/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230716.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, July 16, 2023, Vol. 27, No. 196 Headlines ANGEL OAK 2023-3: Fitch Assigns Bsf Rating to Class B-2 Certs ANGEL OAK 2023-4: Fitch Assigns Bsf Rating to Class B-2 Debt APIDOS CLO XLI: Fitch Affirms 'BBsf' Rating on Class E Notes APIDOS CLO XLVI: Fitch Assigns 'BB(EXP)sf' Rating to Cl. E Notes BARINGS CLO 2022-II: Fitch Affirms 'BB-sf' Rating on Class E Notes BBCMS MORTGAGE 2017-C1: Fitch Lowers Class D Certs Rating to BBsf BENEFIT STREET XXVII: Fitch Affirms 'BB-sf' Rating on Cl. E Notes BIRCH GROVE 6: Fitch Assigns 'BB-sf' Rating to Class E Notes CANTOR COMMERCIAL 2016-C3: Fitch Affirms B-sf Rating on 2 Tranches CARLYLE US 2023-2: Fitch Assigns BB-sf Rating on Class E Debt CD 2017-CD3: Fitch Affirms Csf Rating on Class F Certs CFCRE MORTGAGE 2016-C6: Fitch Cuts Rating on Cl. D Notes to 'BBsf' CITIGROUP 2023-RP2: Fitch Assigns Final Bsf Rating to Cl. B-2 Debt CITIGROUP MORTGAGE 2023-RP2: Fitch Gives B(EXP) Rating to B-2 Debt COAST 2023-2HTL: S&P Assigns Prelim B (sf) Rating on HRR Certs CSAIL 2015-C3: Fitch Lowers Rating on Class F Certs to Csf DT AUTO 2023-3: S&P Assigns Prelim BB (sf) Rating on Class E Notes EXETER AUTOMOBILE: Fitch Assigns BBsf Rating on Class E Debt FANNIE MAE 2023-R05: S&P Assigns B(sf) Rating on Class 1B-2X Notes GLENBROOK PARK: Fitch Gives B-(EXP) Rating on Class F Debt GOLUB CAPITAL 68(B): Fitch Assigns 'BB(EXP)sf' Rating to E Notes HALSEYPOINT CLO 7: Fitch Rates Class E Debt 'BB-sf' HARBOURVIEW CLO VII-R: Moody's Ups $24.02MM D Notes Rating to Ba1 JP MORGAN 2014-C23: Fitch Lowers CCsf Rating on 2 Tranches JP MORGAN 2023-5: Fitch Assigns 'B-sf' Rating to B-5 Certs JP MORGAN 2023-HE1: Fitch Assigns 'Bsf' Rating to B-2 Certs JPMBB COMMERCIAL 2014-C18: Fitch Cuts Rating on 2 Tranches to BBsf KKR CLO 52: Fitch Assigns 'BB+sf' Rating to Class E Notes MORGAN STANLEY 2022-17A: Fitch Affirms 'BBsf' Rating on E Notes MOSAIC SOLAR 2022-2: Fitch Affirms 'BBsf' Rating on Class D Notes MSBAM 2016-C29: Fitch Affirms CCC Rating on 2 Tranches OAKTREE CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes OBX TRUST 2019-INV1: Moody's Raises Rating on Cl. B-5 Notes to B1 OCTANE 2022-1: S&P Affirms 'BB+ (sf)' Rating on Class E Notes RCKT MORTGAGE 2023-CES1: Fitch Gives Bsf Rating on B-2 Notes REGATTA XXV: Fitch Assigns BB-sf Rating on Class E Debt SCULPTOR CLO XXXI: S&P Assigns BB- (sf) Rating on Class E Loans SIERRA TIMESHARE 2023-2: Fitch Gives BB-(EXP)sf Rating to D Notes SLM PRIVATE 2007-A: Fitch Affirms 'BB+sf' Rating on 2 Tranches [*] Fitch Puts Aircraft/Engine ABS Deals on Criteria Observation [*] Moody's Takes Action on $225MM of US RMBS Issued 2001-2007 ********* ANGEL OAK 2023-3: Fitch Assigns Bsf Rating to Class B-2 Certs ------------------------------------------------------------- Fitch Ratings has assigned final ratings to Angel Oak Mortgage Trust 2023-3 (AOMT 2023-3). Entity/Debt Rating Prior ----------- ------ ----- AOMT 2023-3 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch Ratings has assigned final ratings to 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. ANGEL OAK 2023-4: Fitch Assigns Bsf Rating to Class B-2 Debt ------------------------------------------------------------ Fitch Ratings has assigned final ratings to Angel Oak Mortgage Trust 2023-4 (AOMT 2023-4). Entity Rating Prior ------ ------ ----- AOMT 2023-4 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the RMBS to be issued by Angel Oak Mortgage Trust 2023-4, Series 2023-4 (AOMT 2023-4), as indicated. 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. After the presale report was published, the transaction was re-structured to reflect current market conditions, which resulted in updated certificate balances and CEs. There were no changes to the transaction's collateral pool. Based on the updated analysis of the structure, Fitch determined that the CE provided was sufficient to pass the assigned rating stresses. As a result, the final ratings remain unchanged from the expected ratings that were published in the presale report. Fitch's expected losses and revised transaction CEs are listed below. -- Class A-1 rated 'AAAsf'; Fitch expected loss 14.75%; transaction CE 22.80%; -- Class A-2 rated 'AAsf'; Fitch expected loss 11.00%; transaction CE 15.95%; -- Class A-3 rated 'Asf'; Fitch expected loss 7.75%; transaction CE 8.85%; -- Class M-1 rated 'BBB-sf'; Fitch expected loss 4.75%; transaction CE 4.10%; -- Class B-1 rated 'BBsf'; Fitch expected loss 3.75%; transaction CE 2.80%; -- Class B-2 rated 'Bsf'; Fitch expected loss 2.50%; transaction CE 1.30%. 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. APIDOS CLO XLI: Fitch Affirms 'BBsf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class B, C, D and E notes of Apidos CLO XL Ltd (Apidos XL) and the class A-1, A-2, B-1, B-2, C, D and E notes of Apidos CLO XLI Ltd (Apidos XLI). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating ----------- ------ Apidos CLO XLI Ltd A-1 03770CAA3 LT AAAsf Affirmed A-2 03770CAC9 LT AAAsf Affirmed B-1 03770CAE5 LT AAsf Affirmed B-2 03770CAG0 LT AAsf Affirmed C 03770CAJ4 LT Asf Affirmed D 03770CAL9 LT BBB-sf Affirmed E 03770EAA9 LT BBsf Affirmed Apidos CLO XL Ltd B 03769RAE5 LT AAsf Affirmed C 03769RAG0 LT Asf Affirmed D 03769RAJ4 LT BBB-sf Affirmed E 03769TAA9 LT BB-sf Affirmed TRANSACTION SUMMARY Apidos XL and Apidos XLI are broadly syndicated collateralized loan obligations (CLOs) managed by CVC Credit Partners, LLC. Apidos XL closed in July 2022 and will exit its reinvestment period in July 2027. Apidos XLI closed in September 2022 and will exit its reinvestment period in October 2027. Both CLOs are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The credit quality of Apidos XL as of June 2023 reporting represents a weighted average rating factor (WARF) of 25.0 ('B/B-' rating level), compared to 24.3 (B/B- rating level) at closing. The credit quality of Apidos XLI as of May 2023 reporting represents a WARF of 25.2 (B/B- rating level), compared to 23.2 (B+/B- rating level) at closing. The portfolio for Apidos XL consists of 259 obligors, and the largest 10 obligors represent 10.4% of the portfolio. Apidos XLI has 232 obligors, with the largest 10 obligors comprising 10.9% of the portfolio. As of June 2023 reporting, Apidos XL holds two defaulted assets totaling 0.6% of the portfolio and as of May 2023 reporting, Apidos XLI holds one defaulted asset equal to 0.1% of the portfolio. Exposure to issuers with a Negative Outlook is 12.0% and 13.7% and exposure to Fitch's watchlist 4.2% and 4.5% for Apidos XL and Apidos XLI, respectively. On average, first lien loans, cash and eligible investments comprise 96.7% of the portfolios andfixed rate assets comprise 3.1% of the portfolios. Fitch's weighted average recovery rate (WARR) for Apidos XL is 76.1%, compared to 76.2% at closing. Fitch's WARR for Apidos XLI is 75.7%, compared to 76.2% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance for both transactions. Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since both transactions are still in their reinvestment periods. The FSP analysis stressed the current portfolio from the latest trustee report to account for permissible concentration and CQT limits. The FSP analysis was conducted at weighted average life of 7.25 years for both Apidos XL and Apidos XLI. Non-senior secured assets were stressed to 10.0% for Apidos XL and 4.0% for Apidos XLI. Weighted average spreads were stressed to the covenant minimum levels of 3.50% for Apidos XL and 3.60% for Apidos XLI. Other FSP assumptions for both CLOs include 5.0% fixed rate assets and 7.5% CCC assets. The rating actions are in line with the model implied ratings (MIRs) as defined in the criteria, except for the class B-1, B-2, C and E notes in Apidos XLI. All four notes were affirmed one notch below their respective MIRs as cushions to MIRs were considered in the context of growing macroeconomic headwinds and potential acceleration of defaults and negative migration in the underlying portfolios. 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 classes' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to two notches for Apidos XL and up to three rating notches for Apidos XLI, based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Except for tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five rating notches for both Apidos XL and Apidos XLI, based on the MIRs. APIDOS CLO XLVI: Fitch Assigns 'BB(EXP)sf' Rating to Cl. E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO XLVI Ltd. ENTITY / DEBT RATING ------------- ------ Apidos CLO XLVI Ltd A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Apidos CLO XLVI Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500.00 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B'/'B-' rating category denote a highly speculative credit quality; however, the class notes benefit from credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.9% first lien senior secured loans and has a weighted average recovery assumption of 75.2%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may constitute up to 40.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by 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 stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1, A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for class D; and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. BARINGS CLO 2022-II: Fitch Affirms 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class B, C, D and E notes of Barings Loan Partners CLO Ltd. 3 (Barings 3) and the class A, B-1, B-2, C, D and E notes of Barings CLO Ltd. 2022-II (Barings 2022-II). The Rating Outlooks on all rated tranches remain Stable. ENTITY / DEBT RATING PRIOR ------------ ------ ----- Barings CLO Ltd. 2022-II A 06759UAA1 LT AAAsf Affirmed AAAsf B-1 06759UAC7 LT AAsf Affirmed AAsf B-2 06759UAJ2 LT AAsf Affirmed AAsf C 06759UAE3 LT Asf Affirmed Asf D 06759UAG8 LT BBB-sf Affirmed BBB-sf E 06760UAA8 LT BB-sf Affirmed BB-sf Barings Loan Partners CLO Ltd. 3 B 06762QAC1 LT AAsf Affirmed AAsf C 06762QAE7 LT Asf Affirmed Asf D 06762QAG2 LT BBB-sf Affirmed BBB-sf E 06762RAA3 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Barings 3 and Barings 2022-II are arbitrage collateralized loan obligations (CLOs) managed by Barings LLC. Both transactions closed in August 2022, with Barings 3 exiting its reinvestment period in July 2025 and Barings 2022-II exiting its reinvestment period in July 2027. Both CLOs are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The affirmations are due to the portfolios' stable performance since closing. The credit quality of both portfolios as of June 2023 reporting is at the 'B'/'B-' rating level compared at the 'B' rating level for both portfolios at closing. The Fitch weighted average rating factors (WARF) for Barings 3 and Barings 2022-II portfolios were 24.9 on average, compared to average 24.4 at closing. The portfolio for Barings 3 consists of 207 obligors, and the largest 10 obligors represent 8.0% of the portfolio. Barings 2022-II has 221 obligors, with the largest 10 obligors comprising 8.2% of the portfolio. There are no defaults in either portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 17.2% and 5.4%, respectively, for Barings 3 and 18.2% and 7.6%, respectively, for Barings 2022-II. On average, first lien loans, cash and eligible investments comprise 99.7% of the portfolio with no fixed assets as of the June 2023 reports. Fitch's weighted average recovery rate of the portfolios was 76.4% on average, compared to average 76.5% at closing. Barings 3 is currently failing their Moody's maximum Moody's Rating Factor test. All other coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance for both transactions. Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since both transactions are still in their reinvestment periods. The FSP analysis stressed the current portfolios from the latest trustee reports to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average lives of 6.00 years and 7.29 years for Barings 3 and Barings 2022-II, respectively. Fixed rate assets were also assumed at 5.0% and 7.5% of the portfolio for Barings 3 and Barings 2022-II, respectively. The weighted average spread (WAS), weighted average recovery rate and WARF were stressed to the current Fitch test matrix points for Barings 2022-II, while the FSP analysis assumed 3.40% WAS, 7.5% non-senior secured assets and 7.5% 'CCC' assets for Barings 3. 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 reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; -- A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to two rating notches for Barings 3 and Barings 2022-II, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; -- A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five rating notches for Barings 3 and Barings 2022-II, based on the MIRs, except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded. 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, 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. BBCMS MORTGAGE 2017-C1: Fitch Lowers Class D Certs Rating to BBsf ----------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 12 classes of BBCMS Mortgage Trust 2017-C1 commercial mortgage pass-through certificates. The Rating Outlooks on classes E and X-E have been revised to Stable from Negative. The criteria observation has been resolved. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2017-C1 A-3 07332VBC8 LT AAAsf Affirmed AAAsf A-4 07332VBD6 LT AAAsf Affirmed AAAsf A-S 07332VBE4 LT AAAsf Affirmed AAAsf A-SB 07332VBB0 LT AAAsf Affirmed AAAsf B 07332VBF1 LT AA-sf Affirmed AA-sf C 07332VBG9 LT A-sf Affirmed A-sf D 07332VAA3 LT BBsf Downgrade BBB-sf E 07332VAC9 LT B-sf Affirmed B-sf F 07332VAE5 LT CCCsf Affirmed CCCsf X-A 07332VBJ3 LT AAAsf Affirmed AAAsf X-B 07332VBH7 LT AA-sf Affirmed AA-sf X-D 07332VAL9 LT BBsf Downgrade BBB-sf X-E 07332VAN5 LT B-sf Affirmed B-sf X-F 07332VAQ8 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The downgrades reflect the impact of the criteria and increased expected losses for certain office assets and underperforming loans within the pool. 11 loans (38.4% of the pool) are considered Fitch Loans of Concern (FLOCs) which include one loan in special servicing (3.9% of the pool). Fitch's current ratings incorporate a 'Bsf' rating case loss of 6.13%. FLOCs: The largest contributor to modeled losses, Center West (3.9% of the pool), is secured by a 351,789-sf office building located in Los Angeles, CA. The loan was flagged as a FLOC due to continued deteriorating performance. The largest tenant is Wells Fargo (4.8% of the NRA; July 2024; Fitch Rated A+/Stable/F1). Occupancy has been historically below 60% and has steadily declined since YE 2019. As of YE 2022, servicer-reported occupancy and NOI DSCR were 35% and 0.85x, respectively compared to 43% and 1.56x at YE 2021 and 57% and 1.72x at YE 2019. Fitch's 'Bsf' ratings case loss prior to concentration add-on of 29.2% reflects a 9.75% cap rate, a 10% stress to YE 2022 NOI, as well as recognition of a higher probability of default. The second largest contributor to modeled losses and largest loan in the pool, Alhambra Towers (7.9% of the pool), is secured by a 174,250-sf office property located in Coral Gables, FL. The loan remains FLOC as occupancy has remained in the mid- 70s following the loss of AerSale Inc. (15.7%) in 2021. The largest tenant is American Tower (7.3%; expires April 2033). The former largest tenant Becker & Penioff, PA (12.9%) vacated at its December 2022 lease expiration. The master servicer has approved new lease with Tenant Quest Workspaces 121 Alhambra, LLC for 11 years to take over their former space. As of September 2022, servicer-reported occupancy and NOI DSCR were 74.2% and 1.21x, respectively. Upcoming rollover is as follows: 5% (2023); 8.1% (2024); 9.4% (2025). Fitch's 'Bsf' ratings case loss prior to concentration add-on of 11.3% reflects a 9% cap rate and a 10% stress to annualized September 2022 NOI. The third largest contributor to modeled losses, Gateway Plaza at Meridian (2.1%), is secured by 138,687-sf suburban office property located in Englewood, CO. It has been flagged as a FLOC due to continued low occupancy. Occupancy declined to 66.6% at YE 2021 from 96% at YE 2020 due to Sierra Nevada Corporation (29.5% of the NRA) vacating at their March 2021 lease expiration. As of YE 2022, servicer-reported occupancy and NOI DSCR were 66% and 0.71x, respectively. Occupancy has since further declined to approximately 58% as of April 2023 when Janeway Law Firm (7.9% NRA and 7.3% base rent) vacated at their lease expiration. The property is currently solely occupied by Camp Bowie Service Center (58.3% of the NRA; July 2026). Fitch's 'Bsf' ratings case loss prior to concentration add-on of 24.6% reflects a 10% cap rate and a 10% stress to YE 2022 NOI. Increased Credit Enhancement: As of the May 2023 remittance, the pool's aggregate balance has been reduced by 12.2% to $752.9 million from $857.5 million. There are 13 loans (49.6% of the pool) that are full-term, interest-only (IO). 16 loans (23.8%) were structured with partial IO periods; all have exited their initial IO period. Four loans (1.4% of the pool) have fully defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to the 'AA-sf' and 'AAAsf' categories are unlikely due to increasing CE and expected continued amortization, but may occur should interest shortfalls affect these classes or to the 'AAAsf' classes if additional stresses are applied on concentrations of defeased loans if the U.S. sovereign rating is lowered below 'AAA'. Downgrades to the 'BBsf' and 'A-sf' categories would likely occur if a high proportion of the pool defaults and/or transfers to special servicing and expected losses for the pool increase sizably. Downgrades to the distressed classes E and F would occur with greater certainty of losses and/or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories could occur with large improvement in CE and/or defeasance, and with the stabilization of performance amongst the FLOCs. Upgrades to the 'BBsf' category would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to classes E and F are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the class. BENEFIT STREET XXVII: Fitch Affirms 'BB-sf' Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-2, class B (B-1, B-2, collectively), C, D-1, D-2 and E notes of Benefit Street Partners CLO XXVII, Ltd. (Benefit Street XXVII). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating ----------- ------ Benefit Street Partners CLO XXVII, Ltd. A-2 08179PAC6 LT AAAsf Affirmed B-1 08179PAE2 LT AAsf Affirmed B-2 08179PAG7 LT AAsf Affirmed C 08179PAJ1 LT Asf Affirmed D-1 08179PAL6 LT BBBsf Affirmed D-2 08179PAN2 LT BBB-sf Affirmed E 08182QAA3 LT BB-sf Affirmed TRANSACTION SUMMARY Benefit Street XXVII is a broadly syndicated collateralized loan obligation (CLO) managed by BSP CLO Management L.L.C. The transaction closed in August 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 June 2023 reporting, the Fitch weighted average rating factor of the portfolio increased to 24.7 (B/B-) from 24.4 (B/B-) at closing. The portfolio consists of 247 obligors, and the largest 10 obligors represent 6.6% of the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 14.2% and 3.9%, respectively. There have been no defaults in the portfolio. First lien loans, cash and eligible investments comprise 98.5% of the portfolio. Fitch's weighted average recovery rate of the portfolio was 77.1%, compared to 76.6% 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 7.5 years and the weighted average spread was modeled at the covenant level of 3.35%. Other FSP assumptions include 7.5% 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 two notches for the class C and D-1 notes, and one notch for the class B, D-2 and E notes. There would be no rating impact on the class A-2 notes, based on 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 six notches for the E notes, five notches for the class D-2 notes, four notches for the class D-1 notes, and two notches for the class B-1, B-2, and C notes, based on the 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. BIRCH GROVE 6: Fitch Assigns 'BB-sf' Rating to Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 6 Ltd. ENTITY / DEBT RATING ------------- ------ Birch Grove CLO 6 Ltd A-1 LT NRsf New Rating A-2 LT NRsf New Rating B LT NRsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Birch Grove CLO 6 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AS Birch Grove CLO Management LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.81, versus a maximum covenant, in accordance with the initial matrix point of 27. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.65% versus a minimum covenant, in accordance with the initial expected matrix point of 74.50%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a four-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality tests. 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 '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 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'A+sf' for class C, 'A+sf' for class D, and 'BBB+sf' for class E notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions, 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. CANTOR COMMERCIAL 2016-C3: Fitch Affirms B-sf Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has upgraded two and affirmed 14 classes of Cantor Commercial Real Estate CFCRE 2016-C3 Mortgage Trust commercial mortgage pass-through certificates (CFCRE 2016-C3). The Rating Outlooks on classes E and X-E remain Negative. The criteria observation (UCO) has been resolved. ENTITY / DEBT RATING PRIOR ------------ ------ ------ CFCRE 2016-C3 A-2 12531WBA9 LT AAAsf Affirmed AAAsf A-3 12531WBB7 LT AAAsf Affirmed AAAsf A-SB 12531WAZ5 LT AAAsf Affirmed AAAsf AM 12531WBF8 LT AAAsf Affirmed AAAsf B 12531WBG6 LT AAsf Upgrade AA-sf C 12531WBH4 LT A-sf Affirmed A-sf D 12531WAL6 LT BBsf Affirmed BBsf E 12531WAN2 LT B-sf Affirmed B-sf F 12531WAQ5 LT CCCsf Affirmed CCCsf G 12531WAS1 LT CCsf Affirmed CCsf X-A 12531WBC5 LT AAAsf Affirmed AAAsf X-B 12531WBD3 LT AAsf Upgrade AA-sf X-D 12531WAA0 LT BBsf Affirmed BBsf X-E 12531WAC6 LT B-sf Affirmed B-sf X-F 12531WAE2 LT CCCsf Affirmed CCCsf X-G 12531WAG7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The upgrades to classes B and X-B reflect the impact of the criteria, improving performance of the overall pool, and increasing CE over the past 12 months. However, the upgrades were limited due to performance concerns with two regional mall Fitch Loans of Concern (FLOCs; 11.6% of pool), including the potential for cash flow declines within the next 12 months and/or the likelihood of transfer to special servicing. No loans are specially serviced or delinquent. Fitch's current ratings incorporate a 'Bsf' rating case loss of 6.6%. Regional Mall FLOCs: The largest contributor to loss expectations, Empire Mall (7.2%), is secured by a 1,023,176-sf superregional mall in Sioux Falls, SD. The loan, which is sponsored by Simon, was designated a FLOC due to refinance concerns given the tertiary location and performance concerns. The largest collateral tenants include JCPenney, which leases 13% NRA through April 2026, and Hy-Vee food stores, which leases 8.5% NRA through December 2026. Sears and Yonkers closed in 2018. Macy's, which was on a ground lease is no longer part of the collateral but continues to shadow anchor the mall. Dillard's is in the process of backfilling the former Yonkers box with a scheduled opening in the spring of 2024. Near-term rollover is granular and includes approximately 20% NRA by YE 2024. Servicer-reported occupancy and NOI debt service coverage ratio (DSCR) were 68% and 1.49x, respectively, at YE 2022 compared with 76% and 1.42x at YE 2021. Including Dillard's occupancy will increase to approximately 77%. The most recently reported in-line sales for tenants less than 10,000 sf were $441 psf as of YE 2021, a rebound from trough sales of $327 psf in 2020 and higher than historical levels and from issuance. Fitch's 'Bsf' ratings case loss prior to concentration add-on of 41% reflects a 20% cap rate and a 5% stress to the YE 2021 NOI. Fitch increased the probability of default to reflect increasing maturity default risk due to the regional mall property type, tertiary location and performance declines. The second largest contributor to loss expectations, Springfield Mall (4.4%), is secured by 223,180 sf of a 611,079 sf regional mall in Springfield Township, PA. The loan, which is sponsored jointly by PREIT (50%) and Simon (50%), was designated a FLOC due to refinance concerns given significant market competition, performance declines and sponsor concerns. The mall is anchored by non-collateral tenants Macy's and Target. The largest collateral tenants are Shoe Dept. Encore, which leases 4.6% NRA through January 2027, and Ulta, which leases 4.6% through October 2027, after renewing for an additional five years. Near-term rollover includes approximately 65% collateral NRA by YE 2024. The rollover is granular and includes over 40 tenants, several of which signed shorter-term leases. Servicer-reported occupancy and NOI DSCR were 95% and 1.45x, respectively, at YE 2022 compared with 87% and 1.46x at YE 2021. Comparable inline sales for the TTM March 2020 period were $396 psf compared with $401 psf at YE 2018 and $412 psf at YE 2017. Recent tenant sales remain outstanding. Fitch's 'Bsf' ratings case loss prior to concentration add-on of 37% reflects a 20% cap rate and a 20% stress to the YE 2022 NOI to reflect the significant market competition and performance concerns, including near-term rollover risk. Fitch increased the probability of default to account for the regional mall property type and refinance concerns at loan maturity. Alternative Scenario: Fitch's analysis included a paydown scenario, which considered the two regional mall FLOCs having difficulty refinancing and remaining in the pool post maturity. Based on this scenario, classes D through H would remain outstanding, as classes D through H are reliant on regional mall proceeds with classes E through H being fully reliant. Classes E, X-E, F and X-F were not upgraded as a result of this scenario and the Negative Outlooks were maintained on classes E and X-E. Office Concentration: Loans secured by office properties comprise 20.4% of the pool, including three (18.1%) in the top 15. In its analysis, Fitch increased the cap rates for several of these loans and remains concerned with performance and refinance risk at loan maturity. Increasing Credit Enhancement (CE): As of the May 2023 distribution date, the pool's aggregate balance has been reduced by 8.5% to $643.8 million from $703.6 million at issuance. Since Fitch's prior rating action, one loan with a $5.8 million balance paid in full with yield maintenance. Cumulative interest shortfalls of $62,000 are currently affecting the non-rated class H. Thirteen loans (38.6%) are full-term IO and seven (20.0%) were structured with a partial-term IO component at issuance. All seven are in their amortization periods. Eight loans (17.9%) are fully defeased. Loan maturities are concentrated in 2025 (77.6%). Ten loans (22.4%) mature in 2026. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated in the 'AAAsf' category are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to classes B, X-B and C are possible should overall pool losses increase significantly and additional loans become FLOCs. Downgrades to classes D, X-D, E and X-E would occur should loss expectations increase due to a continued performance decline of the FLOCs and/or if loans transfer to special servicing. The Negative Outlook on classes E and X-E reflects the possibility of a downgrade if performance of the regional mall FLOCs does not improve and there is an increased likelihood of a default. Downgrades to the distressed classes F, X-F, G and X-G would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Further upgrades to classes B and X-B and an upgrade to class C may occur with significant improvement in CE and/or defeasance, but would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Classes D, X-D, E, X-E, F, X-F, G and X-G are unlikely to be upgraded absent significant performance improvement of the regional mall FLOCs. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CARLYLE US 2023-2: Fitch Assigns BB-sf Rating on Class E Debt ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2023-2, Ltd. Entity/Debt Rating ----------- ------ CARLYLE US CLO 2023-2, LTD. A-1 LT AAAsf New Rating A-2 LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY CARLYLE US CLO 2023-2, LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor of the indicative portfolio is 25.1, versus a maximum covenant, in accordance with the initial expected matrix point of 27.33. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.9% first-lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 74.03% versus a minimum covenant, in accordance with the initial expected matrix point of 73.42%. Portfolio Composition (Positive): The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality tests. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between 'less than B-sf' and 'BB+sf' for class D; and between'less than B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A+sf' for class D and 'BBB+sf' for class E. CD 2017-CD3: Fitch Affirms Csf Rating on Class F Certs ------------------------------------------------------ Fitch Ratings has affirmed 16 classes of CD 2017-CD3 Mortgage Trust Commercial Mortgage Pass-Through Certificates. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- CD 2017-CD3 Mortgage Trust Series 2017-CD3 A-3 12515GAC1 LT AAAsf Affirmed AAAsf A-4 12515GAD9 LT AAAsf Affirmed AAAsf A-AB 12515GAE7 LT AAAsf Affirmed AAAsf A-S 12515GAF4 LT AAsf Affirmed AAsf B 12515GAG2 LT Asf Affirmed Asf C 12515GAH0 LT BBBsf Affirmed BBBsf D 12515GAM9 LT CCCsf Affirmed CCCsf E 12515GAP2 LT CCsf Affirmed CCsf F 12515GAR8 LT Csf Affirmed Csf V-A 12515GAX5 LT AAsf Affirmed AAsf V-B 12515GAZ0 LT Asf Affirmed Asf V-C 12515GBB2 LT BBBsf Affirmed BBBsf V-D 12515GBD8 LT CCCsf Affirmed CCCsf X-A 12515GAJ6 LT AAsf Affirmed AAsf X-B 12515GAK3 LT Asf Affirmed Asf X-D 12515GAV9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The affirmations reflect the impact of the criteria and loss expectations for the pool relatively in-line with Fitch's prior rating action. Loss expectations remain elevated for the Fitch Loans of Concern (FLOCs), most notably larger top-15 loans secured by office properties with deteriorating performance, including newly transferred specially serviced loans since Fitch's prior rating action. Fitch identified 19 loans (54.7% of the pool) as FLOCs, which includes six loans (19.7%) in special servicing. Fitch's loss expectations reflect a pool-level 'Bsf' rating case loss of 10.7%. Largest Contributor to Loss Expectations: The largest contributor to overall loss expectations is 229 West 43rd Street Retail Condo (8.1% of the pool), the largest loan in the pool, which is secured by a 245,132-sf retail condominium located in Manhattan's Time Square district. The loan transferred to special servicing in December 2019 for imminent monetary default after the pandemic affected performance of tourism and entertainment tenants. A receiver was appointed in March 2021 and foreclosure has been filed. Per the receiver's April 2023 report, the collateral remains 40.1% occupied with Bowlmor (31.6% of the NRA), The Ribbon Worldwide (6.4%), Haru Sushi (2.2%), and Los Tacos (0.7%). The receiver is currently in litigation with The Ribbon Worldwide and their guarantor over previously waived delinquent rents, which exceed $2.0 million. The receiver has noted that the 2020/2021 property assessment was renegotiated, which is expected to generate tax savings through 2024/2025. According to servicer updates, negotiations are underway for the space previously occupied by National Geographic, Gulliver's Gate and OHM (totaling 47.6% of NRA). It was noted at Fitch's prior review that BuzzFeed was planning on relocating their headquarters to the property to occupy about 110,000-sf of space. The servicer has confirmed the tenant has taken occupancy of non-collateral space on the 9th and 10th floors. Fitch's 'Bsf' rating case loss of 77% (prior to concentration add-ons) reflects a discount to the most recent appraised value provided by the servicer. The next largest contributor to loss expectations is the specially serviced 166 Geary Street (2.3%). The loan is secured by a 12,713-sf retail property located in San Francisco, CA and includes ground and second-floor retail underneath 35,000-sf of non-collateral office space. The loan transferred to special servicing in April 2021 due to imminent monetary default after two tenants comprising 42% of the NRA went dark. Physical occupancy remains lower with sole tenant Suit Supply (46.8% of the NRA; through May 2025). La Perla (15.2%; through January 2025), has vacated, but continues to pay rent under their lease agreement. With the decline in occupancy, the NOI debt service coverage ratio (DSCR) has declined to 0.10x as of YE 2022 from 1.48x at YE 2021. The loan status improved to 30-days delinquent as of June 2023 compared with 90+ days delinquent in June 2022. Fitch's 'Bsf' rating case loss of 39.4% (prior to concentration add-ons) reflects a stress to the most recent servicer reported appraised value, which reflects a decline of approximately 62% from the appraised value at issuance. The third largest contributor to loss expectations is 111 Livingston Street (5.4%; FLOC), which is secured by 407,861-sf office building located in Downtown Brooklyn, NY. Per the servicer's June 2023 watchlist comment, occupancy has declined to 54.5% from 85.6% at Q12023. Recent tenant departures are unclear; however, the property was to face significant near-term rollover risks with its largest tenant OTDA (29.8%; lease expiring May 2024). Fitch has requested updates on the OTDA lease, in addition to the remaining tenants Legal Aid (28.7%, October 2027), CUNY (11%, August 2027), and Northrup Grumman (5%, July 2021). As of June 2023, the loan is 30 days delinquent. The YE 2021 NOI was about 10.5% below the issuers underwritten NOI primarily due to an increase in operating expenses. The YE 2022 financials were not reported by the servicer. The loan is full-term interest only and has maintained a YE 2021 NOI DSCR of 1.52x. Fitch's 'Bsf' rating case loss of 15.5%, prior to concentration add-ons, reflects a stressed value of approximately $250psf, which equates to an 8.5% cap rate off the YE 2021 NOI. Additional Specially Serviced Loans: The largest loan to transfer to special servicing since Fitch's prior rating action is Prudential Plaza (5.3% of the pool), secured by a two-building office complex spanning a total of 2,243,970 sf located in Chicago, IL. The loan has remained current as of the June 2023 remittance, but transferred to the special servicer due to the borrowers' maturity extension request beyond the current August 2025 loan maturity. The YE 2022 occupancy and NOI DSCR were reported at 82.5% and 1.68x, respectively. Fitch's 'Bsf' rating case loss of 2.4%, prior to concentration add-ons, reflects a 10% cap rate and a 10% stress to the YE 2022 NOI. The second largest loan to transfer to special servicing since Fitch's prior rating action is 16 East 40th Street (2.6%), which transferred to special servicing in June 2023 and is currently 60-days delinquent. The loan is secured by a 96,182-sf office property in the Grand Central submarket of Manhattan, NY, and has experienced significant cash flow declines due to low occupancy. Occupancy reported at 42.7% as of YE 2022, with NOI DSCR at 0.47x. Fitch's 'Bsf' rating case loss of 4.0%, prior to concentration add-ons, reflects a value of $317 psf, and equates to an 8% cap rate off the pre-pandemic (2019) NOI. Two additional loans, West Point Office (1.0% of the pool; 175,403-sf office property; Lakewood, CO) and Village at Timberwilde (0.5%; 20,229-sf unanchored retail; Spring, TX) transferred to special servicing since Fitch's last rating action after experiencing performance declines and subsequent payment defaults. Minimal Changes to Credit Enhancement: As of the May 2022 remittance report, the pool's aggregate balance has been paid down by 6.9% to $1.23 billion from $1.33 billion at issuance. Two loans (1.3% of the original pool balance) have been defeased and four loans (3.5%) have been disposed of with no loss. There are 15 loans (13.2%) that are full-term, interest only (IO); 20 loans (20.7%) that are currently amortizing; and 13 loans (25.7%) that remain in their partial IO periods. Interest shortfalls of $10.2 million are currently affecting classes E and G and the non-rated VRR, V1E and V2 classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf'-rated classes are not likely due to the expected paydown from loan repayments and continued amortization, but may occur should interest shortfalls affect these classes. Further downgrades to the 'AAsf', 'Asf', and 'BBBsf' rated classes may occur if expected losses increase and/or if loans expected to pay off at maturity exhibit worsening performance. Further downgrades to classes rated 'CCCsf', 'CCsf', and 'Csf' would occur with an increase in specially serviced loans, greater certainty of losses on and/or losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades would occur with stable to improved asset performance, particularly on the FLOCs including better, higher appraised valuation and/or better than anticipated recoveries for the specially serviced loans, coupled with paydown and/or defeasance. Upgrades of the subordinated classes category would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations and/or further underperformance of FLOCs could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. The 'Csf', and 'CCsf' rated classes are unlikely to be upgraded absent significant performance improvement and substantially higher recoveries than expected on the FLOCs. CFCRE MORTGAGE 2016-C6: Fitch Cuts Rating on Cl. D Notes to 'BBsf' ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed the remaining 12 classes of CFCRE 2016-C6 Mortgage Trust. Fitch has also revised the Rating Outlook on class C to Negative from Stable and assigned a Negative Outlook to class D following the downgrade of the class. The criteria observation (UCO) has been resolved. ENTITY / DEBT RATING PRIOR ------------- ------ ------ CFCRE 2016-C6 A-2 12532AAY5 LT AAAsf Affirmed AAAsf A-3 12532AAZ2 LT AAAsf Affirmed AAAsf A-M 12532ABA6 LT AAAsf Affirmed AAAsf A-SB 12532AAX7 LT AAAsf Affirmed AAAsf B 12532ABB4 LT AA-sf Affirmed AA-sf C 12532ABC2 LT A-sf Affirmed A-sf D 12532AAA7 LT BBsf Downgrade BBB-sf E 12532AAC3 LT B-sf Affirmed B-sf F 12532AAE9 LT CCCsf Affirmed CCCsf X-A 12532ABD0 LT AAAsf Affirmed AAAsf X-B 12532ABE8 LT AA-sf Affirmed AA-sf X-E 12532AAL3 LT B-sf Affirmed B-sf X-F 12532AAN9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The downgrade of class D reflects the impact of the criteria and concerns with certain office assets and underperforming loans within the pool. The Negative Outlooks on classes C and D reflect the potential for downgrades due to increasing exposure to the underperforming office and retail sectors in the Seattle market, along with sublease exposure for loans in the top 15, specifically Hill7 (9.8%). Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.37%. Fitch has identified seven loans as FLOCs (26.8% of the pool), including three specially serviced loans (6.1%). Since the prior rating action, the pool experienced a loss following the liquidation of the Marriott Saddle Brook (0.67%) in March 2023. Net proceeds on the sale were $2.6 million ($10,868 per key) and resulted in a $2.3 million loss to the trust. The largest contributor to modeled losses is the 7th & Pine Seattle Retail & Parking (FLOC; 8.3%), secured by a 361,650-sf retail/parking garage located within the Seattle CBD. The subject reported a 0.85x NOI DSCR for YE 2022, a quarter-turn higher than the 0.58x reported at YE 2021. Performance has declined as a result of lower foot traffic from declining office utilization rates in the area. This loan had previously transferred to special servicing in May 2020 for pandemic related underperformance, but returned to master servicing in July 2020 after property performance improved. The loan is currently cash managed with excess funds being swept into the excess cash flow reserve. According to the master servicer, the guarantor failed the liquidity covenant on the December 2020 balance sheet. Fitch's 'Bsf' ratings case loss of 29.1% reflects a 7.5% stress to YE 2022 NOI and a 9.5% cap rate. The second largest contributor to modeled losses is Potomac Mills (9.7%), secured by 1.46 million sf of a 1.84 million-sf super-regional mall located in Woodbridge, VA, along the I-95 corridor. Collateral anchors include Costco Warehouse (10.1% NRA; lease expiry in May 2032), J.C. Penney (7.3% NRA; March 2027), Buy Baby/and That! (5% NRA; Jan. 2025), Marshalls (4.2% NRA; Jan. 2030) and an 18-screen AMC (5.1% NRA; Feb. 2024). Both IKEA and Burlington Coat Factory are non-collateral anchors. Performance has remained strong, with occupancy at 92.0% per the December 2022 rent roll, and an NOI DSCR of 4.37x for YE 2022. Sales have held steady, with in-line tenants reporting sales of $452 psf for YE 2022, down slightly from $465 psf at YE 2021. The AMC Theatres reported sales of $446,000 per screen, up nearly 50% from $298,000 per screen at YE 2021 ahead of their February 2024 lease expiration. Fitch's 'Bsf' ratings case loss of 4.61% reflects a 5% stress to YE 2021 NOI and an 11% cap rate. The third largest contributor to modeled losses is Fresno Fashion Fair (5.6%), which is secured by 561,989-sf portion of an 835,416-sf super-regional mall located in Fresno, CA. Non-collateral tenants include Macy's (Women's & Home, and Men's & Children's Stores), BJ's Restaurant and Brewhouse, Chick-fil-A and Fleming's. The largest collateral tenants include JCPenney (27.4% of NRA, lease expiry in March 2028), H&M (3.4%, January 2027), Victoria's Secret (2.6%, January 2027), Cheesecake Factory (1.8%, January 2026) and ULTA Beauty (1.8%, August 2027). Performance has continued its upward trend following the trough performance in 2020, with occupancy reaching 96.8% per the March 2023 rent roll and 2.31x NOI DSCR for YE 2022. This compares to 93% and 2.20x for YE 2021, and 85% and 1.86x for YE 2020. Sales at the subject have declined slightly to $961 psf ($786 psf excluding Apple) for YE 2022, down from $973 psf ($794 psf ex-Apple) for TTM June 2022, but remains well above $689 psf ($607 psf ex-Apple) for TTM June 2021. The 'Bsf' ratings case loss of 7.5% reflects a 11% cap rate on YE 2021 NOI. The largest FLOC is Hill7 Office (9.8%), which is secured by a 312,240-sf office property located in the Seattle CBD. The loan was identified as a FLOC due to potential sublet exposure with RedFin (39.55% NRA) and WeWork (19.0%) as key tenants. This WeWork location is omitted from their booking website, while RedFin has been putting up space for sublease in Dallas. Fitch's 'bsf' ratings case loss of 1.4% reflects a 20% stress to YE 2022 NOI and 9% cap rate. Specially Serviced FLOCs: The Waterstone 7 Portfolio (3.0%), TEK Park (2.2%), and 312-314 Bleecker Street (1.0%) were identified a FLOCs due to occupancy declines, declining property level cash flows, or expected prolonged resolutions. However, the Waterstone 7 Portfolio and TEK Park loans remain current and are expected to return to the master servicer. 312-314 Bleecker Street, has seen a sharp decline in its appraisal value since issuance. The most recent appraisal from February 2023 is for $6.3 million, down from $17.0 million at issuance, due in part to a 72.8% decline in rents paid by L'aile Ou La Cuisee and the replacement tenant Bleecker Street Merchants (77.8% NRA). Fitch's 'Bsf' ratings case loss of 33.3% reflects a 20% haircut to the February 2023 appraisal. Increased CE: CE has increased since the prior rating action due to the defeasance of one additional loan representing 0.9% of the pool. As of the June 2023 remittance report, the pool's aggregate balance has been paid down by 8.4% to $721.3 million from $787.5 million at issuance. There are eight loans (52.4% of the pool) that are full-term IO, 23 (32.3%) balloon loans, and 10 (15.3%) that have a partial IO component. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to A-SB through B along with the associated IO classes are not likely due to the continued expected amortization, position in the capital structure and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. Downgrades to classes C, D and E along with the associated IO classes would occur should expected losses for the pool increase substantially, with continued underperformance of the FLOCs and/or the transfer of additional loans to special servicing. Downgrades may also occur with additional performance declines from the larger FLOCs, including 7th & Pine Seattle Retail & Parking (8.3%), and increasing sublet exposure for Hill7 Office (9.8%). Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that could lead to positive rating actions would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'AA-sf' rated classes would occur when CE improves; this class is not reliant on recoveries from FLOCs. Upgrades to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBsf' rated classes are considered unlikely and would be limited based on the potential for future concentrations as the deal ages. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to the 'Bsf' rated classes are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS 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. CITIGROUP 2023-RP2: Fitch Assigns Final Bsf Rating to Cl. B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Citigroup Mortgage Loan Trust 2023-RP2 (CMLTI 2023-RP2). Entity Rating Prior ------ ------ ----- CMLTI 2023-RP2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf PT-1 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2023-RP2 (CMLTI 2023-RP2) as indicated. The notes are supported by 2,669 seasoned performing loans (SPLs) and reperforming loans (RPLs), with a total balance of approximately $487.8 million, including $12.1 million, or 2.5%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. There were 293 loans (approximately 11.0% of the pool by loan count/23.3% by unpaid principal balance [UPB]) were considered to be newly originated in Fitch's analysis. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. 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 8.6% above a long-term sustainable level (versus 7.8% on a national level as of 4Q22, 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 3.8% yoy nationally as of January 2023. Distressed Performance History and RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. Of the pool, 2.4% was 30 days delinquent as of the cutoff date and 37.2% of the loans are current but have had delinquencies within the past 24 months. Additionally, 52.9% of the loans have a prior modification. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. The borrowers have a moderate credit profile (718 FICO as calculated by Fitch and 39.5% DTI). Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original combined loan to value (CLTV) ratio of 77.4%. All loans seasoned over 24 months received updated property values, translating to a WA current (MtM) CLTV ratio of 52.9% and sustainable LTV (sLTV) of 58.2% at the base case. This reflects low leverage borrowers and is stronger than in recently rated SPL/RPL transactions. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all of the rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. CRITERIA VARIATION Fitch's analysis incorporated one criteria variation from the "U.S. RMBS Rating Criteria." The variation is related to the primary valuation type for new origination first lien loans. Per the criteria, Fitch expects to receive a full appraisal as primary valuation for all new origination first lien loans. Approximately 0.1% of the pool by loan count (three loans) did not receive a full appraisal. Of these loans, one received a Form 2055 (exterior-only) as the primary valuation type, and the two remaining loans did not have an appraisal and were a stated value. All three loans received a secondary valuation type in the form of a broker price opinion (BPO) of Drive-By. For two of the three loans, Fitch took the lower of the original value and the secondary valuation within its analysis. For one loan with no appraisal, Fitch took the updated value, which was a Form 2055 given that the valuation date was within 12 months of the cutoff date. This variation has no rating impact, as the number of loans affected represents a very small portion of the overall pool and did not lead to a category-level rating change. CITIGROUP MORTGAGE 2023-RP2: Fitch Gives B(EXP) Rating to B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Citigroup Mortgage Loan Trust 2023-RP2 (CMLTI 2023-RP2). CMLTI 2023-RP2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating PT-1 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2023-RP2 (CMLTI 2023-RP2) as indicated above. The transaction is expected to close on or about June 29, 2023. The notes are supported by 2,669 seasoned performing loans (SPLs) and reperforming loans (RPLs), with a total balance of approximately $487.8 million, including $12.1 million, or 2.5%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. There were 293 loans (approximately 11.0% of the pool by loan count / 23.3% by UPB) were considered to be newly originated in Fitch's analysis. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. 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 8.6% above a long-term sustainable level (versus 7.8% on a national level as of 4Q22, 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 3.8% yoy nationally as of January 2023. Distressed Performance History and RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. Of the pool, 2.4% was 30 days delinquent as of the cutoff date and 37.2% of the loans are current but have had delinquencies within the past 24 months. Additionally, 52.9% of the loans have a prior modification. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. The borrowers have a moderate credit profile (718 FICO as calculated by Fitch and 39.5% DTI). See the Asset Analysis section for additional information. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original combined loan to value (CLTV) ratio of 77.4%. All loans seasoned over 24 months received updated property values, translating to a WA current (MtM) CLTV ratio of 52.9% and sustainable LTV (sLTV) of 58.2% at the base case. This reflects low leverage borrowers and is stronger than in recently rated SPL/RPL transactions. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all of the rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. COAST 2023-2HTL: S&P Assigns Prelim B (sf) Rating on HRR Certs -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to COAST Commercial Mortgage Trust 2023-2HTL's commercial mortgage pass-through certificates. The certificate issuance is a CMBS transaction backed by a mortgage loan secured by the borrowers' fee simple and leasehold interests in two full-service hotels: the 595-guestroom Hilton Fort Lauderdale Marina and the 403-guestroom Westin Savannah. The preliminary ratings are based on information as of July 10, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan terms, and the transaction's structure. We determined that the loan has a beginning and ending loan-to-value ratio of 87.1%, based on our value of the properties backing the transaction." Preliminary Ratings Assigned COAST Commercial Mortgage Trust 2023-2HTL Class A, $78,300,000 : AAA (sf) Class B, $28,500,000: AA- (sf) Class C, $21,200,000: A- (sf) Class D, $28,000,000: BBB- (sf) Class E, $44,300,000: BB- (sf) Class F, $8,700,000: B+ (sf) Class HRR interest, $11,000,000: B (sf) HRR--Horizontal risk retention. CSAIL 2015-C3: Fitch Lowers Rating on Class F Certs to Csf ---------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 12 classes of CSAIL 2015-C3 Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2015-C3. In addition, Fitch has revised the Rating Outlooks on two classes to Stable from Negative. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2015-C3 A-3 12635FAS3 LT AAAsf Affirmed AAAsf A-4 12635FAT1 LT AAAsf Affirmed AAAsf A-S 12635FAX2 LT AAAsf Affirmed AAAsf A-SB 12635FAU8 LT AAAsf Affirmed AAAsf B 12635FAY0 LT Asf Affirmed Asf C 12635FAZ7 LT BBBsf Affirmed BBBsf D 12635FBA1 LT CCCsf Affirmed CCCsf E 12635FAG9 LT CCsf Affirmed CCsf F 12635FAJ3 LT Csf Downgrade CCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 10.2%. Twelve loans (31.8% of the pool) have been designated as Fitch Loans of Concerns (FLOCs), including two loans (1.4%) in special servicing that are recent transfers and three regional mall loans (21.4%) that are among the top 15 loans. The affirmations and Stable Outlooks, including the Outlook revisions on classes B and X-B, reflect the impact of the criteria and performance improvement for several larger loans over the last 12 months. The downgrades to the distressed classes F and X-F reflect deteriorating credit enhancement as a result of incurred losses to the subordinate class NR from disposed specially serviced loans since Fitch's prior rating action. In addition, the downgrades reflect increasing refinance risks and high expected losses for the regional mall FLOCs. The Negative Outlook on class C reflects the potential for downgrades if performance of The Mall at New Hampshire (9.0% of the pool), Westfield Wheaton (8.8%), and Westfield Trumbull (3.7%) deteriorate further and/or these loans default, and should the ultimate workout timing and resolution of the specially serviced loans become prolonged. Regional Mall FLOCs; Largest Contributors to Loss: The largest contributor to overall loss expectations is the Mall of New Hampshire loan, which is secured by a regional mall sponsored by Simon Property Group and located in Manchester, NH. Sears, a non-collateral anchor, closed in November 2018; a portion of that space has since been re-leased to Dick's Sporting Goods and Dave & Buster's. The loan transferred to special servicing in May 2020 due to the coronavirus pandemic and the special servicer agreed to a forbearance agreement that deferred payments between May 2020 and December 2020. The loan was returned to the master servicer in April 2021 and has remained on the servicer's watchlist due to ongoing cash management. As of YE 2022, the property was 82% occupied and NOI DSCR was 1.94x, compared to 83% and 1.96x at YE2021, and 87% and 2.11x at YE 2019. Fitch's 'Bsf' rating case Loss prior to concentration add on is approximately 32%, which reflects a cap rate of 15% to the Fitch net cash flow based off the YE 2021 NOI with a 5% stress. Fitch increased the probability of default in its analysis to reflect the regional mall property type and increasing maturity default risks. The loan matures in July 2025. The next two largest contributors to Fitch's overall loss expectations are the Westfield Wheaton (8.3% of the pool) and Westfield Trumbull (3.5%) loans, respectively. Both of these loans, which mature in March 2025, were originally sponsored by Unibail-Rodamco-Westfield, which announced its intention to substantially reduce its U.S. property exposure by the end of 2023. In January 2023, Westfield Trubmbull was sold and the loan assumed by Namdar Realty Group. Westfield Wheaton is a 1.6 million-sf regional mall in Wheaton, MD. Anchor tenants include JCPenney, Target, Macy's and Costco. There is also a nine-screen AMC Theater and two ground-leased outparcels leased to Giant Food and American Freight. There are five other large retail centers located within a 10-mile radius, with another competing mall owned by the same sponsor, Westfield Montgomery, located seven miles away with a similar inline tenant profile. The mall has maintained stable occupancy since issuance, reporting at 100% as of YE 2022. Despite strong occupancy, property-level NOI has not rebounded to issuance levels. YE 2022 NOI increased 25.2% compared to YE 2021, but remains 6.0% below the issuer's underwritten NOI. The loan has remained current since issuance, with NOI DSCR reporting at 2.55x as of YE 2022, a decline from 3.05x at YE 2019 and 2.62x at issuance. Total mall sales as of TTM September 2022 were $324 psf, which compares to $389 psf at TTM March 2022, $317 psf at YE 2020, and $353 psf at YE 2019. Excluding the major anchors and grocer, tenant sales are approximately $260 psf, compared with $296 psf at TTM March 2022, $189 psf at YE 2020, and $255 psf at YE 2019. Fitch's 'Bsf' rating case loss prior to concentration add on is approximately 37%, which reflects a 15% cap rate to the Fitch cash flow based off the YE 2022 NOI with a 15% stress. Fitch increased the probability of default in its analysis to reflect the regional mall property type and increasing maturity default risks. Westfield Trumbull is a 1.1 million-sf regional mall in Trumbull, CT. Anchor tenants include Target, JCPenney, Macy's and LA Fitness. Lord and Taylor closed in early 2021 following the retailer's bankruptcy. Macy's extended its lease through January 2026, from its lease expiration in April 2023. Both Macy's and JCPenney are anchors at a competing mall owned by the same sponsor located 9.5 miles away. Despite stable occupancy, reporting at 93% as of September 2022, the NOI DSCR has steadily declined year-over-year since issuance to 1.58x as of Q3 2022 from 1.86x at YE 2020 and 2.05x at YE 2019. The Q3 2022 NOI is 26.8% below the issuers underwritten NOI. However, the loan has remained current. Sales for the mall have improved compared to issuance. Total mall sales as of TTM September 2022 were $427 psf, which compares to $258 psf at YE2021, $233 psf at YE 2020, $252 psf at YE 2019, and $224 psf at issuance. Fitch's 'Bsf' rating case loss prior to concentration add on is approximately 46%, which reflects a 15% cap rate to the Fitch cash flow based off the YE 2021 NOI with a 15% stress. Fitch increased the probability of default in its analysis to reflect the regional mall property type and increasing maturity default risks. Declining Credit Enhancement: CE has declined on classes E and F due to $23.4 million in incurred losses over the past 12 months. Four of the five loans that were previously in special servicing were disposed from the pool with losses being contained to the non-rated class NR. The remaining loan that was in special servicing in June 2022, Hampton Inn - Point Loma ($21.6 million), has been fully defeased. As of the June 2023 distribution date, the pool's aggregate principal balance has been reduced by 22.0% to $1.11 billion from $1.42 billion at issuance, including $23.4 million in losses (1.6% of the original pool balance). Nineteen loans (13.5% of the current pool balance) have been fully defeased. Ten loans (30.7%) are full-term IO and 37 loans (36.8%) are partial IO, all of which have begun amortizing. Only one loan, Soho-Tribeca Grand Hotel Portfolio (4.5%), is scheduled to mature in 2024 with the remainder of the pool maturing in 2025. Cumulative interest shortfalls totaling $3.6 million are currently affecting class NR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Further downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf' rated classes are not likely due to the expected paydown from loan repayments and continued amortization but may occur should interest shortfalls affect these classes. Downgrades to the 'Asf' and 'BBBsf' rated classes may occur if expected losses increase for FLOCs, including the regional mall loans in the top 15, and/or if loans expected to pay off at maturity exhibit worsening performance. Further downgrades to classes rated 'CCCsf', 'CCsf', and 'Csf' would occur with an increase in specially serviced loans, greater certainty of losses on and/or losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades would occur with stable to improved asset performance, particularly on the regional mall loans and FLOCs, including better higher appraised valuation and/or better than anticipated recoveries for the specially serviced loans, coupled with paydown and/or defeasance. Upgrades of the subordinated classes category would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations and/or further underperformance of FLOCs could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. The ''CCCsf', 'CCsf', 'Csf' rated classes are unlikely to be upgraded absent significant performance improvement and substantially higher recoveries than expected on the FLOCs. DT AUTO 2023-3: S&P Assigns Prelim BB (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to DT Auto Owner 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 July 6, 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 60.63%, 54.25%, 43.99%, 35.99%, and 32.28% credit support (hard credit enhancement and a haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide at least 2.37x, 2.12x, 1.72x, 1.38x, and 1.25x coverage of S&P's expected cumulative net loss of 25.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.38x S&P's expected loss level), all else being equal, its 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 the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with its view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structure. Preliminary Ratings Assigned DT Auto Owner Trust 2023-3 Class A, $255.70 million: AAA (sf) Class B, $56.39 million: AA (sf) Class C, $65.05 million: A (sf) Class D, $72.86 million: BBB (sf) Class E, $30.70 million: BB (sf) EXETER AUTOMOBILE: Fitch Assigns BBsf Rating on Class E Debt ------------------------------------------------------------ Fitch Ratings has assigned final ratings and Outlooks to Exeter Automobile Receivables Trust (EART) 2023-3. Entity Rating ------ ------ Exeter Automobile Receivables Trust 2023-3 A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance — Subprime Credit Quality: EART 2023-3 is backed by collateral with subprime credit attributes, including a weighted average (WA) FICO score of 575, a WA loan-to-value (LTV) ratio of 114.24% and WA APR of 21.81%. In addition, 97.61% of the loans are backed by used vehicles and the WA payment-to-income (PTI) ratio is 12.19%. Forward-Looking Approach to Derive Base Case Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions to derive the series loss proxy. Although recessionary performance data from Exeter are not available, the initial base case cumulative net loss (CNL) proxy was derived utilizing 2006-2009 data from Santander Consumer — as proxy recessionary static-managed portfolio data — and 2016-2017 vintage data from Exeter to arrive at a forward-looking base case CNL proxy of 20.00%. Payment Structure — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) totals 62.65%, 47.75%, 34.65%, 21.30% and 9.35% for classes A, B, C, D and E, respectively. The class A, B, C, and D CE levels are up from 2023-2. The class E CE level is lower than in 2023-2. CE for each class is up from those of transactions prior to 2022-5. Excess spread is expected to be 11.39% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base case CNL proxy of 20%. Seller/Servicer Operational Review — Adequate Origination/Underwriting/Servicing: Exeter demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch does not rate Exeter but deems the company as capable to service this transaction. In addition, Citibank, N.A., which Fitch rates 'A+'/'F1'/Stable, has been contracted as backup servicer for this transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected subordinate note ratings could be upgraded by up to one category. FANNIE MAE 2023-R05: S&P Assigns B(sf) Rating on Class 1B-2X Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Fannie Mae Connecticut Avenue Securities Trust 2023-R05's notes. The note issuance is an RMBS securitization backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to primarily prime borrowers. The ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and the noteholders in the transaction's performance, which we believe enhances the notes' strength; -- The enhanced credit risk management and quality control (QC) processes Fannie Mae uses in conjunction with the underlying R&W framework; and -- The potential impact that current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have since waned, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%, given our current outlook for the U.S. economy. With rising interest rates and inflation, the ongoing Russia-Ukraine conflict, escalating tensions over Taiwan, and the China slowdown exacerbating supply-chain and pricing pressures, the U.S. economy appears to be teetering toward recession." Ratings Assigned Fannie Mae Connecticut Avenue Securities Trust 2023-R05 Class 1A-H(i), $19,183,142,534: NR Class 1M-1, $288,202,000: A- (sf) Class 1M-1H(i), $15,168,729: NR Class 1M-2A(ii), $76,853,000: BBB+ (sf) Class 1M-AH(i), $4,045,862: NR Class 1M-2B(ii), $76,853,000: BBB+ (sf) Class 1M-BH(i), $4,045,862: NR Class 1M-2C(ii), $76,853,000: BBB (sf) Class 1M-CH(i), $4,045,862: NR Class 1M-2(ii), $230,559,000: BBB (sf) Class 1B-1A(ii), $63,707,000: BB+ (sf) Class 1B-AH(i), $42,472,756: NR Class 1B-1B(ii), $63,707,000: BB- (sf) Class 1B-BH(i), $42,472,756: NR Class 1B-1(ii), $127,414,000: BB- (sf) Class 1B-2, $92,022,000: B (sf) Class 1B-2H(i), $39,438,650: NR Class 1B-3H(i), $151,685,365: NR Related combinable and recombinable notes exchangeable classes(iii) Class 1E-A1, $76,853,000: BBB+ (sf) Class 1A-I1, $76,853,000(iv): BBB+ (sf) Class 1E-A2, $76,853,000: BBB+ (sf) Class 1A-I2, $76,853,000(iv): BBB+ (sf) Class 1E-A3, $76,853,000: BBB+ (sf) Class 1A-I3, $76,853,000(iv): BBB+ (sf) Class 1E-A4, $76,853,000: BBB+ (sf) Class 1A-I4, $76,853,000(iv): BBB+ (sf) Class 1E-B1, $76,853,000: BBB+ (sf) Class 1B-I1, $76,853,000(iv): BBB+ (sf) Class 1E-B2, $76,853,000: BBB+ (sf) Class 1B-I2, $76,853,000(iv): BBB+ (sf) Class 1E-B3, $76,853,000: BBB+ (sf) Class 1B-I3, $76,853,000(iv): BBB+ (sf) Class 1E-B4, $76,853,000: BBB+ (sf) Class 1B-I4, $76,853,000(iv): BBB+ (sf) Class 1E-C1, $76,853,000: BBB (sf) Class 1C-I1, $76,853,000(iv): BBB (sf) Class 1E-C2, $76,853,000: BBB (sf) Class 1C-I2, $76,853,000(iv): BBB (sf) Class 1E-C3, $76,853,000: BBB (sf) Class 1C-I3, $76,853,000(iv): BBB (sf) Class 1E-C4, $76,853,000: BBB (sf) Class 1C-I4, $76,853,000(iv): BBB (sf) Class 1E-D1, $153,706,000: BBB+ (sf) Class 1E-D2, $153,706,000: BBB+ (sf) Class 1E-D3, $153,706,000: BBB+ (sf) Class 1E-D4, $153,706,000: BBB+ (sf) Class 1E-D5, $153,706,000: BBB+ (sf) Class 1E-F1, $153,706,000: BBB (sf) Class 1E-F2, $153,706,000: BBB (sf) Class 1E-F3, $153,706,000: BBB (sf) Class 1E-F4, $153,706,000: BBB (sf) Class 1E-F5, $153,706,000: BBB (sf) Class 1-X1, $153,706,000(iv): BBB+ (sf) Class 1-X2, $153,706,000(iv): BBB+ (sf) Class 1-X3, $153,706,000(iv): BBB+ (sf) Class 1-X4, $153,706,000(iv): BBB+ (sf) Class 1-Y1, $153,706,000(iv): BBB (sf) Class 1-Y2, $153,706,000(iv): BBB (sf) Class 1-Y3, $153,706,000(iv): BBB (sf) Class 1-Y4, $153,706,000(iv): BBB (sf) Class 1-J1, $76,853,000: BBB (sf) Class 1-J2, $76,853,000: BBB (sf) Class 1-J3, $76,853,000: BBB (sf) Class 1-J4, $76,853,000: BBB (sf) Class 1-K1, $153,706,000: BBB (sf) Class 1-K2, $153,706,000: BBB (sf) Class 1-K3, $153,706,000: BBB (sf) Class 1-K4, $153,706,000: BBB (sf) Class 1M-2Y, $230,559,000: BBB (sf) Class 1M-2X, $230,559,000(iv): BBB (sf) Class 1B-1Y, $127,414,000: BB- (sf) Class 1B-1X, $127,414,000(iv): BB- (sf) Class 1B-2Y, $92,022,000: B (sf) Class 1B-2X, $92,022,000(iv): B (sf) (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The class 1M-2 noteholders may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes and vice versa. The class 1B-1 noteholders may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes and vice versa. The class 1M-2A, 1M-2B, 1M-2C, 1B-1A, 1B-1B, and 1B-2 noteholders may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. (iii)See the offering documents for more detail on possible combinations. (iv)Notional amount. NR--Not rated. GLENBROOK PARK: Fitch Gives B-(EXP) Rating on Class F Debt ---------------------------------------------------------- Fitch Ratings has assigned Glenbrook Park CLO DAC expected ratings. Entity/Debt Rating ----------- ------ Glenbrook Park CLO DAC A LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT B-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Glenbrook Park CLO DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds will be used to fund a portfolio with a target par of EUR350 million. The portfolio will be actively managed by Blackstone Ireland Limited. The collateralised loan obligation (CLO) has a 4.5-year reinvestment period and an 8.5-year weighted average life (WAL) test. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors to be in the 'B' category. The Fitch weighted average rating factor of the identified portfolio is 24.1. High Recovery Expectations (Positive): At least 90% of the portfolio will comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate of the identified portfolio is 62.2%. Diversified Portfolio (Positive): The transaction has two matrices effective at closing corresponding to the 10 largest obligors at 20% of the portfolio balance and two fixed-rate assets limits at 7.5% and 12.5% of the portfolio. There are two forward matrices corresponding to the same top 10 obligors and fixed-rate assets limits that will be effective one year after closing, provided the aggregate collateral balance (defaults at Fitch collateral value) is at least at the target par. The transaction also includes various concentration limits, including the maximum exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants are intended to ensure the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a 4.5-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant. This was to account for structural and reinvestment conditions after the reinvestment period, including the overcollateralisation tests and Fitch 'CCC' limitation passing post reinvestment, among others. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during the stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would lead to downgrades of one notch for the class E and F notes, and have no impact on the class A, B, C and D notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio, the class B, D, E and F notes have a two-notch cushion, class C a one-notch cushion and there is no rating cushion for the class A notes. Should the cushion between the identified portfolio and the stress portfolio be eroded due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the stressed portfolio would lead to downgrades of up to four notches for the notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings of Fitch's stress portfolio would lead to upgrades of up to three notches, except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded. During the reinvestment period, based on Fitch's stress portfolio, upgrades may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, meaning the notes are able to withstand larger than expected losses for the transaction's remaining life. After the end of the reinvestment period, upgrades may occur in case of stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses on the remaining portfolio. GOLUB CAPITAL 68(B): Fitch Assigns 'BB(EXP)sf' Rating to E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Golub Capital Partners CLO 68(B), Ltd. ENTITY / DEBT RATING ------------- ------ Golub Capital Partners CLO 68(B) A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Golub Capital Partners CLO 68(B), Ltd., is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of first lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.99, versus a maximum covenant, in accordance with the initial expected matrix point of 25.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 78.16% versus a minimum covenant, in accordance with the initial expected matrix point of 75.8%. Portfolio Composition (Negative): The largest three industries may comprise up to 53% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the obligor and geographic concentrations is in line with other recent CLOs. The transaction documents permit a higher industry concentration than other recent U.S. CLOs, which was taken into account in Fitch's stress scenarios. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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, Asf' 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, and together with any assumptions, 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. HALSEYPOINT CLO 7: Fitch Rates Class E Debt 'BB-sf' --------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to HalseyPoint CLO 7, Ltd. HalseyPoint CLO 7, Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY HalseyPoint CLO 7, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by HalseyPoint Asset Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $430 million of primarily first lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is B, which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) and standard U.S. CLO structural features. Asset Security (Positive): Asset Security (Positive): The indicative portfolio consists of 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 74.3%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions in line with other U.S. CLO notes at their respective ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, 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. HARBOURVIEW CLO VII-R: Moody's Ups $24.02MM D Notes Rating to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by HarbourView CLO VII-R, Ltd.: US$43,940,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on September 21, 2018 Affirmed Aa2 (sf) US$21,920,000 Class C Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to A2 (sf); previously on August 6, 2020 Downgraded to A3 (sf) US$24,020,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to Ba1 (sf); previously on August 6, 2020 Downgraded to Ba2 (sf) HarbourView CLO VII-R, Ltd., issued in June 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2023. RATINGS RATIONALE The upgrade rating actions reflect an expectation that the notes will continue to be repaid in order of seniority after end of the deal's reinvestment period in July 2023. Moody's notes that the Class A-X have been paid down by approximately 98% or $3.9 million and Class A-1 notes have been paid down by approximately 7% or $18.7 million. Additionally, in light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF), compared to the covenant level. Moody's modeled a WARF of 2672 compared to its current covenant level of 2758. 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: $360,074,863 Defaulted par: $2,507,580 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2672 Weighted Average Spread (WAS) before accounting for reference rate floors: 3.39% Weighted Average Recovery Rate (WARR): 47.48% Weighted Average Life (WAL): 4.36 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. JP MORGAN 2014-C23: Fitch Lowers CCsf Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed eight classes of J.P. Morgan Chase Commercial Mortgage Securities Trust's (JPMBB), series 2014-C23 commercial mortgage pass-through certificates; resolves Under Criteria Observation (UCO). Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2014-C23 A-4 46643ABD4 LT AAAsf Affirmed AAAsf A-5 46643ABE2 LT AAAsf Affirmed AAAsf A-S 46643ABJ1 LT AAAsf Affirmed AAAsf A-SB 46643ABF9 LT AAAsf Affirmed AAAsf B 46643ABK8 LT AAsf Affirmed AAsf C 46643ABL6 LT Asf Affirmed Asf D 46643AAG8 LT BBsf Downgrade BBB-sf E 46643AAJ2 LT CCCsf Downgrade Bsf EC 46643ABM4 LT Asf Affirmed Asf F 46643AAL7 LT CCsf Downgrade CCCsf X-A 46643ABG7 LT AAAsf Affirmed AAAsf X-B 46643ABH5 LT BBsf Downgrade BBB-sf X-C 46643AAA1 LT CCCsf Downgrade Bsf X-D 46643AAC7 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since our prior rating action. The downgrades also factored in the heightened maturity default risk of Las Catalinas Mall and the high losses of the specially serviced loans. Fitch's current ratings incorporate a 'Bsf' rating case loss of 9.35%. Nine loans (25.1% of the pool) are considered Fitch Loans of Concern (FLOCs). Four loans (9.4%) remain in special servicing Largest Contributors to Loss: Las Catalinas Mall (6.1%), secured by a 355,385-sf collateral portion of a 494,071-sf regional mall in Caguas, Puerto Rico, approximately 20 miles south of San Juan, is the largest loss contributor. The loan transferred to special servicing in June 2020 following the closure of Kmart (34.5% of NRA) in 2Q19 and added distress from the pandemic. Non-collateral anchor tenant, Sears, closed in February 2021. The loan returned to the master servicer in March 2021 following a loan modification in December 2020. Modification terms included extension of the loan's maturity by 18 months through February 2026 with conversion of the loan to interest-only payments through the extended maturity. After August 2023, the borrower will have the right to pay off the loan for $72.5 million without any fee or prepayment, which is a 44% discount to the current loan balance of $128.8 million. The mall's occupancy was 51% as of YE 2022. Occupancy is expected to improve to 83% after entertainment tenant, Sector Sixty6, takes possession of the former Kmart space. With the new tenant in place, NOI is expected to increase by approximately 10%. Inline tenant sales were $422 psf as of the TTM ended January 2021, down from $530 psf for the TTM ended January 2020 and $642 psf for the TTM ended January 2019. Fitch's 'B' rating case loss prior to concentration add-ons of 76.0% reflects the permissible potential discounted payoff (DPO) and assumes near-term stabilization of the asset. The second largest loss contributor is The Duncan Center (1.0%), secured by a 57,468-sf office building located in Dover, DE. The loan transferred to special servicing in October 2019 after several large tenants vacated the property. Occupancy was 38.6% and NOI debt service coverage ratio (DSCR) was -0.08x as of YE2022, compared to 11.3% and -0.19x at YE2021. Occupancy is expected to increase to 41% after the tenant Tailored Care takes occupancy of 3% of the NRA with a three-year lease through September 2026. The asset has been REO since August 2021 and is currently listed for sale with an auction anticipated in September 2023. Fitch's 'B' rating case loss prior to concentration add-ons of 96.0% is based on a discount to a recent appraisal. Alternative Loss Considerations: Due to the large concentration of loan maturities in 2024, Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/ or loss expectation. Fitch considered scenarios where only the specially serviced and mall loans remain in the pool. Fitch assumed expected paydown from defeased loans, as well as loans with sufficient cash flow for assumed ability to refinance in a higher interest rate environment using Fitch's stressed refinance constants. The ratings and Outlooks reflect these scenarios. Improved Credit Enhancement: The pool's credit enhancement (CE) has improved since issuance given the scheduled loan amortization, payoffs and defeasance. As of the May 2023 distribution date, the pool's aggregate principal balance has been paid down by 34.3% to $890.8 million from $1.4 billion at issuance. Nineteen loans (17.2%) have been fully defeased. There are 48 loans remaining in the pool. Forty-six loans (92.0%) are scheduled to mature in 2024, one (6.0%) in 2026 and one (1.9%) in 2034. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' and 'AAsf' category rated classes are not expected, but could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral if the U.S. sovereign rating is lower than 'AAA' could also contribute to downgrades. Downgrades to 'BBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs. Downgrades to 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBsf' and 'Bsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to distressed ratings are not expected, but possible with significantly higher values on FLOCs. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JP MORGAN 2023-5: Fitch Assigns 'B-sf' Rating to B-5 Certs ---------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2023-5 (JPMMT 2023-5). Entity/Debt Rating ---------- ------- JPMMT 2023-5 A-1 LT AA+sf New Rating A-2 LT AAAsf New Rating A-3 LT AAAsf New Rating A-4 LT AAAsf New Rating A-5 LT AA+sf New Rating A-X-1 LT AA+sf New Rating PT LT AA+sf New Rating B-1 LT AA-sf New Rating B-2 LT A-sf New Rating B-3 LT BBB-sf New Rating B-4 LT BB-sf New Rating B-5 LT B-sf New Rating B-6 LT NRsf New Rating TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2023-5 (JPMMT 2023-5) as indicated. The certificates are supported by 235 loans with a total balance of approximately $288.63 million as of the cutoff date. The pool consists of prime-quality fixed-rate mortgages from various mortgage originators. The pool consists of loans mainly originated by Rocket Mortgage, LLC (31.5%) and United Wholesale Mortgage, LLC (31.1%) with the remaining 37.4% of the loans originated by various originators, each contributing less than 10% to the pool. The loan-level representations and warranties are provided by the various originators or MAXEX (aggregator). NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint Mortgage Servicing (Shellpoint), will act as interim servicer for approximately 66.2% of the pool from the closing date until the servicing transfer date, which is expected to occur on or about Sept. 1, 2023. After the servicing transfer date, these mortgage loans will be serviced by JPMorgan Chase Bank, National Association (Chase). Since Chase will service these loans after the transfer date, Fitch performed its analysis assuming Chase is the servicer for these loans. The other main servicer in the transaction is United Wholesale Mortgage, LLC (servicing 31.1% of the loans); the remaining 2.7% of the loans are being serviced by LoanDepot.com, LLC. Nationstar Mortgage LLC (Nationstar) will be the master servicer. Most of the loans (99.7%) qualify as safe-harbor qualified mortgage (SHQM) or SHQM (average prime offer rate [APOR]); the remaining 0.3% qualify as QM rebuttable presumption. There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 6.1% above a long-term sustainable level (versus 7.8% on a national level as of March 2023, down 2.7% since the last quarter). The rapid gain in home prices through the pandemic has begun to moderate, with a decline in 3Q22. Driven by the strong gains in 1H22, home prices rose 5.8% YoY nationally as of December 2022. High-Quality Mortgage Pool (Positive): The pool consists of high-quality, fixed-rate, fully amortizing prime quality loans with maturities of up to 30 years. Most of the loans (99.7%) qualify as SHQM or SHQM (APOR); the remaining 0.3% qualify as QM rebuttable presumption. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of seven months, according to Fitch (five months per the transaction documents). The pool has a WA original FICO score of 760, as determined by Fitch, which is indicative of very high credit quality borrowers. Approximately 63.4%, as determined by Fitch, of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 75.0%, translating to a sustainable loan-to-value (sLTV) ratio of 78.2%, represents moderate borrower equity in the property and reduced default risk compared with a borrower with a CLTV over 80%. Nonconforming loans comprise 97.6% of the pool, while the remaining 2.4% represents conforming loans. All of the loans are designated as QM loans, with 52.4% of the pool originated by a retail and correspondent channel. Of the pool, 100.0% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 94.8% of the pool; condominiums make up 4.6%; and multifamily homes make up 0.6%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (83.6%), cashout refinances (11.9%) and rate-term refinances (4.5%). Fitch views favorably that there are no loans to investment properties and the majority of the mortgages are purchases. A total of 159 loans in the pool are over $1.0 million, and the largest loan is approximately $2.90 million. Loan Count Concentration (Negative): The loan count of this pool (235 loans) resulted in a loan count concentration penalty. The loan count concentration penalty applies when the weighted average number of loans is less than 300. The loan count concentration of this pool resulted in a 1.17x penalty, which increased the loss expectations by 107 basis points (bps) at the 'AAAsf' rating category. Geographic Concentration (Negative): Of the pool, 46.9% is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (20.0%), followed by the San Francisco-Oakland-Fremont, CA MSA (7.4%) and Phoenix-Mesa-Scottsdale, AZ MSA (6.8%). The top three MSAs account for 34% of the pool. As a result, there was a 1.01x probability of default (PD) penalty applied for geographic concentration which increased the 'AAAsf' loss by 6 bps. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a coronavirus pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 3.50% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 2.00% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 39.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Consolidated Analytics, and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS JPMMT 2023-5 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled for in JPMMT 2023-5, including strong transaction due diligence, an 'Above Average' aggregator, the majority of the pool is originated by 'Above Average' originators, and the majority of the pool are serviced by an 'RPS1-' servicer. All of these attributes result in a reduction in expected losses. This has a positive impact on the transaction's credit profile and is relevant to the ratings in conjunction with other factors. Although this transaction has loans purchased in connection with the sponsor's Elevate Diversity and Inclusion program or the sponsor's Clean Energy program, Fitch did not take these programs into consideration when assigning an ESG Relevance Score, as the programs did not directly affect the expected losses assigned or were not relevant to the rating, in Fitch's view. JP MORGAN 2023-HE1: Fitch Assigns 'Bsf' Rating to B-2 Certs ----------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2023-HE1 (JPMMT 2023-HE1). Entity/Debt Rating ------------ ------- JPMMT 2023-HE1 A-1 LT AAAsf New Rating M-1 LT AAsf New Rating M-2 LT Asf New Rating M-3 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating B-4 LT NRsf New Rating BX LT NRsf New Rating A-IO-S LT NRsf New Rating X LT NRsf New Rating R LT NRsf New Rating TRANSACTION SUMMARY The assigned final ratings to the residential mortgage-backed certificates are backed by a second-lien prime open home equity line of credit (HELOC) on residential properties to be issued by JPMMT 2023-HE1 as indicated. This is the first transaction rated by Fitch that includes prime quality second-lien HELOCs with open draws on the JPMMT shelf and the inaugural second-lien HELOC transaction on the JPMMT shelf. The loans associated with the draws allocated to the participation certificate are 2,269 non-seasoned performing prime quality second-lien HELOC loans with a current outstanding balance, as of the cutoff date, of $186.39 million (the collateral balance based on the maximum draw amount is $224.38 million, as determined by Fitch). As of the cutoff date, 100% of the HELOC lines are currently open or on a temporary freeze and may be opened in the future. The aggregate available credit line amount, as of the cutoff date, is expected to be $37.99 million per the transaction documents. As of the cutoff date, the HELOC is 88.4% utilized per the transaction documents. The main originators in the transaction are United Wholesale Mortgage and loanDepot.com LLC. All other originators make up less than 10% of the pool. The loans are serviced by Specialized Loan Servicing LLC and loanDepot.com, LLC. Distributions of principal are based on a modified sequential structure subject to the transaction's performance triggers. Interest payments are made sequentially to all classes except the B-4, which is a principal only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMMAC. This transaction will not use a variable funding note (VFN) structure, rather it will use participation certificates. JPMMT 2023-HE1 is only entitled to cash flows based on the amount that has been drawn as of the cutoff date. The remaining available draws will be allocated to JPM PC if they are drawn in the future. Fitch assumes 100% of the HELOCs are 100% drawn day one. As a result all percentages are based off the maximum HELOC draw amount. The servicers, Specialized Loan Servicing LLC and loanDepot.com, LLC, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans adjusted based on the Prime Rate, none of which reference LIBOR. The certificates are floating rate and use SOFR as the index and are capped at the net weighted average coupon (WAC) or are entitled to principal only. There is no exposure to LIBOR in this transaction. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 6.3% above a long-term sustainable level (vs. 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 a decline in 3Q22. Driven by the strong gains in 1H22, home prices rose 5.8% yoy nationally as of December 2022. High Quality Prime Mortgage Pool (Positive): Participation interest in a fixed pool of draws related to 2,269 prime quality performing adjustable-rate open-ended HELOCs that have a 10-year, interest-only period and maturities of 20 years or 30 years. The open-ended HELOCs are secured by second-liens on primarily one- to three-family residential properties (including planned unit developments), condominiums, and townhouses, totaling $224 million (includes max HELOC draw amount). The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of six months, according to Fitch (three months per the transaction documents). The pool has a weighted average original FICO score of 747, as determined by Fitch, which is indicative of very high credit quality borrowers. Approximately 46.2%, as determined by Fitch, of the loans have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value (CLTV) as determined by Fitch of 68.9% translates to a sustainable LTV (sLTV) of 73.4%. The transaction documents stated a weighted average drawn LTV of 15.4% and a weighted average drawn CLTV of 66.6%. The LTVs represent moderate borrower equity in the property and reduced default risk compared with a borrower CLTV over 80%. There was 46.2% of the pool originated by a retail and correspondent channel. 100% of the loans are underwritten to full documentation. Based on Fitch's review of the of the documentation, Fitch considered 97.9% of the loans to be fully documented. Of the pool, 100.0% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, planned unit developments (PUDs), townhouses, and single-family attached dwellings constitute 95.6% of the pool; condominiums and site condos make up 3.1%; and multifamily homes make up 1.3%. The pool consists of loans with the following loan purposes: purchases (2.1%), cashout refinances (97.9%) and rate-term refinances (less than 0.1%). Fitch views favorably that there are no loans to investment properties. None of the loans in the pool are over $1.0 million, and the largest maximum draw amount is approximately $500,000. Of the pool, 41.4% is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (14.8%), followed by the Riverside-San Bernardino-Ontario, CAMSA (7.1%) and Miami-Fort Lauderdale-Miami Beach, FLMSA (5.9%). The top three MSAs account for 28% of the pool. As a result, no probability of default penalty was applied for geographic concentration. Second-Lien HELOC Collateral (Negative): The entirety of the collateral pool is composed of second-lien HELOC loans originated by United Wholesale Mortgage, loanDepot.com LLC, and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second-lien loans 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. Modified Sequential Structure with No Advancing of DQ P&I (Mixed): The proposed structure is a modified sequential in which principal is distributed pro-rata to the A-1, M-1, M-2, and M-3 classes to the extent that the performance triggers are passing. To the extent they are failing, it is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses and cap carryover amounts. The transaction also has a lockout feature which benefits the more senior class(es) if performance deteriorates. If the Applicable Credit Support Percentage of the M-1, M-2, or M-3 classes is less than the sum of (i) 150% of the Original Applicable Credit Support Percentage for that class, plus (ii) 50% of the Non-Performing Loan Percentage, plus (iii) the Charged-off Loan Percentage, then that class is locked out of receiving principal payments and the principal payments are redirected to the most senior class. To the extent any class of certificates is a Locked-Out Class, each class of certificates subordinate to such Locked-Out Class will also be a Locked-Out Class. Due to this lockout feature, the M classes will be locked out starting day one. The A-1, M classes, B-1, B-2, and B-3 are floating rate classes based on the SOFR index and capped at the Net WAC. The B-4 is a principal only class and is not entitled to receive interest. If there is no longer excess spread to absorb losses, losses will be allocated to all the classes reverse sequentially starting with B-4. The servicer will not be advancing delinquent monthly payments of principal and interest. 180 Day Charge Off Feature (Positive): Loans that become 180 days delinquent based on the MBA delinquency method (except for loans that are in a forbearance plan) will be charged off. The 180 day charge-off feature will result in losses being 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 deal and less excess is available. The transaction priced after the presale was published and the coupons were lower than the coupons used in the cash flow analysis to determine the expected ratings. Fitch ran the post-pricing structure and all classes had adequate CE to pass the expected ratings that were previously assigned. In the post-pricing cash flow analysis, the M-1 no longer incurred a periodic interest shortfall and was paid timely interest in all of Fitch's 'AAsf' cash flow stress scenarios. There are no changes between the expected ratings previously assigned and the final ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 39.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. JPMBB COMMERCIAL 2014-C18: Fitch Cuts Rating on 2 Tranches to BBsf ------------------------------------------------------------------ Fitch Ratings has downgraded three classes and affirmed nine classes of JPMBB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2014-C18. Rating Outlooks remain Negative on five classes; the criteria observation has been resolved. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2014-C18 A-4A1 46641JAV8 LT AAAsf Affirmed AAAsf A-4A2 46641JAA4 LT AAAsf Affirmed AAAsf A-5 46641JAW6 LT AAAsf Affirmed AAAsf A-S 46641JBA3 LT AAAsf Affirmed AAAsf A-SB 46641JAX4 LT AAAsf Affirmed AAAsf B 46641JBB1 LT BBBsf Downgrade Asf C 46641JBC9 LT BBsf Downgrade BBBsf D 46641JAE6 LT CCCsf Affirmed CCCsf E 46641JAG1 LT CCsf Affirmed CCsf EC 46641JBD7 LT BBsf Downgrade BBBsf F 46641JAJ5 LT Csf Affirmed Csf X-A 46641JAY2 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Increased Loss Expectations: The downgrades reflect Fitch's increased loss expectations since the prior rating action primarily driven by the Miami International Mall and Meadows Mall. Fitch has identified four Fitch Loans of Concern (FLOCs; 26.8% of the pool balance), including three (10%) specially serviced loans. Three loans (2.5%) are on the master servicer's watchlist for declines in occupancy, performance declines as a result of the pandemic, upcoming rollover and/or deferred maintenance. Fitch's current ratings incorporate a base case loss of 10.4%. The majority of the overall pool loss expectations are from the three retail loans (Meadows Mall, Miami International Mall, Geneva Shopping Center). The largest contributor to overall loss expectations is the specially serviced Meadows Mall (6.6%) loan, which is secured by 308,190 sf of in-line space of a 945,043-sf regional mall located in Las Vegas, NV, approximately four miles west of downtown Las Vegas. The four anchors, Dillard's, Macy's, JCPenney and Sears (closed in February 2020), own their improvements. The loan is sponsored by Brookfield Property Partners, which acquired the property and subject loan in August 2018. The loan transferred to the special servicer in October 2020 for monetary default. According to the servicer, the borrower and lender are discussing a potential extension. The servicer-reported NOI debt service coverage ratio (DSCR) for this loan was 1.00x as of YE 2022 compared with 1.11x at YE 2021 and 1.22x at YE 2020. Collateral occupancy as of March 2023 was reported to be 88% compared with 84% at March 2020 and 91% in March 2019. Reported in-line tenant sales decreased to $398 per square foot (psf) for the trailing 12-month period ending March 31, 2023 compared with $477 psf for the trailing 12-month period ending March 31, 2022 and $416 psf at issuance in 2013. Fitch's analysis reflects a discount to a recent appraisal value resulting in a 45% loss severity in the 'Bsf' Rating Case prior to the concentration add on. The second largest contributor to overall loss expectations is the Miami International Mall (16.8% of the pool) loan, which is secured by the 306,855-sf collateral portion of a 1.1 million-sf regional mall located approximately 12 miles northwest of downtown Miami, FL and 10 miles west of Miami International Airport. The property features three non-collateral tenants, Macy's (February 2028 lease expiration), JCPenney (February 2028) and Kohl's (February 2028), along with a vacant Seritage-owned Sears space that closed in November 2018. Large collateral tenants include H&M (7.4% of NRA; January 2025 lease expiration), Old Navy (5.5%; January 2025) and Victoria's Secret (3.7%; January 2023). All other tenants comprise less than 3% of NRA. The subject has substantial nearby competition, including the Taubman-owned Dolphin Mall located a mile to the west and the Simon-owned Dadeland Mall located eight miles to the south. The Dolphin Mall is an outlet center that is complementary to the subject while Dadeland Mall has a higher end tenant profile including Nordstrom and Saks Fifth Avenue. Property occupancy declined to 79% as of December 2022, down from 83% at YE 2020, 99% at YE 2019 and 94% at issuance. YE 2022 NOI DSCR was 2.39x, and YE 2021 NOI DSCR was 2.37x, compared with 2.75x at YE 2019. Fitch's analysis applied a 15% cap rate to the YE 2022 NOI resulting in a 28% 'Bsf' Rating Case Loss prior to concentration add-on. The third largest contributor to overall loss expectations is the Geneva Shopping Center (1.9% of the pool) loan, which is secured by a 186,275-sf retail property located in Geneva, NY. The loan transferred to special servicing in December 2020 due to delinquent debt service payments. The foreclosure sale was held in March 2023, in favor of the Lender. Fitch's analysis reflects a discount to a recent appraisal value resulting in a 63% loss severity in the 'Bsf' Rating Case prior to the concentration add on. Increasing Credit Enhancement (CE): As of the May 2023 distribution date, the pool's aggregate balance has been reduced by 37.9% to $595.1 million from $957.6 million at issuance. Sixteen loans (26.2% of current pool) are fully defeased. In 2020, the pool had a $29.2 million loss from the disposition of 545 Madison Avenue. Interest shortfalls totaling $800,710 are currently impacting the non-rated class NR and class F. Pari Passu Loans: Five loans (56.3% of pool) are pari passu. Concentrated Pool: The transaction is becoming increasingly concentrated, with 35 of the original 51 loans remaining; the top 10 loans comprise 71.8% of the pool. Loans secured by retail properties comprise 60.5% of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades of the 'AAAsf' rating categories are not considered likely due to the position in the capital structure and level of CE, but may occur should interest shortfalls affect these classes. Downgrades to the 'BBBsf' and 'BBsf' categories could occur if performance of the FLOCs continues to decline, additional loans transfer to special servicing and/or loans affected by the pandemic do not stabilize. Further downgrades to the distressed 'CCCsf' rated and below classes would occur with increased certainty of losses or as additional losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity factors that lead to upgrades would occur with stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'BBBsf' and 'BBsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades to distressed ratings are not expected, but possible with significantly higher values on FLOCs. KKR CLO 52: Fitch Assigns 'BB+sf' Rating to Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 52 Ltd. ENTITY / DEBT RATING ------------- ------ KKR CLO 52 Ltd. A1 LT NRsf New Rating A2 LT NRsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT A+sf New Rating D LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated Notes T NRsf New Rating TRANSACTION SUMMARY KKR CLO 52 Ltd., is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $340 million of primarily first lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.41% first-lien senior secured loans and has a weighted average recovery assumption of 74.93%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate, while the top five obligors can represent up to 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 CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'BB-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. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. MORGAN STANLEY 2022-17A: Fitch Affirms 'BBsf' Rating on E Notes --------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-1, A-2, B-1, B-2, C, D and E notes of Morgan Stanley Eaton Vance CLO 2022-17A, Ltd. (Morgan Stanley Eaton Vance 2022-17A). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating ------------ ------- Morgan Stanley Eaton Vance CLO 2022-17A, Ltd. A-1 617922AA7 LT AAAs Affirmed A-2 617922AC3 LT AAAsf Affirmed B-1 617922AE9 LT AAsf Affirmed B-2 617922AL3 LT AAsf Affirmed C 617922AG4 LT Asf Affirmed D 617922AJ8 LT BBB-sf Affirmed E 617923AA5 LT BBsf Affirmed TRANSACTION SUMMARY Morgan Stanley Eaton Vance 2022-17A is a broadly syndicated collateralized loan obligation (CLO) managed by Morgan Stanley Eaton Vance CLO Manager LLC. Morgan Stanley Eaton Vance 2022-17A closed in August 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 the last rating action. As of June 2023 reporting, the Fitch weighted average rating factor increased to 24.0 (B/B-) compared to 23.9 (B/B-) at closing. The portfolio remains diversified across 262 obligors, with the largest 10 obligors comprising 7.5% of the portfolio (excluding cash). As of June 2023 reporting, one defaulted asset comprised 0.7% of the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 15.8% and 3.8%, respectively. First lien loans, cash and eligible investments comprised 98.9% of the portfolio, and Fitch's weighted average recovery rate of the portfolio increased to 75.2%, compared to 75.0% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since this 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 CQTs limits. The FSP analysis assumed a weighted average life of 7.25 years, 6.5% second lien assets, and 5.0% fixed rate assets. Fitch affirmed all tranches at their model-implied ratings (MIRs) 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 classes' 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 and D notes, two notches for the class C notes, and three notches for the class E notes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, 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 notes, four notches for the class E notes, and five notches for the class D notes, based on MIRs. MOSAIC SOLAR 2022-2: Fitch Affirms 'BBsf' Rating on Class D Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings on notes issued by Mosaic Solar Loan Trust 2022-2 (Mosaic 2022-2). ENTITY / DEBT RATING PRIOR ------------- ------ ----- Mosaic Solar Loan Trust 2022-2 A 61946UAA0 LT AA-sf Affirmed AA-sf B 61946UAB8 LT A-sf Affirmed A-sf C 61946UAC6 LT BBBsf Affirmed BBBsf D 61946UAD4 LT BBsf Affirmed BBsf TRANSACTION SUMMARY Mosaic 2022-2 is a securitization of consumer loans backed by residential solar equipment. The originator is Solar Mosaic, LLC, one of the longest-established solar lenders in the U.S. It has advanced solar loans since 2014 and financed them through public securitizations since 2017. KEY RATING DRIVERS Stable Performance Since Closing: At closing, Fitch set a lifetime default expectation of 9%, based on a 1.2% annualized default rate (ADR) assumption and certain forward-looking prepayment assumptions. The annualized default rate has, on average, remained very close to but below Fitch base case. The prepayment rate, depressed last year by rising interest rates, is trending higher relative to Fitch 10% base case assumption. Material recoveries have not yet come in, as Fitch are still early in the assets' and thus the transaction's life. Fitch views the current assumptions and ratings as still adequate. Junior CE Diverging from Senior: Funds available after interest and fees are paid pro rata to classes A and B until November 2023. After that these notes will be maintained at a 18.25% target credit enhancement (CE) level and remaining funds will be paid to classes C and D. CE on classes A and B has increased slightly and decreased for classes C and D. Limited Performance History Informs 'AAsf' Cap: Notwithstanding strong borrower demographics and expected performance attributes similar to residential home loans, the absence of through-the-cycle performance warranted relatively conservative rating assumptions at closing. While more robust than other solar lenders, performance data for Mosaic-originated loans of approximately seven years is limited compared to residential solar loan terms of 25 to 30 years. The additional one year of data since closing does not remedy this issue yet, so the 'AA' cap remains in place for this transaction. Established Lender but New Assets: Mosaic is one of the first movers among U.S. solar loan lenders, with the longest track record among the originators of the solar ABS that Fitch rates. Concord Servicing LLC is the subservicer, while Mosaic has remained in its role in direct servicing over time. Servicing disruption risk is further mitigated by the appointment of Vervent, Inc. as the backup servicer. Standard, Reputable Counterparties, No Swap: The transaction account is with Wilmington Trust (A/Negative/F1), and the servicer's account is with Wells Fargo Bank (AA-/Stable/F1+). Commingling risk is mitigated by the transfer of collections within two business days, high ACH share at closing and the ratings of Wells Fargo. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Asset performance that indicates an implied ADR materially above 1.2%, and/or a simultaneous fall in prepayment activity without expectation of future increases may put pressure on the rating or lead to a Negative Outlook. Material changes in policy support, the economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also affect the ratings negatively. Fitch did not run a cash flow model for this review, and thus no quantitative rating sensitivity outputs have been produced. Please refer for the sensitivities in the rating action commentary published after transaction closing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch currently caps this transaction's ratings in the 'AAsf' category due to limited performance history, while the assigned 'AA-sf' rating is further constrained by the level of credit enhancement (CE). As a result, a positive rating action could result from an increase of CE due to deleveraging, underpinned by good transaction performance (e.g. through high prepayments and ADR materially below 1.2%). Fitch did not run a cash flow model for this review, and thus no quantitative rating sensitivity outputs have been produced. Please refer for the sensitivities in the rating action commentary published after transaction closing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS 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. MSBAM 2016-C29: Fitch Affirms CCC Rating on 2 Tranches ------------------------------------------------------ Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C29 commercial mortgage pass-through certificates. The Ratings Outlooks for classes E and X-E remain Negative. The Under Criteria Observation (UCO) has been resolved. ENTITY/DEBT RATING PRIOR ---------- ------ ----- MSBAM 2016-C29 A-3 61766EBD6 LT AAAsf Affirmed AAAsf A-4 61766EBE4 LT AAAsf Affirmed AAAsf A-S 61766EBH7 LT AAAsf Affirmed AAAsf A-SB 61766EBC8 LT AAAsf Affirmed AAAsf B 61766EBJ3 LT AA-sf Affirmed AA-sf C 61766EBK0 LT A-sf Affirmed A-sf D 61766EAL9 LT BBB-sf Affirmed BBB-sf E 61766EAN5 LT B-sf Affirmed B-sf F 61766EAQ8 LT CCCsf Affirmed CCCsf X-A 61766EBF1 LT AAAsf Affirmed AAAsf X-B 61766EBG9 LT AA-sf Affirmed AA-sf X-D 61766EAA3 LT BBB-sf Affirmed BBB-sf X-E 61766EAC9 LT B-sf Affirmed B-sf X-F 61766EAE5 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The affirmations reflect the impact of the updated criteria and generally stable loss expectations for the pool since the prior rating action. Fitch identified 10 loans (27.4% of the pool) as Fitch Loans of Concern (FLOCs), which includes two REO assets (2.7%). Fitch's current ratings incorporate a 'Bsf' rating case loss of 7.0%. The Negative Outlooks on classes E and X-E reflect the potential for downgrade due to performance and upcoming rollover concerns on the larger retail outlet and office FLOCs, including Grove City Premium Outlets (8.0% of the pool), Gulfport Premium Outlets (2.4%) and 696 Centre (2.1%) and Princeton Pike Center (2.1%). Retail Outlet FLOCs: The pool contains two Simon-owned outlets malls, which have had declining performance for several years. Fitch's largest contributor to loss expectations, Grove City Premium Outlets (8.0%), is secured by a 531,200-sf open-air outlet center located in Grove City, PA, a tertiary market approximately 55 miles north of Pittsburgh. Per the YE 2022 rent roll, the collateral was 74% occupied, compared to 72% at YE 2021, and down from 77% at YE 2020, 82% at YE 2019 and 98% at issuance. Nine tenants (7.9% of the NRA) had lease expirations in 2022 and 12 tenants (11.2%) have lease expirations in 2023. The rent roll indicates these tenants are expected to renew. The NOI debt service coverage ratio (DSCR) also declined to 2.09x as of YTD September 2022 from 2.29x at YE 2021, 2.23x at YE 2020 and 2.70x at YE 2019. The TTM February 2023 sales report showed total sales were $338 psf compared to $333 psf at issuance. Fitch's 'Bsf' rating case loss of 34% prior to concentration add-ons reflects a 15% cap rate and 10% stress to the YE 2021 NOI, and factors an increased probability of default due to heightened maturity default risk given the sustained performance declines. Fitch's next largest contributor to loss expectations, The Gulfport Premium Outlets (2.4%), is secured by a 300,328-sf open-air premium outlet mall located in Gulfport, MS. The largest tenants include H&M (6.5% of the NRA; January 2029 lease expiration), Lee Wrangler (5.8%; expired January 2023), Nike Factory Store (4.5%; expired January 2022) and Polo Ralph Lauren Factory Store (3.5%; January 2026). Fitch requested for leasing updates on Nike and Lee Wrangler Clearance, but did not receive a response; these two tenants are in occupancy per the property's website. Occupancy has fallen to 77% as of YE 2022, compared to 76% at YE 2021, 81% at YE 2020, 87% at YE 2019 and 92% at issuance. Per the YE 2022 rent roll, 12.3% of the NRA had lease expirations in 2022 and 17.2% have lease expirations in 2023. The YE 2022 NOI DSCR was 2.58x, down from 2.87x at YE 2021, 2.78x at YE 2020, 2.91x at YE 2019 and 3.01x at issuance. No updated sales report was provided to Fitch. The most recent sales were reported at $433 psf as of YE 2021, compared to prepandemic levels of $318 psf in 2019. Fitch's 'Bsf' rating case loss of 34% prior to concentration add-ons reflects a 15% cap rate and 15% stress to the YE 2022 NOI, and factors an increased probability of default due to heightened maturity default risk given the overall performance declines and upcoming rollover. Office FLOCs: The 696 Centre loan (2.1%) is secured by a 204,552-sf suburban office property located in Farmington Hills, MI. The largest tenant, Google (42.2% of NRA), vacated at their November 2022 lease expiration. Occupancy is estimated to have declined to approximately 34%. The annualized YTD September 2022 revenues declined about 50% from YE 2021 levels and about 19% from issuance levels. Occupancy and revenue declines caused the YTD September 2022 NOI DSCR to decline to 1.39x from 3.08x at YE 2021. Fitch's 'Bsf' rating case loss expectation of 23 % reflect a 10% cap rate to the annualized September 2022 NOI, and factors an increased probability of default due to the significant occupancy and cash flow decline. The Princeton Pike Center loan (2.1%) is secured by an 818,140-sf suburban office property consisting of eight buildings located in Lawrence Township, NJ. The loan re-emerged from special servicing in September 2021 with a loan modification allowing for the conversion of debt service to interest-only (IO) payments and the implementation of an ongoing cash trap for the remainder of the loan term. Per updates from the servicer, the largest tenant, Stark and Stark (11% of the NRA), did not renew upon its December 2022 lease expiration, and are in holdover for a few months. Occupancy is estimated to decline to approximately 63%. Per the September 2022 rent roll, 5.5% of the NRA rolls in 2023 and 17.2% in 2024. With an IO loan, the YE 2022 NOI DSCR was 1.78x. Fitch's 'Bsf' rating case loss prior to concentration add-ons of 11 % reflects a 10% cap rate and a 20% stress to the YE 2022 NOI. Increased Credit Enhancement: As of the June 2022 distribution date, the pool's aggregate balance has paid down by 13.6% to $698.9 million from $809 million at issuance. There are 16 loans (19.3% of the pool) that have fully defeased, an increase from 14 loans (17.8%) at the prior action. There are 10 loans (32.3% of the pool) that are full-term, IO and the remainder of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-2, A-3, A-4, A-SB, A-S and X-A are not likely due to increasing CE and expected continued paydowns, but may occur should interest shortfalls affect these classes. Downgrades to classes B, C and X-B may occur should expected pool losses increase significantly and/or all of the FLOCs suffer losses. Downgrades to classes D, E, X-D and X-E are possible should loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing, higher realized losses than expected on the specially serviced assets and/or with outsized losses on the Grove City Premium Outlets, Gulfport Premium Outlets and 696 Centre loans. Further downgrades to classes F and X-F would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades would occur with stable to improved asset performance, particularly of the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, C and X-B would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D, E, X-D and X-E may occur as the number of FLOCs are reduced and there is sufficient CE to the classes. Upgrades to classes F and X-F are unlikely absent significant performance improvement of the FLOCs and substantially higher recoveries than expected on the specially serviced loans, and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. 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. OAKTREE CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Oaktree CLO 2023-2 Ltd./Oaktree CLO 2023-2 LLC's floating-rate notes. The transaction is managed by Oaktree Capital Management L.P. 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 ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Oaktree CLO 2023-2 Ltd./Oaktree CLO 2023-2 LLC Class A, $252 million: Not rated Class A-J, $8 million: Not rated Class B, $44 million: AA (sf) Class C (deferrable), $20 million: A (sf) Class D (deferrable), $24 million: BBB- (sf) Class E (deferrable), $14 million: BB- (sf) Subordinated notes, $38 million: Not rated OBX TRUST 2019-INV1: Moody's Raises Rating on Cl. B-5 Notes to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 12 bonds from three US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible non-owner occupied mortgage loans. The complete rating actions are as follows: Issuer: OBX 2019-INV1 Trust Cl. B-3, Upgraded to Aa3 (sf); previously on Sep 15, 2022 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jan 31, 2019 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jan 31, 2019 Definitive Rating Assigned B2 (sf) Issuer: OBX 2019-INV2 Trust Cl. B-3, Upgraded to A1 (sf); previously on Sep 15, 2022 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 28, 2019 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jun 28, 2019 Definitive Rating Assigned B3 (sf) Issuer: OBX 2020-INV1 Trust Cl. B-2, Upgraded to Aa1 (sf); previously on Sep 15, 2022 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Sep 15, 2022 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Sep 15, 2022 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Sep 15, 2022 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 30, 2020 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jan 30, 2020 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. In Moody's analysis Moody's considered the additional risk of default on modified loans. Generally, Moody's apply a 7x multiple to the Probability of Default (PD) for private label modified mortgage loans and an 8x multiple to the PD for agency-eligible modified mortgage loans. However, Moody's may apply a lower multiple to the PD for loans that were granted short-term payment relief as long as there were no other changes to the loan terms, such as a reduced interest rate or an extended loan term, which can be used to lower the monthly payment on the loan. For loans granted short-term payment relief, servicers will generally defer the missed payments, which could be added as a non-interest-bearing balloon payment due at the end of the loan term. Alternatively, servicers could extend the maturity on the loan to match the number of missed payments. These deals feature a structural deal mechanism that the servicer and the securities administrator will not advance principal and interest to loans that are 120 days or more delinquent. The interest distribution amount will be reduced by the interest accrued on the stop advance mortgage loans (SAML) and this interest reduction will be allocated reverse sequentially first to the subordinate bonds, then to the senior support bond, and then pro-rata among senior bonds. Once a SAML is liquidated, the net recovery from that loan's liquidation is allocated first to pay down the loan's outstanding principal amount and then to repay its accrued interest. The recovered accrued interest on the loan is used to repay the interest reduction incurred by the bonds that resulted from that SAML. The elevated delinquency levels in these transaction(s) has increased the risk of interest shortfalls due to stop advancing. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. Principal Methodologies The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in April 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OCTANE 2022-1: S&P Affirms 'BB+ (sf)' Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on eight classes of notes and affirmed its ratings on three classes of notes from three Octane Receivables Trust transactions (OCTL). The rating actions reflect: -- The transactions' structures, collateral performance to date, our remaining cumulative gross loss (CGL) expectations regarding future collateral performance, and level of credit enhancement to date; -- Secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. -- The removal of S&P's 'AA (sf)' rating cap and its updated criteria. Considering these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. In addition to S&P's standard analyses, this surveillance review also incorporated the following two considerations: -- 'AA (sf)' RATING CAP REMOVAL -- S&P said, "Earlier this year, we removed our 'AA (sf)' rating cap on OCTL transactions, including OCTL 2021-1 where we assigned our 'AAA (sf)' rating to the class A notes. The rating actions on OCTL 2021-2's class A notes and OCTL 2022-1's class A-2 notes similarly reflect the removal of the cap to which these two transactions were subjected at issuance. " IMPACT OF GLOBAL CONSUMER ABS CRITERIA CHANGE S&P said, "As part of this surveillance review, we incorporated the requirements of our updated publication for OCTL 2021-2, which at the time of issuance did not benefit from the updated criteria. This resulted in key changes to the credit and cash flow analysis for OCTL 2021-2 compared to the original new issue analysis. Most notably, we analyzed gross losses and recovery rates separately to arrive at the gross loss range, where previously net loss performance was the primary consideration. We also used stressed recovery rates with rating-specific haircuts to determine rating-specific stressed net losses; we previously did not consider stressed recovery rates as part of the OCTL 2021-2 new issue analysis. Note that in January 2023, during our surveillance review for OCTL 2021-1, we applied the same analysis to incorporate the requirements of our updated criteria. "The OCTL 2021-1 transaction is performing in line with our prior CGL expectation from our January 2023 review. Similarly, OCTL 2021-2 is generally performing in line with our net loss expectation at the time of issuance. However, due to the change in our rating methodology, instead of deriving a net loss range, we now derive an expected gross loss (ECGL) for the transaction. Cumulative gross loss performance for OCTL 2022-1 is trending above our initial ECGL. The performance of powersports collateral is subject to seasonal trends, which generally leads to stronger credit performance, including higher recovery rates, during the late spring through summer and weaker performance in the winter months. S&P said, "The effects of this seasonality along with normalizing economic conditions since the COVID-19 pandemic, and recent economic headwinds, including inflationary pressures, were key considerations in our review. Based on these factors and the transactions' performance to date, we updated our expected CGL for OCTL 2021-1 and 2022-1 and derived an expected ECGL for 2021-2." S&P said, "Historically, we've used a base case recovery rate assumption of 35% for OCTL transactions based on performance of the company's managed portfolio, static pools, and OCTL series. Our recovery rate assumption gives no credit to the elevated recovery rates experienced following the COVID-19 pandemic, which were driven by supply constraints in the powersport market that have since subsided. "Lifetime cumulative recoveries are trending in line with our original expectation for all the transactions and, as such, we have maintained our original base case recovery rate assumption on each. Note that in table 2 below, the OCTL 2021-1 transaction has experienced higher recoveries to date compared to 2021-2 and 2022-1. In our view, this is driven by both elevated recoveries related to the previously mentioned supply constraints and the transaction's greater seasoning since recoveries generally increase proportionally to gross losses as transactions amortize, which is a function of recovery lag (i.e., the time between the default and the liquidation of the collateral). "While we maintained our base case recovery expectation of 35%, as a result of the actual recovery rates observed to date and the degree of pool amortization, we reduced our rating-specific recovery rate haircuts for OCTL 2021-1 and 2021-2." Table 1 Collateral performance (%)(i) Pool 61+ days Series Mo.(i) factor delinq. Ext. CGL CRR CNL 2021-1 25 38.90 1.20 0.53 4.56 34.12 3.00 2021-2 19 51.62 1.04 0.45 4.27 29.09 3.03 2022-1 13 66.45 0.82 0.52 3.41 26.68 2.50 (i)As of the June 2023 distribution date. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CNL and CGL expectations (%) Original Original Prior Revised lifetime lifetime lifetime lifetime Series CNL exp.(i) CGL exp.(ii) CGL exp.(iii) CGLexp.(iv) 2021-1 5.50-6.50 N/A 6.75-7.25 6.75-7.25 2021-2 5.25-6.00 N/A N/A 8.00-8.50 2022-1 N/A 7.00-7.50 N/A 8.75-9.25 (i)Initially rated under "Global Methodology And Assumptions For Assessing The Credit Quality Of Securitized Consumer Receivables," published Oct. 9, 2014, under which S&P's credit analysis and resulting breakeven levels were based on its lifetime net loss expectations. (ii)Rated under S&P's current "ABS: Global Consumer ABS Methodology And Assumptions," published March 31, 2022, under which its credit analysis and resulting breakeven levels are based on its lifetime gross loss and recovery expectations. (iii)Revised January 2023. (iv)Revised July 2023. CNL exp.--Cumulative net loss expectations. CGL exp.--Cumulative gross loss expectations. N/A–-Not applicable. The transactions contain a sequential principal payment structure in which the notes are paid principal by seniority. Each transaction has credit enhancement consisting of a nonamortizing reserve account, overcollateralization, subordination for senior classes, and excess spread. As of the June 2023 distribution date, the transactions' reserve account and overcollateralization amounts were at their requisite levels. In spite of losses trending higher for OCTL 2022-1, credit enhancement continues to grow as the pool amortizes down. The raised and affirmed ratings reflect our view that the total credit support as a percentage of the amortizing pool balance, as of the June 2023 distribution date, compared with S&P's expected remaining losses, is commensurate with each respective rating. Table 3 Hard credit support(i) Total hard current Current total hard credit support credit support Series Class at issuance (%) (% of current)(ii) 2021-1 A 16.85 53.59 2021-1 B 8.75 32.77 2021-1 C 1.00 12.85 2021-2 A 16.75 38.26 2021-2 B 7.50 20.34 2021-2 C 1.00 7.75 2022-1 A-2 27.20 42.88 2022-1 B 18.90 30.39 2022-1 C 12.30 20.46 2022-1 D 5.40 10.08 2022-1 E 2.45 5.64 (i)Calculated as a percentage of the total receivables pool balance, which consists of overcollateralization, reserve account, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. (ii)As of the June 2023 distribution date. S&P sadi, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNL for the classes where hard credit enhancement alone--without credit to any excess spread--was sufficient, in our view, to raise or affirm the ratings at the 'AAA (sf)' level. For the other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed excess spread. Our cash flow scenarios included our current economic outlook, forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at the raised and affirmed rating levels. We will continue to monitor the transactions' performance to ensure that the credit enhancement remains consistent with the assigned ratings." RATINGS RAISED Octane Receivables Trust Rating Series Class To From 2021-1 B AAA (sf) AA- (sf) 2021-1 C AA- (sf) A- (sf) 2021-2 A AAA (sf) AA (sf) 2021-2 B AA (sf) A (sf) 2021-2 C BBB+ (sf) BBB (sf) 2022-1 A-2 AAA (sf) AA (sf) 2022-1 B AA+ (sf) AA- (sf) 2022-1 C A+ (sf) A (sf) RATINGS AFFIRMED Octane Receivables Trust Series Class Rating 2021-1 A AAA (sf) 2022-1 D BBB (sf) 2022-1 E BB+ (sf) RCKT MORTGAGE 2023-CES1: Fitch Gives Bsf Rating on B-2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2023-CES1 (RCKT 2023-CES1). Rating Prior ------ ----- RCKT 2023-CES1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf A-5 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 R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf 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. Fitch is withdrawing the expected rating for the previous class A-1L notes as they are no longer expected to convert to a final rating. 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 with 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 with 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 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. REGATTA XXV: Fitch Assigns BB-sf Rating on Class E Debt ------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Regatta XXV Funding Ltd. Regatta XXV Funding Ltd. A LT NRsf New Rating NR(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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 24.54, 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 76.53% versus a minimum covenant, in accordance with the initial expected matrix point of 74%. 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 CLOs. Fitch's analysis was based on the stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, 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. SCULPTOR CLO XXXI: S&P Assigns BB- (sf) Rating on Class E Loans --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sculptor CLO XXXI Ltd./Sculptor CLO XXXI LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sculptor Loan Advisor LLC, a subsidiary of Sculptor Capital Management L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and --The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Sculptor CLO XXXI Ltd./Sculptor CLO XXXI LLC Class A, $189.00 million: AAA (sf) Class B-1, $29.00 million: AA (sf) Class B-2, $10.00 million: AA (sf) Class C-1 (deferrable), $6.50 million: A (sf) Class C-2 (deferrable), $10.00 million: A (sf) Class D (deferrable), $0.00 million: BBB- (sf) Class D loan (deferrable), $17.70 million: BBB- (sf) Class E (deferrable), $0.00 million: BB- (sf) Class E loan (deferrable), $7.80 million: BB- (sf) Subordinated notes, $30.70 million: Not rated SIERRA TIMESHARE 2023-2: Fitch Gives BB-(EXP)sf Rating to D Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Sierra Timeshare 2023-2 Receivables Funding LLC (2023-2). ENTITY / DEBT RATING ------------- ------ Sierra Timeshare 2023-2 Receivables Funding LLC A LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and Wyndham Resort Development Corporation (WRDC). Both entities are indirect, wholly owned operating subsidiaries of Travel + Leisure Co. (T+L, formerly Wyndham Destinations, Inc.) This is T+L's 46th public Sierra transaction. KEY RATING DRIVERS Borrower Risk — Shifting Collateral Composition: Approximately 68.6% of Sierra 2023-2 consists of WVRI-originated loans; the remainder of the pool comprises WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 735, higher than 734 in Sierra 2023-1 and the highest for the platform to date. Additionally, compared with the prior transaction, the 2023-2 pool has overall stronger FICO distribution and lower concentration in weaker performing WVRI loans. Forward-Looking Approach on CGD Proxy — Increasing CGDs: Similar to other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages, and stabilizing in 2009 and thereafter. However, more recent vintages, from 2014 through 2019, have begun to show increasing gross defaults versus prior vintages dating back to 2009, partially driven by increased paid product exits (PPEs). The 2020 and 2021 transactions are generally demonstrating improving default trends relative to prior transactions. Fitch's cumulative gross default (CGD) proxy for this pool is 22.00% (down from 22.50% for 2023-1). Given the current economic environment, Fitch used proxy vintages that reflect a recessionary period, along with more recent vintage performance, specifically of 2007-2009 and 2016-2019 vintages. Structural Analysis — Lower CE: The initial hard credit enhancement (CE) for class A, B, C and D notes is 64.75%, 41.15%, 22.00% and 10.80%, respectively. CE is lower for all classes relative to 2023-1 except for class C, mainly due to lower overcollateralization (OC) and lower subordination as compared to the prior transaction. Hard CE comprises OC, a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 6.55% per annum. Loss coverage for all notes is able to support default multiples of 3.25x, 2.25x, 1.50x and 1.17x for 'AAAsf', 'Asf', 'BBBsf' and 'BB-sf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: T+L has demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is evidenced by the historical delinquency and loss performance of securitized trusts and of the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For class B, C and D notes, the multiples would increase, resulting in potential upgrade of approximately up to one rating category for each of the subordinate classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recomputation of certain characteristics with respect to 155 sample loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. 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. SLM PRIVATE 2007-A: Fitch Affirms 'BB+sf' Rating on 2 Tranches -------------------------------------------------------------- Fitch Ratings has affirmed 17 tranches and downgraded 10 tranches from 10 SLM Private Credit Student Loan Trusts (SLM) and affirmed seven tranches from two Navient Private Education Loan Trusts. The affirmations reflect Fitch's assessment of the available credit enhancement (CE) commensurate at each note's corresponding rating level. While CE has been increasing for all notes, all transactions have seen asset performance continue to revert back to pre-coronavirus pandemic levels, with increasing delinquencies and defaults. The remaining term to maturity for all transactions has remained flat or has increased as a consequence of loan modifications and loan forbearance, increasing maturity risk on the liability side. The downgrades of 2003-A, 2003-B and 2003-C reflect both heightened credit and maturity risk, as the high interest rate environment, exacerbated by the senior auction rate-indexed notes, has negatively impacted the transactions and remaining term to maturity of the underlying asset pool has continued to increase. Fitch also notes that the pool factor for these three deals is below 10%, increasing the risk of negative credit selection in the asset pool. ENTITY / DEBT RATING PRIOR ------------- ------ ----- SLM Private Credit Student Loan Trust 2004-A A-3 78443CBH6 LT AAsf Affirmed AAsf SLM Private Credit Student Loan Trust 2007-A A-4 78443DAD4 LT A-sf Affirmed A-sf B 78443DAF9 LT BBBsf Affirmed BBBsf C-1 78443DAH5 LT BB+sf Affirmed BB+sf C-2 78443DAJ1 LT BB+sf Affirmed BB+sf SLM Private Credit Student Loan Trust 2003-B A-3 78443CAN4 LT BBB-sf Downgrade A-sf A-4 78443CAP9 LT BBB-sf Downgrade A-sf B 78443CAQ7 LT BBsf Downgrade BBBsf C 78443CAR5 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2003-A A-3 78443CAJ3 LT BBB-sf Downgrade A-sf A-4 78443CAK0 LT BBB-sf Downgrade A-sf B 78443CAG9 LT BB+sf Downgrade BBB+sf C 78443CAH7 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2006-C A-5 78443JAE9 LT AA-sf Affirmed AA-sf B 78443JAF6 LT Asf Affirmed Asf C 78443JAG4 LT BBB-sf Affirmed BBB-sf SLM Private Credit Student Loan Trust 2003-C A-3 78443CBA1 LT BBB-sf Downgrade A-sf A-4 78443CBB9 LT BBB-sf Downgrade A-sf A-5 78443CBC7 LT BBB-sf Downgrade A-sf B 78443CBD5 LT BBsf Downgrade BBBsf C 78443CBE3 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2005-A A-4 78443CBV5 LT A+sf Affirmed A+sf SLM Private Credit Student Loan Trust 2006-B A-5 78443CCU6 LT Asf Affirmed Asf A-5W 78443CCY8 LT Asf Affirmed Asf Navient Private Education Loan Trust 2015-A A-2A 63939EAB9 LT AAAsf Affirmed AAAsf A-2B 63939EAC7 LT AAAsf Affirmed AAAsf A3 63939EAD5 LT AAAsf Affirmed AAAsf B 63939EAE3 LT AAsf Affirmed AAsf Navient Private Education Loan Trust 2016-A A-2A 63939NAB9 LT AAAsf Affirmed AAAsf A-2B 63939NAC7 LT AAAsf Affirmed AAAsf B 63939NAD5 LT AAsf Affirmed AAsf SLM Private Credit Student Loan Trust 2006-A A-5 78443CCL6 LT A+sf Affirmed A+sf B 78443CCM4 LT Asf Affirmed Asf SLM Private Credit Student Loan Trust 2005-B A-4 78443CCB8 LT A+sf Affirmed A+sf KEY RATING DRIVERS Collateral Performance: All trusts are collateralized by private student loans, originated by SLM Corp. (BB+/Stable/B) and Navient Corp. (BB-/Stable/B). Loans in the SLM trusts were originated under the Signature Education Loan Program, LAWLOANS program, MBA Loans program, and MEDLOANS program. SLM 2007-A and Navient trusts also included loans originated under the Direct to Consumer and Private Credit Consolidation programs. Navient also comprises Navient's Smart Option program, launched in 2009. For transactions modelled for this surveillance review, Fitch's remaining default projections (as a percentage of the outstanding non-defaulted pool balance) are as follows: SLM 2003-A: 9.1% SLM 2003-B: 9.3% SLM 2003-C: 9.2% SLM 2004-A: 10.3% SLM 2005-A: 13.5% SLM 2005-B: 13.6% SLM 2006-A: 14.0% SLM 2006-B: 16.0% SLM 2006-C: 16.2% SLM 2007-A: 16.9% Navient 2015-A: 17.0% Navient 2016-A: 15.6% The recovery assumption is 18.0% of defaulted amounts for all transactions, unchanged from previous surveillance reviews. For SLM 2003-A, SLM 2003-B, SLM 2003-C, SLM 2004-A, SLM 2005-A, and SLM 2005-B, Fitch applied a low default stress multiple in the multiple range from Fitch's Private Student Loan Criteria, resulting in a 3.5x multiple at 'AAAsf'. For SLM 2006-A, SLM 2006-B, SLM 2006-C, 2007-A, Navient 2015-A, and Navient 2016-A, Fitch applied a medium/low default stress multiple of 3.75x multiple at 'AAAsf'. The assumed multiples are unchanged from the previous surveillance review. Payment Structure: For all transactions, available CE is sufficient to provide loss coverage in line with the assigned rating category. CE is provided by a combination of overcollateralization (OC; the excess of the trust's asset balance over the bond balance), excess spread, and subordination of more junior notes. As reflected in the assigned ratings, the class C notes for SLM 2003-A, 2003-B and 2003-C are currently under collateralized. OC for SLM 2004-A is at $33.35 million as of June 2023 versus a floor of $26.86 million and 2007-A is at $45.03 million versus a floor of $45.01 million. All other deals are at their OC floor level. Operational Capabilities: Navient Solutions LLC is the servicer for all the loans in the trusts. Fitch has reviewed the servicing operations of Navient and considers it to be an effective private student loan servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade SLM 2003-A Current Ratings: 'A-sf'/'A-sf'/'BBB+sf'. Expected impact on the note rating of increased defaults (class A-3/A-4/B): -- Increase base-case defaults by 10%: 'BBBsf'/'BBBsf'/'BB+sf'; -- Increase base-case defaults by 25%: 'BBB-sf'/'BBB-sf'/'BBsf'; -- Increase base-case defaults by 50%: 'BBsf'/'BBsf'/'B-sf'. Expected impact on the note rating of reduced recoveries (class A-3/A-4/B): -- Reduce base-case recoveries by 10%: 'BBB+sf'/'BBB+sf'/'BBB-sf'; -- Reduce base-case recoveries by 20%: 'BBB+sf'/'BBB+sf'/'BBB-sf'; -- Reduce base-case recoveries by 30%: 'BBB+sf'/'BBB+sf'/'BBB-sf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-3/A-4/B): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'BBBsf'/'BBBsf'/'BB+sf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'BBB-sf'/'BBB-sf'/'BBsf' -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'BB-sf'/'BB-sf'/'CCCsf'. SLM 2003-B Current Ratings: 'A-sf'/'A-sf'/'BBBsf'. Expected impact on the note rating of increased defaults (class A-3/A-4/B): -- Increase base-case defaults by 10%: 'BBB-sf'/'BBB-sf'/'BB+sf'; -- Increase base-case defaults by 25%: 'BB+sf'/'BB+sf'/'BB-sf'; -- Increase base-case defaults by 50%: 'B+sf'/'B+sf'/'CCCsf'. Expected impact on the note rating of reduced recoveries (class A-3/A-4/B): -- Reduce base-case recoveries by 10%: 'BBBsf'/'BBBsf'/'BB+sf'; -- Reduce base-case recoveries by 20%: 'BBBsf'/'BBBsf'/'BB+sf'; -- Reduce base-case recoveries by 30%: 'BBBsf'/'BBBsf'/'BB+sf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-3/A-4/B): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'BBB-sf'/'BBB-sf'/'BBsf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'BB+sf'/'BB+sf'/'B+sf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'B-sf'/'B-sf'/'CCCsf'. SLM 2003-C Current Ratings: 'A-sf'/'A-sf'/'A-sf'/'BBBsf'. Expected impact on the note rating of increased defaults (class A-3/A-4/A-5/B): -- Increase base-case defaults by 10%: 'BBsf'/'BB+f'/'BBsf'/'Bsf'; -- Increase base-case defaults by 25%: 'BB-sf'/'BB-sf'/'BB-sf'/'CCCsf'; -- Increase base-case defaults by 50%: 'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'. Expected impact on the note rating of reduced recoveries (class A-3/A-4/A-5/B): -- Reduce base-case recoveries by 10%: 'BB+sf'/'BB+sf'/'BB+sf'/'B+sf'; -- Reduce base-case recoveries by 20%: 'BB+sf'/'BB+sf'/'BB+sf'/'B+sf'; -- Reduce base-case recoveries by 30%: 'BB+sf'/'BB+sf'/'BB+sf'/'B+sf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-3/A-4/A-5/B): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'BBsf'/'BBsf'/'BBsf'/'B-sf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'B+sf'/'B+sf'/'B+sf'/'CCCsf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'. SLM 2004-A Current Ratings: 'AAsf'. Expected impact on the note rating of increased defaults (class A-3): -- Increase base-case defaults by 10%: 'AAAsf'; -- Increase base-case defaults by 25%: 'AAsAf'; -- Increase base-case defaults by 50%: 'AA+sf'. Expected impact on the note rating of reduced recoveries (class A-3): -- Reduce base-case recoveries by 10%: 'AAAsf'; -- Reduce base-case recoveries by 20%: 'AAAsf'; -- Reduce base-case recoveries by 30%: 'AAAsf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-3): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'AAAsf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'AAAsf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'AA+sf'. SLM 2005-A Current Ratings: 'A+sf'. Expected impact on the note rating of increased defaults (class A-4): -- Increase base-case defaults by 10%: 'Asf'; -- Increase base-case defaults by 25%: 'A-sf'; -- Increase base-case defaults by 50%: 'BBB+sf'. Expected impact on the note rating of reduced recoveries (class A-4): -- Reduce base-case recoveries by 10%: 'A+sf'; -- Reduce base-case recoveries by 20%: 'A+sf'; -- Reduce base-case recoveries by 30%: 'A+sf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-4): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'Asf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'A-sf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'BBBsf'. SLM 2005-B Current Ratings: 'A+sf'/'A-sf'. Expected impact on the note rating of increased defaults (class A-4): -- Increase base-case defaults by 10%: 'Asf'; -- Increase base-case defaults by 25%: 'BBB+sf'; -- Increase base-case defaults by 50%: 'BBBsf'. Expected impact on the note rating of reduced recoveries (A-4): -- Reduce base-case recoveries by 10%: 'Asf'; -- Reduce base-case recoveries by 20%: 'Asf'; -- Reduce base-case recoveries by 30%: 'Asf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-4): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'Asf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'BBB+sf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'BBB-sf'. SLM 2006-A Current Ratings: 'A+sf'/'Asf'. Expected impact on the note rating of increased defaults (class A-5/B): -- Increase base-case defaults by 10%: 'BBB+sf'/'BBB+sf'; -- Increase base-case defaults by 25%: 'BBB-sf'/'BBB-sf'; -- Increase base-case defaults by 50%: 'BB+sf'/'BB+sf'. Expected impact on the note rating of reduced recoveries (class A-5/B): -- Reduce base-case recoveries by 10%: 'A-sf'/'BBB+sf'; -- Reduce base-case recoveries by 20%: 'BBB+sf'/'BBB+sf'; -- Reduce base-case recoveries by 30%: 'BBB+sf'/'BBB+sf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-5): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'BBB+sf'/'BBBsf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'BBB-sf'/'BBB-sf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'BBsf'/'BBsf'. SLM 2006-B Current Ratings: 'Asf'. Expected impact on the note rating of increased defaults (class A-5): -- Increase base-case defaults by 10%: 'BBB-sf'; -- Increase base-case defaults by 25%: 'BB+sf'; -- Increase base-case defaults by 50%: 'BB-sf'. Expected impact on the note rating of reduced recoveries (class A-5): -- Reduce base-case recoveries by 10%: 'BBBsf'; -- Reduce base-case recoveries by 20%: 'BBBsf'; -- Reduce base-case recoveries by 30%: 'BBB-sf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-5): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'BBB-sf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'BBsf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'Bsf'. SLM 2006-C Current Ratings: 'AA-sf/'Asf'/'BBB-sf'. Expected impact on the note rating of increased defaults (class A-5/B/C): -- Increase base-case defaults by 10%: 'AAAsf'/'AA+sf'/'BBB-sf'; -- Increase base-case defaults by 25%: 'AAAsf'/'AAsf'/'BB+sf'; -- Increase base-case defaults by 50%: 'AA+sf'/'A+sf'/'BB-sf'. Expected impact on the note rating of reduced recoveries (class A-5/B/C): -- Reduce base-case recoveries by 10%: 'AAAsf'/'AA+sf'/'BBBsf'; -- Reduce base-case recoveries by 20%: 'AAAsf'/'AA+sf'/'BBBsf'; -- Reduce base-case recoveries by 30%: 'AAAsf'/'AA+sf'/'BBBsf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-5/B/C): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'AAAsf'/'AA+sf'/'BBB-sf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'AAAsf'/'AA-sf'/'BB+sf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'AA+sf'/'Asf'/'B+sf'. SLM 2007-A Current Ratings: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf'. Expected impact on the note rating of increased defaults (class A-4/B/C-1/C-2): -- Increase base-case defaults by 10%: 'AA-sf'/'A-sf'/'BBBsf'/'BBsf'; -- Increase base-case defaults by 25%: 'A+sf'/'BBB+sf'/'BBB-sf'/'B+sf'; -- Increase base-case defaults by 50%: 'A-sf'/'BBB-sf'/'BBsf'/'CCCsf'. Expected impact on the note rating of reduced recoveries (class A-4/B/C-1/C-2): -- Reduce base-case recoveries by 10%: 'AAsf'/'Asf'/'BBB+sf'/'BBsf'; -- Reduce base-case recoveries by 20%: 'AAsf'/'Asf'/'BBB+sf'/'BBsf'; --Reduce base-case recoveries by 30%: 'AAsf'/'Asf'/'BBB+sf'/'BBsf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-4/B/C-1/C-2): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'AA-sf'/'A-sf'/'BBBsf'/'BBsf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'A+sf'/'BBBsf'/'BBB-sf'/'Bsf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'BBB+sf'/'BB+sf'/'BBsf'/'CCCsf'. NAVSL 2015-A Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'. Expected impact on the note rating of increased defaults (class A-2A/A-2B/A-3/B): -- Increase base-case defaults by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'; -- Increase base-case defaults by 25%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'; -- Increase base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'Asf'. Expected impact on the note rating of reduced recoveries (class A-2A/A-2B/A-3/B): -- Reduce base-case recoveries by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA+sf'; -- Reduce base-case recoveries by 20%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA+sf'; -- Reduce base-case recoveries by 30%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA+sf'. Expected impact on the note rating of increased defaults and reduced recoveries (class A-2A/A-2B/A-3/B): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'AAAsf'/'AA+sf'/'AA+sf'/'Asf'. NAVSL 2016-A Current Ratings: 'AAAsf'/'AAAsf'/'AAsf'. Expected impact on the note rating of increased defaults (class A-2A/A-2B/B): -- Increase base-case defaults by 10%:'AAAsf'/'AAAsf'/'A+sf' -- Increase base-case defaults by 25%: 'AAAsf'/'AAAsf'/'Asf'; -- Increase base-case defaults by 50%: 'AAAsf'/'AA+sf'/'BBBsf'. Expected impact on the note rating of reduced recoveries (class A-2A/A-2B/B): -- Reduce base-case recoveries by 10%: 'AAAsf'/'AAAsf'/'AA-sf'; -- Reduce base-case recoveries by 20%: 'AAAsf'/'AAAsf'/'A+sf'; -- Reduce base-case recoveries by 30%: 'AAAsf'/'AAAsf'/'A+sf.' Expected impact on the note rating of increased defaults and reduced recoveries (class A-2A/A-2B/B): -- Increase base-case defaults and reduce base-case recoveries each by 10%: 'AAAsf'/'AAAsf'/'A+sf'; -- Increase base-case defaults and reduce base-case recoveries each by 25%: 'AAAsf'/ 'AAAsf'/ 'A-sf'; -- Increase base-case defaults and reduce base-case recoveries each by 50%: 'AAAsf'/'AAsf'/'BBBsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SLM 2003-A Current Ratings: 'A-sf'/'A-sf'/'BBB+sf'. Expected impact on the note rating of decreased defaults (class A-3/A-4/B): -- Decrease base-case defaults by 10%: 'A+sf'/'A+sf'/'Asf'; -- Decrease base-case defaults by 25%: 'AAsf'/'AAsf'/'A+sf'; -- Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AA+sf'. SLM 2003-B -- Current Ratings: 'A-sf'/'A-sf'/'BBBsf'; Expected impact on the note rating of decreased defaults (class A-3/A-4/B): -- Decrease base-case defaults by 10%: 'BBB+sf'/'BBB+sf'/'BBBsf'; -- Decrease base-case defaults by 25%: 'Asf'/'Asf'/'BBB+sf'; -- Decrease base-case defaults by 50%: 'AAsf'/'AAsf'/'AA-sf'. SLM 2003-C Current Ratings: 'A-sf'/'A-sf'/'A-sf'/'BBBsf'. Expected impact on the note rating of decreased defaults (class A-3/A-4/A-5/B): -- Decrease base-case defaults by 10%: 'BBBsf'/'BBBsf'/'BBBsf'/'BBsf'; -- Decrease base-case defaults by 25%: 'BBB+sf'/'BBB+sf'/'BBB+sf'/'BBB-sf'; -- Decrease base-case defaults by 50%: 'AA-sf'/'AA-sf'/'AA-sf'/'Asf'. SLM 2004-A Current Ratings: 'AAsf'. Expected impact on the note rating of decreased defaults (class A-3): -- Decrease base-case defaults by 10%: 'AAAsf'; -- Decrease base-case defaults by 25%: 'AAAsf'; -- Decrease base-case defaults by 50%: 'AAAsf'. SLM 2005-A Current Ratings: 'A+sf'. Expected impact on the note rating of decreased defaults (class A-4): -- Decrease base-case defaults by 10%: 'AA-sf'; -- Decrease base-case defaults by 25%: 'AA+sf'; -- Decrease base-case defaults by 50%: 'AAAsf'. SLM 2005-B Current Ratings: 'A+sf'. Expected impact on the note rating of decreased defaults (class A-4): -- Decrease base-case defaults by 10%: 'A+sf'; -- Decrease base-case defaults by 25%: 'AAsf'; -- Decrease base-case defaults by 50%: 'AAasf'. SLM 2006-A Current Ratings: 'A+sf'/'Asf'. Expected impact on the note rating of decreased defaults (class A-5/B): -- Decrease base-case defaults by 10%: 'Asf'/'Asf'; -- Decrease base-case defaults by 25%: 'AA-sf'/'A+sf'; -- Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'. SLM 2006-B Current Ratings: 'Asf'. Expected impact on the note rating of decreased defaults (class A-5): -- Decrease base-case defaults by 10%: 'BBB+sf'; -- Decrease base-case defaults by 25%: 'Asf'; -- Decrease base-case defaults by 50%: 'AA+sf'. SLM 2006-C Current Ratings: 'AA-sf/'Asf'/'BBB-sf'. Expected impact on the note rating of decreased defaults (class A-5/B/C): -- Decrease base-case defaults by 10%: 'AAAsf'/'AAAsf'/'BBB+sf'; -- Decrease base-case defaults by 25%: 'AAAsf'/'AAAsf'/'Asf'; -- Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AA+sf'. SLM 2007-A Current Ratings: 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf'. Expected impact on the note rating of decreased defaults (class A-4/B/C-1/C-2): -- Decrease base-case defaults by 10%: 'AA+sf'/'A+sf'/'Asf'/'BBB-sf'; -- Decrease base-case defaults by 25%: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'; -- Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'A+sf'. NAVSL 2015-A Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'. Expected impact on the note rating of decreased defaults (class A-2A/A-2B/A-3/B): -- Decrease base-case defaults by 10%: 'AAA'/'AAAsf'/'AAAsf'/'AAAsf'; -- Decrease base-case defaults by 25%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf'; -- Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf'. NAVSL 2016-A Current Ratings: 'AAAsf'/'AAAsf'/'AAsf'. Expected impact on the note rating of decreased defaults (class A-2A/A-2B/B): -- Decrease base-case defaults by 10%: 'AAAsf'/'AAAsf'/'AAsf'; -- Decrease base-case defaults by 25%: 'AAAsf'/'AAAsf'/'AA+sf'; -- Decrease base-case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION The downgrade of SLM 2003-A's class A-3, A-4 notes to 'BBB-sf' and of the class B notes to 'BB+sf' represent a criteria variation to Fitch's U.S. Private Student Loan ABS Rating Criteria (Fitch's PSL criteria) since the assigned ratings are four notches lower than the Fitch's calculated model-implied rating on the notes. Fitch's PSL criteria considers any difference between model-implied ratings and assigned ratings of more than three notches to be a criteria variation. The criteria variation takes into account both heightened credit and maturity risk, as the high interest rate environment, exacerbated by the senior auction rate-indexed notes, has negatively impacted the transactions and remaining term to maturity of the underlying asset pool has continued to increase. Fitch also notes that the pool factor for this deal is below 10%, increasing the risk of negative credit selection in the asset pool. The affirmation of SLM 2006-A's class A-5 notes to 'A+sf' represents a criteria variation to Fitch's PSL criteria since the assigned rating is four notches higher than the Fitch's calculated model-implied rating on the notes. Fitch's PSL criteria considers any difference between model-implied ratings and assigned ratings of more than three notches to be a criteria variation. The criteria variation takes into account the increasing CE available to the notes, asset performance currently in line with Fitch's expectations as well as the fact that the model-implied rating is driven only by a failure of two stress scenarios, involving front-loaded defaults and decreasing interest rate stresses, and mid-loaded defaults and decreasing interest rates. The affirmation of SLM 2007-A's class C-1 and C-2 notes to 'BB+sf' represents a criteria variation to Fitch's PSL criteria since the assigned rating is six notches higher than the Fitch's calculated model-implied rating on the notes. Fitch's PSL criteria considers any difference between model-implied ratings and assigned ratings of more than three notches to be a criteria variation. The criteria variation takes into account the increasing CE available to the notes, asset performance currently in line with Fitch's expectations as well as the fact that the model-implied rating is driven only by a failure of one stress scenario, involving back-loaded defaults and decreasing interest rate stresses. 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. [*] Fitch Puts Aircraft/Engine ABS Deals on Criteria Observation ---------------------------------------------------------------- Fitch Ratings has placed its rated portfolio of aircraft and engine operating lease ABS transaction ratings Under Criteria Observation (UCO) in conjunction with the publication of its updated Aircraft Operating Lease ABS Rating Criteria. A list of Affected Ratings is available at: https://tinyurl.com/3x5d3znx The Entities involved in the rating action are: Thunderbolt III Aircraft Lease Limited AASET 2019-2 Trust AASET 2020-1 Trust Shenton Aircraft Investment I Ltd. Willis Engine Structured Trust III METAL 2017-1 Limited Horizon Aircraft Finance II Limited Horizon Aircraft Finance I Limited START II Ltd. AASET 2018-1 Trust Pioneer Aircraft Finance Limited Horizon Aircraft Finance III Limited AASET 2018-2 Trust Kestrel Aircraft Funding Limited Castlelake Aircraft Structured Trust 2019-1 Falcon 2019-1 Aerospace Limited Castlelake Aircraft Structured Trust 2018-1 Lunar Aircraft 2020-1 Limited Silver Aircraft Lease Investment Limited AASET 2017-1 Trust ECAF I Ltd. MACH 1 Cayman Limited Apollo Aviation Securitization Equity Trust 2014-1 Sapphire Aviation Finance I Limited Willis Engine Structured Trust IV Willis Engine Structured Trust V Thunderbolt II Aircraft Lease Limited AASET 2019-1 Trust Sapphire Aviation Finance II Limited Blade Engine Securitization LTD KEY RATING DRIVERS The updated criteria report titled "Aircraft Operating Lease ABS Rating Criteria" dated June 23, 2023 replaces the prior criteria report titled "Aircraft Operating Lease ABS Rating Criteria" dated Aug. 9, 2021, which has been retired. Updated ratings will be finalized within six months using the updated criteria, as well as taking into account current performance. Rating changes from the updated criteria are expected to be modest. While the characteristics of each transaction will dictate the impact, we generally see lower cashflows at the higher rating categories and higher cashflows at the lower rating categories relative to the prior criteria. Approximately 50% of the current ratings are not expected to be impacted by the updated criteria; the impact on the remaining ratings is expected to be within one to three notches upwards and downwards with proportionally more upgrades than downgrades. Updated ratings, however, will be informed by both the updated criteria, as well as the performance and characteristics of each transaction since it was last reviewed. [*] Moody's Takes Action on $225MM of US RMBS Issued 2001-2007 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 17 bonds and downgraded the ratings of two bonds from nine US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. Complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7 Cl. M-1, Downgraded to B2 (sf); previously on Sep 11, 2018 Downgraded to B1 (sf) Cl. M-2, Downgraded to B3 (sf); previously on Jan 30, 2018 Upgraded to B1 (sf) Issuer: CIT Home Equity Loan Trust 2002-1 Cl. AF-5, Upgraded to Baa2 (sf); previously on Sep 30, 2022 Upgraded to Ba1 (sf) Cl. AF-6, Upgraded to Baa1 (sf); previously on Sep 30, 2022 Upgraded to Baa3 (sf) Cl. AF-7, Upgraded to Baa2 (sf); previously on Sep 30, 2022 Upgraded to Ba1 (sf) Issuer: CSFB Home Equity Asset Trust 2005-6 Cl. M-4, Upgraded to Aaa (sf); previously on Oct 12, 2022 Upgraded to Aa3 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Oct 12, 2022 Upgraded to B3 (sf) Issuer: CSFB Mortgage Pass-Through Certificates, Series 2001-HE17 Cl. A-1, Upgraded to Ba1 (sf); previously on Apr 9, 2012 Downgraded to Ba3 (sf) Cl. A-2, Currently rated at A1 (sf); previously on Mar 21, 2022 Upgraded to A1 (sf) Underlying Rating: Upgraded to Ba1 (sf); previously on Apr 9, 2012 Downgraded to Ba3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Upgraded to A1, Outlook Stable on March 18, 2022) Cl. A-IO*, Upgraded to Ba1 (sf); previously on Nov 29, 2017 Confirmed at Ba3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-19 Cl. 1-A, Upgraded to Aa2 (sf); previously on Sep 14, 2022 Upgraded to A1 (sf) Cl. 2-A-3, Upgraded to Ba1 (sf); previously on Sep 14, 2022 Upgraded to Ba3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-13 Cl. 1-A, Upgraded to Ba3 (sf); previously on Oct 6, 2022 Upgraded to B2 (sf) Issuer: GSAMP Trust 2006-HE3 Cl. A-1, Upgraded to A1 (sf); previously on Oct 1, 2021 Upgraded to A3 (sf) Cl. A-2D, Upgraded to A2 (sf); previously on Dec 20, 2022 Upgraded to A3 (sf) Issuer: GSAMP Trust 2006-HE7 Cl. A-1, Upgraded to Aa3 (sf); previously on Oct 1, 2021 Upgraded to A2 (sf) Cl. A-2D, Upgraded to Aa2 (sf); previously on Oct 1, 2021 Upgraded to A1 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A6 Cl. I-A-2, Upgraded to Aaa (sf); previously on Jun 10, 2019 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to B2 (sf); previously on Dec 19, 2022 Upgraded to B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE Therating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to a deterioration in collateral performance. 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. ********* 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 ***