/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230723.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 23, 2023, Vol. 27, No. 203 Headlines AASET 2021-1 Trust: S&P Raises Class C Notes Rating to B+ (sf) ADAMS OUTDOOR 2023-1: Fitch Assigns 'BB-(EXP)sf' Rating to C Notes AGL CLO 20: Fitch Affirms 'BB-sf' Rating on 2 Tranches ATLAS SENIOR XXI: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes BANK5 2023-5YR2: Fitch Assigns 'B-sf' Rating to 2 Tranches BARINGS CLO 2015-I: Moody's Cuts Rating on $7MM F-R Notes to Caa3 BARINGS CLO 2023-II: Fitch Assigns 'BB-sf' Rating to Cl. E Notes BBCMS MORTGAGE 2023-C20: Fitch Assigns 'B-sf' Rating to H-RR Certs BENCHMARK 2019-B12: Fitch Affirms 'B-sf' Rating on Cl. G-RR Notes BENCHMARK 2023-B39: Fitch Assigns 'B-sf' Rating to Cl. J-RR Certs BMARK 2023-V3: Fitch Assigns 'BB-(EXP)sf' Rating to Class F Certs CNG HOLDINGS: S&P Lowers Issuer Credit Rating to 'CC', Outlook Neg COLT 2023-2: Fitch Assigns 'B(EXP)sf' Rating to Class B2 Certs COLT 2023-2: Fitch Assigns 'Bsf' Rating to Class B2 Certificates CONN'S RECEIVABLES 2022-A: Fitch Affirms 'Bsf' Rating on C Notes CSAIL 2018-C14: Fitch Lowers Rating on 2 Tranches to 'CCsf' DT AUTO 2023-3: S&P Assigns BB (sf) Rating on Class E Notes FANNIE MAE 2023-R06: S&P Assigns Prelim 'B-' Rating on 1B-2X Notes FORTRESS CREDIT XIX: Fitch Assigns 'BB+sf' Rating to Class E Notes FORTRESS CREDIT XIX: Moody's Assigns B3 Rating to $1.2MM F Notes GOLDENTREE LOAN 15: Fitch Affirms 'BB+sf' Rating on Class E Notes GS MORTGAGE 2019-PJ3: Moody's Ups Rating on Cl. B-4 Certs From Ba1 HARBORVIEW MORTGAGE 2005-13: Moody's Cuts Cl. X Debt Rating to C JP MORGAN 2014-C24: Moody's Lowers Rating on Cl. C Certs to Ba3 JP MORGAN 2018-1: Moody's Upgrades Rating on Cl. B-5 Certs to Ba3 JP MORGAN 2021-1: Moody's Upgrades Rating on Cl. B-5 Certs to B1 MADISON PARK LV: Fitch Affirms 'BB-sf' Rating on Class E Notes MADISON PARK LXII: Fitch Assigns 'BBsf' Rating to Class E-R Notes MADISON PARK LXII: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes MILL CITY 2017-2: Fitch Assigns 'B-sf' Rating to Class B5 Notes MORGAN STANLEY 2016-UBS9: Fitch Affirms 'B-sf' Rating on F Certs MORGAN STANLEY 2023-2: Fitch Gives 'B+(EXP)sf' Rating to B-5 Certs MP CLO VII: Fitch Lowers Rating on Class F-RR Notes to 'B-sf' OHA CREDIT 12: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ONE COLUMBIA 28: S&P Lowers Class D Notes Rating to 'B- (sf)' ONE TELOS 2013-4: S&P Lowers Class E-R Notes Rating to 'CCC+ (sf)' ONE TELOS 2014-6: S&P Lowers Class E Notes Rating to 'CCC- (sf)' PALMER SQUARE 2022-3: Fitch Affirms 'BB-sf' Rating on Cl. E Notes STRATA CLO I: Moody's Raises Rating on $33MM Class E Notes to Ba2 TOWD POINT 2023-CES1: Fitch Assigns 'B-(EXP)sf' Rating on B2 Notes TWO CENT 21: S&P Lowers Class D-R2 Notes Rating to 'B- (sf)' VERUS 2023-INV2: S&P Assigns Prelim B-(sf) Rating on Cl. B-2 Notes WSTN TRUST 2023-MAUI: S&P Assigns Prelim BB (sf) Rating on E Certs [*] Fitch Takes Actions on 16 US CMBS 2017 Vintage Transactions [*] Moody's Takes Action on $570MM of US RMBS Issued 2003-2007 [*] S&P Takes Various Action on 72 Classes From 28 U.S. RMBS Deals ********* AASET 2021-1 Trust: S&P Raises Class C Notes Rating to B+ (sf) -------------------------------------------------------------- S&P Global Ratings took various rating actions on 29 classes of notes from eight aircraft, aircraft engine, and aircraft loan ABS transactions. The upgrades primarily reflect the significant increase in the respective notes' credit enhancement due to stable principal repayments, strong collateral collections, and sustained stable portfolio performance since closing. The downgrades primarily reflect the notes' insufficient credit enhancement at their previous rating levels, based on our assumptions, and the continued pressure on aircraft lease collections in the aftermath of the COVID-19 pandemic and the Russia-Ukraine conflict. The affirmations reflect S&P's view that there has been no significant change in performance and the credit enhancement is sufficient at the current rating levels. The ratings on the notes were also removed from under criteria observation (UCO), where they were placed on March 10, 2023, following the publication of S&P's revised criteria for rating aircraft and aircraft engine ABS transactions. The COVID-19 pandemic and resulting collapse in global travel negatively affected the liquidity and long-term credit of airlines whose lease payments partially secure the transactions. S&P believes the credit quality of the downgraded transactions has declined due to health and safety fears related to COVID-19, despite the current strong recovery in the airline industry. Assumptions For The Review Collateral value S&P said, "We typically use the lower of the mean and median (LMM) value of the half-life base and market values from three appraisers as the starting point in our analysis. "To the extent half-life market values were not available for a commercial aircraft portfolio, we applied 50% of the base-case ('B') lease rate decline (LRD) stress to each of the available base values to arrive at a "calculated" half-life market value. We then used the LMM of these three calculated values, along with the three reported base values, as the starting value for each asset in our analysis. The application of 50% of our 'B' LRD stress to base values is intended to address residual market weakness since the onset of the pandemic. "In each case, we excluded appraisals that are 25% above the average of the other valuations and applied our aircraft-specific depreciation assumptions from the appraisal date to the first payment date." Time-on-ground (TOG) times S&P said, "Upon a lease termination or a lessee default under our stress runs, we assume the aircraft or aircraft engine will be grounded before it is re-leased. Table 1 shows the TOG assumptions applied for this review. The values listed under Downturn one (NB) and Downturn one (WB) were also applied as the recovery lag for the loan transaction, for the loans that defaulted under our stress runs." Table 1 Time on ground (mos.) STRESS DOWNTURN DOWNTURN DOWNTURN ENGINES OUTSIDE ONE (NB) ONE (WB) TWO AND (ALL DOWNTURN THREE (ALL DOWNTURNS) AIRCRAFT) A 12 15 10 10 3 BBB 11 14 9 9 3 BB 10 13 8 8 3 B 9 12 7 7 3 NB--Narrowbody. WB--Widebody. Useful life S&P said, "We generally assume a 25-year useful life for all commercial aircraft and a 30-year useful life for production freighters. For aircraft where our useful life assumption would result in a sale prior to the contracted end of lease, we extended the useful life to the lease term's expiration. In addition, to the extent we received a fleet plan from the lessor indicating their future strategy (re-lease or sale) upon the current lease expiration, we adjusted the useful life accordingly. Aircraft that collateralize loans are assumed to stay in service until loan maturity or default." Treatment of Russian leases Any aircraft previously on lease to a Russian airline is regarded as a total loss. S&P does not forecast any lease, sales, or potential insurance proceeds because the timing and amount of any such payment remains uncertain. Repossession, refurbishment, and remarketing (RRR) costs S&P assumes RRR costs are incurred upon a lessee default or lease expiration. Table 2 shows the RRR costs assumed for this review. Table 2 RRR costs ($) AIRFRAME TYPE DURING DOWNTURN OUTSIDE DOWNTURN Narrowbody 750,000 500,000 Narrowbody cargo 250,000 200,000 Regional jet 750,000 500,000 Turboprop 750,000 500,000 Widebody 1,500,000 1,250,000 Widebody cargo 500,000 400,000 Engines 100,000 100,000 RRR--Repossession, refurbishment, and remarketing. Default pattern S&P said, "We applied defaults evenly over a four-year period during the first industry downturn and assumed defaults will occur in a 30%/40%/20%/10% pattern in the subsequent downturns. For the loan transactions, we assumed a more front-loaded (55%/45%) default pattern over one downturn. We do not assume any subsequent downturns as there is no re-leasing involved in this transaction. "For aircraft lease transactions, we apply defaults in descending order of the aircraft's value, and for the loan transaction, we apply defaults in descending order of the underlying loans' loan-to-value (LTV) ratio. While calculating LTV for loans in a cross-pool (loans with cross-default and cross-collateralization provisions), we aggregate the outstanding balance and the LMM value for all loans within the cross-pool." Lease rate factor (LRF) S&P said, "The current LRF curve used in our analysis for all aircraft corresponds to a 1.82% interest rate, which is the five-year average of the five-year U.S. treasury rate for the period between January 2018 and December 2022. We use different lease rate factors for passenger (narrowbody, widebody, and regional jet) aircraft and freighters." Depreciation S&P said, "Our depreciation assumptions are specific to individual aircraft. We typically apply depreciation from the appraisal date to the end of the aircraft's useful life (or the month of recovery for the loan transaction), at which point we assume the aircraft will be sold at its depreciated value. If the sale occurs during any of our modeled industry downturns, the depreciated value of the aircraft is further reduced by the LRD stress." The following sections provide transaction-specific details regarding the rating actions. AASET 2021-1 Trust Table 3 AASET 2021-1 Trust--portfolio characteristics No. of aircraft 32 No. of aircraft currently off-lease 0 No. of aircraft off-lease plus near-term lease expirations 2 LMM at appraisal (mil. $) 741.70 LMM as modeled (mil $) 709.83 DSCR (x) 0.65 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 4 AASET 2021-1 Trust--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 477.67 112.32 69.09 Scheduled balance (mil. $) 479.79 95.13 51.46 Paydowns in 2022 (mil. $) 99.64 5.37 3.81 Paydowns in 2023 (YTD through June 30) (mil. $)31.86 4.20 0.00 LTV (%) 67.29 83.12 92.85 (i)As of the June 2023 payment date. YTD--Year to date. LTV--Loan to value. S&P Global Ratings raised its ratings on AASET 2021-1 Trust's class A, B, and C notes. The upgrades reflect the transaction's sustained stable performance and the significant paydown since closing and the resulting decline in the LTV ratio, despite the write-down of two aircraft that were leased to a Russian operator at the start of the Russia-Ukraine conflict. The notes have paid down cumulatively by approximately $158.5 million (or 19% of the original debt amount) since closing in November 2021. At closing, the portfolio analyzed included five aircraft on lease to as many Russian lessees. However, three of these aircraft were not transferred to the trust at the onset of the conflict and the servicer was able to substitute these aircraft, as permitted under the transaction documents. Therefore, the transaction was ultimately exposed to only two aircraft to Russian lessees, which were considered a total loss. Additionally, two other aircraft analyzed at closing (not related to the Russian conflict) were not transferred to the trust as they did not meet the pre-requisite transfer conditions under the transaction documents. The issuer acquired substitute aircraft in place of these two aircraft after closing. On an aggregate basis, the substitute aircraft had better characteristics (i.e., longer remaining lease term and useful life, higher future contractual rental payments on net present value basis, and higher value on a maintenance-adjusted basis), than the original aircraft. At closing, five aircraft were on lease to three lessees (approximately 11% of the closing portfolio) that were subject to reorganization proceedings following bankruptcy. Two of the three lessees have since restructured and emerged from bankruptcy while the aircraft on lease to the third lessee was substituted as mentioned above. Moreover, approximately 22% of the closing portfolio was also subject to power-by-the-hour leases. Currently, there are no leases with such arrangements. All these factors have resulted in increased rental collections and significant paydown on the notes. As a result, the LTV ratio has declined across the capital structure. Currently the portfolio consists of 32 aircraft that were manufactured between 2000 and 2015, with a weighted average age of approximately 12 years and a remaining lease term of approximately five years. All aircraft are on lease, with two scheduled for lease expiration in the next 12 months. Although S&P's cash flow runs indicated a higher rating for all the classes, it considered the sizeable amount (approximately 81%) of the original debt that is still outstanding and the fact that the class B and C notes are still behind on their scheduled principal payments. Blade Engine Securitization Ltd. Table 5 Blade Engine Securitization Ltd.--portfolio characteristics No. of engines 8 Current off-lease (no.) 0 Off-lease plus near-term lease expirations (no.) 0 LMM at appraisal (mil. $) 61.37 LMM--Lower of the mean and median. Table 6 Blade Engine Securitization Ltd.-liabilities(i) CLASS A-1 CLASS A-2 Actual balance (mil. $) 23.67 6.18 Paydowns in 2022 (mil. $) 26.29 6.86 Paydowns in 2023 (YTD through June 30) (mil. $) 12.35 3.22 LTV (%) 38.57 48.64 (i)As of the July 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings affirmed its ratings on Blade Engine Securitization Ltd.'s series 2006-1 class A-1 and A-2 notes. The affirmations reflect S&P's view that the credit support available is commensurate with the current rating level, the concentrated nature of the portfolio, and potential liquidity risks in the absence of a reserve account. The portfolio consists of 10 engines leased to seven lessees. The engines in the portfolio are manufactured by General Electric and CFM, a joint venture in which General Electric participates. The CF6-80 engine (4.6% of portfolio value) is used on a variety of Airbus and Boeing widebody aircraft, including the Boeing 747-400 and Airbus A330-300 aircraft. The three CF34-10 engines (22.7% of portfolio value) are used on several business and regional aircraft, including the Bombardier CRJ series, the Embraer E-Jets, and the Comac ARJ21 aircraft. The two GE90 engines (49.5% of portfolio value) are used on the Boeing 777 aircraft. The four CFM56 engines (23.1% of portfolio value) support the Boeing 737 Classic and NG aircraft, as well as the Airbus A320 aircraft. Overall, the aircraft on which the various engines in the portfolio can be used consist of a diversified pool of narrowbody, widebody, and regional aircraft. By value, 72.2% of the engines in the portfolio power aircraft that are still under production (e.g., ERJ-195 and Comac ARJ21) or are in the last stage of production (e.g., the Boeing 777-300ER), while the remainder are power aircraft that recently ceased production. The class A-1 and A-2 notes currently receive turbo principal payments, which was triggered by an event of default due to nonpayment of interest on the class B notes in June 2019. The transaction currently does not have any liquidity support for the class A notes, as there is no provision to replenish the senior cash account after an event of default. The class A-1 notes, which are approximately 80% of the combined class A notes, bears interest on a floating-rate basis. With the recent rise in the index rates and a significant portion of the collateral coming off lease in the near term, a lack of liquidity reserve could expose the transaction to potential interest shortfalls on the class A notes if the rent collections decline or the anticipated sale of engines is delayed. Current rent collections are sufficient to make principal payments on the class A-1 and A-2 notes. A significant portion of the portfolio will come off lease in the next year, after which a sale of the engines is expected as they approach the end of their useful life. Therefore, despite the improvement in performance in terms of note repayments in recent months and a declining LTV ratio, S&P considered the concentrated nature of the portfolio and potential liquidity risks in the absence of a reserve account and affirmed the ratings on the class A-1 and A-2 notes at 'CCC (sf)'. After the completion of the analysis above, the servicer informed us that two engines were sold recently, leaving the portfolio with eight engines at this time. Castlelake Aircraft Structured Trust 2017-1R Table 7 Castlelake Aircraft Structured Trust 2017-1R--portfolio characteristics No. of aircraft 14 No. of aircraft currently off-lease 3 No. of aircraft off-lease plus near-term lease expirations 3 LMM at appraisal (mil. $) 199.97 LMM as modeled (mil. $) 193.50 DSCR (x) 1.83 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 8 Castlelake Aircraft Structured Trust 2017-1R--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 144.89 53.64 41.72 Scheduled balance (mil. $) 158.70 37.78 25.30 Paydowns in 2022 (mil. $) 61.64 6.26 6.11 Paydowns in 2023 (YTD through June 30) (mil. $) 45.08 0.02 0.00 LTV (%) 74.88 102.60 124.16 (i)As of the June 2023 payment date. YTD--Year to date. LTV--Loan to value. S&P Global Ratings lowered its rating on Castlelake Aircraft Structured Trust 2017-1R's class B notes and affirmed its ratings on the class A and C notes. The downgrade primarily reflects the transaction's slow pace of principal repayments, the insufficient credit enhancement to support the class B note at the previous rating levels, and the exposure to aircraft previously on lease to Russian lessees that were subsequently considered a total loss. Among the aircraft transactions rated by S&P Global Ratings, Castlelake Aircraft Structured Trust 2017-1R had the highest exposure to aircraft on lease to Russian lessees (i.e., seven aircraft, or approximately 22% of the portfolio, based on aircraft value) at the start of the conflict. The affirmations reflect our view that there has been no significant change in performance and the credit enhancement is sufficient at the current rating levels. The transaction has paid down the classes cumulatively by $110 million since February 2022. These paydowns also reflect the sale of aircraft and aircraft engines during this period, with the portfolio shrinking from 21 aircraft and five engines at last review to 14 aircraft currently, in addition to the aircraft lost in Russia. The 14 aircraft in the portfolio were manufactured between 2001 and 2011 with a weighted average age of approximately 17 years and a remaining lease term of three and a half years. All aircraft are currently on lease. S&P said, "The class B and C notes did not pass under our 'B' rating stress run. For the class B notes, despite the calculated LTV over 100%, we considered that the notes can defer interest while the class A notes are outstanding and the presence of a liquidity facility covering nine months of interest on the class A and B notes. We believe that a default in the near term is unlikely and therefore lowered the rating on the class B notes to 'B- (sf)', instead of a lowering them to a 'CCC' category, which implies a one in two chance of default. There have been no significant changes in the performance of the class C notes since our last review. Because the class C notes can defer interest, we affirmed the 'CCC+ (sf)' rating despite the calculated LTV in excess of 120%." MAPS 2019-1 Ltd. Table 9 MAPS 2019-1 Ltd.--portfolio characteristics No. of aircraft 13 No. of aircraft currently off-lease 0 No. of aircraft off-lease plus near-term lease expirations 0 LMM at appraisal (mil. $) 230.09 LMM as modeled (mil $) 227.21 DSCR (x) 0.17 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 10 MAPS 2019-1 Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 155.71 64.38 31.02 Scheduled balance (mil. $) 145.56 32.35 8.25 Paydowns in 2022 (mil. $) 72.52 1.15 0.00 Paydowns in 2023 (YTD through June 30) (mil. $) 17.30 0.00 0.00 LTV (%) 68.53 96.87 110.52 (i)As of the June 2023 payment date. YTD--Year to date. LTV--Loan to value. S&P Global Ratings lowered its ratings on MAPS 2019-1 Ltd.'s class A and B notes and affirmed its rating on the class C notes. The downgrades primarily reflect the transaction's slow pace of principal repayments, the insufficient credit enhancement to support the class A and B notes at their previous rating levels, and the exposure to aircraft previously on lease to Russian lessees (four aircraft, approximately 16% of the portfolio, based on the aircraft value) that were subsequently considered a total loss. The transaction has paid down the class A notes by approximately $31.7 million since March 2022, while the class B and C notes did not receive any principal payments during this period. The class C notes continue to defer and capitalize their unpaid interest. The portfolio is backed by 13 aircraft manufactured between 2006 and 2012, with a weighted average age of approximately 12.8 years and a remaining lease term of 4.7 years. All aircraft are on lease, with no lease expirations in the next 12 months. The lease rate factor for some of the aircraft in the portfolio is lower than that of comparable aircraft in the market, thereby putting pressure on the overall portfolio cash flow and its ability to fully service the debt in a timely manner. At the start of the Russia-Ukraine conflict, MAPS 2019-1 Ltd. had four aircraft on lease to airlines based in Russia, three of which have been written off. S&P does not forecast any cash flow from these aircraft that were written down. The fourth aircraft was repossessed by the servicer and subsequently sold. S&P said, "As a result of limited principal repayments on the class A notes and the four lost aircraft, the LTV ratio for the class A notes increased to 69.1% from 60.9% since March 2022. The class B notes did not pass our 'B' rating stress in our cash flow runs. For the class B notes, we considered that the calculated LTV is still under 100%, the class can defer interest while the class A notes are outstanding, and it also has a liquidity facility that covers nine months of interest on the class A and B notes. We believe that a default in the near term is unlikely and therefore lowered the rating on the class B notes to 'B- (sf)', instead of a lowering them to a 'CCC' category, which implies a one in two chance of default. "We believe the class C notes are more vulnerable to a default, given their subordinated position in the priority of payments, the significant shortfalls in scheduled principal payments on the class A and B notes, the LTV ratio being greater than 110%, and the capitalization of unpaid interest on the notes that will further stress the LTV ratio. However, since the class C notes can defer interest, we believe they are unlikely to default in the near term. Therefore, we affirmed our rating on the class C notes to 'CCC+ (sf)'. "We considered the strength of the servicer, its track record in the aircraft leasing industry, and the management of the portfolio throughout the COVID-19 pandemic, as well as the Russia/Ukraine conflict." MAPS 2021-1 Trust Table 11 MAPS 2021-1 Trust--portfolio characteristics No. of aircraft 17 No. of aircraft currently off-lease 0 No. of aircraft off-lease plus near-term lease expirations 0 LMM at appraisal (mil. $) 449.55 LMM as modeled (mil $) 443.28 DSCR (x) 0.23 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 12 MAPS 2021-1 Trust--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 304.61 65.28 41.95 Scheduled balance (mil. $) 288.64 49.92 29.57 Paydowns in 2022 (mil. $) 73.76 4.17 5.39 Paydowns in 2023 (YTD through June 30) (mil. $) 23.20 0.00 0.00 LTV (%) 68.72 83.44 92.91 (i)As of the June 2023 payment date. YTD--Year to date. LTV--Loan to value. S&P Global Ratings raised its ratings on MAPS 2021-1 Trust's class A and B notes and affirmed its rating on the class C notes. The upgrades reflect the transaction's consistent stable credit performance and the significant paydown since closing, despite the write-down of two aircraft that were leased to a Russian operator at the start of the Russia-Ukraine conflict. Over the past 12 months, the notes have received principal payments on a consistent basis. The only disposal cash flow was from the sale of an Airbus A320-200 aircraft, with the remaining cash flow from base rent and utilization rent. The affirmation of the class C notes primarily reflects our view that the credit enhancement for these notes is sufficient to support the rating at the current level. The portfolio is currently backed by 17 aircraft that were manufactured between 2000 and 2019. The aircraft have a weighted average age of 9.3 years and a remaining lease term of 5.8 years, both based on the aggregate asset value, as of June 2023. S&P does not forecast any cash flow from the two aircraft that were written down because of the Russia-Ukraine conflict. The remaining aircraft are currently on lease, with four aircraft leases expiring in the next 12 months. The credit quality of the portfolio is also strong with 25% of the portfolio (five A220-100s, all manufactured in 2019) on lease to Delta Air Lines ('BB/Positive') and a remaining lease term of approximately 12 years. Given the pace of principal repayments since closing, the LTV ratio for the class A notes has decreased from 71.0% to 69.5%. S&P said, "Our cash flow results for the class B and C notes indicated a higher rating. For the class B notes, we considered that the LTV has increased slightly and that the notes are still behind on their scheduled principal payments. For the class C notes we considered the fact that the notes continue to defer and capitalize their unpaid interest and that the LTV increased to 93.6% in the last 12 months. "We considered the strength of the servicer, its track record in the aircraft leasing industry, and the management of the portfolio throughout the COVID-19 pandemic, as well as the Russia/Ukraine conflict." PK Air 1 L.P. Table 13 PK Air 1 L.P.--portfolio characteristics CURRENCY LOAN CASH TOTAL LMM ADJUSTED BY BALANCE ISSUER'S SHARE USD 3,500,401,465 42,503,314 3,542,904,779 5,978,332,373 EUR 298,633,572 7,467,164 306,100,736 499,101,938 USD--U.S. dollar. EUR--Euro. LMM--Lower of the mean and median. Table 14 PK Air 1 L.P.--liabilities(i) CLASS A-F ORIGINAL BALANCE (S) 1,215,000,000 CURRENT BALANCE ($) 1,144,333,269 PAYDOWNS ($) 70,666,731 LTV BY ASSETS(II) 59.34 LTV BY LMM(III) 35.16 CLOSING LTV BY ASSETS 57.92 CLOSING LTV BY LMM 37.58 O/C TEST RATIO 171.68 O/C THRESHOLD 154.60 CLASS A-R ORIGINAL BALANCE (S) 1,000,000,000 CURRENT BALANCE ($) 957,872,199 PAYDOWNS ($) 42,127,801 LTV BY ASSETS(II) 59.34 LTV BY LMM(III) 35.16 CLOSING LTV BY ASSETS 57.92 CLOSING LTV BY LMM 37.58 O/C TEST RATIO 171.68 O/C THRESHOLD 154.60 CLASS B1-F ORIGINAL BALANCE (S) 525,000,000 CURRENT BALANCE ($) 525,000,000 PAYDOWNS ($) 0 LTV BY ASSETS(II) 74.15 LTV BY LMM(III) 43.95 CLOSING LTV BY ASSETS 73.07 CLOSING LTV BY LMM 47.41 O/C TEST RATIO 116.98 O/C THRESHOLD 109.39 CLASS B2-F ORIGINAL BALANCE (S) 458,000,000 CURRENT BALANCE ($) 458,000,000 PAYDOWNS ($) 0 LTV BY ASSETS(II) 87.08 LTV BY LMM(III) 51.61 CLOSING LTV BY ASSETS 86.29 CLOSING LTV BY LMM 55.99 O/C TEST RATIO 116.98 O/C THRESHOLD 109.39 CLASS C-F ORIGINAL BALANCE (S) 270,000,000 CURRENT BALANCE ($) 270,000,000 PAYDOWNS ($) 0 LTV BY ASSETS(II) 94.70 LTV BY LMM(III) 56.12 CLOSING LTV BY ASSETS 94.09 CLOSING LTV BY LMM 61.04 O/C TEST RATIO 107.56 O/C THRESHOLD N/A CLASS D1-F ORIGINAL BALANCE (S) 46,000,000 CURRENT BALANCE ($) 46,000,000 PAYDOWNS ($) 0 LTV BY ASSETS(II) 96.00 LTV BY LMM(III) 56.89 CLOSING LTV BY ASSETS 95.41 CLOSING LTV BY LMM 61.90 O/C TEST RATIO 106.11 O/C THRESHOLD 105.01 EUR STRUCTURE CLASS A-E ORIGINAL BALANCE (EUR) 255,885,246 CURRENT BALANCE (EUR) 109,074,366 PAYDOWNS (EUR) 146,810,880 LTV BY ASSETS(II) 35.63 LTV BY LMM(III) (IV) 23.04 CLOSING LTV BY ASSETS 56.50 CLOSING LTV BY LMM 44.78 O/C TEST RATIO 280.63 O/C THRESHOLD 154.66 CLASS B-E ORIGINAL BALANCE (EUR) 22,000,000 CURRENT BALANCE (EUR) 22,000,000 PAYDOWNS (EUR) 0 LTV BY ASSETS(II) 42.82 LTV BY LMM(III) (IV) 27.69 CLOSING LTV BY ASSETS 61.36 CLOSING LTV BY LMM 48.63 O/C TEST RATIO 233.53 O/C THRESHOLD 149.07 CLASS C-E ORIGINAL BALANCE (EUR) 62,000,000 CURRENT BALANCE (EUR) 62,000,000 PAYDOWNS (EUR) 0 LTV BY ASSETS(II) 63.08 LTV BY LMM(III) (IV) 40.78 CLOSING LTV BY ASSETS 75.04 CLOSING LTV BY LMM 59.48 O/C TEST RATIO 158.54 O/C THRESHOLD N/A CLASS D-E ORIGINAL BALANCE (EUR) 84,500,000 CURRENT BALANCE (EUR) 84,500,000 PAYDOWNS (EUR) 0 LTV BY ASSETS(II) 90.68 LTV BY LMM(III) (IV) 58.63 CLOSING LTV BY ASSETS 93.70 CLOSING LTV BY LMM 74.25 O/C TEST RATIO 110.28 O/C THRESHOLD 106.00 (i)As of the June 2023 payment date. (ii)Calculated as the current note balance divided by the current outstanding loan balance and principal cash for the respective currency as shown in Table 13. (iii)Calculated as the current note balance divided by the LMM value (adjusted by issuer's ownership) for the respective currency as shown in Table 13. (iv)Exchange rate of $1 = EUR0.9485 was used to convert EUR notes to USD. O/C as of May 9, 2023. USD--U.S. dollar. EUR--Euro. LTV--Loan to value. LMM--Lower of the mean and median. O/C--Overcollateralization. N/A--Not applicable. S&P Global Ratings raised its ratings on all 10 classes of notes from PK Air 1 L.P. The upgrades reflect the transaction's continued stable performance, compliance with all the coverage tests (interest coverage [I/C] and overcollateralization [O/C]), amortization of the notes, and the strength of the servicer (Apollo PK Air Management [CLO] L.P.), their track record in the aviation lending space, and the management of the portfolio throughout the COVID-19 pandemic as well as the Russia/Ukraine conflict. The transaction is backed by a portfolio of first-lien senior secured loans collateralized by 418 aircraft and aircraft engines. The LMM value of the underlying aircraft and aircraft engine is $6.48 billion adjusted by the issuer's share in individual loans. The issuer does not have 100% ownership in approximately 21% of the portfolio. The assets and liabilities are denominated in U.S. dollars (USD) and Euros (EUR). Table 13 above shows the portfolio composition in each currency. The USD and EUR structures are backed by loans in the respective currency and there are certain clauses in the payment structure that allow for cross-utilization of funds. Such foreign exchange conversions will occur at the prevailing spot rates. Table 14 above shows the status of the rated notes outstanding in each currency as of the time of this review. The USD structure allowed for reinvestment of principal proceeds until December 2022 and since then the USD notes are paid down according to the payment sequence defined in the transaction documents. The EUR structure is static and follows a sequential payment priority and has repaid almost 60% of the original class A-E note balance. Given the repayment of the class A-E notes, the OC ratio for this class is significantly higher than the threshold and is expected to improve across the EUR structure as the notes continue to amortize. The O/C ratio for the USD structure also passes with some cushion and, given that this structure has also entered the amortization phase, S&P believes the ratio will improve as the class A-R and A-F notes continue to pay down. Based on historical performance data provided by the servicer, spanning several periods of economic stress including the relatively strong performance throughout the COVID-19 pandemic, S&P updated some of its cash and credit stress assumptions compared to its analysis at the time of closing. S&P said, "Firstly, to generate our default assumptions, for cross-pools (loans with cross-default and cross-collateralization provisions) we applied a one-notch uplift to the rating of the weakest lessee within each cross-pool. We believe that the cross-pool provision incentivizes the borrowers in this portfolio to protect their equity interests in the underlying aircraft. At closing, we considered the rating of the weakest lessee in the cross-pool without any uplift. This resulted in the default rates being approximately four percentage points lower than when run without any uplift. "Secondly, when determining the value haircuts to be applied to the depreciated value of the aircraft, which in turn determines the recovery on a defaulted loan, we apply the LRD stress calculated for the first industry downturn. At closing, we used the average for the first and second downturns' LRD stress. Additionally, we assigned a relatively higher servicer score compared to closing, which also plays a role in determining the LRD stress. This was done after considering the servicer's historical track record and their observed recovery rates. These changes resulted in the value haircuts being approximately four to nine percentage points lower than when run using the average of the first and second downturns' LRD stress. Table 15 provides a comparison of the default rates, LRD stress, and recovery rate assumptions for the current and closing analysis. Table 15 PK Air 1 L.P.--assumptions CURRENT CLOSING A DEFAULT RATE (%) 61.20 LRD STRESS (%)(I) 45.10 RECOVERY RATE (%)(II) 71.88 DEFAULT RATE (%) 76.10 LRD STRESS (%) 62.15 RECOVERY RATE (%)(II) 52.24 CURRENT CLOSING BBB+ DEFAULT RATE (%) 57.30 LRD STRESS (%)(I) 38.10 RECOVERY RATE (%)(II) 86.24 DEFAULT RATE (%) 73.60 LRD STRESS (%) 53.16 RECOVERY RATE (%)(II) 68.40 CURRENT CLOSING BBB- DEFAULT RATE (%) 52.40 LRD STRESS (%)(I) 30.80 RECOVERY RATE (%)(II) 88.81 DEFAULT RATE (%) 67.50 LRD STRESS (%) 44.29 RECOVERY RATE (%)(II) 76.58 CURRENT CLOSING BB DEFAULT RATE (%) 47.90 LRD STRESS (%)(I) 24.00 RECOVERY RATE (%)(II) 90.52 DEFAULT RATE (%) 62.60 LRD STRESS (%) 35.55 RECOVERY RATE (%)(II) 84.80 CURRENT CLOSING BB- DEFAULT RATE (%) 45.30 LRD STRESS (%)(I) 21.10 RECOVERY RATE (%)(II) 90.97 DEFAULT RATE (%) 52.60 LRD STRESS (%) 31.43 RECOVERY RATE (%)(II) 85.39 (i)Calculated as the weighted average of all defaulted loan balances under the respective rating stress times the LRD stress applicable to the underlying aircraft at the respective rating stress. (ii)Calculated as the recovery amount after applying depreciation and LRD stress divded by the defaulted loan balance at the respective rating stress. LRD--Lease rate decline. The higher recoveries calculated after taking into consideration the recessionary value haircut assumptions applied to the underlying aircraft assets reflect the low LTV ratios of the underlying loans in the portfolio. The transaction also used LIBOR as a reference index on both the assets and liabilities side. Following the cessation of LIBOR in June 2023, the transaction has transitioned to the secured overnight financing rate (SOFR) for all applicable exposures. S&P ran cash flows with SOFR as the reference index along with the applicable rate modifier. The results of S&P's cash flow runs indicated a higher rating for some of the classes in both the USD and EUR structures. It considered the sizeable amount of USD debt outstanding, the slight increase in LTV ratios across the USD structure, any potential impact from the multi-currency nature of the structure, and the results of additional cash flow runs while determining the ratings assigned herein. Rotor Engines Securitization Ltd. Table 16 Rotor Engines Securitization Ltd.--portfolio characteristics No. of engines 11 No. of engines currently off-lease 6 No. of engines off-lease plus near-term lease expirations 9 LMM at appraisal (mil. $) 79.85 LMM--Lower of the mean and median. Table 17 Rotor Engines Securitization Ltd.--liabilities(i) CLASS A CLASS B Actual balance (mil. $) 45.52 5.54 Paydowns in 2022 (mil. $) 10.72 0.94 Paydowns in 2023 (YTD through June 30) (mil. $) 17.36 1.46 LTV (%) 57.01 63.94 (i)As of the July 2023 payment date. YTD--Year to date. LTV--Loan to value. S&P Global Ratings affirmed its ratings on Rotor Engines Securitization Ltd.'s series 2011-1 class A and B notes. The affirmations reflect S&P's view that the credit support available is commensurate with the current rating level, especially given that the class A and B notes have received some principal payments during the past 12 months, as well as the fact that more than half of the portfolio (by number of engines) is currently off-lease, which adds to the transaction's overall structural weaknesses. The portfolio currently covers 12 engines, seven of which are off lease. The portfolio consists of engines manufactured by General Electric (GE90-115 & GE90-94), CFM International (CF34, CFM56-5B, and CFM56-7B), and International Aero Engines (V2500). Most of the engines power in-production aircraft. There are currently several unserviceable engines that are expected to be sold for part-out. The portfolio is expected to wind down soon. The remaining leases expire before March 2026. A significant portion of the portfolio will come off lease in the next year. A sale of the engines is expected in the near future as they approach the end of their useful life. The transaction benefits from a senior cash reserve and junior cash reserve, which have balances of $1.9 million and $2.4 million, respectively, representing seven months of interest for the class A notes and 66 months of interest for the class B notes. The aggregate LTV ratio for the portfolio is elevated at 91.2% based on market value as of Dec. 31, 2022 and 98.8% based on maintenance-adjusted market value, which S&P considered when affirming the current ratings for the class A and B notes. After the completion of the analysis above, the servicer informed us that one engine was sold recently, leaving the portfolio with 11 engines at this time. Thunderbolt Aircraft Lease Ltd. Table 18 Thunderbolt Aircraft Lease Ltd.--portfolio characteristics(i) No. of aircraft 13 No. of aircraft currently off-lease 0 No. of aircraft off-lease plus near-term lease expirations 2 LMM at appraisal (mil. $) 177.61 LMM as modeled (mil $) 167.35 DSCR (x) 0.39 (i)As of July 2023. LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 19 Thunderbolt Aircraft Lease Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 99.40 41.27 10.72 Scheduled balance (mil. $) 85.80 23.46 1.69 Paydowns in 2022 (mil. $) 19.14 0.26 0.00 Paydowns in 2023 (YTD through June 30) (mil. $) 27.75 3.31 0.00 LTV (%) 59.40 84.06 90.46 (i)As of the July 2023 payment date. YTD--Year to date. LTV--Loan to value. S&P Global Ratings raised its ratings on Thunderbolt Aircraft Lease Ltd.'s class A, B, and C notes. S&P said, "The upgrades reflect the improved performance of the transaction since our last review with sustained rental collections and lower LTV ratio across the capital structure. The portfolio had one A330-200 aircraft on lease to a Russian lessee at the onset of the Russia-Ukraine conflict, which was subsequently considered a total loss. Additionally, a B737-800 aircraft was also considered a total loss after it was destroyed during the conflicts in Sudan. The insurance claim was filed for the destroyed aircraft and the proceeds were distributed in the July payment date waterfall. The insurance proceeds were higher than the latest appraised value of the aircraft. "The transaction has paid down the class A notes by approximately $49 million since our last review in January of 2022, with $3.5 million in payments to the class B notes, and no principal repayments to the class C notes during this period. The class C notes also continue to defer interest. The portfolio currently consists of 13 aircraft, manufactured between 2001 and 2006, with a weighted average age of approximately 19 years. "While the results of the cash flow runs indicated a higher rating for the class A, B, and C notes, we considered the relatively older nature of the aircraft portfolio and the associated disposition-related risks in arriving at the rating. "We will continue to monitor the transactions and review whether the ratings assigned are consistent with the credit enhancement available to support the respective notes." Appendix Appendix--depreciation assumptions AIRCRAFT ANNUAL COMPOUNDING DEPRECIATION (%) A220-100 93.0 A319 Neo 93.5 A319-100 93.5 A320 Neo 95.0 A320-200 94.0 A321 Neo 94.5 A321-100 92.0 A321-200 93.5 A321-200F 92.0 A330-200 93.0 A330-200F 93.0 A330-300 93.0 A350-900 93.5 ATR42 90.0 ATR72-600 91.0 B737 MAX 10 94.5 B737 MAX 7 93.5 B737 MAX 8 95.0 B737 MAX 9 94.0 B737-300 80.0 B737-300F 90.0 B737-400F 90.0 B737-700 93.5 B737-800 94.5 B737-800BCF 92.0 B737-900ER 93.5 B747-400F 90.0 B757-200 91.0 B777-200ER 92.0 B777-200F 93.0 B777-300 92.0 B777-300ER 93.0 B787-8 93.5 B787-9 94.0 CRJ900 93.0 ERJ-170 93.0 ERJ-175 93.0 ERJ-190 93.0 ERJ-195 93.0 Environmental, social, and governance (ESG) credit factors for this change in credit rating/outlook and/or CreditWatch status: -- Health and safety Ratings list RATING ISSUER SERIES CLASS TO FROM AASET 2021-1 Trust 2021-1 A A+ (sf) A (sf) AASET 2021-1 Trust B BBB (sf) BBB- (sf) AASET 2021-1 Trust C B+ (sf) B (sf) Blade Engine Securitization Ltd. 2006-1 A-1 CCC (sf) CCC (sf) Blade Engine Securitization Ltd. 2006-1 A-2 CCC (sf) CCC (sf) Castlelake Aircraft Structured Trust 2017-1R A BBB- (sf) BBB- (sf) Castlelake Aircraft Structured Trust 2017-1R B B- (sf) B+ (sf) Castlelake Aircraft Structured Trust 2017-1R C CCC+ (sf) CCC+ (sf) MAPS 2019-1 Ltd 2019-1 A BBB- (sf) BBB+ (sf) MAPS 2019-1 Ltd 2019-1 B B- (sf) BB (sf) MAPS 2019-1 Ltd 2019-1 C CCC+ (sf) CCC+ (sf) MAPS 2021-1 Trust 2021-1 A A+ (sf) A (sf) MAPS 2021-1 Trust 2021-1 B BBB+ (sf) BBB (sf) MAPS 2021-1 Trust 2021-1 C BB (sf) BB (sf) PK Air 1 L.P. A-F A+ (sf) A (sf) PK Air 1 L.P. A-R A+ (sf) A (sf) PK Air 1 L.P. A-E A+ (sf) A (sf) PK Air 1 L.P. B1-F A (sf) BBB+ (sf) PK Air 1 L.P. B2-F BBB+ (sf) BBB- (sf) PK Air 1 L.P. B-E BBB+ (sf) BB (sf) PK Air 1 L.P. C-F BB (sf) BB- (sf) PK Air 1 L.P. C-E BB+ (sf) BB- (sf) PK Air 1 L.P. D1-F B+ (sf) B- (sf) PK Air 1 L.P. D-E B+ (sf) B- (sf) Rotor Engines Securitization Ltd. 2011-1 A CCC+ (sf) CCC+ (sf) Rotor Engines Securitization Ltd. 2011-1 B CCC (sf) CCC (sf) Thunderbolt Aircraft Lease Ltd. A A+ (sf) BBB (sf) Thunderbolt Aircraft Lease Ltd. B BB (sf) B (sf) Thunderbolt Aircraft Lease Ltd. C B+ (sf) CCC+ (sf) ADAMS OUTDOOR 2023-1: Fitch Assigns 'BB-(EXP)sf' Rating to C Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to Adams Outdoor Advertising Limited Partnership (LP), Secured Billboard Revenue Notes, Series 2023-1: -- $0 class A-1 'A-sf'; Outlook Stable; -- $459,000,000 class A-2 'A-sf'; Outlook Stable; -- $64,400,000 class B 'BBB-sf'; Outlook Stable; -- $83,600,000 class C 'BB-sf'; Outlook Stable. The ratings are based on information provided by the issuer as of July 12, 2023. All classes are being privately placed pursuant to Rule 144A. TRANSACTION SUMMARY The transaction represents a securitization in the form of notes backed by approximately 9,999 outdoor advertising displays. None of the outdoor sites are secured by mortgages; rather, the notes will primarily be secured by a perfected security interest in all the issuer's right to, title to and interest in outdoor advertising sites and associated contracts, as well as the related permits, licenses, ground leases and parcels of real estate on which the outdoor advertising structures are located. Proceeds from the notes will be used to repay the series 2018-1 and 2021-1 secured billboard revenue notes in full, fund a distribution to equity owners and for general corporate purposes. The series 2023-1 notes are secured by three fixed-rate, IO, secured notes (class A-2, B, and C notes) and a floating-rate, IO, variable-funding secured note (class A-1). The class A-1 variable funding note (VFN) is benchmarked to the term Secured Overnight Financing Rate (SOFR), while the class A-2, B, and C notes are fixed-rate notes. The SOFR rate is uncapped, and class A-1 proceeds at closing are expected to be $0.0. Class A-1 proceeds are capped at $60.0 million, subject to a leverage ratio of 5.5x, among other provisions. The loan is structured with an anticipated repayment date (ARD) in July 2028. As this transaction isolates the assets from the parent company, the ratings reflect a structured finance analysis of the cash flows from advertising structures, not an assessment of the corporate default risk of the ultimate parent. KEY RATING DRIVERS Non-Traditional Asset Type; Rating Cap: Due to the specialized nature of the collateral consisting primarily of outdoor advertising displays and lack of mortgages, the senior classes of this transaction do not achieve ratings above 'Asf'. Continued Cash Flow Growth/Fitch Leverage: Fitch's net cash flow (NCF) on the pool is $70.9 million, implying a Fitch stressed debt service coverage ratio of (DSCR) of 1.23x. Fitch's NCF has increased from $61.6 million at the issuance of series 2018-1 rated notes to $70.9 million in the series 2023-1 notes, which results in a 15.1% increase during a five-year timeframe. The debt multiple relative to Fitch's NCF is 8.6x, which equates to a debt yield of 11.7%. The Fitch market loan-to-value (LTV) at 'BB-sf' (the lowest Fitch-rated non-investment-grade tranche) is not applicable for this transaction. The Fitch market LTV is based on a blend of the Fitch cap rate and market cap rate. Fitch did not assign a cap rate nor is there an appraisal to determine a market cap rate. Dominant Market Share/Barriers to Entry: Adams Outdoor Advertising L.P. (AOA) primarily operates in midsize markets where it is the dominant provider of outdoor advertising, with an average 83% market share. This dominant market share adds to the predictability of the cash flow by minimizing pricing pressure from competition. AOA faces limited competition in its market as a result of the billboard permitting process and significant federal, state and local regulations that limit supply and prohibit new billboards. Diverse Number of Assets: AOA currently operates approximately 9,999 billboard faces, including 3,742 bulletins, 5,889 posters, 342 digital displays and 26 other displays, in 12 primary markets in nine states. In addition, no customer accounts for greater than 2.0% of revenues, and no industry accounts for greater than 12.4% of net revenues. Experienced Sponsorship and Management Team: AOA has been operating since 1983 and is currently one of the largest domestic billboard operators. AOA has shown consistent performance and has effectively managed its operations through economic cycles, reducing expenses in 2008 and 2009 during the financial crisis and more recently in 2020 and 2021 during the coronavirus pandemic to offset the decline in revenue. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Downgrades are limited due to the high barriers of entry and limited competition, and the sponsors ability to manage expenses to offset declines in revenue during periods of economic downturns. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Upgrades are limited due to the provision allowing the issuance of additional notes, and the non-traditional asset type and rating cap. 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. AGL CLO 20: Fitch Affirms 'BB-sf' Rating on 2 Tranches ------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class B, C, D, and E notes of AGL CLO 20 Ltd. (AGL 20) and the class B, C, D, and E notes of AGL CLO 21 Ltd. (AGL 21). The Rating Outlooks on all rated tranches remain Stable. ENTITY / DEBT RATING PRIOR ------------- ------ ----- AGL CLO 20 Ltd. B 00119CAC5 LT AAsf Affirmed AAsf C 00119CAE1 LT Asf Affirmed Asf D 00119CAG6 LT BBB-sf Affirmed BBB-sf E 00091RAA8 LT BB-sf Affirmed BB-sf D 00119CAG6 LT BBB-sf Affirmed BBB-s E 00091RAA8 LT BB-sf Affirmed BB-sf AGL CLO 21 LTD. B 00119FAC8 LT AAsf Affirmed AAsf C 00119FAE4 LT Asf Affirmed Asf D 00119FAG9 LT BBB-sf Affirmed BBB-s E 00120GAA7 LT BBsf Affirmed BBsf TRANSACTION SUMMARY AGL 20 and AGL 21 are broadly syndicated collateralized loan obligations (CLOs) managed by AGL CLO Credit Management LLC. Both transactions closed in August 2022 and will exit their reinvestment periods 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 reflect stable performance since closing. The credit quality of both portfolios as of June 2023 reporting has stayed at the 'B'/'B-' rating level from closing. The Fitch weighted average rating factors (WARF) for AGL 20 and AGL 21 portfolios were 24.9 on average, compared to average 24.3 at closing. The portfolios for AGL 20 and AGL 21 consist of 276 and 261 obligors, respectively, and the largest 10 obligors of each portfolio represent 6.7% of the portfolio. There are no defaulted assets in either portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 16.1% and 4.6%, respectively, for AGL 20 and 17.5% and 5.2%, respectively, for AGL 21. On average, first lien loans, cash and eligible investments comprise 99.7% of the portfolios and there are no fixed rate assets. Fitch's weighted average recovery rate (WARR) of the portfolios was 75.0% on average, compared to average 74.3% 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 assumed weighted average lives of 7.31 and 7.32 years for AGL 20 and AGL 21, respectively. Fixed rate assets were stressed to 2.5% of the portfolio for AGL 20 and 5% for AGL 21. Other FSP assumptions for both CLOs include 5% non-senior secured assets, 7.5% CCC assets and portfolio weighted average spreads of 3.55%. The rating actions are in line with the model implied ratings (MIRs) as defined in the criteria, except for the class C and E notes in AGL 21. Both notes were affirmed one notch below their respective MIRs due to minimal cushions at MIRs in the context of growing macroeconomic headwinds. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade -- Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. -- A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to two notches for AGL 20 and up to three rating notches for AGL 21, 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 AGL 20 and AGL 21, based on the MIRs. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions, 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. ATLAS SENIOR XXI: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Atlas Senior Loan Fund XXI Ltd./Atlas Senior Loan Fund XXI LLC's floating-rate debt. The transaction is managed by Crescent Capital Group L.P. 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 preliminary ratings are based on information as of July 17, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Atlas Senior Loan Fund XXI Ltd./Atlas Senior Loan Fund XXI LLC Class A-1, $210.00 million: AAA (sf) Class A-2, $7.00 million: AAA (sf) Class B, $49.00 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D-1 (deferrable), $15.00 million: BBB (sf) Class D-2 (deferrable), $3.40 million: BBB- (sf) Class E (deferrable), $11.40 million: BB- (sf) Subordinated notes, $31.82 million: Not rated BANK5 2023-5YR2: Fitch Assigns 'B-sf' Rating to 2 Tranches ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to BANK5 2023-5YR2 commercial mortgage pass-through certificates, series 2023-5YR2, as follows: -- $5,300,000 class A-1 'AAAsf'; Outlook Stable; -- $22,000,000 class A-2-1 'AAAsf'; Outlook Stable; -- $0a class A-2-1-1 'AAAsf'; Outlook Stable; -- $0ab class A-2-1-X1 'AAAsf'; Outlook Stable; -- $0a class A-2-1-2 'AAAsf'; Outlook Stable; -- $0ab class A-2-1-X2 'AAAsf'; Outlook Stable; -- $421,623,000 class A-3 'AAAsf'; Outlook Stable; -- $0a class A-3-1 'AAAsf'; Outlook Stable; -- $0ab class A-3-X1 'AAAsf'; Outlook Stable; -- $0a class A-3-2 'AAAsf'; Outlook Stable; -- $0ab class A-3-X2 'AAAsf'; Outlook Stable; -- $448,923,000b class X-A 'AAAsf'; Outlook Stable; -- $76,958,000 class A-S 'AAAsf'; Outlook Stable; -- $0a class A-S-1 'AAAsf'; Outlook Stable; -- $0ab class A-S-X1 'AAAsf'; Outlook Stable; -- $0a class A-S-2 'AAAsf'; Outlook Stable; -- $0ab class A-S-X2 'AAAsf'; Outlook Stable; -- $26,454,000 class B 'AA-sf'; Outlook Stable; -- $0a class B-1 'AA-sf'; Outlook Stable; -- $0ab class B-X1 'AA-sf'; Outlook Stable; -- $0a class B-2 'AA-sf'; Outlook Stable; -- $0ab class B-X2 'AA-sf'; Outlook Stable; -- $103,412,000b class X-B 'AAAsf'; Outlook Stable; -- $20,843,000 class C 'A-sf'; Outlook Stable; -- $0a class C-1 'A-sf'; Outlook Stable; -- $0ab class C-X1 'A-sf'; Outlook Stable; -- $0a class C-2 'A-sf'; Outlook Stable; -- $0ab class C-X2 'A-sf'; Outlook Stable; -- $15,231,000c class D 'BBBsf'; Outlook Stable; -- $7,215,000c class E 'BBB-sf'; Outlook Stable; -- $22,446,000bc class X-D 'BBB-sf'; Outlook Stable; -- $14,430,000c class F 'BB-sf'; Outlook Stable; -- $14,430,000bc class X-F 'BB-sf'; Outlook Stable; -- $10,421,000c class G 'B-sf'; Outlook Stable; -- $10,421,000bc class X-G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $20,843,741c class H; -- $20,843,741bc class X-H; -- $26,738,618cd class RR; -- $7,015,000cd RR Interest. (a) Exchangeable Certificates. The class A-2-1, class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-2-1 may be surrendered (or received) for the received (or surrendered) classes A-2-1-1, A-2-1-X1, A-2-1-2 and A-2-1-X2. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Represents the "eligible vertical interest" comprising 5.0% of the pool. Since Fitch published its expected ratings on June 20, 2023, several changes have occurred. The balances for classes A-2-1 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2-1 class was expected to be in the range of $0-$200,000,000 and the balance for the A-3 class was expected to be in the range of $243,623,000-$443,623,000, subject to a variance of plus or minus 5%. The final class balances for classes A-2-1 and A-3 are $22,000,000 and $421,623,000, respectively. Additionally, at the time the presale was issued, class X-B (which is tied to the classes A-S and B) was rated 'AA-(EXP)sf', reflecting the rating of class B, the lowest rated tranche whose payable interest has an impact on the IO payments. Since Fitch published its expected ratings, the class B pass-through rate was finalized and will be variable rate (WAC), equal to the weighted average of the net interest rates on the mortgage loans, and therefore its payable interest will not have an impact on the IO payments for class X-B. Fitch updated class X-B to 'AAAsf' (from 'AA-(EXP)sf' at the time of the presale), reflecting the rating of class A-S, the lowest rated class whose payable interest has an impact on the IO payments. This is consistent with Appendix 4 of Fitch's "Global Structured Finance Rating Criteria." The ratings are based on information provided by the issuer as of July 10, 2023. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 20 loans secured by 35 commercial properties having an aggregate principal balance of $675,072,360 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, JPMorgan Chase Bank, National Association Morgan Stanley Mortgage Capital Holdings LLC and Bank of America, National Association. The Master Servicer is Wells Fargo Bank, N.A., and the Special Servicer is CWCapital Asset Management LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 62.8% of the loans by balance, cash flow analysis of 100% of the pool and asset summary reviews on 100% of the pool. Since Fitch published its expected ratings on June 20, 2023, class A-2-2 was removed from the transaction structure by the issuer. At the time the expected ratings were published, class A-2-2 had a balance of $100,000,000. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' from class A-2-2 because the class was removed from the final deal structure by the issuer. The classes reflect the final ratings and deal structure. KEY RATING DRIVERS Lower Fitch Leverage: The pool has lower leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to value ratio (LTV) of 86.2% is better than both the 2023 year-to-date (YTD) and 2022 averages of 94.9% and 106.4%, respectively. The pool's Fitch net cash flow debt yield (DY) of 11.3% is better than the 2023 YTD and 2022 averages of 10.3% and 9.9%, respectively. The pool's Fitch LTV and DY excluding credit opinion loans are 92.4% and 10.9%, respectively, which compares favorably with the equivalent conduit 2023 YTD LTV and DY averages of 95.2% and 10.1 %, respectively. Highly Concentrated Pool: The pool is more concentrated than other recently rated Fitch transactions. The top 10 loans in the pool make up 74.1 % of the pool, materially worse than the 2023 YTD and 2022 averages of 60.2% and 55.2%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 16.1. Shorter Duration Loans: The pool is 100.0% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Credit Opinion Loans: Three loans representing 20.3% of the pool received an investment-grade credit opinion on a standalone basis. The pool's total credit opinion percentage is higher than the 2023 YTD average of 15.8% and the 2022 average of 14.4%. Miracle Mile Shops (9.9% of pool) received a standalone credit opinion of 'AA-sf*'. Back Bay Office (8.9%) received a standalone credit opinion of 'AAAsf*'. 1201 Third Avenue (1.5%) received a standalone credit opinion of 'BBB+sf*'. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 0.9%, which is worse than both the 2023 YTD and 2022 averages of 2.6% and 3.3%, respectively. The pool has 15 interest-only loans (81.0% of pool), which is worse than both the 2023 YTD and 2022 averages of 71.0% and 77.5%, respectively. In addition, there is one partial interest-only loan representing 2.4% of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; -- 10% NCF Decline: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'Bsf' / ; 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / AAAsf / AA-sf / A-sf / BBBsf / BBB-sf / BB-sf / B-sf; -- 10% NCF Increase: AAAsf / AAAsf / AAsf / Asf / BBB+sf / BBBsf / BBsf / Bsf. 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. BARINGS CLO 2015-I: Moody's Cuts Rating on $7MM F-R Notes to Caa3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Barings CLO Ltd. 2015-I: US$50,900,000 Class B-R Senior Secured Floating Rate Notes due 2031, Upgraded to Aaa (sf); previously on November 14, 2022 Upgraded to Aa1 (sf) US$27,900,000 Class C-R Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa3 (sf); previously on November 14, 2022 Upgraded to A1 (sf) Moody's has also downgraded the rating on the following notes: US$7,000,000 Class F-R Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa3 (sf); previously on September 9, 2020 Downgraded to Caa2 (sf) Barings CLO Ltd. 2015-I, originally issued in April 2015 and refinanced in February 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes since the end of the reinvestment period in January 2023. The Class A-R notes have been paid down by approximately 2.18% or $6.9 million since then. The downgrade rating action on the Class F-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's June report[1], the OC ratio for the Class F-R notes (as inferred by the reinvestment overcollateralization test) is reported at 102.09% versus the January 2023 level of 103.31%[2]. 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: $466,132,003 Defaulted par: $6,143,549 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2699 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.28% Weighted Average Coupon (WAC): 13.25% Weighted Average Recovery Rate (WARR): 47.18% Weighted Average Life (WAL): 3.96 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. BARINGS CLO 2023-II: Fitch Assigns 'BB-sf' Rating to Cl. E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2023-II ENTITY/DEBT RATING PRIOR ----------- ------ ------ BARINGS CLO LTD. 2023-II A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(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 Barings CLO LTD. 2023-II (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.74, versus a maximum covenant, in accordance with the initial expected matrix point of 25.98. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 77.57% versus a minimum covenant, in accordance with the initial expected matrix point of 74.0%. Portfolio Composition (Positive): The largest three industries may comprise up to 38.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.0-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 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and 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, 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. BBCMS MORTGAGE 2023-C20: Fitch Assigns 'B-sf' Rating to H-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2023-C20, commercial mortgage pass-through certificates, series 2023-C20 as follows: ENTITY/DEBT RATING PRIOR ----------- ------ ----- BBCMS 2023-C20 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf A-SB LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)s D-RR LT BBB+sf New Rating BBB+(EXP)sf E-RR LT BBBsf New Rating BBB(EXP)sf F-RR LT BBB-sf New Rating BBB-(EXP)sf G-RR LT BB-sf New Rating BB-(EXP)sf H-RR LT B-sf New Rating B-(EXP)s J-RR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT AA-sf New Rating AA-(EXP)sf -- $4,630,000 class A-1 'AAAsf'; Outlook Stable; -- $149,200,000 class A-2 'AAAsf'; Outlook Stable; -- $29,880,000 class A-3 'AAAsf'; Outlook Stable; -- $111,850,000a class A-4 'AAAsf'; Outlook Stable; -- $276,950,000a class A-5 'AAAsf'; Outlook Stable; -- $5,129,000 class A-SB 'AAAsf'; Outlook Stable; -- $577,639,000b class X-A 'AAAsf'; Outlook Stable; -- $144,409,000b class X-B 'AA-sf'; Outlook Stable; -- $107,275,000 class A-S 'AAAsf'; Outlook Stable; -- $37,134,000 class B 'AA-sf'; Outlook Stable; -- $21,208,000 class C 'A-sf'; Outlook Stable; -- $13,863,000c class D-RR 'BBB+sf'; Outlook Stable; -- $9,284,000c class E-RR 'BBBsf'; Outlook Stable; -- $8,252,000c class F-RR 'BBB-sf'; Outlook Stable; -- $14,441,000c class G-RR 'BB-sf'; Outlook Stable; -- $10,315,000c class H-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $25,787,604c class J-RR. a) Since Fitch published its expected ratings on June 15, 2023, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $388,800,000 subject to a 5% variance. The classes reflect the final ratings and deal structure. b) Notional amount and IO; c) Privately placed and pursuant to Rule 144A; Horizontal Risk Retention Interest classes. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 32 loans secured by 146 commercial properties with an aggregate principal balance of $825,198,605 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Argentic Real Estate Finance 2 LLC, LMF Commercial, LLC, Starwood Mortgage Capital LLC, UBS AG, Bank of Montreal, Bank of America, National Association and Societe Generale Financial Corporation. The master servicer is KeyBank National Association, and the special servicers are expected to be LNR Partners, LLC and KeyBank National Association for the Ashburn Data Center loan. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's weighted-average Fitch loan to value ratio (LTV) of 81.8% is lower than the YTD 2023 average of 91.4% and 2022 average of 106.1%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.1% of the pool, higher than the 2023 YTD and 2022 levels of 60.2% and 55.2%, respectively. The pool's effective loan count of 19 is slightly lower than the YTD 2023 average of 21. Investment-Grade Credit Opinion Loans: Four loans representing 28.9% of the pool received an investment-grade credit opinion. Fashion Valley Mall (10.0% of the pool) received a standalone credit opinion of 'AAAsf*', CX - 250 Water Street (9.1%) received a standalone credit opinion of 'BBBsf*', Ashburn Data Center (7.3%) received a standalone credit opinion of 'BBB-sf*', South Lake at Dulles (2.5%) received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage of 28.9% is above the 2023 YTD and 2022 averages of 15.8% and 14.4%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENCHMARK 2019-B12: Fitch Affirms 'B-sf' Rating on Cl. G-RR Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Benchmark (BMARK) 2019-B12 Mortgage Trust Commercial Mortgage Pass-Through Certificates. In addition, Fitch has revised the Rating Outlooks on class E, F-RR and X-D to Negative from Stable. The Rating Outlook on class G-RR remains Negative. The criteria observation (UCO) has been resolved. ENTITY/DEBT RATING PRIOR ----------- ------ ----- Benchmark 2019-B12 A-2 08162FAB9 LT AAAsf Affirmed AAAsf A-3 08162FAC7 LT AAAsf Affirmed AAAsf A-4 08162FAD5 LT AAAsf Affirmed AAAsf A-5 08162FAF0 LT AAAsf Affirmed AAAsf A-AB 08162FAE3 LT AAAsf Affirmed AAAsf A-S 08162FAG8 LT AAAsf Affirmed AAAsf B 08162FAH6 LT AA-sf Affirmed AA-sf C 08162FAJ2 LT A-sf Affirmed A-sf D 08162FAN3 LT BBBsf Affirmed BBBsf E 08162FAP8 LT BBB-sf Affirmed BBB-sf F-RR 08162FAQ6 LT BB-sf Affirmed BB-sf G-RR 08162FAR4 LT B-sf Affirmed B-sf X-A 08162FAK9 LT AAAsf Affirmed AAAsf X-B 08162FAL7 LT A-sf Affirmed A-sf X-D 08162FAM5 LT BBB-sf Affirmed BBB-sf 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. Fitch's current ratings incorporate a 'Bsf' rating case loss of 3.5%. Eleven loans (18.9% of the pool) have been designated as Fitch Loans of Concern (FLOCs), including one loan (0.9%) in special servicing. The Negative Outlooks on classes E, F-RR, G-RR and X-D reflect the pool's exposure to office properties facing rollover risk, challenging submarket conditions and/or refinancing risk. FLOCs/Largest Contributors to Loss: The largest contributor to modeled loss is Oakbrook Terrace (1.3%), which is secured by a 232,052-sf office property located in Oakbrook Terrace, IL a west suburb of Chicago. The reported occupancy has declined to 71% as of March 2023 from 78% at issuance in 2019, with rollover of approximately 8% in the next year. Recent servicer commentary indicates additional tenants have signed short-term extensions. The property has been performing below the Eastern East/West Corridor submarket as identified by CoStar, which has a 18.3% vacancy rate for comparable properties as of June 2023. Fitch's 'Bsf' case loss of 33% (prior to a concentration adjustment) is based on a 10% cap rate and Fitch's updated net cash flow (NCF), which implies a total 22% haircut to the reported YE 2022 NOI. The second largest contributor to overall loss expectations is the Greenleaf at Howell loan (0.9%), which is secured by a 227,045-sf retail center located adjacent to the heavily trafficked retail corridor of Route 9 in Howell, NJ. The loan transferred to special servicing in September 2020 for imminent monetary default due to the coronavirus pandemic and was over 90 days delinquent as of April 2022. The special servicer is dual tracking foreclosure, while negotiations for a potential modification continue. The property is anchored by BJ'S Wholesale Club (39.6% of NRA leased through January 2035) and major tenants include LA Fitness (16.2%, May 2030) and Five Star Climbzone (11.2%, June 2029). The prior theater tenant, XScape Cinemas (previously 24.8% of NRA), permanently closed due to the pandemic. The tenant previously represented approximately 35% of total base rents as of the December 2020 rent roll. Occupancy has remained steady at 74.1%, compared with 75% in December 2020 and 100% in December 2019. Fitch's loss expectation has increased slightly from its previous rating actions due to increasing total exposure; the modeled 'Bsf' ratings case loss reflects a stressed value of approximately $104 psf and is based on a discount to the servicer-provided December 2022 appraisal. Six loans (18.2% of the pool) are scheduled to mature by YE 2024. The largest is the Zappettini Portfolio loan (FLOC, 5.7% of the pool), which is secured by a portfolio of 10 office buildings located in Mountain View, CA. The reported YE 2022 occupancy was approximately 86.5%, with near-term rollover risk offset by potential lease-up of one of the portfolio buildings. The YE 2022 NOI DSCR was 1.56x, with recent NCF below issuance expectations. Fitch requested a recent rent roll for the entire portfolio; however, the rent roll has not been received. The loan's scheduled maturity date is in June 2024. High Percentage of Loans with Investment-Grade Credit Opinions: Eight loans, representing 33.6% of the pool, received investment-grade credit opinions on a standalone basis at issuance. The largest loan, 30 Hudson Yards (8.2% of the pool) received a credit opinion of 'A-sf*' on a stand-alone basis at issuance while 10000 Santa Monica Boulevard (4.4% of the pool) received a credit opinion of 'BBBsf*' on a stand-alone basis. Osborn Triangle (4.4% of the pool), 3 Columbus Circle (4.4%) and Grand Canal Shoppes (4.4%) each received a credit opinion of 'BBB-sf*' on a stand-alone basis. An additional three loans outside the top 10 representing 7.8% of the pool also have investment-grade credit opinions. The Woodlands Mall (6.7% of the pool) is no longer considered an investment-grade credit opinion loan. Minimal Changes to Credit Enhancement: There has been minimal change to credit enhancement (CE). As of the June 2023 distribution date, the pool's aggregate balance has paid down by 3.6% to $1.14 billion from $1.18 billion at issuance. There are 26 loans (78.4% of the pool) that are full-term, interest-only (IO) and four loans (4.6%) have remaining partial IO terms. Three loans have been disposed since issuance with no realized losses. There are no defeased loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are not considered likely due to their position in the capital structure but may occur should interest shortfalls affect these classes. Downgrades to the 'A-sf' rated classes may occur should expected losses for the pool increase substantially. Downgrades to the 'BBB-sf', 'BB-sf' and 'B-sf' rated classes could be downgraded if FLOCs impacted fail to stabilize and/or or additional loans transfer to special servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes could occur with significant improvement in credit enhancement (CE) and/or defeasance; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse. Upgrades to the 'BBB-sf' and below-rated classes are considered unlikely and 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. Additionally, an upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE, which would likely occur when the nonrated class is not eroded and the senior classes pay off. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENCHMARK 2023-B39: Fitch Assigns 'B-sf' Rating to Cl. J-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2023-B39 Mortgage Trust, commercial mortgage pass-through certificates series 2023-B39 as follows: -- $7,664,000 class A-1 'AAAsf'; Outlook Stable; -- $201,276,000 class A-2 'AAAsf'; Outlook Stable; -- $54,000,000 class A-4 'AAAsf'; Outlook Stable; -- $361,919,000 class A-5 'AAAsf'; Outlook Stable; -- $9,679,000 class A-SB 'AAAsf'; Outlook Stable; -- $634,538,000a class X-A 'AAAsf'; Outlook Stable; -- $158,634,000a class X-B 'AA-sf'; Outlook Stable; -- $120,109,000 class A-S 'AAAsf'; Outlook Stable; -- $38,525,000b class B 'AA-sf'; Outlook Stable; -- $27,439,000 class C 'A-sf'; Outlook Stable; -- $12,220,000bc class D-RR 'BBB+sf'; Outlook Stable; -- $9,065,000bc class E-RR 'BBBsf'; Outlook Stable; -- $9,065,000bc class F-RR 'BBB-sf'; Outlook Stable; -- $16,996,000bc class G-RR 'BB-sf'; Outlook Stable; -- $11,331,000bc class J-RR 'B-sf'; Outlook Stable; The following class is not rated by Fitch: -- $27,195,263bc class K-RR. a) Notional amount and interest only; b) Privately placed and pursuant to Rule 144A; c) Horizontal Risk Retention Interest classes. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 23 loans secured by 160 commercial properties with an aggregate principal balance of $906,483,263 as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation, Citigroup Global Markets Realty Corp., Goldman Sachs Mortgage Company and JPMorgan Chase Bank, National Association. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank N.A and the special servicer is expected to be K-Star Asset Management. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to value ratio (LTV) of 79.9% is lower than both the YTD 2023 and 2022 averages of 91.4% and 99.3%, respectively. The pool's Fitch net cash flow (NCF) debt yield (DY) of 11.8% is higher than the YTD 2023 and 2022 averages of 10.3% and 9.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 90.0% and 11.0%, respectively, compared to the equivalent conduit YTD 2023 LTV and DY averages of 95.2% and 10.1%, respectively. Investment-Grade Credit Opinion Loans. Six loans representing 32.6% of the pool received an investment-grade credit opinion, which is above the 2023 YTD and 2022 averages of 15.8% and 14.4%, respectively. Fashion Valley (9.4% of the pool) received a standalone credit opinion of 'AAA-sf', Pacific Design Center (7.1%) received a standalone credit opinion of 'BBB-sf', Back Bay Office (5.5%) received a standalone credit opinion of 'AAAsf', Scottsdale Fashion Square (4.5%) received a standalone credit opinion of 'AAsf', Miracle Mile (3.3%) received a standalone credit opinion of 'AA-sf' and Harborside 2-3 (2.8%) received a standalone credit opinion of 'BBBsf'. Highly Concentrated Pool by Loan Size: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.1% of the pool, higher than the YTD 2023 and 2022 levels of 60.2% and 55.2%, respectively. The pool's effective loan count of 17.6 is lower than the 2023 YTD and 2022 average effective loan count of 19.6 and 23.7, respectively. Below-Average Amortization: Based on the scheduled balances at maturity, the pool will pay down by 2.3%, which is below the 2023 YTD and 2022 averages of 2.6% and 3.3%, respectively. The pool has 17 IO loans, or 87.1% of pool by balance, which is higher than the 2023 YTD and 2022 averages of 71.0% and 77.5%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'; -- 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'; -- 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBsf'. 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. 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. BMARK 2023-V3: Fitch Assigns 'BB-(EXP)sf' Rating to Class F Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMARK 2023-V3 Mortgage Trust Commercial Mortgage Pass-Through certificates series 2023-V3 as follows: -- $2,083,000 class A-1 'AAAsf'; Outlook Stable; -- $200,000,000a class A-2 'AAAsf'; Outlook Stable; -- $439,732,000a class A-3 'AAAsf'; Outlook Stable; -- $123,779,000 class A-S 'AAAsf'; Outlook Stable; -- $38,967,000 class B 'AA-sf'; Outlook Stable; -- $33,237,000 class C 'A-sf'; Outlook Stable; -- $11,461,000d class D 'BBBsf'; Outlook Stable; -- $9,169,000d class E 'BBB-sf'; Outlook Stable; -- $17,191,000d class F 'BB-sf'; Outlook Stable; -- $10,315,000d class G 'B-sf'; Outlook Stable; -- $765,594,000b class X-A 'AAAsf'; Outlook Stable; -- $72,204,000b class X-B 'A-sf'; Outlook Stable; -- $20,630,000bd class X-D 'BBB-sf'; Outlook Stable. Fitch is not expected to rate the following classes: -- $30,945,508d class H; -- $23,803,350c class RR; -- $24,453,467c class RR-Interest. (a) Initial certificate balances for class A-2 and A-3 are not yet determined. They are expected to be $639,732,000 in the aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $400,000,000 and the expected class A-3 balance range is $239,732,000 to $639,732,000. The balances above for the classes A-2 and A-3 trust components reflect the midpoint of its ranges. (b) Notional amount and interest only. (c) Classes RR and RR-Interest comprise the transactions' vertical risk retention interest. (d) Privately placed and pursuant to Rule 144A. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 38 loans secured by 73 commercial properties with an aggregate principal balance of $965,136,325 as of the cutoff date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Citi Real Estate Funding Inc., German American Capital Corporation, JP Morgan Chase Bank, Barclays Capital Real Estate Inc., and Bank of Montreal. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be Greystone Servicing Company LLC. KEY RATING DRIVERS Lower Leverage Compared with Recent Transactions: The pool has lower leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 87.7% is lower than the YTD 2023 and 2022 averages of 89.9% and 99.3%, respectively. The pool's Fitch NCF debt yield (DY) of 10.8% is higher than the YTD 2023 and 2022 averages of 10.6% and 9.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 90.8% and 9.5%, respectively, compared with the equivalent conduit YTD 2023 LTV and DY averages of 95.2% and 10.3%, respectively. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 51.4% of the pool, which is significantly lower than the 2023 YTD level of 63.5% and 2022 level of 55.2%. The pool's effective loan count of 26.6 is higher than the 2023 YTD and 2022 average effective loan count of 20.5 and 25.9, respectively. Investment-Grade Credit Opinion Loans: Four loans representing 10.6% of the pool received an investment-grade credit opinion. Back Bay (4.7%) received a standalone credit opinion of 'AAAsf', Harborside 2-3 (2.8%) received a standalone credit opinion of 'BBBsf', Miracle Mile (2.1%) received a standalone credit opinion of 'AA-sf' and Scottsdale Fashion Square (1.0%) received a standalone credit opinion of 'AAsf'. The pool's total credit opinion percentage is below the YTD 2023 and 2022 averages of 19.8% and 14.4%, respectively. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 0.3%, which is well-below the 2023 YTD and 2022 averages of 2.0% and 3.3%, respectively. The pool has 32 interest-only loans, or 92.8% of pool by balance, which is well-above the 2023 YTD and 2022 averages of 78.6% and 77.5%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf' -- 10% NCF Decline: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'Bsf' / 'less than CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf' -- 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-sf' / 'BBB+sf' / 'BB+sf' / 'B+sf' ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CNG HOLDINGS: S&P Lowers Issuer Credit Rating to 'CC', Outlook Neg ------------------------------------------------------------------ S&P Global Ratings lowered its issuer credit rating on CNG Holdings Inc. (CNG) to 'CC' from 'CCC+' and its issue-level rating on the existing senior secured notes to 'C' from 'CCC'. The negative outlook reflects S&P's expectation that it will lower its issuer credit rating on CNG to a selective default ('SD') and our issue-level rating on its senior secured debt to 'D' upon the completion of the exchange. S&P said, "The downgrade reflects our view that the proposed debt exchange is a distressed debt restructuring. CNG has announced an exchange offer for its outstanding 12.5% senior secured notes due 2024. Under the proposed terms of the exchange, the company will provide the debtholders with new 14.5% senior secured notes due June 2026 and other considerations. Once the transaction closes, we will consider it distressed because, in our view, creditors will receive less value than the securities originally promised. Specifically, we believe the two-year extension in maturity is not adequately offset by offered compensation. "We view the offer as distressed rather than opportunistic because of CNG's weak operating results. Various states have enacted regulatory caps on annual percentage rates that have shrunk CNG's revenue and EBITDA in the last five years. In 2022, its gross revenue declined 2.9% year over year to $523 million, and reported EBITDA plummeted 82% year over year to $1.9 million. The company had $90 million of cash and cash equivalents as of first-quarter 2023, which we expect to be considerably lower after the transaction closes. "The negative outlook reflects our expectation that we will lower our issuer credit rating on CNG to 'SD' and our issue-level rating on its senior secured debt to 'D' upon the completion of the exchange." COLT 2023-2: Fitch Assigns 'B(EXP)sf' Rating to Class B2 Certs -------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2023-2 Mortgage Loan Trust (COLT 2023-2). ENTITY / DEBT RATING ------------ ------ COLT 2023-2 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by COLT 2023-2 Mortgage Loan Trust. The certificates are supported by 659 nonprime loans with a total balance of approximately $324 million as of the cutoff date. Loans in the pool were originated by multiple originators, including HomeXpress Mortgage Corp., LendSure Mortgage Corp., Change Lending, Northpointe Bank and others. Loans were aggregated by Hudson Americas L.P. Loans are currently serviced by Select Portfolio Servicing, Inc. (SPS) or Northpointe Bank. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch view the home price values of this pool as 6.0% above a long-term sustainable level compared with 7.8% on a national level, as of March 2023, down 2.7% since last quarter. The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. Home prices declined 0.2% yoy nationally as of April 2023. Non-QM Credit Quality (Negative): The collateral consists of 659 loans, totaling $324 million and seasoned approximately two months in aggregate. The borrowers have a moderate credit profile of a 739 model FICO and leverage with a 76.2% sustainable loan-to-value ratio (sLTV) and 71.7% combined current LTV (cLTV). The pool consists of 59.5% of loans where the borrower maintains a primary residence, while 34.8% comprise an investor property. Additionally, 62.9% are nonqualified mortgage (non-QM), 1.4% are qualified mortgage (SHQM), and 0.9% are high-priced qualified mortgage (HPQM). The QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 18.00%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Around 92.2% of loans in the pool were underwritten to less than full documentation and 65.4% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (ATR Rule), or the Rule. This reduces risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Fitch treatment of alternative loan documentation increased 'AAAsf' expected losses by 543bps, as compared to a deal of 100% fully documented loans. High Percentage of DSCR Loans (Negative): There are 255 debt service coverage ratio (DSCR) products in the pool (38.7% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Fitch treatment for DSCR loans results in a higher Fitch reported non-zero DTI. Fitch expected losses for DSCR loans is 29.6% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) 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. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2023-2 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to the class A-1, A-2 and A-3 certificates on and after the step up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. As additional analysis to Fitch rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. ESG CONSIDERATIONS 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. COLT 2023-2: Fitch Assigns 'Bsf' Rating to Class B2 Certificates ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2023-2 Mortgage Loan Trust (COLT 2023-2). ENTITY/DEBT RATING PRIOR ---------- ------ ----- COLT 2023-2 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned ratings to the residential mortgage-backed certificates to be issued by COLT 2023-2 Mortgage Loan Trust as indicated. The certificates are supported by 659 nonprime loans with a total balance of approximately $324 million as of the cutoff date. As compared to the expected ratings published by Fitch on July 10, 2023 the final structure features the mezzanine class issued paying a fixed coupon as opposed the NWAC. The M-1 class pays a fixed coupon of 7.67, 28bps below the NWAC, resulting in slightly more excess spread. The coupon for this class is capped at the NWAC. There were no changes to the ratings based on the structural change. Loans in the pool were originated by multiple originators, including HomeXpress Mortgage Corp., LendSure Mortgage Corp., Change Lending, Northpointe Bank and others. For details regarding Fitch's view of Change Lending, see the presale report. Loans were aggregated by Hudson Americas L.P. Loans are currently serviced by Select Portfolio Servicing, Inc. (SPS) or Northpointe Bank. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch view the home price values of this pool as 6.0% above a long-term sustainable level compared with 7.8% on a national level, as of March 2023, down 2.7% since last quarter. The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. Home prices declined 0.2% yoy nationally as of April 2023. Non-QM Credit Quality (Negative): The collateral consists of 659 loans, totaling $324 million and seasoned approximately two months in aggregate. The borrowers have a moderate credit profile of a 739 model FICO and leverage with a 76.2% sustainable loan-to-value ratio (sLTV) and 71.7% combined current LTV (cLTV). The pool consists of 59.5% of loans where the borrower maintains a primary residence, while 34.8% comprise an investor property. Additionally, 62.9% are nonqualified mortgage (non-QM), 1.4% are qualified mortgage (SHQM), and 0.9% are high-priced qualified mortgage (HPQM). The QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 18.00%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Around 92.2% of loans in the pool were underwritten to less than full documentation and 65.4% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (ATR Rule), or the Rule. This reduces risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Fitch treatment of alternative loan documentation increased 'AAAsf' expected losses by 543bps, as compared to a deal of 100% fully documented loans. High Percentage of DSCR Loans (Negative): There are 255 debt service coverage ratio (DSCR) products in the pool (38.7% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Fitch treatment for DSCR loans results in a higher Fitch reported non-zero DTI. Fitch expected losses for DSCR loans is 29.6% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) 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. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2023-2 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to the class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. As additional analysis to Fitch rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, Covius, Canopy, Clayton, Selene, and Evolve. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 47bps reduction to 'AAAsf' losses DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. 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. CONN'S RECEIVABLES 2022-A: Fitch Affirms 'Bsf' Rating on C Notes ---------------------------------------------------------------- Fitch Ratings has affirmed all notes of Conn's Receivables Funding 2022-A, LLC (Conn's 2022-A). The affirmations reflect increased credit enhancement (CE) since closing, despite the trust collateral performance was slightly worse than Fitch's initial expectations. For the class B notes, the Rating Outlook has been revised to Positive from Stable and reflects this CE build as well as the expected amortization of the class B and C notes, further increasing CE. ENTITY/DEBT RATING PRIOR ----------- ------ ----- Conns Receivables Funding 2022-A, LLC A 20825YAA4 LT BBBsf Affirmed BBBsf B 20825YAB2 LT BBsf Affirmed BBsf C 20825YAC0 LT Bsf Affirmed Bsf KEY RATING DRIVERS Rating Stress Reflects Subprime Collateral: The Conn's 2022-A receivables pool had a weighted average (WA) FICO score of 616 at closing, and 8.9% of the loans have scores below 550 or no score. Fitch has revised the lifetime base case default assumption to 31.00% from 27.00% assigned at closing. The assumption accounts for defaults that have been trending higher than expected at closing. The recent changes by the company to its re-age policy are likely to lead to higher upfront realized defaults which Fitch expects to normalize over the course of the transaction, but the current elevated default values have led Fitch to increase its base case assumption. Fitch applied 2.2x, 1.5x and 1.2x stresses to the 31% default assumption at the 'BBBsf', 'BBsf' and 'Bsf' levels, respectively. The default multiple reflects the high absolute value of the historical defaults, the variability of default performance in recent years and the high geographical concentration of the portfolio. Rating Cap at 'BBBsf': The rating cap reflects the subprime credit-risk profile of the customer base; higher loan defaults in the years prior to the coronavirus pandemic; the high concentration of receivables from Texas; the disruption in servicing contributing to increased defaults in recent securitized vintages; and servicing collection risk (albeit reduced in recent years) due to a portion of customers making in-store payments. Payment Structure — Sufficient CE: For all notes of Conn's 2022-A, CE has built to a degree sufficient to cover Fitch's stressed cash flow assumptions at the requisite rating level. The current CE for class A, class B and class C notes is 96.7%, 49.9% and 27.7% of current outstanding balance, respectively. Adequate Servicing Capabilities: Conn Appliances, Inc. has a long track record as an originator, underwriter and servicer. The credit-risk profile of the entity is mitigated by the backup servicing provided by Systems & Services Technologies, Inc., which has committed to a servicing transition period of 30 days. Fitch considers all parties to be adequate servicers for this pool at the current rating levels. Fitch evaluated the servicers' business continuity plan as adequate to minimize disruptions in the collection process during the pandemic. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or chargeoffs could produce loss levels higher than the base case, and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10% and 25%, and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of performance. A more prolonged disruption from the pandemic is accounted for in the downside stress of a 50% increase in the base case default rate. -- Default increase 10%: class A 'BBBsf'; class B 'BB+sf'; class C 'B-sf'; -- Default increase 25%: class A 'BBBsf'; class B 'BBsf'; class C 'CCCsf'; -- Default increase 50%: class A 'BBBsf'; class B 'B+sf'; class C 'CCCsf'. Fitch examined, during the sensitivity analysis, the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. 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 for notes currently rated below the 'BBBsf' cap. Fitch conducted a sensitivity analyses by decreasing the base case default rate for each trust by 10%, 25% and 50%, resulting in the below model implied ratings: -- Default decrease 10%: class A 'BBBsf'; class B 'BBB-sf'; class C 'BB-sf'; -- Default decrease 25%: class A 'BBBsf'; class B 'BBBsf'; class C 'BBsf'; -- Default decrease 50%: class A 'BBBsf'; class B 'BBBsf'; class C 'BBBsf'. 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. CSAIL 2018-C14: Fitch Lowers Rating on 2 Tranches to 'CCsf' ----------------------------------------------------------- Fitch Ratings has downgraded five and affirmed nine classes of CSAIL 2018-C14 Commercial Mortgage Trust commercial mortgage pass-through certificates. The Rating Outlooks on classes D and E have been revised to Negative from Stable. The criteria observation (UCO) has been resolved. ENTITY/DEBT RATING PRIOR ----------- ------ ----- CSAIL 2018-C14 A-2 12596GAX7 LT AAAsf Affirmed AAAsf A-3 12596GAY5 LT AAAsf Affirmed AAAsf A-4 12596GAZ2 LT AAAsf Affirmed AAAsf A-S 12596GBD0 LT AAAsf Affirmed AAAsf A-SB 12596GBA6 LT AAAsf Affirmed AAAsf B 12596GBE8 LT AA-sf Affirmed AA-sf C 12596GBF5 LT A-sf Affirmed A-sf D 12596GAG4 LT BBBsf Affirmed BBBsf E 12596GAJ8 LT BB-sf Downgrade BBB-sf F 12596GAL3 LT CCCsf Downgrade B-sf G 12596GAN9 LT CCsf Downgrade CCCsf X-A 12596GBB4 LT AAAsf Affirmed AAAsf X-F 12596GAA7 LT CCCsf Downgrade B-sf X-G 12596GAC3 LT CCsf Downgrade 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 downgrades and Negative Outlooks reflect the impact of the criteria and concerns with certain office assets, primarily the Continental Towers loan (8.9%) and underperforming loans within the pool. There are seven Fitch Loans of Concern (20.8%), which includes five loans in special servicing (17.6%) one of which is still performing. Fitch's current ratings incorporate a 'Bsf' rating case loss of 7%. Largest Contributor to Loss: The largest contributor to loss is the Continental Towers loan. The loan is secured by a 910,866-sf suburban office property located in Rolling Meadows, IL, which is approximately 25 miles northwest of downtown Chicago. The loan transferred to special servicing in April 2023 due to imminent monetary default. According to servicer updates modification discussions are ongoing. Occupancy has steadily declined since issuance, at approximately 62% as of March 2023 from 74% at YE 2020, 86% at YE 2019 and 93% at issuance. Fitch's 'Bsf' Rating Case Loss prior to concentration add on is approximately 41% which reflects a 10.5% cap rate, 10% stress to the YE 2022 NOI as well as recognition of a higher probability of default. The next largest contributor to loss is the Utah Hotel Portfolio loan (2.1%), which is secured by three limited-service hotels and one full-service hotel totaling 251-keys located in Utah. The loan transferred to special servicing in July 2020 due to payment default as a result of COVID-19 performance declines. The special servicer has been pursuing foreclosure strategy since December 2021. Portfolio performance remains depressed with servicer reported occupancy of 34.4% and NOI DSCR of 0.23x as of YTD March 2022. Fitch's 'Bsf' case loss expectation of 26% (prior to concentration add-ons) reflects a stressed value of approximately $54,000 per room. The third largest contributor to loss is the Fairfield Inn & Suites Denver/Aurora loan (1.8%), which is secured by a 131-room limited service hotel located in Aurora, CO. The loan has been designated as a FLOC due to a low DSCR. Servicer-reported occupancy and NOI DSCR were 70% and 1.02x, respectively as of TTM March 2023, a slight increase from 69% and 0.94x at YE 2022. However, performance remains below pre-pandemic levels. Fitch's 'Bsf' case loss expectation of approximately 19% (prior to concentration add-ons) reflects a stressed value of $45,000 per room. Credit Enhancement: As of the June 2023 distribution date, the pool's aggregate balance has been paid down by 13.4% to $667.3 million from $770.2 million at issuance. One loan (0.8%) is defeased. Seventeen loans (48%) are full-term interest-only, and four loans (11.2%) remain in their partial IO period. Interest shortfalls are currently affecting the NR class and VRR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the classes rated 'AAAsf are not likely due to the position in the capital structure but may occur should interest shortfalls occur. Downgrades to classes rated AA-sf' and 'A-sf' may occur if there's an increase in pool defaults and expected losses increase significantly. Downgrades to the classes rated 'BBBsf' and 'BB-sf' could occur if overall pool losses increase and/or one or more large loans have an outsized loss, which would erode credit enhancement. Further downgrades to the distressed classes rated 'CCCsf' and 'CCsf' would occur with greater certainty of losses and/or as losses are realized. 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 'AA-sf' and 'A-sf' categories could occur with large improvement in CE and/or defeasance and with the stabilization of performance amongst the FLOCs. Upgrades to the classes rated 'BBBsf' and 'BB-sf' 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 the distressed classes F, X-F, G and X-G are not likely given the classes' low CE. 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. DT AUTO 2023-3: S&P Assigns BB (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of approximately 60.80%, 54.56%, 44.40%, 36.38%, and 32.54% credit support (hard credit enhancement and a haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on based on final post-pricing 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 (ECNL) of 25.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.38x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (Wells Fargo), which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. (BAC) as servicer, along with S&P's view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structure. Ratings Assigned DT Auto Owner Trust 2023-3 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) FANNIE MAE 2023-R06: S&P Assigns Prelim 'B-' Rating on 1B-2X Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fannie Mae Connecticut Avenue Securities Trust 2023-R06'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 preliminary ratings are based on information as of July 17, 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 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 S&P believes 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. We expect the U.S. economic growth will slow rather than fall into a recession. We now expect U.S. real GDP growth will slow to under 1.0% in the second half of the year, half the rate expected in the second quarter. Our baseline view is that we see this necessary slowdown as a longer, gradual process rather than a short, abrupt one. An eventual slowdown is necessary, and we see a multi-quarter period of sub-potential growth ahead. Under this view, monetary policy rates will be higher for longer and financial conditions will be tighter for longer, easing back toward their longer-term levels as the economy lands. Preliminary Ratings Assigned Fannie Mae Connecticut Avenue Securities Trust 2023-R06 Class 1A-H(i), $19,227,812,018: NR Class 1M-1, $279,538,000: BBB+ (sf) Class 1M-1H(i), $14,713,475: NR Class 1M-2A(ii), $77,114,000: BBB+ (sf) Class 1M-AH(i), $4,058,821: NR Class 1M-2B(ii), $77,114,000: BBB (sf) Class 1M-BH(i), $4,058,821: NR Class 1M-2C(ii), $77,114,000: BBB- (sf) Class 1M-CH(i), $4,058,821: NR Class 1M-2(ii), $231,342,000: BBB- (sf) Class 1B-1A(ii), $74,577,000: BB (sf) Class 1B-AH(i), $31,962,328: NR Class 1B-1B(ii), $74,577,000: BB- (sf) Class 1B-BH(i), $31,962,328: NR Class 1B-1(ii), $149,154,000: BB- (sf) Class 1B-2, $105,524,000: B- (sf) Class 1B-2H(i), $56,821,642: NR Class 1B-3H(i), $152,199,042: NR Related combinable and recombinable notes exchangeable classes(iii) Class 1E-A1, $77,114,000: BBB+ (sf) Class 1A-I1, $77,114,000(iv): BBB+ (sf) Class 1E-A2, $77,114,000: BBB+ (sf) Class 1A-I2, $77,114,000(iv): BBB+ (sf) Class 1E-A3, $77,114,000: BBB+ (sf) Class 1A-I3, $77,114,000(iv): BBB+ (sf) Class 1E-A4, $77,114,000: BBB+ (sf) Class 1A-I4, $77,114,000(iv): BBB+ (sf) Class 1E-B1, $77,114,000: BBB (sf) Class 1B-I1, $77,114,000(iv): BBB (sf) Class 1E-B2, $77,114,000: BBB (sf) Class 1B-I2, $77,114,000(iv): BBB (sf) Class 1E-B3, $77,114,000: BBB (sf) Class 1B-I3, $77,114,000(iv): BBB (sf) Class 1E-B4, $77,114,000: BBB (sf) Class 1B-I4, $77,114,000(iv): BBB (sf) Class 1E-C1, $77,114,000: BBB- (sf) Class 1C-I1, $77,114,000(iv): BBB- (sf) Class 1E-C2, $77,114,000: BBB- (sf) Class 1C-I2, $77,114,000(iv): BBB- (sf) Class 1E-C3, $77,114,000: BBB- (sf) Class 1C-I3, $77,114,000(iv): BBB- (sf) Class 1E-C4, $77,114,000: BBB- (sf) Class 1C-I4, $77,114,000(iv): BBB- (sf) Class 1E-D1, $154,228,000: BBB (sf) Class 1E-D2, $154,228,000: BBB (sf) Class 1E-D3, $154,228,000: BBB (sf) Class 1E-D4, $154,228,000: BBB (sf) Class 1E-D5, $154,228,000: BBB (sf) Class 1E-F1, $154,228,000: BBB- (sf) Class 1E-F2, $154,228,000: BBB- (sf) Class 1E-F3, $154,228,000: BBB- (sf) Class 1E-F4, $154,228,000: BBB- (sf) Class 1E-F5, $154,228,000: BBB- (sf) Class 1-X1, $154,228,000(iv): BBB (sf) Class 1-X2, $154,228,000(iv): BBB (sf) Class 1-X3, $154,228,000(iv): BBB (sf) Class 1-X4, $154,228,000(iv): BBB (sf) Class 1-Y1, $154,228,000(iv): BBB- (sf) Class 1-Y2, $154,228,000(iv): BBB- (sf) Class 1-Y3, $154,228,000(iv): BBB- (sf) Class 1-Y4, $154,228,000(iv): BBB- (sf) Class 1-J1, $77,114,000: BBB- (sf) Class 1-J2, $77,114,000: BBB- (sf) Class 1-J3, $77,114,000: BBB- (sf) Class 1-J4, $77,114,000: BBB- (sf) Class 1-K1, $154,228,000: BBB- (sf) Class 1-K2, $154,228,000: BBB- (sf) Class 1-K3, $154,228,000: BBB- (sf) Class 1-K4, $154,228,000: BBB- (sf) Class 1M-2Y, $231,342,000: BBB- (sf) Class 1M-2X, $231,342,000(iv): BBB- (sf) Class 1B-1Y, $149,154,000: BB- (sf) Class 1B-1X, $149,154,000(iv): BB- (sf) Class 1B-2Y, $105,524,000: B- (sf) Class 1B-2X, $105,524,000(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. FORTRESS CREDIT XIX: Fitch Assigns 'BB+sf' Rating to Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Fortress Credit BSL XIX Limited. ENTITY/DEBT RATING PRIOR ----------- ------ ----- Fortress Credit BSL XIX Limited A LT NRsf New Rating NR(EXP)sf B LT AA+sf New Rating AA+(EXP)sf C-1 LT A+sf New Rating A+(EXP)sf C-2 LT A+sf New Rating A+(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fortress Credit BSL XIX Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by FC BSL CLO Manager IV LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $480 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B'/'B-' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans and has a weighted average recovery assumption of 75.7%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect the 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 their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'BBB+sf' for class C-1 and C-2, 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-1 and C-2, 'A+sf' for class D, and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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. FORTRESS CREDIT XIX: Moody's Assigns B3 Rating to $1.2MM F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Fortress Credit BSL XIX Limited (the "Issuer" or "Fortress Credit XIX"). Moody's rating action is as follows: US$297,600,000 Class A Senior Secured Floating Rate Notes due 2036, Definitive Rating Assigned Aaa (sf) US$1,200,000 Class F Deferrable Mezzanine Floating Rate Notes due 2036, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Fortress Credit XIX is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, senior unsecured loans, first lien last out loans, senior secured bonds and senior secured notes, provided that no more than 5.0% of the collateral may consist of senior secured bonds and senior secured notes. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. FC BSL CLO Manager IV LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $480,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3202 Weighted Average Spread (WAS): 4.05% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. GOLDENTREE LOAN 15: Fitch Affirms 'BB+sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class B-1, B-2, C, C-J, D, and E of GoldenTree Loan Management US CLO 14, Ltd. (GoldenTree 14) and the class C, D, and E of GoldenTree Loan Management US CLO 15, Ltd (GoldenTree 15). The Rating Outlooks on all rated tranches remain Stable. ENTITY/DEBT RATING PRIOR ---------- ------ ----- GoldenTree Loan Management US CLO 15, Ltd. C 38139BAG4 LT Asf Affirmed Asf D 38139BAJ8 LT BBBsf Affirmed BBBsf E 38139CAA5 LT BB+sf Affirmed BB+sf GoldenTree Loan Management US CLO 14, Ltd. B-1 38136RAE7 LT AAsf Affirmed AAsf B-2 38136RAG2 LT AAsf Affirmed AAsf C 38136RAJ6 LT A+sf Affirmed A+sf C-J 38136RAL1 LT Asf Affirmed Asf D 38136RAN7 LT BBB-sf Affirmed BBB-sf E 38137VAA5 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY GoldenTree CLO 14 and 15 are broadly syndicated collateralized loan obligations (CLOs) managed by GoldenTree Loan Management II, LP, an affiliate of GoldenTree Asset Management LP. GoldenTree CLO 14 closed in July 2022 and will exit its reinvestment period in July 2027. GoldenTree CLO 15 closed in August 2022 and will exit its reinvestment period in July 2025. Both CLOs are secured primarily by first-lien, senior secured leverage 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. GoldenTree 14 and 15's credit quality as of June 2023 reporting is at the 'B'/'B-' rating level, which is in line with closing. The Fitch weighted average rating factor (WARF) for GoldenTree 14 is 24.76 compared to 24.88 at closing. GoldenTree 15's Fitch WARF is 24.52 compared to 25.20 at closing. GoldenTree 14's portfolio consists of 193 obligors, and the largest 10 obligors represent 11.5% of the portfolio. GoldenTree 15 has 183 obligors, with the largest 10 obligors comprising 11.8% of the portfolio. There are no defaults in either portfolio. Exposure to issuers with a Negative Outlook and Fitch's Watchlist is 16.6% and 5.6%, respectively, for GoldenTree 14 and 13.7% and 4.1%, respectively, for GoldenTree 15. On average, first-lien loans, cash and eligible investments comprised 97.7% of the portfolio as of the June 2023 reports. Fitch's weighted average recovery rate of the portfolios was 76.2% on average, compared to an average of 75.7% at closing. 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 7.25 years and 6.0 years for GoldenTree 14 and GoldenTree 15, respectively. Second-lien assets were assumed to be 10.0% and 7.5% for GoldenTree 14 and GoldenTree 15, respectively. Other FSP assumptions for both CLOs include 5.0% Fixed Rate assets and 7.5% CCC assets. In GoldenTree 14 the rating for class C is in line with its model-implied rating (MIR), as defined in Fitch's CLOs and Corporate CDO Rating Criteria. The class B-1, B-2, C-J, and D were affirmed one notch below their respective MIRs, and class E was affirmed two notches below its MIR. For GoldenTree 15, the rating for class E is in line with its MIR, and class C and D were affirmed one notch below their respective MIRs. The variation from MIR was due to limited cushions at MIR levels and an anticipated economic slowdown. 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 and four rating notches for GoldenTree 14 and 15, respectively, 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 and four rating notches for GoldenTree 14 and 15, respectively, based on the MIRs. GS MORTGAGE 2019-PJ3: Moody's Ups Rating on Cl. B-4 Certs From Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of nine bonds from three US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2019-PJ1 Cl. B-2, Upgraded to Aaa (sf); previously on Sep 22, 2022 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2019-PJ2 Cl. B-1, Upgraded to Aaa (sf); previously on Sep 22, 2022 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 22, 2022 Upgraded to A1 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jul 26, 2019 Definitive Rating Assigned Baa2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2019-PJ3 Cl. B-1, Upgraded to Aaa (sf); previously on Sep 22, 2022 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 22, 2022 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Sep 22, 2022 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 31, 2019 Definitive Rating Assigned Ba1 (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. 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 Methodology 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. HARBORVIEW MORTGAGE 2005-13: Moody's Cuts Cl. X Debt Rating to C ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Class X issued by HarborView Mortgage Loan Trust 2005-13. The collateral backing this deal consists of option ARM mortgages. Complete rating actions are as follows: Issuer: HarborView Mortgage Loan Trust 2005-13 Cl. X, Downgraded to C (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) RATING RATIONALE The rating action reflects the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating downgrade of Class X from HarborView Mortgage Loan Trust 2005-13 to C(sf) reflects the nonpayment of interest for an extended period of at least 12 months. Principal Methodologies The methodologies used in this rating were "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the rating: 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. JP MORGAN 2014-C24: Moody's Lowers Rating on Cl. C Certs to Ba3 --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and downgraded the ratings on five classes in J.P. Morgan Chase Commercial Mortgage Securities Trust, Commercial Pass-Through Certificates, Series 2014-C24 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Sep 30, 2020 Affirmed Aaa (sf) Cl. A-4A1, Affirmed Aaa (sf); previously on Sep 30, 2020 Affirmed Aaa (sf) Cl. A-4A2, Affirmed Aaa (sf); previously on Sep 30, 2020 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Sep 30, 2020 Affirmed Aaa (sf) Cl. A-S, Downgraded to Aa3 (sf); previously on Sep 30, 2020 Affirmed Aa1 (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Sep 30, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Apr 23, 2021 Downgraded to A3 (sf) Cl. C, Downgraded to Ba3 (sf); previously on Apr 23, 2021 Downgraded to Ba1 (sf) Cl. EC, Downgraded to Baa3 (sf); previously on Apr 23, 2021 Downgraded to Baa1 (sf) Cl. X-A*, Affirmed Aa1 (sf); previously on Sep 30, 2020 Affirmed Aa1 (sf) Cl. X-B-1*, Downgraded to Baa2 (sf); previously on Apr 23, 2021 Downgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on five P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on three P&I classes were downgraded due to anticipated losses and increased risk of interest shortfalls from the exposure to specially serviced and troubled loans and potential refinance challenges for certain large loans with upcoming maturity dates. Three loans, representing 12% of the pool are in special servicing. All of the remaining loans (except for one defeased loan) mature by October 2024 and given the higher interest rate environment and loan performance, if certain loans are unable to pay off at their maturity date, the outstanding classes may face increased interest shortfall risk. The rating on one IO class, Cl. X-A, was affirmed based on the credit quality of the referenced classes. The rating on one IO class, Cl. X-B, was downgraded due to the decline in credit quality of its reference class. The rating on the exchangeable class, Cl. EC, was downgraded due to the decline in credit quality of its reference classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 12.6% of the current pooled balance, compared to 12.3% at Moody's last review. Moody's base expected loss plus realized losses is now 9.8% of the original pooled balance, compared to 10.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the June 15, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 22.1% to $990.2 million from $1.3 billion at securitization. The certificates are collateralized by 42 mortgage loans ranging in size from less than 1% to 11.6% of the pool, with the top ten loans (excluding defeasance) constituting 70.6% of the pool. 16 loans, constituting 12.9% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, down from 15 at Moody's last review. As of the June 2023 remittance report, loans representing 88% were current or within their grace period on their debt service payments. Three loans, constituting 1.8% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool, and three loans, constituting 12% of the pool, are currently in special servicing. all of which transferred to special servicing since March 2020. The largest specially serviced loan is the 635 Madison Avenue loan ($84.5 million – 8.5% of the pool), which is secured by the leasehold interest in a 19 story, 177,000 square foot (SF) mixed-use property located in Midtown Manhattan. The property includes street level retail and a mix of traditional office and medical office space. The property is subject to a ground lease with a fully extended term through 2051. The property is also encumbered with a $35 million mezzanine loan. The loan transferred to special servicing in August 2020 for payment default. A foreclosure complaint was filed in December 2021. The lender will dual track the foreclosure process while discussing workout alternatives with borrower. As of the June 2023 payment date, the loan was last paid through February 2023. For the trailing twelve months (TTM) ending March 2023, the property was 79% occupied, compared to 94% at securitization. While revenues have increased since securitization, operating expenses have steadily increased since 2017 resulting in lower NOI compared to the underwritten levels. The most recent appraisal from July 2022 valued the property 47% lower than the value at securitization, but still above the outstanding loan amount. The second largest specially serviced loan is the Hilton Houston Post Oak Loan ($31.6 million – 3.2% of the pool), which represents a pari-passu portion of a $72.2 million whole loan. The loan is secured by a 448-unit, full-service hotel located in Houston, TX. The loan transferred to special servicing in May 2020 for monetary default. The borrower filed for bankruptcy in late 2021 and the loan eventually went into foreclosure, becoming REO in September 2022. The most recent servicer commentary indicates that asset management is working to stabilize the hotel for eventual sale. As of the June 2023 remittance, the loan was last paid through June 2021. The most recent appraisal from November 2022 valued the property 47% lower than the value at securitization, and slightly below the outstanding loan amount. The third largest specially serviced loan is the Anchor Industrial Park Loan ($3.0 million -- 0.3% of the pool), which is secured by a 118,600 SF industrial property near Buffalo, NY. The loan transferred to special servicing in November 2020 for payment default. The borrower filed for bankruptcy in 2022 which was dismissed by the judge. Legal proceedings are still ongoing, with the lender contemplating a potential settlement offer. Moody's has also assumed a high default probability for three poorly performing loans, constituting 7.9% of the pool, and has estimated an aggregate loss of $99.5 million (a 51% expected loss on average) from these specially serviced and troubled loans. The largest troubled loan is the North Riverside Park Mall (6.8% of the pool), which failed to pay off at its original 2019 maturity date. The loan was modified in May 2021 which included a five-year maturity extension and an A/B note split into a $45 million A-note (4.5% of pool) and $21.9 million B-note (2.2% of pool). The loan is secured by a 429,000 SF portion of a 1.1 million SF regional mall located in the west Chicago suburbs. As of year-end 2022, the collateral was 88% occupied, with NOI near the securitization amount. The most recent appraisal from December 2020 valued the property 74% lower than the value at securitization and significantly below the outstanding loan amount. The remaining troubled loan is secured by an office property in Hartford, CT that has had a significant decline in occupancy. As of the June 2023 remittance statement cumulative interest shortfalls were $4.4 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2021 operating results for 95% of the pool, and full or partial year 2022 operating results for 97% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 115%, compared to 114% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 23% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.73X and 0.95X, respectively, compared to 1.66X and 0.94X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 32.3% of the pool balance. The largest loan is the Grapevine Mills ($115 million – 11.6% of the pool), which represents a pari-passu portion of a $268 million whole loan. The loan is secured by a 1.3 million SF portion of a 1.6 million SF super regional mall located in Grapevine, TX, located between Dallas and Fort Worth. The property is anchored by non-collateral AMC Theatres and Bass Pro Shop, and the collateral is anchored by Fieldhouse USA and Burlington Coat factory. The tenant roster includes a wide range of entertainment, outlets, traditional retail and dining options. As of year-end 2022, the collateral was 93% occupied, compared to 92% at securitization. Property performance has improved since securitization. The loan is interest-only for its full term and matures in October 2024. Moody's LTV and stressed DSCR are 87% and 1.24X, respectively, same as at the last review. The second largest loan is the Mall of Victor Valley Loan ($115 million – 11.6% of the pool), which is secured by a 477,000 SF portion of a 574,000 SF regional mall located in Victorville, CA, 60 miles northeast of Los Angeles. The property is anchored by a non-collateral Macy's, and the collateral is anchored by JC Penney and Cinemark Theatres. The collateral also contained a Sears, which closed in 2020 and the space remains vacant. As of the TTM ending March 2023, the property was 99% occupied, though when accounting for the vacant Sears space, the occupancy is 83%. Property performance has generally been stable since securitization. The loan is interest only for its full term and matures in September 2024. Moody's LTV and stressed DSCR are 129% and 0.88X, respectively, compared to 123% and 0.88X at the last review. The third largest loan is the Columbus Square Portfolio Loan ($89.7 million – 9.1% of the pool), which represents a pari-passu portion of a $373.4 million whole loan. The loan is secured by five mixed-use buildings containing approximately 500,000 SF and located on the Upper West Side in New York City. The retail component, which contains approximately 276,000 SF, is anchored by Whole Foods and TJ Maxx. As of September 2022, the property was 98% leased compared to 96% at securitization. Target signed a 15-year lease in 2020 to occupy 25,000 SF and Burlington Coat Factory signed a 15-yearlease in September 2022 to backfill the former Michaels Stores, which vacated in January 2022. The loan was interest-only for the first 42 months and began amortizing on a 35-year schedule in February 2018. The loan has amortized 9.1 since securitization. Moody's LTV and stressed DSCR are 122% and 0.72X, respectively, compared to 126% and 0.69X at the last review. JP MORGAN 2018-1: Moody's Upgrades Rating on Cl. B-5 Certs to Ba3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 24 bonds from six US residential mortgage-backed transactions (RMBS), backed by fixed rate, first-lien prime jumbo and agency eligible mortgage loans. A list of Affected Credit Ratings is available at https://urlcurt.com/u?l=8FX7rH Complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2018-1 Cl. B-2, Upgraded to Aaa (sf); previously on Nov 29, 2021 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Nov 29, 2021 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Oct 9, 2018 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Oct 9, 2018 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2018-3 Cl. B-2, Upgraded to Aaa (sf); previously on Nov 29, 2021 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Nov 29, 2021 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 29, 2021 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Oct 30, 2019 Upgraded to B2 (sf) Issuer: J.P. Morgan Mortgage Trust 2018-4 Cl. B-2, Upgraded to Aaa (sf); previously on Nov 29, 2021 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Nov 29, 2021 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Nov 29, 2021 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Oct 30, 2019 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2018-5 Cl. B-2, Upgraded to Aaa (sf); previously on Nov 29, 2021 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Nov 29, 2021 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 29, 2021 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Oct 30, 2019 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2018-6 Cl. B-2, Upgraded to Aaa (sf); previously on Nov 29, 2021 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Nov 29, 2021 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 29, 2021 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Apr 3, 2019 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2018-8 CL. B-2, Upgraded to Aaa (sf); previously on Sep 26, 2022 Upgraded to Aa1 (sf) CL. B-3, Upgraded to Aa2 (sf); previously on Nov 29, 2021 Upgraded to A1 (sf) CL. B-4, Upgraded to Baa2 (sf); previously on Mar 5, 2019 Upgraded to Ba1 (sf) CL. B-5, Upgraded to Ba2 (sf); previously on Oct 30, 2019 Upgraded to Ba3 (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. 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 rating all classes 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. JP MORGAN 2021-1: Moody's Upgrades Rating on Cl. B-5 Certs to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 36 bonds from five US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible investor mortgage loans. A list of Affected Credit Ratings is available at https://urlcurt.com/u?l=PTmrvt Complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2021-1 Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 26, 2022 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Sep 26, 2022 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Sep 26, 2022 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Sep 26, 2022 Upgraded to A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Sep 26, 2022 Upgraded to A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Sep 26, 2022 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Sep 26, 2022 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 29, 2021 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jan 29, 2021 Definitive Rating Assigned B2 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-3 Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 26, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Feb 26, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Feb 26, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Feb 26, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Feb 26, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Feb 26, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 26, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Feb 26, 2021 Definitive Rating Assigned Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-4 Cl. B-1, Upgraded to Aa2 (sf); previously on Mar 31, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Mar 31, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Mar 31, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Mar 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Mar 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Mar 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Mar 31, 2021 Definitive Rating Assigned Baa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-6 Cl. B-1, Upgraded to Aa2 (sf); previously on Apr 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Apr 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Apr 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Apr 30, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Apr 30, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Apr 30, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Apr 30, 2021 Definitive Rating Assigned Baa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-LTV2 Cl. A-2, Upgraded to Aa1 (sf); previously on Dec 30, 2021 Definitive Rating Assigned Aa2 (sf) Cl. A-3, Upgraded to Aa2 (sf); previously on Dec 30, 2021 Definitive Rating Assigned A1 (sf) Cl. B-1, Upgraded to Ba1 (sf); previously on Dec 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-2, Upgraded to B1 (sf); previously on Dec 30, 2021 Definitive Rating Assigned B2 (sf) Cl. M-1, Upgraded to Baa1 (sf); previously on Dec 30, 2021 Definitive Rating Assigned Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. 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. 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 rating all classes except interest-only classes 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MADISON PARK LV: Fitch Affirms 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-1b-RR and C-2-RR notes of Madison Park Funding XXI, Ltd. (Madison Park XXI) and the class A-1, A-2a, A-2b, B-1, B-2, C, D, and E notes of Madison Park Funding LV, Ltd. (Madison Park LV). The Rating Outlooks on all rated tranches remain Stable. ENTITY/DEBT RATING PRIOR ----------- ------ ----- Madison Park Funding LV, Ltd. A-1 55819FAA9 LT AAAsf Affirmed AAAsf A-2a 55819FAC5 LT AAAsf Affirmed AAAsf A-2b 55819FAL5 LT AAAsf Affirmed AAAsf B-1 55819FAE1 LT AAsf Affirmed AAsf B-2 55819FAN1 LT AAsf Affirmed AAsf C 55819FAG6 LT Asf Affirmed Asf D 55819FAJ0 LT BBB-sf Affirmed BBB-sf E 55818AAA1 LT BB-sf Affirmed BB-sf Madison Park Funding XXI, Ltd. A-1b-RR 55820JBE9 LT AAAsf Affirmed AAAsf C-2-RR 55820JBN9 LT BBB-sf Affirmed BBB-sf TRANSACTION SUMMARY Madison Park XXI and Madison Park LV are broadly syndicated collateralized loan obligations (CLOs) managed by Credit Suisse Asset Management, LLC. Madison Park XXI closed in August 2016, reset in October 2021, and will exit its reinvestment period in October 2024. Madison Park LV closed in August 2022 and will exit 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 reflect the portfolios' stable performance since their last rating actions. Since its last review in August 2022, the credit quality of Madison Park XXI's portfolio as of June 2023 reporting remained at the 'B'/'B-' rating level, with Fitch's weighted average rating factor (WARF) increasing to 26.6 from 26.2. The credit quality of Madison Park LV's portfolio as of June 2023 reporting remained at the 'B'/'B-' rating level, with Fitch WARF increasing to 26.5 from 25.4 at closing. The portfolio for Madison Park XXI consists of 361 obligors, and the largest 10 obligors represent 10.2% of the portfolio. Madison Park LV has 286 obligors, with the largest 10 obligors comprising 9.9% of the portfolio. As of June 2023 reporting, Madison Park XXI holds seven defaulted assets totaling 1.1% of the portfolio and Madison Park LV holds one defaulted asset totaling 0.3% of the portfolio. Exposure to issuers with a Negative Outlook is 19.2% and 17.7% and exposure to Fitch's watchlist is 9.2% and 8.1% for Madison Park XXI and Madison Park LV, respectively. On average, first lien loans, cash and eligible investments comprise 95.3% of the portfolios and fixed rate assets comprise 2.7% of the portfolios. Fitch's weighted average recovery rate (WARR) for Madison Park XXI is 73.3%, compared to 73.5% at last review. Fitch's WARR for Madison Park LV is 73.4%, compared to 74.1% 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 Portfolios (FSPs) 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 6.00 years for Madison Park XXI and 7.31 years for Madison Park LV. The weighted average spread (WAS) was stressed to the current trustee reported WAS of 3.78% for Madison Park XXI and the covenant level of 3.55% for Madison Park LV. Other FSP assumptions for both CLOs include 10% non-senior secured assets, 5.0% fixed rate assets and 7.5% 'CCC' assets. Madison Park XXI had also executed a second supplemental indenture on June 30, 2023 in which the issuer will use three-month term SOFR as a new reference rate with ARRC's recommended credit spread adjustment (CSA) after the July determination date. Accordingly, Fitch's cash flow modelling analysis incorporated the new benchmark rate and adjusted the spreads on CLO notes of the issuer to reflect the 26.161 bps CSA. The rating actions are in line with the model implied ratings (MIRs) as defined in the criteria. The Stable Outlooks reflect Fitch's expectation that the notes have a 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 Madison Park LV and up to one rating notch for Madison Park XXI, 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 Madison Park XXI and Madison Park LV, based on the MIRs. 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 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. MADISON PARK LXII: Fitch Assigns 'BBsf' Rating to Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the Madison Park Funding LXII, Ltd. reset. ENTITY/DEBT RATING PRIOR ---------- ------ ----- Madison Park Funding LXII, Ltd. A-R LT NRsf New Rating B 55817HAE9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 55817HAG4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 55817HAJ8 LT PIFsf Paid In Full BBB+sf D-2 55817HAL3 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 55817JAA3 LT PIFsf Paid In Full BB+sf E-R LT BBsf New Rating F-R LT NRsf New Rating Sub Notes LT NRsf New Rating TRANSACTION SUMMARY Madison Park Funding LXII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Credit Suisse Asset Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.22% first-lien senior secured loans and has a weighted average recovery assumption of 72.73%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Neutral): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R; and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'A+sf' for class C-R, 'Asf' for class D-R; and 'BBB+sf' for class E-R. 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. MADISON PARK LXII: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by Madison Park Funding LXII, Ltd. (the "Issuer"). Moody's rating action is as follows: US$256,000,000 Class A-R Floating Rate Senior Notes Due 2036, Assigned Aaa (sf) US$1,000,000 Class F-R Deferrable Floating Rate Junior Notes Due 2036, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, and up to 10.0% of the portfolio may consist of assets that are not senior secured loans. Credit Suisse Asset Management, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score 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: Portfolio par: $400,000,000 Defaulted par: $1,250,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3125 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing 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 Refinancing Notes. MILL CITY 2017-2: Fitch Assigns 'B-sf' Rating to Class B5 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to four previously unrated classes from four Mill City Mortgage Trust (MCMLT) transactions issued between 2017 and 2018. ENTITY/DEBT RATING ---------- ------ MCMLT 2017-3 B4 59980CAL7 LT BBsf New Rating Mill City Mortgage Loan Trust 2018-2 B4 59980MAN1 LT BBsf New Rating Mill City Mortgage Loan Trust 2018-1 B4 59980VAM3 LT Bsf New Rating Mill City Mortgage Loan Trust 2017-2 B5 59980AAJ6 LT B-sf New Rating TRANSACTION SUMMARY Fitch has rated other classes within these transactions since deal close. The additional classes with ratings assigned today are more junior than the classes with existing ratings and were unrated at deal close. All of the transactions have performed well since closing with many of the previously rated bonds upgraded or assigned a Positive Rating Outlook. All of the transactions are U.S. RMBS transactions collateralized by pools of re-performing loans (RPL). KEY RATING DRIVERS Stable Performance (Positive): Since issuance, the delinquency rates of the collateral for the deals in this review have seen relatively stable performance. When comparing current 30-day delinquency to delinquency at issuance, rates have increased by less than 5pts and have outperformed the overarching RPL sector as a whole, which has returned to pre-coronavirus levels. The average current 30-day delinquency for this cohort is around 8% and reached a little more than 12% during the height of the pandemic. Lower Loss Expectations (Positive): Home price appreciation as well as stable borrower performance has led to an overall decrease of expected losses for the pools backing these notes. Losses at AAA have seen a decrease of approximately 20pts at the 'AAAsf' level. Realized losses have also been limited with losses as a percentage of original balance of less than 1%. Pools have experienced material paydowns, and have an average factor of a little over 44%. As a result of deleveraging, the classes with proposed ratings have experienced an average increase in credit enhancement (CE) of 4.3pts since issuance. Sequential Structure (Positive): All four transactions follow a sequential payment structure whereby the CE consists of subordinated notes, the distributions of which will be subordinated to principal and interest payments due to senior noteholders. Excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to cover coupon cap shortfalls as well as to pay down additional principal on the notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative stress 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 decline at the base case. This analysis indicates that there is some potential rating migration with higher MVDs compared with the model projection. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior classes already rated 'AAAsf' as well as classes that are constrained due to qualitative rating caps, the analysis indicates there is potential positive rating migration for all of the other rated classes. 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. For enhanced disclosure of Fitch's stresses and sensitivities, please refer to U.S. RMBS Loss Metrics. ESG CONSIDERATIONS MCMLT 2017-3 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to exposure to counterparty risk; origination, underwriting and/or aggregator standards; borrower/lessee/sponsor risk; originator/servicer/manager/operational risk, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. Mill City Mortgage Loan Trust 2017-2 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to exposure to counterparty risk; origination, underwriting and/or aggregator standards; borrower/lessee/sponsor risk; originator/servicer/manager/operational risk, which has a negative impact on the credit profile, and is relevant to the rating[s] 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. MORGAN STANLEY 2016-UBS9: Fitch Affirms 'B-sf' Rating on F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Capital I Trust (MSCI) Commercial Mortgage Pass-Through Certificates, series 2016-UBS9. In addition, the Rating Outlooks on classes D, E, X-D and X-E were revised to Negative from Stable. The Rating Outlook remains Negative on class F. ENTITY/DEBT RATING PRIOR ---------- ------ ----- MSCI 2016-UBS9 A-3 61766CAD1 LT AAAsf Affirmed AAAsf A-4 61766CAE9 LT AAAsf Affirmed AAAsf A-S 61766CAG4 LT AAAsf Affirmed AAAsf A-SB 61766CAF6 LT AAAsf Affirmed AAAsf B 61766CAK5 LT AA-sf Affirmed A-sf C 61766CAL3 LT A-sf Affirmed A-sf D 61766CAV1 LT BBB-sf Affirmed BBB-sf E 61766CAX7 LT BB-sf Affirmed BB-sf F 61766CAZ2 LT B-sf Affirmed B-sf X-A 61766CAH2 LT AAAsf Affirmed AAAsf X-B 61766CAJ8 LT AA-sf Affirmed AA-sf X-D 61766CAM1 LT BBB-sf Affirmed BBB-sf X-E 61766CAP4 LT BB-sf Affirmed BB-sf 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. Stable Loss Expectations: Loss expectations for the pool remain stable since Fitch's prior rating action. Seven loans are considered Fitch Loans of Concern (FLOCs; 42.4% of the pool), and no loans are currently in special servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 5.10%. The Negative Outlooks on the classes D, E, X-D, X-E and F reflect performance and refinance concerns on two office loans in the top 15, 2100 Ross and Princeton Pike Corporate Center, and three retail outlet loans, Grove City Premium Outlets, Gulfport Premium Outlets and Ellenton Premium Outlets. Fitch Loans of Concern: The 2100 Ross loan (9.6%) is secured by a 33-story, 843,728-sf office building located in the Arts District of downtown Dallas, TX. The property's largest tenants include Lockton Companies (11.7% of NRA; leased through March 2026), Netherland, Sewell & Associates (7.3%; September 2025), Prudential Mortgage Capital (6.5%, April 2027) and Merrill Lynch, Pierce, Fenner and Smith (5.6%, July 2027). Occupancy for the property was 63.5% as of the March 2023 rent roll, compared with 63% at YE 2022, 81% at YE 2020 and 2021 and 82% at YE 2019. The largest tenant, CBRE (15% of NRA, 20% base rent), vacated at lease expiration in March 2022, relocating to an office tower in the uptown area of Dallas. The vacant CBRE space has yet to be backfilled. The servicer-reported NOI DSCR as of March 2023 was 1.29x, down from 1.35x at YE 2022, 1.52x at YE 2021, 1.56x at YE 2020 and 1.39x at YE 2019. According to CoStar as of 2Q2023, the Dallas CBD office submarket had a vacancy rate of 26.3% with an elevated availability rate of 30.2% and a market rent of $28.76 psf. Fitch's 'Bsf' rating case loss of 4.2% prior to concentration adjustments is based on a 9.50% cap rate and 25% stress to YE 2021 NOI to account for loss of the largest tenant and weak submarket fundamentals. Princeton Pike Corporate Center (8.2%) 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. The property was 73.6% occupied as of the March 2023 rent roll, in line with YE 2022, but down from 77.2% at YE 2021 and 82% at YE 2020. 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 is in holdover for a few months. Occupancy is estimated to decline to approximately 63%. The property's other largest tenants include Factor Systems (10.9%; December 2033) and Fox Rothschild, LLP (7%; April 2024). Near-term lease rollover includes 5% of NRA in 2023 and 17% in 2024. The servicer-reported NOI DSCR as of YE 2022 was 1.78x, compared with 1.52x at YE 2021, 2.17x at YE 2020 and 1.75x at YE 2019. According to CoStar as of 2Q2023, the Trenton office submarket had a vacancy rate of 8.8%, availability rate of 13.4% and market rent of $29.06 psf. Fitch's 'Bsf' rating case loss of 11% prior to concentration adjustments is based on a 10.0% cap rate and 20% stress to the YE 2022 NOI to reflect lease rollover concerns. The pool has exposure to three Simon-owned outlet malls, combined 12.6% of the pool, including Ellenton Premium Outlets, 7.1%; Grove City Premium Outlets, 3.7%; and Gulfport Premium Outlets, 1.7%). The largest contributor to pool loss expectations is the Grove City Premium Outlets loan (3.7%), which is secured by a 531,200-sf outlet center located in Grove City, PA, approximately 50 miles north of Pittsburgh. The property's largest tenants include Old Navy (3.8% of NRA; leased through January 2026) and Nike Factory Store (3.1%; June 2023). Occupancy of the outlet center was 75% as of YE 2022, compared with 71% at YE 2021, 77% at YE 2020, 82% at YE 2019 and 98% at issuance. YE 2022 NOI declined by 13% from YE 2021. Near-term lease rollover includes approximately 11% of NRA in 2023 and an additional 10% in 2024. The servicer-reported NOI DSCR as of YE 2022 was 2.14x, from 2.40x at YE 2021 and 2.75x at issuance. 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 adjustments reflects a 15% cap rate and a 10% stress to YE 2021 NOI, and factors in an increased probability of default due to heightened maturity default risk given the sustained performance declines. Gulfport Premium Outlets (1.7%) 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 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 pre-pandemic levels of $318 psf in 2019. Fitch's 'Bsf' rating case loss of 33% prior to concentration add-ons reflects a 15% cap rate and 15% stress to the YE 2022 NOI and factors in an increased probability of default due to heightened maturity default risk given the overall performance declines and upcoming rollover. Ellenton Premium Outlets (7.1%) is secured by a 476,481-sf outlet center in Ellenton, FL. The property's largest tenants include VF Factory Outlet (4.9% of NRA leased through January 2026), Saks Fifth Avenue Off 5th (4.1%; October 2026) and Nike Factory Store (3.2%; January 2025). As of December 2022, occupancy was 83%, compared to 82% at YE 2021, 88% at YE 2020 and 89% at YE 2019. As of the December 2022 rent roll, near-term lease rollover includes 11.4% of NRA in 2023 and 14.7% in 2024. The most recently reported sales were $442 psf as of YE 2021, an improvement from $426 psf at YE 2019 but below sales of $502 psf at issuance. Fitch requested but did not receive a more recent tenant sales report. Fitch's 'Bsf' rating case loss of 4.7% prior to concentration adjustments reflects a 10% cap rate and 15% total haircut to the YE 2021 NOI to account for near-term lease rollover concerns and declining occupancy. Increased CE: As of the June 2023 distribution date, the pool's aggregate principal balance has been paid down by 18.6% to $542.8 million from $666.6 million at issuance. Seven loans (19.9% of the pool) are fully defeased. Two loans (11.5% of original pool balance) have paid off since issuance. Loan maturities are concentrated in 2025 and 2026 when 45.7% and 39.9% of the pool mature, respectively. There have been no realized losses to the trust since issuance. 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 of the 'AA-sf' and 'AAAsf' categories are not likely due to increasing CE and expected continued paydowns, but may occur should interest shortfalls affect these classes. A downgrade of the 'A-sf' rated class could occur if expected losses increase significantly and/or all of the FLOCs suffer losses. Downgrades to classes D, E, X-D, X-E and F 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 larger office FLOCs and retail outlet loans. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades would occur with stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would only occur with significant improvement in CE and/or performance stabilization of FLOCs, and be limited by adverse selection, increased concentrations and further underperformance of the office properties and retail outlet. Upgrades to classes D, E, X-D, X-E and F are unlikely absent significant performance improvement and substantially higher recoveries than expected on the FLOCs, and there is sufficient CE to the classes. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MORGAN STANLEY 2023-2: Fitch Gives 'B+(EXP)sf' Rating to B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2023-2 (MSRM 2023-2). ENTITY/DEBT RATING ---------- ------ MSRM 2023-2 A-1 LT AAA(EXP)sf Expected Rating A-1-IO LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-2-IO LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-IO LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-IO LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-IO LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-IO LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB+(EXP)sf Expected Rating B-5 LT B+(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2023-2 (MSRM 2023-2). This is the 12th post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the 10th MSRM transaction that comprises loans from various sellers that were acquired by Morgan Stanley in its prime-jumbo aggregation process and is their second prime transaction in 2023. The certificates are supported by 309 prime-quality loans with a total balance of approximately $294.28 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The top three largest originators are CrossCountry Mortgage, LLC (CrossCountry) at 15.03%, United Wholesale Mortgage, LLC (UWM) at 14.66% and Fairway Independent Mortgage Corp. (Fairway) at 11.56%. The servicer for this transaction is Specialized Loan Servicing, LLC (SLS). Nationstar Mortgage LLC (Nationstar) will be the master servicer. Of the loans, 99.4% qualify as safe-harbor qualified mortgage (QM) average prime offer rate (APOR) loans. The remaining 0.6% are higher-priced QM APOR loans. 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. Like other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 7.4% above a long-term sustainable level (versus 7.8% on a national level as of March 2023, down 2.7% since last quarter). The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. Driven by the strong gains seen in 1H22, home prices rose 5.8% yoy nationally as of December 2022. High-Quality Mortgage Pool (Positive): The collateral consists of 100% first lien prime quality mortgage loans with terms of mainly 30 years. Specifically the collateral consists of 30-year (99.6%) and 15-year (0.4%) fixed-rate fully amortizing loans seasoned at approximately 5.5 months in aggregate as determined by Fitch (four months per the transaction documents). Of the loans, 71.7% were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles with a 777 WA FICO (FICO scores rage from 700-816) and are either owner occupied or second homes. 92.3% of the loans in the pool are collateralized by single family homes (which include single family, PUD, and single family attached) while condos make up the remaining 7.7%. There are no investor loans or multi- family homes in the pool, which Fitch views favorably. The weighted average combined loan-to-value (CLTV) is 75.5% which translates into a 81.0% sustainable LTV as determined by Fitch. The 75.5% LTV is driven by the large percent of purchase loans (94.8%) that have a WA CLTV of 75.9%. A total of 119 loans are over $1.0 million, and the largest loan totals $3.0 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Lastly, six loans in the pool comprise nonpermanent residents, and none of the loans in the pool were made to foreign nationals. Based on historical performance, Fitch found that nonpermanent residents performed in line with U.S. citizens and as a result these loans did not receive the additional adjustments in the loss analysis. Approximately 26% of the pool is concentrated in California with moderate MSA concentration. The largest MSA concentration is in the Seattle MSA (7.6%), followed by the Los Angeles MSA (7.0%) and the San Diego MSA (6.1%). The top three MSAs account for 21% of the pool. There was no adjustment for geographic concentration. Loan Count Concentration (Negative): The loan count of this pool (309 loans) resulted in a loan count concentration penalty. The loan count concentration penalty applies when the weighted average number of loans (WAN) is less than 300; in this pool, the WAN is 260. The loan count concentration of this pool resulted in a 1.08x penalty, which increased the loss expectations by 48 basis points at the 'AAAsf' rating category. Shifting-Interest Structure and 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 to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer will provide full advancing for the life of the transaction (the servicer is expected to advance delinquent P&I on loans that enter a coronavirus 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. If the master servicer is not able to advance, then the securities administrator (Citibank, N.A.) will advance. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 2.50% 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 1.40% 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 were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 39.8% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, 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 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 modelling 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. 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 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis based on the findings. Due to the fact that there was 100% due diligence provided and there were no material findings, Fitch reduced the 'AAAsf' expected loss by 0.29%. 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 of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. MP CLO VII: Fitch Lowers Rating on Class F-RR Notes to 'B-sf' ------------------------------------------------------------- Fitch Ratings has downgraded MP CLO VII, Ltd.'s F-RR notes to 'B-sf' from 'Bsf' and assigned Negative Rating Outlook. ENTITY/DEBT RATING PRIOR ----------- ------ ----- MP CLO VII, Ltd. (f/k/a ACAS CLO 2015-1, Ltd.) F-RR 55320TAD5 LT B-sf Downgrade Bsf TRANSACTION SUMMARY MP CLO VII, Ltd (MP CLO VII) is a broadly syndicated collateralized loan obligation (CLO) managed by MP CLO Management LLC. The transaction originally closed in May 2015 and was reset in September 2018. The transaction exited its reinvestment period in October 2020 and refinanced its senior-most tranche in June 2021. The notes are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS The rating action is driven by downgrades in the underlying portfolio and par losses. Asset Credit Quality Deterioration: Since Fitch's last rating action in August 2022 Fitch's weighted average rating factor of the portfolio increased to 27.18 ('B'/'B-') from 25.85 ('B'/'B-'). Exposure to issuers with a Negative Outlook is 20.5%. Default exposure has increased to 1.9% from 0.0%. The portfolio is currently 6.3% below its target par amount of $466.7 million, adjusted for notes amortization. In addition to incurred defaults, portfolio has 15.3% exposure to Fitch's watchlist. The Negative Outlook reflects susceptibility of the class F-RR rating to further deterioration of the portfolio. Cash Flow Analysis Fitch received notice that the transaction will use three-month term SOFR as a new reference rate with ARRC's recommended CSA, from July determination date. Accordingly, the cash flow modelling analysis used for this review has incorporated the new benchmark rate. The spreads on CLO notes were adjusted up to reflect the 26.161 bps CSA. Fitch conducted an updated cash flow analysis based on MP CLO VII's current portfolio. The class F-RR notes failed to pass the hurdle default rate at the 'B-' level, but the class F-RR notes still have a limited margin of safety. After a $7.9 million haircut for defaulted assets and excess 'CCC' as of the June 2023 trustee report, the Adjusted Collateral Principal Balance is $431.9 million against $425.9 million of aggregate notional balance of notes including class F-RR. 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 could lead to a downgrade below 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade -- Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; -- A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to an upgrade of two notches according to model implied rating. OHA CREDIT 12: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class B-R, C-R, D-R, and E-R replacement notes from OHA Credit Funding 12 Ltd./OHA Credit Funding 12 LLC, a CLO originally issued in August 2022 that is managed by Oak Hill Advisors L.P. and was not rated by S&P Global Ratings. The preliminary ratings are based on information as of July 17, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 20, 2023, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. At that time, we expect to assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may withdraw our preliminary ratings on the replacement notes. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The transaction will be collateralized by at least 96.0% senior secured loans, cash, and eligible investments, with a minimum of 80% of the loan borrowers required to be based in the U.S. -- A maximum of 55.0% of the loans in the collateral pool can be covenant-lite. -- The replacement class B-R, C-R, D-R, and E-R notes are expected to be issued at a lower spread over three-month CME Term SOFR than the original notes. -- The stated maturity and reinvestment period will each be extended by three years. -- The non-call period will be extended by approximately two years to July 20, 2025. -- The weighted average life test will be extended to nine years from the refinancing date. -- Of the identified underlying collateral obligations, 100.0% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 97.93% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. -- After analyzing the changes to the transaction, S&P assigned its preliminary ratings to the replacement class B-R, C-R, D-R, and E-R notes. -- All or some of the notes issued by this CLO transaction contain stated interest at the secured overnight financing rate (SOFR) plus a fixed margin. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Funding 12 Ltd./OHA Credit Funding 12 LLC Class X, $1.900 million: NR Class A-1-R, $353.625 million: NR Class A-2-R, $15.000 million: NR Class B-R, $65.500 million: AA (sf) Class C-R (deferrable), $37.375 million: A (sf) Class D-R (deferrable), $33.600 million: BBB- (sf) Class E-R (deferrable), $18.725 million: BB- (sf) Class Subordinated notes, $41.500 million: NR NR--Not rated. ONE COLUMBIA 28: S&P Lowers Class D Notes Rating to 'B- (sf)' ------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D notes from Columbia Cent CLO 28 Ltd., a U.S. cash flow CLO transaction managed by Columbia Management Investment Advisers LLC. At the same time, S&P removed the rating from CreditWatch, where it was placed with negative implications on April 21, 2023, based on its performance. S&P also affirmed its ratings on the class A-1-R, A-2-R, B-R, and C notes from the same transaction. The rating actions follow its review of the transaction's performance, based on data from the May 2023 trustee reports. Columbia Cent CLO 28 Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with a credit spread adjustment, which S&P has considered in its analysis. Since our November 2021 rating action, the class A-1-R notes had total paydowns of $32.72 million. Despite these paydowns, all the overcollateralization (O/C) ratios declined since the Aug. 3, 2021, trustee report, attributable to the accumulated par losses and defaults: -- The class A O/C ratio has decreased to 125.06% from 127.16%. -- The class B O/C ratio has decreased to 115.74% from 117.85%. -- The class C O/C ratio has decreased to 107.71% from 109.82%. -- The class D O/C ratio has decreased to 103.05% from 105.14%. -- The class D O/C coverage ratio is failing as of the May 2023 trustee reports, and despite interest proceeds being diverted to cure the coverage test, it continues to fail. S&P lowered its rating on the class D notes to 'B- (sf)' due to the decline in overall credit support. The affirmations on the class A-1-R, A-2-R, B-R, and C notes reflect S&P's view that the credit support for each class is commensurate with the assigned rating level. S&P said, "On a standalone basis, the cash flow results indicate lower ratings ('BB+ (sf)' and 'CCC+ (sf)', respectively) for both the class C and D notes. However, we expect that the continued paydowns of the class A-1-R notes are likely to improve the credit support and ameliorate the marginal cash flow failure of the class C notes. It is our view that the D class is not currently dependent upon favorable business, financial, or economic conditions to meets its contractual obligations of timely interest and ultimate repayment of principal by legal final maturity and thus does not meet our definition of 'CCC' risk. However, further increases in defaults or par losses could lead to negative rating actions on the notes. "We also note that the results of the cash flow analysis indicate higher ratings on the class A-2-R and B-R notes. However, our rating actions consider the decline in all O/Cs, increase in defaults, and uptick in the 'CCC' exposure, and hence, we prefer to have some cushion to offset the potential for further negative credit migration in the underlying collateral. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated class. The results of the cash flow analysis, and other qualitative factors as applicable, demonstrated that the outstanding rated classes have adequate available credit enhancement at the rating levels associated with these rating actions. "We will continue to review whether the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Columbia Cent CLO 28 Ltd. Class D to 'B- (sf)' from 'B+(sf)/Watch Negative' Ratings Affirmed Columbia Cent CLO 28 Ltd. Class A-1-R: AAA (sf) Class A-2-R: AA (sf) Class B-R: A (sf) Class C: BBB- (sf) ONE TELOS 2013-4: S&P Lowers Class E-R Notes Rating to 'CCC+ (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its rating on the class E-R notes from Telos CLO 2013-4 Ltd., a U.S. cash flow CLO transaction managed by Telos Asset Management LLC. At the same time, S&P removed the rating from CreditWatch, where it was placed with negative implications on April 21, 2023, based on its performance. S&P also affirmed its ratings on the class A-R, B-R, C-R, and D-R notes from the same transaction. The rating actions follow S&P's review of the transaction's performance, based on data from the May 2023 trustee reports. The trustee for Telos CLO 2013-4 Ltd. informed S&P Global Ratings about the CLO's transition of its liabilities to three-month CME term SOFR as its underlying index with a credit spread adjustment. S&P's cash flow analysis is based on the assumption that this occurred. Since S&P's October 2021 rating action, the class A-R notes had total paydowns of $54.38 million. The reported class A/B and C overcollateralization (O/C) ratios increased, attributable to the aforementioned paydowns; however, the accumulated par losses and increase in defaults have offset the benefit of the paydowns for the remaining O/C tests, which all show declines since the July 31, 2021, trustee report, which was used for the October 2021 rating actions: -- The class A/B O/C ratio has increased to 132.88% from 128.54%. -- The class C O/C ratio has increased to 120.61% from 118.96%. -- The class D O/C ratio has decreased to 108.87% from 109.44%. -- The class E O/C ratio has decreased to 103.14% from 104.65%. -- The class E O/C coverage ratio has been failing since the October 2022 trustee report and continues to fail as of the May 2023 trustee report, and, despite interest proceeds being diverted to cure the coverage test, it continues to fail. S&P said, "We lowered our rating on the class E-R notes to 'CCC+ (sf)', due to the decline in overall credit support and increase in defaults and CCC category asset concentration. The downgrade also considers the failure of multiple collateral quality tests including the minimum floating spread test, the weighted average life test, and per the trustee report the CCC collateral concentration limit, among others. "On a standalone basis, the cash flow results indicate a lower rating for the class E-R notes. However, we expect that the continued paydowns of the class A-R notes is likely to improve available credit support. Moreover, this class does not meet our threshold for 'CC' risk because a payment default is not a virtual certainty. However, further increases in defaults or par losses could lead to negative rating actions on the notes. "The affirmations on the class A-R, B-R, C-R, and D-R notes reflect our view that the credit support for each class is commensurate with the assigned rating level. "We also note that the results of the cash flow analysis indicated a higher rating on the class B-R and C-R notes. However, our rating actions considered the current level of their O/Cs vs. the market averages, increase in defaults, uptick in the 'CCC' exposure, and failure of certain collateral quality tests, and hence we preferred to have some cushion to offset the potential for further negative credit migration in the underlying collateral. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated class. The results of the cash flow analysis, and other qualitative factors as applicable, demonstrated that the outstanding rated classes have adequate available credit enhancement at the rating levels associated with these rating actions. "We will continue to review whether the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary. Rating Lowered And Removed From CreditWatch Telos CLO 2013-4 Ltd. Class E-R to 'CCC+ (sf)' from 'B (sf)/Watch Negative' Ratings Affirmed Telos CLO 2013-4 Ltd. Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BB+ (sf) ONE TELOS 2014-6: S&P Lowers Class E Notes Rating to 'CCC- (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E notes from Telos CLO 2014-6 Ltd., a U.S. cash flow CLO transaction managed by Telos Asset Management LLC. At the same time, S&P removed the rating from CreditWatch, where it was placed with negative implications on April 21, 2023, based on its performance. S&P also affirmed its ratings on the class C-R and D-R notes from the same transaction. The rating actions follow its review of the transaction's performance, based on data from the May 2023 trustee reports. Telos CLO 2014-6 Ltd. has sent notices on the transition of its liabilities to three-month CME term SOFR as its underlying index with a credit spread adjustment. The trustee for Telos CLO 2014-6 Ltd. has also informed S&P Global Ratings of this transition. Though this has not been executed, S&P's cash flow analysis is based on the assumption that this will occur. Since S&P's May 2022 rating action, the class B-1-R and B-2-R notes have paid in full and the class C-R notes had total paydowns of $21.59 million. The reported class C and D overcollateralization (O/C) ratios increased, attributable to the aforementioned paydowns; however, the accumulated par losses and increase in defaults, 'CCC' category asset concentration, and deferring assets have offset the benefit of the paydowns for the class E O/C test causing it to fall below the trigger level since the April 4, 2022, trustee report, which was used for the May 2022 rating actions: -- The class C O/C ratio has increased to 8,226.04% from 226.43%. -- The class D O/C ratio has increased to 160.25% from 140.42%. -- The class E O/C ratio has decreased to 88.43% from 107.54%. S&P lowered its rating on the class E notes to 'CCC- (sf)', due to the decline in overall credit support and increase in defaults, CCC category asset and deferring asset concentration. The downgrade also considers the increasing portfolio concentration and the failure of multiple collateral quality tests including the minimum floating spread test, the weighted average life test, deferrable securities concentration, largest industry test, and per the trustee report the long-dated obligation concentration limit, among others. On a standalone basis, the cash flow results indicate a lower rating, for the class E notes. However, if the existing equity-like positions that the transaction holds (which are not considered as part of the principal balance, based on the terms of the transaction) are monetized, their projected value along with the existing assets could cover the class E remaining principal balance. S&P said, "We considered this qualitative factor and believe the class E notes are in line with 'CCC' credit risk because they depend on favorable market conditions to pay interest and ultimate principal. As a result, we lowered our rating on the class C notes two notches to 'CCC- (sf)'. "The affirmations on the class C-R and D-R notes reflect our view that the credit support for each class is commensurate with the assigned rating level. "We also note that the results of the cash flow analysis indicated a higher rating on the class D-R notes; however, the ratings were affected by the application of the largest obligor default test from our corporate collateralized debt obligation criteria. The test is intended to address event and model risks that might be present in rated transactions. Despite cash flow runs that suggested higher ratings, the largest obligor default test constrained our ratings on the class D-R notes at 'A+ (sf)'. The top five largest obligors in the transaction currently make up more than 41% of the portfolio's performing collateral balance per the May 2023 trustee report. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated class. The results of the cash flow analysis, and other qualitative factors as applicable, demonstrated that the outstanding rated classes have adequate available credit enhancement at the rating levels associated with these rating actions. "We will continue to review whether the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Telos CLO 2014-6 Ltd. Class E to 'CCC- (sf)' from 'CCC+ (sf)/Watch Negative' Ratings Affirmed Telos CLO 2014-6 Ltd. Class C-R: AAA (sf) Class D-R: A+ (sf) PALMER SQUARE 2022-3: Fitch Affirms 'BB-sf' Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the class A-2, B-1, B-2, C, D and E notes of Palmer Square CLO 2022-3, Ltd. (Palmer Square 2022-3). The Rating Outlooks on all of the rated tranches remain Stable. ENTITY / DEBT RATING PRIOR ------------- ------ ----- Palmer Square CLO 2022-3, LTD. A-2 69690AAE7 LT AAAsf Affirmed AAAsf B-1 69690AAC1 LT AAsf Affirmed AAsf B-2 69690AAG2 LT AAsf Affirmed AAsf C 69690AAJ6 LT Asf Affirmed Asf D 69690AAQ0 LT BBB-sf Affirmed BBB-sf E 69690BAA3 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Palmer Square 2022-3 is a broadly syndicated collateralized loan obligation (CLO) managed by Palmer Square Europe Capital Management LLC. 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. The credit quality of the portfolio as of June 2023 reporting has remained at the 'B' rating level. The Fitch weighted average rating factors (WARF) of the portfolio increased slightly to 23.6 from 23.5 at closing. The portfolio remains fairly diversified with 315 obligors, and the largest 10 obligors represent 6.5% of the portfolio. There was one defaulted asset, comprising 0.1% of the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 11.6% and 3.6%, respectively. First lien loans, cash and eligible investments comprised 98.5% of the portfolio. Fitch's weighted average recovery rate (WARR) of the portfolio is 76.6%, compared with 76.5% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Cash Flow Analysis Fitch updated its Fitch Stressed Portfolio (FSP) analysis since the transaction is still in its reinvestment period. The FSP stressed the current portfolio from the latest trustee report to account for permissible concentration limits and CQT limits. The FSP analysis assumed weighted average life of 7.2 years. Other assumptions included 10.0% second lien assets and 5.0% fixed-rate assets. The rating for the class A-2 notes is in line with its model-implied rating (MIR), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The class B-1, B-2, C and D notes are affirmed one notch below their respective MIRs, and the class E is affirmed two notches below its MIR, as cushions to MIRs were considered in the context of the remaining reinvestment period and growing macroeconomic headwinds. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with the class's ratings. 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 (CE) do not compensate for the higher loss expectation than initially anticipated; -- A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to one rating notch, based on the 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 upgrades of up to eight rating notches, based on the MIRs. 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 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. STRATA CLO I: Moody's Raises Rating on $33MM Class E Notes to Ba2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Strata CLO I, Ltd.: US$31,000,000 Class B Senior Secured Floating Rate Notes due 2031, Upgraded to Aaa (sf); previously on November 18, 2022 Upgraded to Aa1 (sf) US$31,000,000 Class C Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aaa (sf); previously on November 18, 2022 Upgraded to A1 (sf) US$33,000,000 Class D Secured Deferrable Floating Rate Notes due 2031, Upgraded to A1 (sf); previously on September 15, 2020 Confirmed at Baa3 (sf) US$33,000,000 Class E Secured Deferrable Floating Rate Notes due 2031, Upgraded to Ba2 (sf); previously on September 15, 2020 Confirmed at Ba3 (sf) Strata CLO I, Ltd., issued in December 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since November 2022. The Class A notes have been paid down by approximately 40.0% or $78.4 million since then. Based on Moody's calculation, the OC ratios for the Class A/B, Class C, Class D and Class E notes are currently 202.25%, 167.34%, 141.36% and 122.37%, respectively, versus November 2022 levels of 169.00%, 148.70%, 131.83% and 118.41%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since November 2022. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 3950 compared to 3592 on November 2022. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $291,521,646 Defaulted par: $21,475,318 Diversity Score: 33 Weighted Average Rating Factor (WARF): 3950 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.48% Weighted Average Recovery Rate (WARR): 45.2% Weighted Average Life (WAL): 3.1 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TOWD POINT 2023-CES1: Fitch Assigns 'B-(EXP)sf' Rating on B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2023-CES1 (TPMT 2023-CES1). ENTITY/DEBT RATING ----------- ------ TPMT 2023-CES1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating A3 LT AA-(EXP)sf Expected Rating A4 LT AA-(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1AX LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1BX LT AAA(EXP)sf Expected Rating A1C LT AAA(EXP)sf Expected Rating A1CX LT AAA(EXP)sf Expected Rating A1D LT AAA(EXP)sf Expected Rating A1DX LT AAA(EXP)sf Expected Rating A2A LT AA-(EXP)sf Expected Rating A2AX LT AA-(EXP)sf Expected Rating A2B LT AA-(EXP)sf Expected Rating A2BX LT AA-(EXP)sf Expected Rating A2C LT AA-(EXP)sf Expected Rating A2CX LT AA-(EXP)sf Expected Rating A2D LT AA-(EXP)sf Expected Rating A2DX LT AA-(EXP)sf Expected Rating M1A LT A-(EXP)sf Expected Rating M1AX LT A-(EXP)sf Expected Rating M1B LT A-(EXP)sf Expected Rating M1BX LT A-(EXP)sf Expected Rating M1C LT A-(EXP)sf Expected Rating M1CX LT A-(EXP)sf Expected Rating M1D LT A-(EXP)sf Expected Rating M1DX LT A-(EXP)sf Expected Rating M2A LT BBB-(EXP)sf Expected Rating M2AX LT BBB-(EXP)sf Expected Rating M2B LT BBB-(EXP)sf Expected Rating M2BX LT BBB-(EXP)sf Expected Rating M2C LT BBB-(EXP)sf Expected Rating M2CX LT BBB-(EXP)sf Expected Rating M2D LT BBB-(EXP)sf Expected Rating M2DX LT BBB-(EXP)sf Expected Rating XA LT NR(EXP)sf Expected Rating XA2 LT NR(EXP)sf Expected Rating XS1 LT NR(EXP)sf Expected Rating XS2 LT NR(EXP)sf Expected Rating XS3 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed notes issued by Towd Point Mortgage Trust 2023-CES1 (TPMT 2023-CES1). The transaction is expected to close on July 28, 2023. The notes are supported by one collateral group that consists of 4,678 newly originated, closed-end second (CES) lien loans with a total balance of $339 million, as of the statistical calculation date. The bond balances are as of the statistical calculation date. PennyMac Financial Services, LLC (PennyMac), Rocket Mortgage, LLC (Rocket) and SpringEQ, LLC (SpringEQ) originated 28.9%, 45.2% and 25.9% of the loans, respectively. PennyMac, Rocket and Specialized Loan Servicing LLC will service the loans. The servicers will not advance delinquent (DL) monthly payments of P&I. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. 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 8.2% 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. CES Liens (Negative): The entirety of the collateral pool is composed of newly originated CES lien mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second-liens 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. Strong Credit Quality (Positive): The pool consists of new-origination, CES loans, seasoned approximately four months (as calculated by Fitch), with a relatively strong credit profile -- weighted average (WA) model credit score of 738, a 37% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value (sLTV) of 79%. Roughly 95.2% of the loans were treated as full documentation in Fitch's analysis. None of the loans have experienced any prior modifications since origination. 23 loans were flagged previously DQ due to a temporary payment interruption as a result of servicing transfer or initial payment set-up. For this reason, Fitch did not penalize the delinquencies and considered those loans as current in its analysis. Sequential-Pay Structure with Realized Loss and Writedown Feature (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 'AA-sf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. With respect to any loan that become DQ for 150 days or more under the Office of Thrift Supervision methodology, the related servicer will review, and may charge-off, such loan with the approval of the asset manager based on an equity analysis review performed by the servicer and, therefore, will cause the most subordinated class to be written down. Despite the 100% LS assumed for each defaulted second lien loan, Fitch views the writedown feature positively, as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AA-sf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days' DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. To haircut the excess cashflow present in the transaction, Fitch applied haircuts to the WA coupon through a rate modification assumption. This assumption was derived as a 2.5% haircut on 40% of the non-DQ projection in Fitch's stresses. Given the lower projected delinquency (as a result of the chargeoff feature), there was a higher current percentage and a higher rate modification assumption, as a result. No Servicer P&I Advances (Mixed): The servicers will not advance DQ monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become DQ and eventually reduce liquidation proceeds to the trust. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AA-sf' rated classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40.4%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. TWO CENT 21: S&P Lowers Class D-R2 Notes Rating to 'B- (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class D-R2 and E-R2 notes from Cent CLO 21 Ltd., a U.S. cash flow CLO transaction managed by Columbia Management Investment Advisers LLC. At the same time, S&P removed the ratings from CreditWatch, where they were placed with negative implications on April 21, 2023, based on their performance. S&P also affirmed its ratings on the class A-1-R3, A-2-R3, B-R3, and C-R2 notes from the same transaction. The rating actions follow its review of the transaction's performance, based on data from the June 2023 trustee reports. The CLO has sent notices on its proposed transition of its liabilities to three-month CME term SOFR as its underlying index with a credit spread adjustment. Though this has not been executed, S&P's cash flow analysis is based on the assumption that this will occur. Since S&P's October 2021 rating action, the class A-1-R3 notes had total paydowns of $62.29 million. The class A overcollateralization (O/C) ratio increased, attributable to the aforementioned paydowns; however, the accumulated par losses and defaults have offset the benefit of the paydowns for the remaining O/C tests, which all show declines since the July 15, 2021, trustee report, which was used for the October 2021 rating actions: -- The class A O/C ratio has increased to 133.08% from 132.13%. -- The class B O/C ratio has decreased to 120.84% from 121.55%. -- The class C O/C ratio has decreased to 110.58% from 112.46%. -- The class D O/C ratio has decreased to 103.81% from 106.35%. -- The class D O/C coverage ratio is failing as of the June 2023 trustee reports, and despite interest proceeds being diverted to cure the coverage test, it continues to fail. S&P said, "We lowered our ratings on the class D-R2 and E-R2 notes to 'B- (sf)' and 'CCC+', respectively, due to the decline in overall credit support. The downgrade of the class E-R2 notes to 'CCC+' also considers the class's approximately $360,000 accumulated payment-in-kind balance. It is likely that this class will continue to defer interest in the short term. “On a standalone basis, the cash flow results indicate a lower rating, 'CC (sf)', for the class E-R2 notes. However, we expect that the continued paydowns of the class A-1-R3 notes is likely to improve available credit support. Moreover, this class does not meet our threshold for 'CC' risk because a payment default is not a virtual certainty, considering the above-water pure O/Cs. Further increases in defaults or par losses could lead to negative rating actions on the notes. "The affirmations on the class A-1-R3, A-2-R3, B-R3, and C-R2 notes reflect our view that the credit support for each class is commensurate with the assigned rating level. "We also note that the results of the cash flow analysis indicate a higher rating on the class A-2-R3, B-R3, and C-R2 notes. However, our rating actions consider the current level of their respective O/Cs compared with the market averages, decline in the class B and class C O/Cs , increase in defaults, and uptick in the 'CCC' exposure, and hence, we prefer to have some cushion to offset the potential for further negative credit migration in the underlying collateral. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated class. The results of the cash flow analysis, and other qualitative factors as applicable, demonstrated that the outstanding rated classes have adequate available credit enhancement at the rating levels associated with these rating actions. "We will continue to review whether the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Lowered And Removed From CreditWatch Cent CLO 21 Ltd. Class D-R2 to 'B- (sf)' from 'BB- (sf)/Watch Negative' Class E-R2 to 'CCC+ (sf)' from 'B- (sf)/Watch Negative' Ratings Affirmed Cent CLO 21 Ltd. Class A-1-R3: AAA (sf) Class A-2-R3: AA (sf) Class B-R3: A (sf) Class C-R2: BBB- (sf) VERUS 2023-INV2: S&P Assigns Prelim B-(sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2023-INV2's mortgage-backed notes series 2023-INV2. The note issuance is an RMBS securitization backed by first-lien, fixed and adjustable rate (some with interest-only periods) residential mortgage loans secured by single-family residences, planned unit developments, two- to four-family residential properties, condominiums, five– to 10-unit multi-family properties, mixed-use properties, and condotels to both prime and non-prime borrowers. The preliminary ratings are based on information as of July 19, 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 pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners, and any S&P Global Ratings reviewed originator; 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' FF for the archetypal pool at 3.25%, given our current outlook for the U.S. economy. We expect the U.S. economic growth will slow rather than fall into a recession. We now expect U.S. real GDP growth will slow to under 1.0% in the second half of the year, half the rate expected in the second quarter. Our baseline view is that we see this necessary slowdown as a longer, gradual process rather than a short, abrupt one. An eventual slowdown is necessary, and we see a multi-quarter period of sub-potential growth ahead. Under this view, monetary policy rates will be higher for longer and financial conditions will be tighter for longer, easing back toward their longer-term levels as the economy lands. Preliminary Ratings Assigned Verus Securitization Trust 2023-INV2(i) Class A-1, $210,430,000: AAA (sf) Class A-2, $44,291,000: AA (sf) Class A-3, $50,589,000: A (sf) Class M-1, $32,677,000: BBB- (sf) Class B-1, $22,047,000: BB- (sf) Class B-2, $13,976,000: B- (sf) Class B-3, $19,685,533: Not rated Class A-IO-S, $393,695,533(ii): Not rated Class XS, $393,695,533(ii): Not rated Class R, not applicable: Not rated (i)The collateral and structural information reflect the term sheet dated July 17, 2023; the preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cutoff date. WSTN TRUST 2023-MAUI: S&P Assigns Prelim BB (sf) Rating on E Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to WSTN Trust 2023-MAUI's commercial mortgage pass-through certificates. The certificates issuance is a commercial mortgage loan that is secured by a first-lien mortgage on the borrower's leasehold interest in The Westin Maui Resort & Spa, a 771-guestroom, full-service, oceanfront, luxury resort hotel, located in Lahaina, Hawaii. The preliminary ratings are based on information as of July 14, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the mortgage loan's terms, and the transaction's structure, among other factors. Preliminary Ratings Assigned WSTN Trust 2023-MAUI Class A, $244,810,000: AAA (sf) Class X-CP, $515,000,000(i): BB (sf) Class X-NCP, $515,000,000(i): BB (sf) Class B, $75,140,000: AA- (sf) Class C, $55,070,000: A- (sf) Class D, $72,770,000: BBB- (sf) Class E, $41,210,000: BB (sf) Class HRR(ii), $26,000,000: BB (sf) (i)Notional balance. The notional amount of the class X-CP certificates and the class X-NCP certificates will equal the aggregate certificate balance of the class A, B, C, D, E, and HRR certificates. (ii)Non-offered eligible horizontal residual interest. [*] Fitch Takes Actions on 16 US CMBS 2017 Vintage Transactions --------------------------------------------------------------- Fitch Ratings, on July 17, 2023, downgraded 13, upgraded seven and affirmed 201 classes from 16 U.S. CMBS 2017 vintage conduit transactions. Fitch has also affirmed the MOA 2020-H1 E-RR certificates. In addition, the Rating Outlooks for six classes were revised to Negative from Stable and to Stable from Positive for six other classes. Ten classes were assigned Negative Outlooks following their downgrades. The Rating Outlooks remain Negative on 13 classes. Fitch has removed all classes from these transactions from Under Criteria Observation (UCO). ENTITY/DEBT RATING PRIOR ----------- ------ ------ MOA 2020-H1 E E-RR 90215TAA6 LT BBB-sf Affirmed BBB-sf UBS 2017-C1 A3 90276EAD9 LT AAAsf Affirmed AAAsf A4 90276EAE7 LT AAAsf Affirmed AAAsf AS 90276EAH0 LT AAAsf Affirmed AAAsf ASB 90276EAC1 LT AAAsf Affirmed AAAsf B 90276EAJ6 LT AA-sf Affirmed AA-sf C 90276EAK3 LT A-sf Affirmed A-sf D 90276EAN7 LT BBB-sf Downgrade BBB+sf D-RR 90276EAQ0 LT CCCsf Downgrade B-sf E-RR 90276EAS6 LT CCsf Affirmed CCsf F-RR 90276EAU1 LT Csf Affirmed Csf X-A 90276EAF4 LT AAAsf Affirmed AAAsf X-B 90276EAG2 LT A-sf Affirmed A-sf CD 2017-CD4 A-3 12515DAQ7 LT AAAsf Affirmed AAAsf A-4 12515DAR5 LT AAAsf Affirmed AAAsf A-M 12515DAT1 LT AAAsf Affirmed AAAsf A-SB 12515DAP9 LT AAAsf Affirmed AAAsf B 12515DAU8 LT AA-sf Affirmed AA-sf C 12515DAV6 LT A-sf Affirmed A-sf D 12515DAF1 LT BBB-sf Affirmed BBB-sf E 12515DAG9 LT BB-sf Affirmed BB-sf F 12515DAH7 LT CCCsf Affirmed CCCsf V-A 12515DAW4 LT AAAsf Affirmed AAAsf V-BC 12515DBU7 LT A-sf Affirmed A-sf V-D 12515DAZ7 LT BBB-sf Affirmed BBB-sf X-A 12515DAS3 LT AAAsf Affirmed AAAsf X-B 12515DAA2 LT A-sf Affirmed A-sf X-D 12515DAB0 LT BBB-sf Affirmed BBB-sf X-E 12515DAC8 LT BB-sf Affirmed BB-sf X-F 12515DAD6 LT CCCsf Affirmed CCCsf CGCMT 2017-P7 A-3 17325HBN3 LT AAAsf Affirmed AAAsf A-4 17325HBP8 LT AAAsf Affirmed AAAsf A-AB 17325HBQ6 LT AAAsf Affirmed AAAsf A-S 17325HBR4 LT AAAsf Affirmed AAAsf B 17325HBS2 LT AA-sf Affirmed AA-sf C 17325HBT0 LT A-sf Affirmed A-sf D 17325HAA2 LT BB-sf Affirmed BB-sf E 17325HAC8 LT CCCsf Affirmed CCCsf F 17325HAE4 LT CCsf Affirmed CCsf V-2A 17325HAN4 LT AAAsf Affirmed AAAsf V-2B 17325HAQ7 LT AA-sf Affirmed AA-sf V-2C 17325HAS3 LT A-sf Affirmed A-sf V-2D 17325HAU8 LT BB-sf Affirmed BB-sf V-3AB 17325HAY0 LT AA-sf Affirmed AA-sf V-3C 17325HBA1 LT A-sf Affirmed A-sf V-3D 17325HBC7 LT BB-sf Affirmed BB-sf X-A 17325HBU7 LT AAAsf Affirmed AAAsf X-B 17325HBV5 LT AA-sf Affirmed AA-sf X-C 17325HBW3 LT A-sf Affirmed A-sf X-D 17325HAJ3 LT BB-sf Affirmed BB-sf LCCM 2017-LC26 A-3 50190DAG1 LT AAAsf Affirmed AAAsf A-4 50190DAJ5 LT AAAsf Affirmed AAAsf A-S 50190DAS5 LT AAAsf Affirmed AAAsf A-SB 50190DAE6 LT AAAsf Affirmed AAAsf B 50190DAU0 LT AA-sf Affirmed AA-sf C 50190DAW6 LT A-sf Affirmed A-sf D 50190DAY2 LT BBsf Downgrade BBB-sf E 50190DBA3 LT Bsf Downgrade BB-sf F 50190DBC9 LT CCCsf Affirmed CCCsf X-A 50190DAL0 LT AAAsf Affirmed AAAsf X-B 50190DAN6 LT A-sf Affirmed A-sf X-D 50190DAQ9 LT BBsf Downgrade BBB-sf JPMDB 2017-C5 A-4 46590TAD7 LT AAAsf Affirmed AAAsf A-5 46590TAE5 LT AAAsf Affirmed AAA A-S 46590TAJ4 LT AA-sf Affirmed AA-sf A-SB 46590TAF2 LT AAAsf Affirmed AAAsf B 46590TAK1 LT Asf Affirmed Asf C 46590TAL9 LT BBBsf Affirmed BBBsf D 46590LBA9 LT BBsf Affirmed BBsf E-RR 46590LBC5 LT CCCsf Affirmed CCCsf F-RR 46590LBE1 LT CCsf Affirmed CCsf G-RR 46590LBG6 LT Csf Affirmed Csf X-A 46590TAG0 LT AA-sf Affirmed AA-sf X-B 46590TAH8 LT BBBsf Affirmed BBBsf JPMCC 2017-JP6 A-3 48128KAS0 LT AAAsf Affirmed AAAsf A-4 48128KAT8 LT AAAsf Affirmed AAAsf A-5 48128KAU5 LT AAAsf Affirmed AAAsf A-S 48128KAX9 LT AAAsf Affirmed AAAsf A-SB 48128KBA8 LT AAAsf Affirmed AAAsf B 48128KAY7 LT AA-sf Affirmed AA-sf C 48128KAZ4 LT A-sf Affirmed A-sf D 48128KAA9 LT BBB+sf Affirmed BBB+sf E-RR 48128KAC5 LT BBB-sf Affirmed BBB-sf F-RR 48128KAE1 LT BB-sf Affirmed BB-sf G-RR 48128KAG6 LT B-sf Affirmed B-sf X-A 48128KAV3 LT AAAsf Affirmed AAAsf X-B 48128KAW1 LT A-sf Affirmed A-sf MSBAM 2017-C33 A-3 61767CAT5 LT AAAsf Affirmed AAAsf A-4 61767CAU2 LT AAAsf Affirmed AAAsf A-5 61767CAV0 LT AAAsf Affirmed AAAsf A-S 61767CAY4 LT AAAsf Affirmed AAAsf A-SB 61767CAS7 LT AAAsf Affirmed AAAsf B 61767CAZ1 LT AA+sf Upgrade AA-sf C 61767CBA5 LT A+sf Upgrade A-sf D 61767CAC2 LT BBB-sf Affirmed BBB-sf E 61767CAE8 LT BB-sf Affirmed BB-sf F 61767CAG3 LT B-sf Affirmed B-sf X-A 61767CAW8 LT AAAsf Affirmed AAAsf X-B 61767CAX6 LT A+sf Upgrade A-sf X-D 61767CAA6 LT BBB-sf Affirmed BBB-sf GSMS 2017-GS6 A-2 36253PAB8 LT AAAsf Affirmed AAAsf A-3 36253PAC6 LT AAAsf Affirmed AAAsf A-AB 36253PAD4 LT AAAsf Affirmed AAAsf A-S 36253PAG7 LT AAAsf Affirmed AAAsf B 36253PAH5 LT AA-sf Affirmed AA-sf C 36253PAJ1 LT A-sf Affirmed A-sf D 36253PAK8 LT BBB-sf Affirmed BBB-sf E 36253PAP7 LT B+sf Downgrade BBsf F 36253PAR3 LT B-sf Affirmed B-sf X-A 36253PAE2 LT AAAsf Affirmed AAAsf X-B 36253PAF9 LT A-sf Affirmed A-sf X-D 36253PAM4 LT BBB-sf Affirmed BBB-sf WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38 A-4 95001MAE0 LT AAAsf Affirmed AAAsf A-5 95001MAF7 LT AAAsf Affirmed AAAsf A-S 95001MAG5 LT AAAsf Affirmed AAAsf A-SB 95001MAD2 LT AAAsf Affirmed AAAsf B 95001MAK6 LT AA-sf Affirmed AA-sf C 95001MAL4 LT A-sf Affirmed A-sf D 95001MAP5 LT BBsf Downgrade BBB-sf E 95001MAR1 LT CCCsf Affirmed CCCsf F 95001MAT7 LT CCsf Affirmed CCsf X-A 95001MAH3 LT AAAsf Affirmed AAAsf X-B 95001MAJ9 LT A-sf Affirmed A-sf X-D 95001MAM2 LT BBsf Downgrade BBB-sf WFCM 2017-RB1 A-4 95000TBR6 LT AAAsf Affirmed AAAsf A-5 95000TBS4 LT AAAsf Affirmed AAAsf A-S 95000TBU9 LT AAAsf Affirmed AAAsf A-SB 95000TBT2 LT AAAsf Affirmed AAAsf B 95000TBX3 LT AA-sf Affirmed AA-sf C 95000TBY1 LT A-sf Affirmed A-sf D 95000TAC0 LT BBsf Downgrade BBB-sf E 95000TBA3 LT B-sf Affirmed B-sf E-1 95000TAE6 LT B+sf Downgrade BB+sf E-2 95000TAG1 LT B-sf Affirmed B-sf EF 95000TBE5 LT CCCsf Affirmed CCCsf F 95000TBC9 LT CCCsf Affirmed CCCsf X-A 95000TBV7 LT AAAsf Affirmed AAAsf X-B 95000TBW5 LT A-sf Affirmed A-sf X-D 95000TAA4 LT BBsf Downgrade BBB-sf Morgan Stanley Capital I Trust 2017-H1 A-2 61691JAR5 LT AAAsf Affirmed AAAsf A-3 61691JAT1 LT AAAsf Affirmed AAAsf A-4 61691JAU8 LT AAAsf Affirmed AAAsf A-5 61691JAV6 LT AAAsf Affirmed AAAsf A-S 61691JAY0 LT AAAsf Affirmed AAAsf A-SB 61691JAS3 LT AAAsf Affirmed AAAsf B 61691JAZ7 LT AA-sf Affirmed AA-sf C 61691JBA1 LT A-sf Affirmed A-sf D 61691JAC8 LT BBB-sf Affirmed BBB-sf E-RR 61691JAE4 LT BBB-sf Affirmed BBB-sf X-A 61691JAW4 LT AAAsf Affirmed AAAsf X-B 61691JAX2 LT A-sf Affirmed A-sf X-D 61691JAA2 LT BBB-sf Affirmed BBB-sf BANK 2017-BNK4 A-3 06541FAZ2 LT AAAsf Affirmed AAAsf A-4 06541FBA6 LT AAAsf Affirmed AAAsf A-S 06541FBD0 LT AAAsf Affirmed AAAsf A-SB 06541FAY5 LT AAAsf Affirmed AAAsf B 06541FBE8 LT AA-sf Affirmed AA-sf C 06541FBF5 LT A-sf Affirmed A-sf D 06541FAJ8 LT BBB-sf Affirmed BBB-sf E 06541FAL3 LT BB-sf Affirmed BB-sf F 06541FAN9 LT B-sf Affirmed B-sf X-A 06541FBB4 LT AAAsf Affirmed AAAsf X-B 06541FBC2 LT A-sf Affirmed A-sf X-D 06541FAA7 LT BBB-sf Affirmed BBB-sf X-E 06541FAC3 LT BB-sf Affirmed BB-sf X-F 06541FAE9 LT B-sf Affirmed B-sf BANK 2017-BNK7 A-3 06541XAC4 LT AAAsf Affirmed AAAsf A-4 06541XAE0 LT AAAsf Affirmed AAAsf A-5 06541XAF7 LT AAAsf Affirmed AAAsf A-S 06541XAJ9 LT AAAsf Affirmed AAAsf A-SB 06541XAD2 LT AAAsf Affirmed AAAsf B 06541XAK6 LT AA-sf Affirmed AA-sf C 06541XAL4 LT A-sf Affirmed A-sf D 06541XAV2 LT BBB-sf Affirmed BBB-sf E 06541XAX8 LT BB-sf Affirmed BB-sf F 06541XAZ3 LT B-sf Affirmed B-sf X-A 06541XAG5 LT AAAsf Affirmed AAAsf X-B 06541XAH3 LT AA-sf Affirmed AA-sf X-D 06541XAM2 LT BBB-sf Affirmed BBB-sf X-E 06541XAP5 LT BB-sf Affirmed BB-sf X-F 06541XAR1 LT B-sf Affirmed B-sf JPMCC 2017-JP5 A-4 46647TAR9 LT AAAsf Affirmed AAAsf A-5 46647TAS7 LT AAAsf Affirmed AAAsf A-S 46647TAX6 LT AAAsf Affirmed AAAsf A-SB 46647TAT5 LT AAAsf Affirmed AAAsf B 46647TAY4 LT AA-sf Affirmed AA-sf C 46647TAZ1 LT A-sf Affirmed A-sf D 46647TAA6 LT BB+sf Downgrade BBBsf D-RR 46647TAC2 LT BB-sf Downgrade BBB-sf E-RR 46647TAE8 LT CCCsf Affirmed CCCsf X-A 46647TAU2 LT AAAsf Affirmed AAAsf X-B 46647TAV0 LT AA-sf Affirmed AA-sf X-C 46647TAW8 LT A-sf Affirmed A-sf CFCRE 2017-C8 A-3 12532CAZ8 LT AAAsf Affirmed AAAsf A-4 12532CBA2 LT AAAsf Affirmed AAAsf A-M 12532CBB0 LT AAAsf Affirmed AAAsf A-SB 12532CAY1 LT AAAsf Affirmed AAAsf B 12532CBC8 LT AA+sf Upgrade AA-sf C 12532CBD6 LT Asf Upgrade A-sf D 12532CAA3 LT BBB-sf Affirmed BBB-sf E 12532CAC9 LT Bsf Affirmed Bsf F 12532CAE5 LT CCCsf Affirmed CCCsf X-A 12532CBE4 LT AAAsf Affirmed AAAsf X-B 12532CBF1 LT AA+sf Upgrade AA-sf X-C 12532CBG9 LT Asf Upgrade A-sf X-D 12532CAJ4 LT BBB-sf Affirmed BBB-sf X-E 12532CAL9 LT Bsf Affirmed Bsf X-F 12532CAN5 LT CCCsf Affirmed CCCsf BANK 2017-BNK5 A-3 06541WAV4 LT AAAsf Affirmed AAAsf A-4 06541WAW2 LT AAAsf Affirmed AAAsf A-5 06541WAX0 LT AAAsf Affirmed AAAsf A-S 06541WBA9 LT AAAsf Affirmed AAAsf A-SB 06541WAU6 LT AAAsf Affirmed AAAsf B 06541WBB7 LT AA-sf Affirmed AA-sf C 06541WBC5 LT A-sf Affirmed A-sf D 06541WAC6 LT BBB-sf Affirmed BBB-sf E 06541WAE2 LT BB-sf Affirmed BB-sf F 06541WAG7 LT B-sf Affirmed B-sf X-A 06541WAY8 LT AAAsf Affirmed AAAsf X-B 06541WAZ5 LT AA-sf Affirmed AA-sf X-D 06541WAA0 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS 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 prior rating action of these transactions between January and April 2023. Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses range from 2.8% to 10.7%. These transactions have concentrations of Fitch Loans of Concern (FLOCs) averaging 21.6% (ranging from 8% to 45.4%) and specially serviced loans averaging 5.4% (ranging from 0.0% to 16.1%). Downgrades reflect the impact of the criteria and higher expected losses on FLOCs, most notably larger top 15 loans and specially serviced assets in the transactions. The transactions with downgrades have concentrations of FLOCs averaging in excess of 20%, primarily consisting of office and retail assets. Upgrades reflect the impact of the criteria on seven classes in two transactions with increased CE and stable performance since Fitch's prior rating action. Four of the upgraded classes were from the CFCRE 2017-C8 transaction, which has a FLOC concentration of 15.8%, and a weighted average Fitch-stressed loan to value (LTV) and debt service coverage ratio (DSCR) of 78.4% and 1.69x, respectively. Three of the upgraded classes were from the MSBAM 2017-C33 transaction, which has a FLOC concentration of 19.5%, and a weighted average Fitch-stressed LTV and DSCR of 80.8% and 1.76x, respectively. The Negative Outlooks in the following eight transactions reflect office concentration and performance concerns and/or an additional sensitivity scenario that applies higher default and/or loss expectations on the loans. BMARK 2017-BNK4: D.C. Office Portfolio (7.8% of the pool) and One West 34th Street (6.8%). BMARK 2017-BNK5: D.C. Westchester One (6%) and Capital Bank Plaza (2%). CD 2017-CD4: Los Angeles Corporate Center (7.5%), 260 West 36th Street (3.2%) and Troy Office Portfolio (2.3%). JPMCC 2017-JP5: Reston Eastpointe (4.6%). JPMDB 2017-C5: 229 West 43rd Street (9%). LLCM 2017-LC26: People's Center (9.7%) and Regions Center (7.4%). WFCM 2017-RB1: high office concentration of 54.4%, including Center West (7.3%) and 340 Bryant (2.7%). WFCM 2017-C38: high office concentration of 42.7%, including 245 Park Avenue (5.3%), Long Island Prime Portfolio - Melville (4.7%), Valley Creek Corporate Center (3.2%) and 123 William Street (2.7%). Change to Credit Enhancement: As of the June 2023 distribution date, the aggregate pool balance has been reduced on average 16% (ranging from 3.7% to 25.6%). Losses ranging from 0.06% to 1.96% of the original pool balance have been incurred to date on eight transactions. Defeasance: On average, the transactions have a 6.0% concentration of defeasance; with largest concentrations in the following transactions: LCCM 2017-LC26 (17.7%), MSBAM 2017-C33 (12.5%) and CGCMT 2017-P7 (11.4%). Fitch is currently evaluating the treatment of defeased loans in CMBS transactions and may consider higher stress assumptions on government obligations that have a rating lower than 'AAA'. The U.S. sovereign rating remains at 'AAA'/Rating Watch Negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' and 'AAsf' category rated classes 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 'Asf' and 'BBBsf' 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 'BBsf' and '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 of 'CCCsf' through 'Csf' 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' and 'Asf' 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 'BBBsf' 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 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' through 'Csf' are not expected but possible with better than expected recoveries on specially serviced loans or 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. [*] Moody's Takes Action on $570MM of US RMBS Issued 2003-2007 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 24 bonds and downgraded the rating of one bond from 13 US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://urlcurt.com/u?l=hY0VVt Complete rating actions are as follows: Issuer: Banc of America Funding 2006-G Trust Cl. 1-A-1, Upgraded to Aaa (sf); previously on Nov 14, 2022 Upgraded to Aa1 (sf) Cl. 3-A-2, Upgraded to Aaa (sf); previously on Nov 14, 2022 Upgraded to Aa2 (sf) Cl. 3-A-3, Upgraded to Aa2 (sf); previously on Nov 14, 2022 Upgraded to A1 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1 Cl. A-3, Upgraded to Aa1 (sf); previously on Jun 10, 2022 Upgraded to Aa3 (sf) Cl. A-4, Upgraded to Aa3 (sf); previously on Jun 10, 2022 Upgraded to A1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-10 Cl. AF-5, Upgraded to A1 (sf); previously on Jan 21, 2022 Upgraded to A3 (sf) Cl. AF-6, Upgraded to Aa3 (sf); previously on Jan 21, 2022 Upgraded to A2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-11 Cl. 3-AV-2, Upgraded to A3 (sf); previously on Nov 23, 2022 Upgraded to Baa2 (sf) Cl. 3-AV-3, Upgraded to Ba1 (sf); previously on Nov 23, 2022 Upgraded to Ba3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-14 Cl. 1-A, Upgraded to Ba2 (sf); previously on Nov 14, 2022 Upgraded to B1 (sf) Cl. 2-A-3, Upgraded to Baa2 (sf); previously on Nov 14, 2022 Upgraded to Ba1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-25 Cl. 2-A-4, Upgraded to Baa3 (sf); previously on Nov 14, 2022 Upgraded to Ba2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-26 Cl. 2-A-4, Upgraded to Baa1 (sf); previously on Nov 14, 2022 Upgraded to Baa3 (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC5 Cl. M-7, Upgraded to Caa2 (sf); previously on Dec 18, 2019 Upgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF18 Cl. A-1, Upgraded to B1 (sf); previously on Nov 23, 2022 Upgraded to B3 (sf) Cl. A-2B, Upgraded to Caa2 (sf); previously on Nov 6, 2012 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Issuer: GSAMP Trust 2004-AR1 Cl. B-1, Upgraded to Caa1 (sf); previously on Jul 11, 2018 Upgraded to Caa2 (sf) Cl. B-2, Upgraded to Caa3 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Issuer: GSAMP Trust 2005-AHL2 Cl. A-1B, Upgraded to A1 (sf); previously on Feb 8, 2022 Upgraded to A3 (sf) Cl. A-2D, Upgraded to A2 (sf); previously on Feb 8, 2022 Upgraded to A3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust, Series 2003-HE1 Cl. M-1, Upgraded to Baa3 (sf); previously on May 10, 2019 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on May 4, 2012 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC5 Cl. M-1, Downgraded to A1 (sf); previously on Apr 9, 2012 Downgraded to Aa2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrade of Class M-1 from Merrill Lynch Mortgage Investors, Inc. 2004-WMC5 is primarily due to a deterioration in collateral performance and amortization of Class M-2 due to the deal passing performance triggers. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Action on 72 Classes From 28 U.S. RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review on the ratings of 72 classes from 28 U.S. RMBS transactions issued between 1998 and 2007. The review yielded 16 upgrades, five downgrades, 11 withdrawals, five discontinuances, and 35 affirmations. A list of Affected Ratings can be viewed at: https://shorturl.at/fmKL6 Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- The erosion of or increases in credit support; -- Available subordination and/or overcollateralization; -- A small loan count; -- Historical missed interest payments or interest shortfalls; and -- The assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions The rating changes reflect S&P's opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than S&P had previously anticipated. In addition, most of these classes are receiving all the principal payments or are next in the payment priority when the more senior class pays down. S&P said, "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "In addition, we withdrew our ratings on 10 classes from five transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. 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