still in its reinvestment period. The FSP analysis stressed the current portfolio from the latest trustee report to account for permissible concentration and CQT limits. The FSP analysis assumed a weighted average life of 6.27 years and 5.0% fixed rate assets. The weighted average spread, WARR, and WARF were stressed to the relevant Fitch test matrix points. The ratings are in line with their respective model-implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks on all the rated notes reflect breakeven cushions that Fitch views as adequate to withstand potential deterioration in the credit quality of the portfolio in rating 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 one notch for the class A, D and E notes and two notches for the class B and C notes, 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 one notch for the class C notes, two notches for the class B notes, five notches for the class D notes and six notches for the class E notes, based on MIRs. The 'AAAsf'-rated notes would incur no rating impact, as their ratings are at the highest level on Fitch's scale and cannot be upgraded. HOMES TRUST 2023-NQM2: DBRS Gives Prov. B Rating on B-2 Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2023-NQM2 (the Certificates) to be issued by HOMES 2023-NQM2 Trust (HOMES 2023-NQM2): -- $220.0 million Class A-1 at AAA (sf) -- $30.7 million Class A-2 at AA (sf) -- $22.9 million Class A-3 at A(sf) -- $18.2 million Class M-1 at BBB (low) (sf) -- $9.9 million Class B-1 at BB (high) (sf) -- $8.6 million Class B-2 at B (high) (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 certificates reflects 33.35% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (low) (sf), BB (high) (sf), and B (high) (sf) ratings reflect 24.05%, 17.10%, 11.60%, 8.60%, and 6.00% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 764 loans with a total principal balance of approximately $330,084,520 as of the Cut-Off Date (April 30, 2023). Approximately 78.8% of loans in the pool by balance were originated by HomeXpress Mortgage Corp. (HomeX or HomeXpress), and about 21.2% were sourced by other originators, each individually accounting for less than 10.0% of loans in the pool. HOMES 2023-NQM2 represents the second rated securitization of the prime and nonprime first-lien residential mortgage loans issued by the Sponsor, APF Holdings I, L.P., from the HOMES shelf. The Sponsor is a special-purpose entity owned by funds managed or affiliated with Ares Alternative Credit Management LLC (Ares). The loans were purchased by a fund managed by Ares from the HomeX and Angel Oak (together, the Loan Sellers), and will be assigned to the Sponsor, another Ares-managed fund entity, on the Closing Date. Specialized Loan Servicing LLC and Select Portfolio Servicing, Inc. will act as the Servicers for 36.7% and 63.3% of loans. Wilmington Savings Fund Society, FSB will act as the Securities Administrator, Trustee and Certificate Registrar. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) will serve as the Custodian. The pool is about eight months seasoned on a weighted-average (WA) basis, although seasoning may span from four to twelve months. In accordance with U.S. credit risk retention requirements, the Sponsor, either directly or through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of the Class X Certificates and the required portion of the Class B-3 Certificates (together, the Risk Retained Certificates), representing not less than 5% economic interest in the transaction, to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns the Sponsor and investor interest in the capital structure. Although the applicable mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for the agency, government, or private-label nonagency prime products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM)/ATR rules, 58.9% of the loans are designated as non-QM. Approximately 41.1% of the loans are made to investors for business purposes and are thus not subject to the QM/ATR rules. Neither Servicer nor any other transaction party will have any obligation to make any advances of any delinquent scheduled monthly principal and interest (P&I) payments due on any of the loans. However, each Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). If any Servicer fails to make the Servicing Advances on a delinquent loan, the recovery amount upon liquidation may be reduced. The Depositor (APF Securitization O4B-23B LLC) may, at its option, on any date on or after the date that is the earlier of (1) the distribution date occurring in May 2026, and (2) the date on which the total loan balance is less than or equal to 30% of the loan balance as of the Cut-Off Date, purchase all outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts any amounts deferred by the Servicers in connection with loan modifications after the Cut-off Date (Optional Redemption) and any outstanding pre-closing deferred amounts. An Optional Redemption will be followed by a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Certificates (IIPP), and Class A-3 Certificates before being applied sequentially to amortize the balances of the senior and subordinated certificates. For the Class A-3 Certificates (only after a Credit Event) and the mezzanine and subordinate classes of certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1, Class A-2, and Class A-3 Certificates (Senior Certificates). Of note, the Class A-1, Class A-2, and Class A-3 Certificates' coupon rates step up by 100 basis points on and after the distribution date in June 2027 (Step-Up Certificates). Also, the interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1, Class A-2, and Class A-3 Certificates' Cap Carryover Amounts (both, before and after the Class A coupons step up). Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2014-C20: Moody's Lowers Rating on Cl. C Certs to Ba2 --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and downgraded the ratings on four classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-C20, Commercial Pass-Through Certificates, Series 2014-C20 as follows: Cl. A-4A1, Affirmed Aaa (sf); previously on Aug 15, 2019 Affirmed Aaa (sf) Cl. A-4A2, Affirmed Aaa (sf); previously on Aug 15, 2019 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Aug 15, 2019 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Aug 15, 2019 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 15, 2019 Affirmed Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Apr 23, 2021 Downgraded to A2 (sf) Cl. C, Downgraded to Ba2 (sf); previously on Apr 23, 2021 Downgraded to Baa2 (sf) Cl. EC, Downgraded to Baa3 (sf); previously on Apr 23, 2021 Downgraded to A3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Aug 15, 2019 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Baa2 (sf); previously on Apr 23, 2021 Downgraded to A2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on five principal and interest (P&I) classes were affirmed because of their significant 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. These classes will also benefit from principal paydowns and amortization as the remaining loans approach their maturity dates and defeased loans now represent 11% of the pool. The ratings on two P&I classes, Cl. B and Cl. C, were downgraded due to higher expected losses and increased risk of interest shortfalls due to the exposure to specially serviced and troubled loans as well as potential refinance challenges for certain large loans with upcoming maturity dates. The largest performing loan, Technology Corners Building Six Loan (12.8% of the pool), may face increased refinance risk at maturity due to its single tenant concentration with a lease expiration in September 2024. The third largest loan, 200 West Monroe (10.5% of the pool), is secured by an office property with recent declines in net operating income (NOI) and occupancy. Two underperforming class B regional mall loans comprise 16% of the pool; the Lincolnwood Town Center Loan (10.5% of the pool) is currently in special servicing and real estate owned (REO), and the Westminster Mall Loan (5.6% of the pool) has seen an 82% decline in 2022 net operating income (NOI) compared to securitization. All the remaining loans mature by June 2024 and given the higher interest rate environment and loan performance, certain loans may be unable to pay off at their maturity dates, which may increase interest shortfall risk for the outstanding classes. The rating on the interest only (IO) class, Cl. X-A, was affirmed based on the credit quality of the referenced classes. The rating on the IO class, Cl. X-B, was downgraded due to a decline in the credit quality of its referenced classes. The rating on the exchangeable class, Cl. EC, was downgraded due to a decline in the credit quality of its referenced 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 20.7% of the current pooled balance, compared to 11.0% at Moody's last review. Moody's base expected loss plus realized losses is now 11.4% of the original pooled balance, compared to 8.2% 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 May, 17, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 49.3% to $445 million from $878 million at securitization. The certificates are collateralized by 20 mortgage loans ranging in size from less than 1% to 12.8% of the pool, with the top ten loans (excluding defeasance) constituting 80.8% of the pool. One loan, constituting 20.2% of the pool, has an investment-grade structured credit assessment. Five loans, constituting 11.0% 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 eight, compared to 14 at Moody's last review. As of the May 2023 remittance report, loans representing 95.0% were current or within their grace period on their debt service payments, and 5.0% were over 90+ days delinquent. Five loans, constituting 23.0% 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. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $7.8 million (for an average loss severity of 41.9%). One loan, constituting 9.2% of the pool, is currently in special servicing. The specially serviced loan is the Lincolnwood Town Center Loan ($40.9 million – 9.2% of the pool), which is secured by an enclosed regional mall in Lincolnwood, Illinois. The mall is located approximately 13 miles north of the Chicago CBD. The mall is not the dominant mall in its trade area and faces competition from three malls within 10 miles. The mall is anchored by Kohl's and a vacant space that was formerly a Carson Pirie Scott. At securitization, tenants comprising 50% of the net rentable area (NRA) had co-tenancy clauses tied to one of the anchors vacating. The loan transferred to special servicing in May 2020 and was REO as of the May 2023 remittance statement. As of December 2022, collateral occupancy was 81%, compared to 84% in December 2021, 82% in December 2020, 92% in December 2019, and 96% at securitization. Property performance has declined annually since 2017, and the 2021 net operating income (NOI) was nearly 62% lower than in 2014. The NOI further declined in 2022 due to lower revenues and higher expenses. As a result, the property is not generating sufficient cash flow to cover debt service. The property was appraised in January 2023 at a value significantly below the outstanding loan balance, and the master servicer subsequently recognized an appraisal reduction of $92 million or 78% of the outstanding loan amount. Due to the continued decline in performance, Moody's anticipates a significant loss on this loan. Moody's has also assumed a high default probability for four poorly performing loans, constituting 21.5% of the pool, and has estimated an aggregate loss of $74.9 million (a 37% expected loss on average) from these specially serviced and troubled loans. The largest troubled loan is the 200 West Monroe Loan ($46.9 million – 10.5% of the pool), which represents a pari-passu portion of $71.3 million mortgage loan. The loan is secured by an approximately 536,000 square feet (SF) portion of a 649,200 SF, office building located in Chicago, Illinois. The loan was placed on the watchlist in May 2021 due to a decrease in DSCR and occupancy. As of September 2022, the property was 72% occupied, the same as at year-end 2021, compared to 75% in 2020 and 84% at securitization. Due to the decline in occupancy, the property's revenue and NOI have declined since securitization. Year-end 2021 NOI was 30% below 2019 and 52% below 2014. Performance has improved in 2022 driven by an increase in revenue, but is still below securitization levels. After an initial 60-month interest-only period, the loan has amortized 6.1% since securitization and is current through its May 2023 payment. The second largest troubled is the Westminster Mall Loan ($25.1 million – 5.6% of the pool), which represents a pari-passu portion of $73.5 million mortgage loan. The loan is secured by an approximately 771,800 SF of a 1.4 million SF regional mall located in Westminster, California. The two largest collateral anchors, Target (23% of NRA) and J.C. Penney (20% of NRA), own their own improvements and ground leases the land from the borrower. As of September 2023, the collateral was 84% occupied and the in-line occupancy was 49%. Property performance has continued to decline since securitization due to lower rental revenues. The loan has been on the watchlist since August 2018 due to a decrease in DSCR and is being monitored for property performance. The loan has amortized 16.2% since securitization and is current through its May 2023 payment date. The remaining two troubled loans are backed by a mixed-use and retail properties that have had significant performance deterioration due to low occupancy and low DSCR. 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 94% of the pool, and full or partial year 2022 operating results for 95% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 114%, compared to 110% 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 29.9% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.6%. Moody's actual and stressed conduit DSCRs are 1.29X and 1.09X, respectively, compared to 1.34X and 0.95X 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 loan with a structured credit assessment is the Outlets at Orange Loan ($90.0 million – 20.2% of the pool), which represents a pari passu portion of a $215 million mortgage loan. The loan is secured by a fee simple interest in an outdoor 787,697 SF outlet center located in Orange, California. Major tenants include Off 5th Saks Fifth Ave, Last Call Neiman Marcus, Nordstrom Rack, and Bloomingdales The Outlet Store. The property also features several entertainment-centric tenants, including 25 restaurants/cafes, an indoor Vans Skate Park, Dave & Busters, Lucky Strike Bowling, and a 30-screen AMC theater. The property was 99% leased as of 2022, generally unchanged from securitization. The loan is interest only for its entire term, and Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 1.16X, respectively. The top three conduit loans represent 27.4% of the pool balance. The largest loan is the Technology Corners Building Six Loan ($57.0 million – 12.8% of the pool), which represents a pari-passu portion of a $114.2 million mortgage loan. The loan is secured by a five-story, 232,000 SF single-tenant office building within a six-building Technology Corners office campus located in Sunnyvale, California. Technology Corners is situated within the heart of Silicon Valley, approximately five miles southeast of Google's global headquarters in Mountain View, California. The property is 100% leased to Google, Inc on a ten-year triple net lease through September 2024. Due to the single tenant risk, Moody's incorporated a lit/dark analysis. While the loan has maintained a high DSCR over its term, it may face heighted refinance risk due to the tenant concentration and near-term lease expiration date after loan maturity. After an initial 5-year interest-only period, the loan began to amortize on a 360-month schedule. Moody's LTV and stressed DSCR are 158% and 0.72X, respectively, compared to 117% and 0.89X at last review. The second largest loan is the U-Haul Portfolio Loan ($33.6 million – 7.5% of the pool), which is secured by 11 self-storage facilities across ten states and offers 7,422 units and 728,013 SF of rentable area. The portfolio locations are geographically diverse and distributed across CBD, suburban, and tertiary markets. Property amenities vary by location but generally include 24-hour access, indoor and drive-up unit access, climate-controlled units, and digital video surveillance. As of December 2022, the property was 96% leased compared to 94% occupied in December 2021 and 68% at securitization. Moody's LTV and stressed DSCR are 71% and 1.43X, respectively, compared to 86% and 1.18X at securitization. The third largest loan is the 109 Prince Street Loan ($31.5 million – 7.1% of the pool), which is a Class-A office/retail property located in Soho - Cast Iron Historic District of New York, NY. The building was built with a French Renaissance design in 1882 and restored in 1994. As of December 2022, the property was 100% leased and has remained fully occupied since securitization. The collateral is leased by two tenants, the largest being Polo New York (9,881 SF/ 74.2% of NRA), which occupies the entirety of the retail space, and Jean-George Enterprises, LLC (3,432 SF/ 25.8 % of NRA), which leases the office space on the second floor. The loan has amortized 10% since securitization. Moody's LTV and stressed DSCR are 111% and 0.84X, respectively, compared to 103% and 0.82X at the last review. JP MORGAN 2023-4: DBRS Gives Prov. B(low) Rating on B-5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2023-4 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2023-4 (JPMMT 2023-4): -- $223.4 million Class 1-A-2 at AAA (sf) -- $223.4 million Class 1-A-3 at AAA (sf) -- $223.4 million Class 1-A-3-X at AAA (sf) -- $167.5 million Class 1-A-4 at AAA (sf) -- $167.5 million Class 1-A-4-A at AAA (sf) -- $167.5 million Class 1-A-4-X at AAA (sf) -- $55.8 million Class 1-A-5 at AAA (sf) -- $55.8 million Class 1-A-5-A at AAA (sf) -- $55.8 million Class 1-A-5-X at AAA (sf) -- $134.0 million Class 1-A-6 at AAA (sf) -- $134.0 million Class 1-A-6-A at AAA (sf) -- $134.0 million Class 1-A-6-X at AAA (sf) -- $89.3 million Class 1-A-7 at AAA (sf) -- $89.3 million Class 1-A-7-A at AAA (sf) -- $89.3 million Class 1-A-7-X at AAA (sf) -- $67.0 million Class 1-A-8 at AAA (sf) -- $67.0 million Class 1-A-8-A at AAA (sf) -- $67.0 million Class 1-A-8-X at AAA (sf) -- $122.8 million Class 1-A-9 at AAA (sf) -- $122.8 million Class 1-A-9-A at AAA (sf) -- $122.8 million Class 1-A-9-X at AAA (sf) -- $100.5 million Class 1-A-10 at AAA (sf) -- $100.5 million Class 1-A-10-A at AAA (sf) -- $100.5 million Class 1-A-10-X at AAA (sf) -- $33.5 million Class 1-A-11 at AAA (sf) -- $33.5 million Class 1-A-11-A at AAA (sf) -- $33.5 million Class 1-A-11-X at AAA (sf) -- $33.5 million Class 1-A-12 at AAA (sf) -- $33.5 million Class 1-A-12-A at AAA (sf) -- $33.5 million Class 1-A-12-X at AAA (sf) -- $17.1 million Class 1-A-13 at AAA (sf) -- $17.1 million Class 1-A-13-A at AAA (sf) -- $17.1 million Class 1-A-13-X at AAA (sf) -- $240.4 million Class 1-A-X-1 at AAA (sf) -- $160.4 million Class 2-A-2 at AAA (sf) -- $160.4 million Class 2-A-3 at AAA (sf) -- $160.4 million Class 2-A-3-X at AAA (sf) -- $120.3 million Class 2-A-4 at AAA (sf) -- $120.3 million Class 2-A-4-A at AAA (sf) -- $120.3 million Class 2-A-4-X at AAA (sf) -- $40.1 million Class 2-A-5 at AAA (sf) -- $40.1 million Class 2-A-5-A at AAA (sf) -- $40.1 million Class 2-A-5-X at AAA (sf) -- $12.3 million Class 2-A-6 at AAA (sf) -- $12.3 million Class 2-A-6-A at AAA (sf) -- $12.3 million Class 2-A-6-X at AAA (sf) -- $172.7 million Class 2-A-X-1 at AAA (sf) -- $14.2 million Class B-1 at AA (low) (sf) -- $9.0 million Class B-2 at A (low) (sf) -- $7.0 million Class B-3 at BBB (low) (sf) -- $4.3 million Class B-4 at BB (low) (sf) -- $2.0 million Class B-5 at B (low) (sf) Classes 1-A-3-X, 1-A-4-X, 1-A-5-X, 1-A-6-X, 1-A-7-X, 1-A-8-X, 1-A-9-X, 1-A-10-X, 1-A-11-X, 1-A-12-X, 1-A-13-X, 1-A-X-1, 2-A-3-X, 2-A-4-X, 2-A-5-X, 2-A-6-X, and 2-A-X-1 are interest-only certificates. The class balances represent notional amounts. Classes 1-A-5-A, 1-A-5-X, 1-A-10-A, 1-A-10-X, 1-A-11-A, 1-A-11-X, 1-A-12-A, 1-A-12-X, 1-A-13-A, 1-A-13-X, 1-A-X-1, 2-A-4-A, 2-A-4-X, 2-A-5-A, 2-A-5-X, 2-A-6-A, 2-A-6-X, and 2-A-X-1 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes 1-A-2, 1-A-3, 1-A-4, 1-A-4-A, 1-A-5, 1-A-5-A, 1-A-6, 1-A-7, 1-A-7-A, 1-A-8, 1-A-8-A, 1-A-9, 1-A-9-A, 1-A-10, 1-A-10-A, 1-A-11, 1-A-11-A, 1-A-12, 1-A-12-A, 2-A-2, 2-A-3, 2-A-4, 2-A-4-A, 2-A-5, and 2-A-5-A are super-senior certificates. These classes benefit from additional protection from the senior support certificates (1-A-13, 1-A-13-A, 2-A-6, and 2-A-6-A certificates) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 8.50% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 5.35%, 3.35%, 1.80%, 0.85%, and 0.40% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 626 loans with a total principal balance of $451,473,478 as of the Cut-Off Date (May 1, 2023). The transaction has two groups of loans, Pool 1 and Pool 2. Both pools consist of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of four months. Pool 1 is made up of 100% owner-occupied loans, and Pool 2 is made up of 100% loans for second homes. Approximately 68.9% of the loans are traditional nonagency, prime jumbo mortgage loans. The remaining 31.1% of the pool are mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. In addition, 94.4% of the pool was originated in accordance with the new general Qualified Mortgage rule. The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (52.5%) and various other originators, each comprising less than 15% of the pool. The mortgage loans will be subserviced by Cenlar FSB (52.5%), and serviced by NewRez LLC formerly known as New Penn Financial, LLC doing business as Shellpoint Mortgage Servicing (28.1%), and various other servicers and subservicers, each comprising less than 10% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. However, in contrast to recent JPMMT securitizations, JPMMT 2023-4 has two groups of senior certificates. The Pool 1 and Pool 2 senior certificates are backed by collateral from each respective pool. The subordinate certificates will be cross-collateralized between the two pools. This is generally known as Y-Structure. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN 2013-ALTM: S&P Affirms BB- (sf) Rating on Class E Certs -------------------------------------------------------------- S&P Global Ratings affirmed its ratings on seven classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2013-ALTM, a U.S. CMBS transaction. This U.S. CMBS transaction is backed by a 12-year, fixed-rate, partially interest-only (IO) mortgage loan secured by the borrower's fee simple interest in a portion (641,199 sq. ft.) of Altamonte Mall, a 1.2 million-sq.-ft. super regional mall in Altamonte Springs, Fla. Rating Actions S&P said, "The affirmations of classes A-1, A-2, B, C, D, and E reflect our expected-case valuation, which is unchanged from our last review in June 2022, as well as additional loan amortization we expect through the loan's maturity date in February 2025 (see below). The trust balance has paid down 2.3% since our last review and 10.2% since issuance. We expect the loan balance to amortize down an additional 4.1% by its February 2025 maturity date to approximately $137.7 million ($215 per collateral sq. ft.). "Since our last review in June 2022, the servicer reported that net cash flow (NCF) at the property increased 14.6% to $14.3 million in 2022 from $12.5 million in 2021. Similarly, occupancy rose slightly to 96.8% in 2022 from 94.9% in 2021. We attribute the improved 2022 property performance partly to higher gross rents and relatively flat operating expenses reported at the property. However, our current analysis also considers that the servicer-reported 2022 NCF is still below pre-pandemic levels ($16.1 million in 2019) and the property faces significant lease rollover before the loan matures. As a result, we derived a long-term sustainable NCF of $12.1 million, the same as in our last review, and 14.8% below the servicer-reported 2022 NCF. "Although the model-indicated ratings were lower than the classes' current ratings, we affirmed our ratings on classes A-1, A-2, B, C, D, and E based on the aforementioned amortization benefits and certain weighted qualitative considerations." These include: -- The potential that the property's operating performance continues to improve above S&P's current expectations; -- The significant market value decline that would need to occur before these classes experience principal losses; -- The liquidity support provided in the form of servicer advancing; and -- The relative position of classes A-1, A-2, B, C, and D in the payment waterfall. S&P said, "We will continue to monitor the performance of the property and the market conditions, and, if we receive information that differs materially from our expectations, we may revisit our analysis and take rating actions, as we deem necessary." The affirmation on the class X-A IO certificates reflects S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references classes A-1 and A-2. Property-Level Analysis Altamonte Mall is a two-story enclosed 1.2 million-sq.-ft. super regional mall built in 1974 and expanded from 2003 through 2006 in Altamonte Springs, Fla., of which 641,199 sq. ft. serves as collateral for the loan. Non-collateral anchors at the property include Dillard's (160,625 sq. ft.), Macy's (151,321 sq. ft.), and a vacant anchor box (207,944 sq. ft.) previously occupied by Sears, which vacated in 2018 ahead of its 2029 lease expiration. It is S&P's understanding that the former Sears space is still vacant. The sole collateral anchor is JCPenney (158,658 sq. ft.). As previously mentioned, NCF and occupancy improved in 2022 but have not rebounded to pre-COVID levels. According to the Dec. 31, 2022, rent roll, the collateral property was 96.2% occupied. The five largest tenants comprise 48.2% of collateral net rentable area (NRA) and include: -- JCPenney (25.1% of NRA; 1.8% of gross rent as calculated by S&P Global Ratings; January 2029 lease expiration). The tenant recently exercised its five-year extension option; -- AMC Theatres (11.8%; 11.0%; December 2023); -- Forever 21 (4.2%; pays percentage rent; January 2024); -- Barnes & Noble Booksellers (4.1%; 1.3%; January 2025); and -- H&M (3.1%; pays percentage rent; January 2025). The tenant recently executed a two-year extension option. The property faces significant near-term rollover risk, with 21.5% of NRA (30.9% of S&P Global Ratings' in-place gross rent) scheduled to roll in 2023 (including AMC Theatres, which the borrower reports is expected to extend), 12.5% (14.4%) in 2024, and 13.2% (10.8%) in 2025. According to the tenant sales report as of December 2022, in-line tenant sales were $440 per sq. ft. excluding Apple, as calculated by S&P Global Ratings, up slightly from $427 per sq. ft. as of the March 2022 sales report and $419 per sq. ft. at issuance. S&P calculates an in-line occupancy cost of 12.5% based on average in-line gross rent per sq. ft. of $55.16, as calculated by S&P Global Ratings, down from 12.9% at its last review and 14.1% at issuance. S&P said, "Using the Dec. 31, 2022, rent roll and servicer-reported 2022 figures, we arrived at an S&P Global Ratings' NCF of $12.1 million, unchanged from its last review. The S&P Global Ratings' value of $162.0 million ($253 per sq. ft.), which reflects an S&P Global Ratings' capitalization rate of 7.50% (the same as in our last review), yields an S&P Global Ratings' loan-to-value (LTV) ratio of 88.7% on the current loan balance." Transaction Summary The partially IO mortgage loan had a current trust balance of $143.7 million as of the June 7, 2023, trustee remittance report, down from $147.0 million in our last review in June 2022, and $160.0 million at issuance. The loan, which was IO through the February 2018 payment date and then amortizes on a 30-year schedule, pays an annual fixed interest rate of 3.72% and matures on Feb. 1, 2025. The loan had a reported current payment status through its June 2023 debt service payment date. According to the Commercial Real Estate Finance Council Investor Reporting Package servicer reserve report as of June 2023, no reserves are currently on deposit. The servicer, Berkadia Commercial Mortgage LLC, reported a 1.61x debt service coverage (DSC) for the year ended Dec. 31, 2022, compared with 1.41x as of year-end 2021. To date, the trust has not experienced any principal losses. According to the transaction documents, the borrower is permitted to incur mezzanine debt if, among other factors, the aggregate LTV ratio is equal to or less than 55.0% and the combined DSC is equal to or greater than 1.89x. Berkadia confirmed that the borrower has not incurred any subordinate debt to date. Ratings Affirmed Morgan Stanley Capital I Trust 2013-ALTM Class A-1: AAA (sf) Class A-2: AAA (sf) Class B: A (sf) Class C: BBB (sf) Class D: BB (sf) Class E: BB- (sf) Class X-A: AAA (sf) MORGAN STANLEY 2015-C21: DBRS Confirms C Rating on 3 Classes ------------------------------------------------------------ DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C21 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class B at A (high) (sf) -- Class C at BB (sf) -- Class PST at BB (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class 555A at A (sf) -- Class 555B at BBB (sf) All trends are Stable, excluding Classes D, E, F, and G, which have ratings that do not generally carry a trend in commercial mortgage-backed securities (CMBS). The rating confirmations reflect minimal changes to the overall performance of the underlying collateral, which remains in line with DBRS Morningstar's expectations since the last rating action. As of the May 2023 remittance, 57 of the original 64 loans remain in the pool with an aggregate principal balance of $758.3 million, representing a collateral reduction of 15.8% since issuance as a result of loan amortization, loan repayments, and one loan liquidation. Ten loans, representing 8.8% of the current pool balance, have been fully defeased. Excluding collateral that has been defeased, the pool is most concentrated by retail, office, and hotel properties, with loans representing 33.8%, 24.1%, and 11.0% of the pool, respectively. There are 13 loans, representing 16.5% of the pool, on the servicer's watchlist and three loans, representing 11.9% of the pool, in special servicing. Since DBRS Morningstar’s last rating action, a previously specially serviced loan, Ashford Hotel Portfolio (6.1% of the pool), was returned to the master servicer following a significant rebound in performance. The main drivers for DBRS Morningstar's loss expectations continue to be the specially serviced loans, including the largest loan in the pool, Westfield Palm Desert (Prospectus ID#1; 8.5% of the pool). DBRS Morningstar's analysis includes liquidation scenarios for these loans. The implied losses total nearly $68.0 million, which would partially erode the balance of Class G. DBRS Morningstar also remains concerned with ongoing interest shortfalls, which are currently impacting Classes D through G. The largest specially serviced loan is secured by a 572,724-square-foot (sf) portion of the 977,888-sf Westfield Palm Desert regional mall in Palm Desert, California. The pari passu $125.0 million interest-only (IO) whole loan transferred to special servicing in August 2020 because of payment default and, as of the May 2023 remittance, the loan remains delinquent. A receiver was appointed in October 2021, shortly after which the property was rebranded as The Shops at Palm Desert. The special servicer is reportedly pursuing foreclosure. The property's occupancy rate has declined to 80.8% as of January 2023 from 95.9% at issuance. According to the servicer-reported financials, the annualized net cash flow (NCF) for the year-to-date period ended June 30, 2022, was $10.2 million, which is an increase from the YE2021 and YE2020 figures of $6.6 million and $9.0 million, respectively, but remains below the issuer's NCF of $12.7 million. Per the January 2023 financial package, total in-line sales for 2022 were $385 per square foot (psf), a 25.3% drop from the previous year. Overall, DBRS Morningstar expects performance to decline in the near to medium term. A major tenant, Tristone Cinemas (previously 3.3% of the net rentable area (NRA)), closed in February 2023. More than 35 additional tenants representing more than 15.0% of the NRA have leases scheduled to expire over the next 12 months, including a major tenant, Dick's Sporting Goods (4.7% of the NRA; expiration in January 2024). The receiver continues to tour prospective tenants. The most recent appraisal is dated July 2022 and valued the property at $68.0 million. Although this represents a 23.2% improvement from the July 2021 appraised value of $55.2 million, the updated figure is well below the issuance value of $212.0 million. DBRS Morningstar's analysis, which includes a liquidation scenario based on a stress to the most recent appraisal, is indicative of a loss severity of nearly 75.0%. Office is the second-largest property type represented in the pool. DBRS Morningstar has a cautious outlook on this asset type given the anticipated upward pressure on vacancy rates in the broader office market, challenging landlords' efforts to backfill vacant space, and, in certain instances, contributing to value declines, particularly for assts in noncore markets and/or with disadvantages in location, building quality, or amenities offered. While the largest two loans secured by office properties in the pool, 555 11th Street NW – Pooled (Prospectus ID#2, 7.9% of the pool) and Discovery Business Center (Prospectus ID#3, 7.4% of the pool) continue to perform in line with expectations, other select loans including International Park (Prospectus ID#10, 3.0% of the current pool balance) and Commerce Green One (Prospectus ID#19, 1.4% of the current pool balance) have exhibited weaker performance than the pool as a whole. To further test the durability of the ratings, DBRS Morningstar's analysis includes an additional stress for select loans, resulting in a weighted-average expected loss (EL) that is nearly four times the pool average EL. The Class 555A and Class 555B certificates are rake bonds backed by the 555 11th Street NW subordinate B note, which is a $57.0 million loan that is composed of a portion of the $177.0 million whole loan secured by the collateral property, a Class A office building in Washington, D.C. The whole loan comprises a $90.0 million pari passu A note ($60.0 million of which is held in the subject trust and backs the pooled bonds); a $30.0 million senior B note (not held in any CMBS transactions); and a $57.0 million subordinate B note, of which a $30.0 million pari passu portion was contributed to the subject transaction. The subordinate B note is below the senior B note in payment priority. The performance of the underlying collateral has been strong since issuance. As of September 2022, the servicer reported a 97.0% occupancy rate and a whole-loan debt service coverage ratio (DSCR) of 1.48 times (x), in line with the YE2021 figures of 97.0% and 1.80x, respectively. The decline in occupancy was primarily a result of American Cancer Society Cancer Action Network, Inc. (formerly 5.9% of NRA) in October 2021; however, the borrower is actively marketing the space for lease. While there are leases representing 13.7% of the NRA scheduled to expire in the next 12 months, rollover is quite granular. The largest tenant is Latham & Watkins, occupying 58.0% of NRA on a long-term lease through January 2031 with no termination options. DBRS Morningstar expects the loan to continue to exhibit stable performance. Notes: All figures are in U.S. dollars unless otherwise noted. NATIXIS COMMERCIAL 2019-MILE: DBRS Confirms B(low) Rating on F Debt ------------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-MILE issued by Natixis Commercial Mortgage Securities Trust 2019-MILE as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) DBRS Morningstar has maintained the Negative trends on Classes D, E, and F as a reflection of the continued concerns surrounding the collateral's increased vacancy, combined with cash flows that have continued to underperform expectations. The loan was transferred to the special servicer in May 2023 for imminent monetary default, likely as a result of the borrower's failure to meet the debt service coverage ratio (DSCR) threshold required to exercise the loan's final maturity extension option approaching in July 2023. While the servicer has confirmed that Sony Pictures Entertainment Inc. (Sony; 21.0% of the net rentable area (NRA)) signed a new long-term through May 2036, the tenant is not expected to take occupancy until June 2024, with additional leases representing 17.6% of NRA scheduled to expire prior to the loan's fully extended maturity date in July 2024. To determine the bonds most exposed to the increased risks, DBRS Morningstar relied on the hypothetical as-is value scenario derived as part of the June 2022 review, as further described below. The rating confirmations and Stable trends for the remaining classes reflect DBRS Morningstar's view that the overall credit profile of the transaction remains healthy given the sponsor's significant equity contribution at close and the sizable reserves in place. The transaction is secured by the fee-simple and leasehold interests in Wilshire Courtyard, which comprises two six-story, LEED Gold-certified office buildings with an aggregate of 1.1 million square feet (sf) in Los Angeles. The ground-leased parcel is approximately 3.5% of the property's total site area, with an expiration in March 2066, subject to rent increases every 10 years based on cumulative CPI increases. The trust's assets consist of a $408.2 million fully funded floating-rate mortgage loan, with an additional $69.4 million of mezzanine financing held outside of the trust. The borrower exercised the first maturity extension option, extending the loan's maturity to July 2023, with one extension option remaining, exercisable under a DSCR of 1.10 times (x). As of this publication, no updates have been provided regarding the borrower's remaining extension option; however, as the loan was recently transferred to special servicing, DBRS Morningstar believes the borrower has likely requested a loan modification. According to the March 2023 rent roll, the property was 75.5% leased and 48.3% occupied, as Sony is not scheduled to take occupancy until June 2024. Vacancy increased significantly in February 2021 when WeWork (previously 31.5% of NRA) vacated its space. In addition, Twentieth Television, Inc. (previously 7.1% of NRA) vacated ahead of its lease expiration in December 2024. The servicer has also confirmed that two tenants, Mediabrands Worldwide (8.4% of NRA, expiring June 2023) and Skydance Media (4.9% of NRA, expiring October 2023), will vacate upon their respective expiration dates, with leases representing an additional 4.3% of NRA scheduled to roll prior to the fully extended loan maturity in June 2024. These all suggest that, barring any new leases signed between now and then, occupancy could be around 64% at the 2024 maturity date. Per the YE2022 financials, the loan reported a net cash flow (NCF) of $20.0 million (a DSCR of 0.93x), a decline from the YE2021 figure of $23.5 million (a DSCR of 1.19x) and the DBRS Morningstar NCF of $26.5 million (a DSCR of 1.21x). The sponsor contributed $208.2 million in equity to close the subject transaction, and in 2021, there were plans for an extensive redevelopment of the property, per a June 23, 2021, Urbanize article. The plans include building two new interconnected high-rise buildings, containing 1.8 million sf of office space and approximately 120,000 sf of retail space, doubling the property's gross leasable area to roughly 2.3 million sf. However, given the uncertainty of office demand in the Los Angeles core and surrounding areas, it seems unlikely these plans will materialize in the near to moderate term. The property is well located in an affluent area with high barriers to entry; however, market vacancy rates are high. According to Reis, Class A office space within a two-mile radius from the property reported an average asking rent of $42.00 per square (psf) and a vacancy rate of 17.0% as of Q1 2022. In comparison, the subject achieved an average rental rate of $56.11 psf as of the March 2023 rent roll, with Sony slated to pay an initial rate of $53.79 psf. Reis projects that the Mid-Wilshire/Miracle Mile/Park Mile submarket will experience an annualized average rent growth of 1.7% by 2024, with vacancy declining to 19.6%. To assign ratings to the transaction in April 2020, DBRS Morningstar derived a value of $355.2 million ($334 psf), a variance of -46.8% from the appraised value of $668.0 million ($629 psf) at issuance. As part of the June 2022 rating action for this deal, DBRS Morningstar stressed that value given increased vacancy rates and general uncertainty for office demand. The analysis considered two value stress scenarios, resulting in a hypothetical as-is value of approximately $281 million ($265 psf) and a hypothetical dark value of $200 million ($188 psf). In evaluating the impact of these scenarios, DBRS Morningstar gave credit to the $55.8 million ($53 psf) held between leasing reserves, termination fees, and the letters of credit, all of which may be used to re-lease the property or in the event of default, be held as additional cash collateral for the subject loan. DBRS Morningstar maintains that its assumptions to derive these values remain applicable to this review, with all reserves in place as of the May 2023 reporting. While Sony's lease is a positive, DBRS Morningstar generally has a cautious outlook on this asset type given the anticipated upward pressure on vacancy rates in the broader office market, challenging landlords' efforts to backfill vacant space. As it stands, the property's occupancy rate may fall to approximately 64% prior to the fully extended maturity, which would likely impair efforts to find replacement financing. These factors, as well as the value stress analysis outlined above, support the Negative trends for Classes D, E, and F, which would be most exposed to the possibility of interest shortfalls and/or losses should vacancy continue to increase during the remainder of the loan term or at maturity. DBRS Morningstar notes the loan remains current, with no indication to date that the sponsor's commitment to the asset or loan has changed since issuance. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2023-RCF1: Fitch Assigns Final BB-sf Rating on Class M-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to PRPM 2023-RCF1, LLC. Entity/Debt Rating Prior ----------- ------ ----- PRPM 2023-RCF1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf M-2 LT BB-sf New Rating BB-(EXP)sf B LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed notes to be issued by PRPM 2023-RCF1, Asset Backed Notes, Series 2023-RCF1 (PRPM 2023-RCF1), as indicated above. The notes are supported by 562 loans with a balance of $204.88 million as of the cutoff date. This will be the second PRPM transaction rated by Fitch. The notes are secured by a pool of fixed and adjustable rate mortgage loans (some of which have an initial IO period) that are primarily fully amortizing with original terms to maturity of primarily 15 years to 40 years and are secured by first and second liens primarily on one- to four-family residential properties, units in planned unit developments, co-ops, condominiums, single-wide manufactured housing, townhouses and 5-20 unit multifamily properties. Based on the transaction documents, 68.0% of the pool is comprised of collateral that had a defect or exception to guidelines that made it ineligible to remain in a GSE pool, 21.2% are non-QM loans, and 9.8% are seasoned performing loans. According to Fitch, 63.4% of the loans are nonqualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule (the Rule), 5.0% are safe-harbor QM loans and the remaining 31.6% are exempt from QM rule as they are investment properties or were originated prior to the ATR rule taking effect in January 2014. The discrepancy in the non-QM percentages is due to Fitch considering Scratch and Dent loans originated after January 2014 as non-QM. Quicken Loans Inc. (Rocket Mortgage) originated 32.9% of the loans and the remaining 67.1% of the loans were originated by various other third-party originators each contributing less than 10% each. Fitch assesses Quicken Loans as an 'Above Average' originator. SN Servicing Corp. (SN) will service 75.5% of the loans in the pool and Fay Servicing LLC (Fay) will service 24.5% of the loans. Fitch rates SN and Fay 'RPS3' and 'RSS2-', respectively. There is limited Libor exposure in this transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 7.6% of the pool comprises loans with an adjustable rate. 4.4% of the pool consists of ARM loans based on SOFR, 0.6% based on the one-year treasury, 0.6% based on the FHLB contract mortgage rate and 2.0% based on one-month, three-month, six-month or one-year Libor. The offered A and M notes do not have Libor exposure as the coupons are fixed rate and capped at available funds. The B note is a principal only bond and is not entitled to interest. Similar to other NQM transactions, classes A and M classes have a step-up coupon feature if the deal is not called in June 2027. Since the presale was published, a mandatory auction feature was added to the transaction. If the transaction is still outstanding as of May 2028, a auction is to be held starting in June 2028. The revenue from the auction must be enough to cover (i) the sum of the remaining aggregate Note Amount of the Rated Notes, any accrued and unpaid interest thereon at the applicable Note Rates (including any Cap Carryover) and any outstanding fees, expenses and indemnities (without regard to the Annual Cap) of the transaction parties, including any unreimbursed Servicing Advances and (ii) the fees and expenses of the Asset Manager and the Auction Agent incurred in connection with any such Auction (without regard to the Annual Cap and to the extent Available Funds are insufficient to pay such fees and expenses) (the "Minimum Auction Price"). Also, two bids must be received in order for the auction to be held. If the minimum auction price is not met or two bids are not received, the transaction will continue to pay principal and interest based on cash flows from the underlying loans per the transaction's waterfall. The addition of a mandatory auction had no impact on Fitch's ratings or the credit enhancement. 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 7.8% 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. Nonprime Credit Quality (Negative): The collateral consists of 562 first (99.96%) and second lien (0.04%) fixed and adjustable-rate loans with maturities of up to 40 years. Totaling $205 million (including deferred balances). Specifically, the pool is comprised of 82.5% 30-year fully amortizing fixed-rate loans, 6.5% 30-year fully amortizing ARM loans, 5.0% six-year and 10-year IO balloon loans, 1.9% 30 and 40-year loans with a 10-year IO period and 4.3% fully amortizing fixed-rate loans with terms between 11 years and 25 years. The pool is seasoned 20 months per the transaction documents (23 months, as determined by Fitch). The borrowers in this pool have relatively strong credit profiles with a 695 Fitch determined weighted average (WA) FICO score (706 WA FICO per the transaction documents) and a 46.3% Fitch determined debt-to-income ratio (DTI; 41.7% per the transaction documents), as well as moderate leverage, with an original combined loan-to-value ratio (CLTV) as determined by Fitch of 77.9% (77.5% per the transaction documents), translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 77.2%. In Fitch's analysis, Fitch re-coded occupancy based on due diligence findings for some loans, as a result, Fitch will have more investor properties in its analysis than are shown in the transaction documents. In Fitch's analysis, it considered 67.4% of the pool to consist of loans where the borrower maintains a primary residence (71.6% based on the transaction documents), while 29.9% comprises investor property (25.7% based on the transaction documents) and 2.6% (2.7% per the transaction documents) represents second homes. In Fitch's analysis, Fitch re-coded property types based on due diligence findings, as a result, the percentages will not tie out to the property types in the transaction documents. In Fitch's analysis, the majority of the loans (72.4%) are to single-family homes, townhomes, and PUDs, 10.2% are to condos, 0.3% are to co-ops and 17.1% are to multifamily, manufactured housing and other. In the analysis, Fitch treated manufactured properties and properties coded as other occupancy types as multifamily in its analysis and the PD was increased for these loans as a result. There are also cross-collateralized loans (one loan to multiple properties) that were underwritten to debt service coverage ratio (DSCR)/Investor guidelines in the pool. These loans account for 10.2% of the pool. In the analysis of these loans, Fitch used the most conservative collateral attributes of the properties associated with the loan and all properties are in the same MSA. In total, 64.6% of the loans were originated through a retail channel. According to Fitch, 63.4% of the loans are designated as non-QM, 5.0% are safe-harbor QM loans, while the remaining 31.6% are exempt from QM status. In Fitch's analysis, Fitch considered scratch and dent loans originated after January 2014 to be Non-QM, since they are no longer eligible to be in GSE pools as a result, Fitch's non-QM, QM, and exempt from QM will not tie out to the transaction documents. The pool contains 22 loans over $1.0 million, with the largest loan at $4.0 million. Fitch determined that self-employed, non-DSCR borrowers make up 15.1% of the pool, salaried non-DSCR borrowers make up 65.2% and 19.7% comprises investor cash flow DSCR loans. About 29.9% of the pool comprises loans for investor properties according to Fitch (10.2% underwritten to borrowers' credit profiles and 19.7% comprising investor cash flow loans). According to Fitch, there are two second liens in the pool and 12 loans have subordinate financing. Around 20.5% of the pool is concentrated in California. The largest MSA concentration is in the New York MSA (7.7%), followed by the Los Angeles MSA (6.5%) and the Riverside-San Bernardino-Ontario MSA (5.4%). The top three MSAs account for 19.7% of the pool. As a result, there was no penalty for geographic concentration. 97.7% of the pool is current as of April 30, 2023. Overall, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Guideline Exception Loans (Negative): Roughly 68% of the collateral consists of loans that had defects or exceptions to guidelines at origination with a substantial portion originally underwritten to GSE guidelines. The exceptions ranged from those that are immaterial to Fitch's analysis (loan seasoning and MI issues), to those that are handled by Fitch's model due to the tape attributes (prior delinquencies and LTVs above guidelines) to loans with potential compliance exceptions that received loss adjustments (loans with miscalculate DTIs and potential ATR issues). In addition, there are loans with missing documentation that may extend foreclosure timelines or increase loss severity, which Fitch is able to account for in its loss analysis. Non-QM Loans with Less than Full Documentation (Negative): Approximately 57.7% of the pool was underwritten to less than full documentation, according to Fitch (per the transaction documents, 71.8% was underwritten to full documentation and 28.2% was underwritten to less than full documentation). Specifically, 3.4% was 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. Additionally, 0.3% comprises a tax return verification product, 1.7% comprises a no documentation product and 19.7% is a DSCR product. Overall, Fitch increased the PD on the nonfull documentation loans to reflect the additional risk. In Fitch's analysis, Fitch considered the less than full documentation loans as 22.4% stated documentation, 7.8% less than full documentation, 27.5% no documentation. The remaining 42.3% were considered full documentation. Due to due diligence findings and documentation treatment of certain loan documentation types (DSCR, Alt-Doc, Other), Fitch's documentation types will not match the documentation types in the transaction documents which viewed the transaction being 71.8% full documentation. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to underwriting and documentation of the borrower's ATR. Sequential Deal Structure with Overcollateralization (Mixed): The transaction utilizes a sequential payment structure with no advances of delinquent principal or interest that re-allocates interest from the more junior classes to pay principal on the more senior classes to the extent the transaction is still outstanding after the 72nd payment date. The amount of interest paid out as principal to the more senior class, is added to the balance of the impacted junior class(es). Offsetting this positive is that the transaction will not write-down the bonds due to potential losses or under-collateralization. During periods of adverse performance, the subordinate bonds will continue to be paid interest from available funds, at the expense of principal payments that otherwise would have supported the more senior bonds, while a more traditional structure would have seen them written down and accrue a smaller amount of interest. The potential for increasing amounts of under collateralization is partially mitigated by the reallocation of available funds after the 72nd payment date. The coupons on the notes are based on the lower of the available fund cap or the stated coupon. If the AFC is paid it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (AFC) and what should have been paid based on the stated coupon. If the transaction is not called, the coupons step up 100 bps. The class B and the certificate class will be issued as principal only (PO) bond and will not accrue interest. The transaction has over-collateralization which will provide subordination and protect the classes from losses. Classes will not be written down by realized losses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national 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 ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40.0%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch 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 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. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria". The sponsor, PRP-LB V, LLC, engaged AMC and Infinity to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans and increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered scratch and dent with material findings. For the remaining loans, Fitch did not consider the exceptions (if any) to be material due to the presence of compensating factors, such as having liquid reserves or a FICO above guideline requirements or LTVs or DTIs below guideline requirements. Therefore, no adjustments were needed to compensate for these occurrences on the non-scratch and dent loans. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS PRPM 2023-RCF1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the reviewed originators and servicing parties did not have a material impact on the expected losses, the Tier 2 R&W framework with an unrated counterparty along with approximately 52% of the loans in the pool being underwritten by originators that have not been assessed by Fitch resulted in an increase in the expected losses and is relevant to the ratings. 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. RCKT MORTGAGE 2023-CES1: Fitch Gives B(EXP)sf Rating on B-2 Notes ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes issued by RCKT Mortgage Trust 2023-CES1 (RCKT 2023-CES1). Entity/Debt Rating ----------- ------ RCKT 2023-CES1 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating A-5 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 R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 3,430 loans with a total balance of approximately $246 million as of the cutoff date. The pool is backed by prime, closed-end second lien collateral originated by Rocket Mortgage, LLC (Rocket Mortgage), formerly known as Quicken Loans, LLC. Distributions of principal and interest and loss allocations are based on a senior-subordinate, sequential pay structure, which also presents a 50% excess cashflow turbo feature. 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 8.8% above a long-term sustainable level (versus 7.8% on a national level as of 4Q22, down 2.7% qoq). The rapid gain in home prices through the coronavirus pandemic has seen signs of moderating, with a decline observed in 3Q22. While home prices increased in 1Q23, they are flat yoy as of April 2023. Prime Credit Quality (Positive): The collateral consists of 3,430 loans totaling $246 million and seasoned at approximately three months in aggregate — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile consisting of a 741 Fitch model FICO, a 37% debt-to-income ratio (DTI) and moderate leverage comprising a 75% sustainable loan-to-value ratio (sLTV). Of the pool, 99% consists of loans where the borrower maintains a primary residence and 1.0% represents second homes, while 99.8% of loans were originated through a retail channel. Additionally, 8.3% of the loans are designated as qualified mortgages (QM), 42.1% are higher priced QM (HPQM) and 49.6% are non-QM. Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM and non-QM loan statuses. Second Lien Collateral (Negative): The entirety of the collateral pool comprises closed-end second lien loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure with Turbo Feature (Positive): The transaction features a monthly excess cashflow priority of payments that distributes remaining amounts from the interest and principal priority of payments. These amounts will be applied as principal first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net weighted average coupon (WAC) shortfalls. A key difference from other transactions that include a material amount of excess interest is that, instead of distributing all remaining amounts to class XS notes, 50% of any remaining cash thereafter will be implemented toward payment of principal for classes A-1A/A-1B to B-3 sequentially. The other 50% is allocated toward paying the owner trustee, Delaware trustee, paying agent, custodian, asset manager and reviewer for extraordinary trust expenses to the extent not paid due to the application of the annual cap, and subsequently to the class XS. This is a much more supportive structure and ensures the transaction will benefit from excess interest regardless of default timing. To haircut the excess cashflow present in the transaction, Fitch tested the structure at a 50 basis points (bps) servicing fee and applied haircuts to the WAC through a rate modification assumption. This assumption was derived as a 2.5% haircut on 40% of the nondelinquent projection in Fitch's stresses. Given the lower projected delinquency (as a result of the chargeoff feature described below), there was a higher current percentage and a higher rate modification assumption, as a result. 180 Day Charge Off Feature (Positive): The asset manager has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180-days delinquency (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects a meaningful recovery in any liquidation scenario, the asset manager may direct the servicer to continue to monitor the loan and not charge it off. The 180-day chargeoff feature will result in losses incurred sooner while there is a larger amount of excess interest to protect against losses. This compares favorably to a delayed liquidation scenario where the loss occurs later in the life of the transaction and less excess is available. If the loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, subsequent recoveries realized after the writedown at 180 days' DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.8% 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 The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% PD credit to the 25.4% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 20bps reduction to the 'AAAsf' expected loss. 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. REGATTA XXV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Regatta XXV Funding Ltd. Entity/Debt Rating ----------- ------ Regatta XXV Funding Ltd. A LT NR(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 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 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Regatta XXV Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 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 25.25, versus a maximum covenant, in accordance with the initial expected matrix point of 26.8. 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 99.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.95% versus a minimum covenant, in accordance with the initial expected matrix point of 74.51%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments 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 'BBsf' and 'A+sf' for class B, between 'B-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A+sf' for class D, 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 its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SLM STUDENT 2012-1: Fitch Affirms Bsf Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has maintained the class A-6A, A-6B, and A-6C notes of SLM Student Loan Trust (SLM) 2006-7 and the class A-3 notes of SLM 2012-5 on Rating Watch Negative (RWN). Fitch placed the notes on RWN on May 26, 2023 following the placement of the United States' 'AAA' Long-Term Foreign Currency Issuer Default Rating (IDR) on RWN on May 24, 2023. The notes are rated 'AAAsf'. Fitch has also affirmed the outstanding notes of SLM 2012-1 along with the class B notes of SLM 2006-7 and SLM 2012-5 at their current levels. The Rating Outlooks for all the notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2012-1 A-3 78446WAC1 LT Bsf Affirmed Bsf B 78446WAD9 LT Bsf Affirmed Bsf SLM Student Loan Trust 2012-5 A-3 78447EAC0 LT AAAsf Rating Watch Maintained AAAsf B 78447EAD8 LT Asf Affirmed Asf SLM Student Loan Trust 2006-7 A-6A 78443GAF2 LT AAAsf Rating Watch Maintained AAAsf A-6B 78443GAG0 LT AAAsf Rating Watch Maintained AAAsf A-6C 78443GAH8 LT AAAsf Rating Watch Maintained AAAsf B 78443GAJ4 LT Asf Affirmed Asf TRANSACTION SUMMARY All Federal Family Education Loan Program (FFELP) loans are guaranteed against default by a third-party guarantor for at least 97% of principal and accrued interest, depending on the loan disbursement date. The U.S. Department of Education (ED) reinsures or reimburses the guarantor for amounts paid on the loans. In addition, the ED provides special allowance payments (SAP) and interest subsidy payments (ISP) to FFELP student loan ABS (SLABS). SLM 2006-7 and 2012-5: The class A and B notes pass credit and maturity stresses in cashflow modeling with sufficient hard credit enhancement (CE) under Fitch's assumptions at current ratings. The class B notes for both transactions were affirmed at 'Asf'. Their Outlooks remain Stable. SLM 2012-1: The class A-3 and B notes are affirmed at 'Bsf' despite not passing Fitch's base case cash flow stresses and in line with Fitch's Federal Family Education Loan Program (FFELP) criteria. Fitch has considered qualitative factors such as the time to maturity of over five years away for the senior, class A-3 notes, Navient's ability to call the notes upon reaching 10% pool factor, and the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. If this revolving credit facility is utilized it will result in positive rating pressure to this transaction. There have been no material changes to the credit or maturity profile of the transaction since the last review. The Rating Outlooks remain Stable. Fitch modeled customized servicing fees for SLM 2006-7 instead of Fitch's criteria-defined assumption of $3.25 per borrower, per month, due to higher contractual servicing fees for this transaction. The sustainable constant default rate (sCDR) assumption was increased to 4.50% and 5.00% from 4.00% and 4.50% for SLM 2012-1 and 2012-5, respectively. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% FFELP loans, with guaranties provided by eligible guarantors and reinsurance provided by the ED for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/RWN. Collateral Performance: For all transactions, Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, consolidation from the Public Service Loan Forgiveness Program, which ended in October 2022, drove the short-term inflation of CPR. Voluntary prepayments are expected to return to historical levels. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAA' case. SLM 2006-7: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 16.00% under the base case scenario and a default rate of 48.00% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining the sustainable constant default rate (sCDR) of 2.40% and the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 8.50% in cash flow modelling. The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 3.21% (3.09% at March 31, 2022), 12.87% (9.84%) and 17.47% (17.82%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 days past due (DPD) and the 91-120 DPD have decreased from March 31, 2022 and are currently 2.84% for 31 DPD and 0.83% for 91 DPD compared to 3.26% and 1.35% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.15%, based on information provided by the sponsor. SLM 2012-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 31.75% under the base case scenario and a default rate of 95.25% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is revising the sCDR upwards to 4.50% from 4.00%, as the trend in default has increased, and maintaining the sCPR of 11.00% in cash flow modelling. The TTM levels of deferment, forbearance and IBR are 5.87% (6.27% at April 30, 2022), 20.25% (16.21%) and 22.27% (25.31%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have decreased and the 91-120 DPD have increased from April 30, 2022 and are currently 5.82% for 31 DPD and 2.74% for 91 DPD compared to 5.85% and 2.16% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.03%, based on information provided by the sponsor. SLM 2012-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 35.25% under the base case scenario and a default rate of 100.00% under the 'AAA' credit stress scenario, with an effective default rate of 99.00% after applying the default curve, as per criteria. Fitch is revising the sCDR upwards to 5.00% from 4.50%, as the trend in default has increased, and maintaining the sCPR of 11.00% in cash flow modelling. The TTM levels of deferment, forbearance and IBR are 5.66% (6.13% at May 31, 2022), 18.60% (16.34%) and 23.26% (25.87%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have decreased and the 91-120 DPD have remained the same from May 31, 2022 and are currently 6.56% for 31 DPD and 2.52% for 91 DPD compared to 6.87% and 2.52% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.03%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent distribution date, approximately 99.64%, 99.93%, and 100.00% of the student loans of SLM 2006-7, 2012-1, and 2012-5, respectively, are indexed to LIBOR, while the remainder are indexed to the 91-day T-bill rate. All the notes for SLM 2006-7 are indexed to three-month LIBOR, while all the loans in SLM 2012-1 and 2012-5 are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization (OC), and for the class A notes, subordination provided by the class B notes. As of the most recent distribution date, reported total parity is 99.38%, 101.07%, and 100.98% for SLM 2006-7, 2012-1, and 2012-5, respectively. Liquidity support is provided by reserve funds currently sized at their floors of $3,769,093, $764,728, and $1,250,046 for SLM 2006-7, 2012-1, and 2012-5, respectively. SLM 2006-7 will release cash once 100.0% total parity (excluding the reserve account) is reached. SLM 2012-1 will continue to release cash as long as the specified OC of the greater of 1.00% and $2,000,000 is maintained, and SLM 2012-5 will continue to release cash as long as the specified OC of the greater of 1.00% or $1,300,000 is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. SLM Student Loan Trust 2006-7 Current Ratings: class A-6 'AAAsf'; class B 'Asf'. Current Model-Implied Ratings: class A-6 'AAAsf' (Credit and Maturity Stress) / class B 'AAAsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'Asf'; - Default increase 50%: class A 'AAAsf'; class B 'Asf'; - Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf'; - Basis spread increase 0.50%: class A 'AAAsf; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'Asf'; - CPR decrease 50%: class A 'AAAsf'; class B 'Asf'; - IBR usage increase 25%: class A 'AAAsf'; class B 'Asf'; - IBR usage increase 50%: class A 'AAAsf; class B 'Asf'; - Remaining Term increase 25%: class A 'Asf'; class B 'Asf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'Asf'. SLM Student Loan Trust 2012-1 Credit Stress Rating Sensitivity Current Ratings: class A-3 'Bsf'; class B 'Bsf'. Current Model-Implied Ratings: class A-3 'CCCsf' (Credit and Maturity Stress) / class B 'CCCsf' (Credit and Maturity Stress) - Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2012-5 Current Ratings: class A-3 'AAAsf'; class B 'Asf'. Current Model-Implied Ratings: class A-3 'AAAsf' (Credit and Maturity Stress) / class B 'Asf' (Credit Stress); 'AAAsf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'BBBsf'; - Default increase 50%: class A 'AAAsf'; class B 'BBBsf'; - Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf'; - Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'Asf'; - CPR decrease 50%: class A 'AAAsf'; class B 'Asf'; - IBR usage increase 25%: class A 'AAAsf'; class B 'Asf'; - IBR usage increase 50%: class A 'AAAsf'; class B 'Asf'; - Remaining Term increase 25%: class A 'AAAsf'; class B 'Asf'; - Remaining Term increase 50%: class A 'AAAsf'; class B 'Asf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SLM Student Loan Trust 2006-7 No upgrade credit or maturity stress sensitivity is provided for the class A-6 notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AAAsf'; - Basis Spread decrease 0.25%: class B 'AAAsf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'AAAsf'; - IBR usage decrease 25%: class B 'AAAsf'; - Remaining Term decrease 25%: class B 'AAAsf'. SLM Student Loan Trust 2012-1 The current ratings assigned to the trust are most sensitive to Fitch's maturity risk scenario; therefore, an extension of the legal final maturity date of the senior notes, which would effectively mitigate the maturity risk in Fitch's cash flow modeling and result in positive rating pressure. Additional secondary factors that may lead to a positive rating action are: material increases in the payment rate and/or a material reduction in the weighted average remaining loan term. SLM Student Loan Trust 2012-5 No upgrade credit or maturity stress sensitivity is provided for the class A-3 notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AAsf'; - Basis Spread decrease 0.25%: class B 'Asf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'AAAsf'; - IBR usage decrease 25%: class B 'AAAsf'; - Remaining Term decrease 25%: class B 'AAAsf'. 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. SOUND POINT IV-R: Moody's Cuts Rating on $30MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating on the following note issued by Sound Point CLO IV-R, Ltd.: US$66,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on April 23, 2018 Assigned Aa2 (sf) Moody's has also downgraded the ratings on the following notes: US$30,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on August 18, 2020 Confirmed at Ba3 (sf) US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa3 (sf); previously on August 18, 2020 Downgraded to Caa1 (sf) Sound Point CLO IV-R, Ltd., issued in April 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The upgrade rating action reflects an expectation that the notes will begin to be repaid in order of seniority starting on the next payment date, given that the deal's reinvestment period ended in April 2023. The downgrade rating actions on the Class E and F notes reflect the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's May 2023 trustee report[1], the weighted average rating factor (WARF) is reported at 2944 compared to 2729 in trustee's May 2022 trustee report[2]. Also, the OC ratio for the Class E notes is currently reported at 104.28% versus May 2022 level of 105.03%. Furthermore, based on Moody's calculation, the total collateral principal balance is currently approximately $573.2 million, or about $26.8 million less than the effective date target par amount. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in 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: $571,260,936 Defaulted par: $10,896,579 Diversity Score: 79 Weighted Average Rating Factor (WARF): 2813 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.73% Weighted Average Recovery Rate (WARR): 46.81% Weighted Average Life (WAL): 4.17 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, 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. STACR REMIC 2023-HQA1: DBRS Finalizes BB(high) Rating on 16 Classes ------------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Structured Agency Credit Risk (STACR) REMIC 2023-HQA1 Notes (the Notes) issued by Freddie Mac STACR REMIC Trust 2023-HQA1 (STACR 2023-HQA1): -- $127.0 million Class M-1A at A (low) (sf) -- $127.0 million Class M-1B at BBB (sf) -- $31.5 million Class M-2A at BBB (low) (sf) -- $31.5 million Class M-2B at BB (high) (sf) -- $63.0 million Class M-2 at BB (high) (sf) -- $63.0 million Class M-2R at BB (high) (sf) -- $63.0 million Class M-2S at BB (high) (sf) -- $63.0 million Class M-2T at BB (high) (sf) -- $63.0 million Class M-2U at BB (high) (sf) -- $63.0 million Class M-2I at BB (high) (sf) -- $31.5 million Class M-2AR at BBB (low) (sf) -- $31.5 million Class M-2AS at BBB (low) (sf) -- $31.5 million Class M-2AT at BBB (low) (sf) -- $31.5 million Class M-2AU at BBB (low) (sf) -- $31.5 million Class M-2AI at BBB (low) (sf) -- $31.5 million Class M-2BR at BB (high) (sf) -- $31.5 million Class M-2BS at BB (high) (sf) -- $31.5 million Class M-2BT at BB (high) (sf) -- $31.5 million Class M-2BU at BB (high) (sf) -- $31.5 million Class M-2BI at BB (high) (sf) -- $31.5 million Class M-2RB at BB (high) (sf) -- $31.5 million Class M-2SB at BB (high) (sf) -- $31.5 million Class M-2TB at BB (high) (sf) -- $31.5 million Class M-2UB at BB (high) (sf) Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, and M-2UB are Modifiable and Combinable STACR Notes (MACR Notes). Classes M-2I, M-2AI, and M-2BI are interest-only MACR Notes. The A (low) (sf), BBB (sf), BBB (low) (sf), and BB (high) (sf) ratings reflect 3.000%, 2.000%, 1.750%, and 1.500% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. STACR 2023-HQA1 is the 28th transaction in the STACR HQA series. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgage loans held in various Freddie Mac-guaranteed mortgage-backed securities (MBS). As of the Cut-Off Date, the Reference Pool consists of 37,756 greater-than-20-year fully amortizing first-lien fixed-rate mortgage loans underwritten to a full documentation standard, with original loan-to-value (LTV) ratios greater than 80%. The mortgage loans were acquired on or after January 1, 2022 and were securitized by Freddie Mac between January 1, 2022 and January 31, 2022. On the Closing Date, the trust will enter into a Collateral Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as the credit protection buyer, will be required to make transfer amount payments. The trust is expected to use the aggregate proceeds realized from the sale of the Notes to purchase certain eligible investments to be held in a custodian account. The eligible investments are restricted to highly rated, short-term investments. Cash flow from the Reference Pool will not be used to make any payments; instead, a portion of the eligible investments held in the custodian account will be liquidated to make principal payments to the Noteholders and return amounts, if any, to Freddie Mac upon the occurrence of certain specified credit events and modification events. The coupon rates for the Notes are based on the 30-Day average Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available, please see the Private Placement Memorandum (PPM) for more details. DBRS Morningstar did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the reference obligations (the Reference Obligations). Instead, the trust will use the net investment earnings on the eligible investments together with Freddie Mac's transfer amount payments to pay interest to the Noteholders. In this transaction, approximately 1.2% of the loans were originated using property values determined by using Freddie Mac's automated collateral evaluation (ACE) assessment rather than a traditional full appraisal. Loans where the property values were determined by using ACE assessments generally have better LTVs and debt-to-income (DTI) ratios, as shown in the table below. Please see the PPM for more details about the ACE assessment. The calculation of principal payments to the Notes will be based on actual principal collected on the Reference Pool. For STACR HQA transactions, beginning with the STACR 2018-HQA2 transaction, there has been a revision to principal allocation. The scheduled principal in earlier transactions was allocated pro rata between the senior and nonsenior (mezzanine and subordinate) tranches, regardless of deal performance, while the unscheduled principal was allocated pro rata subject to certain performance tests being met. For the more recent transactions, the scheduled and unscheduled principal will be combined and will be allocated pro rata between the senior and nonsenior tranches only if the performance tests are satisfied. For STACR 2023-HQA1, the minimum credit enhancement test is not set to fail at the Closing Date. This allows rated classes to receive principal payments from the First Payment Date, provided the other two performance tests—delinquency test and cumulative net loss test—are met. Additionally, the nonsenior tranches will also be entitled to the supplemental subordinate reduction amount if the offered reference tranche percentage increases to 5.50%. The interest payments for these transactions are not linked to the performance of the Reference Obligations, except to the extent that modification losses have occurred. The Class B-3H's Notes coupon rate will be zero, which may reduce the cushion that rated classes have to the extent any modification losses arise. Additionally, payment deferrals will be treated as modification events and could lead to modification losses. Please see the PPM for more details. The Notes will be scheduled to mature on the payment date in May 2043, but they will be subject to mandatory redemption prior to the scheduled maturity date upon the termination of the CAA. The Sponsor of the transaction will be Freddie Mac. Citibank, N.A. (rated AA (low) and R-1 (middle) with Stable trends by DBRS Morningstar) will act as the Indenture Trustee and Exchange Administrator. Wilmington Trust, National Association (rated AA (low) and R-1 (middle) with Stable trends by DBRS Morningstar) will act as the Owner Trustee. The Bank of New York Mellon (rated AA (high) and R-1 (high) with Stable trends by DBRS Morningstar) will act as the Custodian. The Reference Pool consists of approximately 5.7% and 0.2% of loans originated under the Home Possible and HFA Advantage programs, respectively. Home Possible is Freddie Mac's affordable mortgage product designed to expand the availability of mortgage financing to creditworthy low- to moderate-income borrowers. If a Reference Obligation is refinanced under the Enhanced Relief Refinance Program, the resulting refinanced Reference Obligation may be included in the Reference Pool as a replacement of the original Reference Obligation. The Enhanced Relief Refinance Program provides refinance opportunities to borrowers with existing Freddie Mac mortgages who are current in their mortgage payments but whose LTVs exceed the maximum permitted for standard refinance products. The refinancing and replacement of a Reference Obligation under this program will not constitute a credit event. For this transaction, if a loan becomes delinquent and the related servicer reports that such loan is in disaster forbearance before the end of the sixth reporting period following the landfall of a hurricane, Freddie Mac will remove the loan from the pool to the extent the related mortgaged property is located in a Federal Emergency Management Agency (FEMA) major disaster area and in which FEMA has authorized individual assistance to homeowners in such area as a result of such hurricane that affects such related mortgaged property prior to the Closing Date. Notes: All figures are in U.S. dollars unless otherwise noted. STRUCTURED ASSET 2004-AR7: Moody's Cuts Rating on Cl. X Debt to Ca ------------------------------------------------------------------ Moody's Investors Service downgraded the ratings of four bonds issued by Structured Asset Mortgage Investments II Trust 2004-AR7. The collateral backing this deal consists of Alt-A mortgages. The complete rating actions are as follows: Issuer: Structured Asset Mortgage Investments II Trust 2004-AR7 - Cl. A-1A, Downgraded to Baa3 (sf); previously on Aug 28, 2013 Downgraded to Baa1 (sf) - Cl. Grantor Trust A-1B, Downgraded to Baa3 (sf); previously on Aug 28, 2013 Downgraded to Baa2 (sf) - Cl. M, Downgraded to Caa1 (sf); previously on Jul 5, 2019 Downgraded to B2 (sf) - Cl. X*, Downgraded to Ca (sf); previously on Mar 18, 2020 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pool. The rating downgrades are primarily due to a deterioration in collateral performance, and decline in credit enhancement available to the bonds due to the deal passing performance triggers. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. STUDENT LOAN 2007-2: Moody's Cuts Rating on Cl. IO Certs to Caa2 ---------------------------------------------------------------- Moody's Investors Service downgraded the rating of Class IO from Student Loan ABS Repackaging Trust, Series 2007-2. Deutsche Bank Trust Company Americas is the administrator and indenture trustee for the transaction. The complete rating action is as follows: Issuer: Student Loan ABS Repackaging Trust, Series 2007-2 Cl. IO, Downgraded to Caa2 (sf); previously on Jun 8, 2020 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating action on Student Loan ABS Repackaging Trust, Series 2007-2, Class IO was prompted by the increase in proportion of underlying securities rated lower than this certificate. The assets of the trust consist primarily of the Class 3-A-IO, Class 4-A-IO, Class 5-A-IO, Class 6-A-IO and Class 7-A-IO certificates issued by the Student Loan ABS Repackaging Trust, Series 2007-1. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Repackaged Securities Methodology" published in June 2023. Factors that would lead to an upgrade or downgrade of the rating: Up The rating of the certificate could be upgraded if the underlying securities referenced in the trust is upgraded or if the proportion of underlying securities rated higher than certificate increases. Down The rating of the certificate could be downgraded if the underlying securities referenced in the trust is downgraded or if the proportion of underlying securities rated lower than certificate increases. ZAIS CLO 19: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ZAIS CLO 19 Ltd./ZAIS CLO 19 LLC's fixed- and floating-rate notes. The transaction is managed by ZAIS Leveraged Loan Master Manager LLC. 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 preliminary ratings are based on information as of June 16, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- 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. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned ZAIS CLO 19 Ltd./ZAIS CLO 19 LLC Class A-1, $210.00 million: AAA (sf) Class A-J, $17.50 million: AAA (sf) Class B-1, $33.50 million: AA (sf) Class B-F, $5.00 million: AA (sf) Class C-1 (deferrable), $18.00 million: A (sf) Class C-F (deferrable), $3.00 million: A (sf) Class D-1 (deferrable), $14.00 million: BBB+ (sf) Class D-J (deferrable), $3.50 million: BBB- (sf) Class E (deferrable), $12.25 million: BB- (sf) Subordinated notes, $28.875 million: Not rated [*] DBRS Reviews 463 Classes From 42 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 463 classes from 42 U.S. residential mortgage-backed securities (RMBS) transactions. The 42 transactions are generally classified as non-qualified mortgage, seasoned and prime transactions. Of the 463 classes reviewed, DBRS Morningstar upgraded 117 ratings and confirmed 346 ratings. The affected Ratings are available at https://bit.ly/3qP1l2M The credit ratings assigned to the classes below materially deviate from the ratings implied by the predictive model. DBRS Morningstar typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations is additional seasoning being warranted to substantiate a further upgrade. -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class B-1 -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class B-2 -- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class B-1 -- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class B-2 -- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class B-1 -- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class B-2 -- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class M-1 -- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class B-1 -- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class B-2 -- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class B-1 -- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class B-2 -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class A-3 -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class M-1 -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-1 -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-2 -- GCAT 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class M-1 -- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class M-1 -- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1 -- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-2 -- Imperial Fund Mortgage Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class M-1 -- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class A-3 -- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class M-1 -- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-1 -- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-2 -- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1 -- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class B-1 -- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class B-2 -- Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class M-1 -- Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-1 -- Starwood Mortgage Residential Trust 2021-3, Mortgage Pass-Through Certificates, Series 2021-3, Class A-3 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class M-1 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-1 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-2 -- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class M-1 -- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-1 -- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-2 -- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class A-3 -- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class M-1 -- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class B-1 -- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class B-2 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2A -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2AX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2B -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2BX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2C -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2CX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2D -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2DX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2E -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2EX -- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class M-1 -- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class B-1 -- BRAVO Residential Funding Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class B-2 -- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B3 -- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B4 -- BRAVO Residential Funding Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5 -- CIM Trust 2018-R3, Mortgage-Backed Notes, Series 2018-R3, Class B1 -- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 2-A-1 -- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 4-A-2 -- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class B-1 -- J.P. Morgan Mortgage Trust 2019-5, Mortgage Pass-Through Certificates, Series 2019-5, Class B-3 -- J.P. Morgan Mortgage Trust 2019-5, Mortgage Pass-Through Certificates, Series 2019-5, Class B-5 -- J.P. Morgan Mortgage Trust 2019-LTV2, Mortgage Pass-Through Certificates, Series 2019-LTV2, Class B-5 -- J.P. Morgan Mortgage Trust 2019-LTV3, Mortgage Pass-Through Certificates, Series 2019-LTV3, Class B-5 The rating was initiated at the request of the rated entity. The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action. [*] S&P Takes Various Actions on 56 Classes From 14 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 56 ratings from 14 U.S. RMBS transactions issued between 2002 and 2007. The review yielded 16 upgrades, three downgrades, four withdrawals, two discontinuances, and 31 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/35k8d 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 missed interest payments or interest shortfalls; and -- The assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. In addition, most of these classes are receiving all of the principal payments or are next in the payment priority when the more senior class pays down. The downgrades are due to the impact of reduced interest payments due to loan modifications and other credit-related events. S&P said, "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on four classes from one transaction due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2023. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***