/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230827.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, August 27, 2023, Vol. 27, No. 238 Headlines AMERICAN CREDIT 2023-3: DBRS Finalizes BB Rating on Class E Notes ARBOR REALTY 2021-FL2: DBRS Confirms B(low) Rating on G Notes ATLAS FUND VIII: S&P Affirms 'B+ (sf)' Rating on Class E Notes BAIN CAPITAL 2023-4: Fitch Gives BB-(EXP) Rating on Class E Debt BANK 2017-BNK7: DBRS Confirms B Rating on Class X-F Certs BDS 2021-FL10: DBRS Confirms B(low) Rating on Class G Notes BLACKROCK DLF 2019: DBRS Places E Notes B(h) Rating Under Review BLACKROCK DLF 2021-1: DBRS Places W Notes B Rating Under Review BLACKROCK DLF 2021-2: DBRS Places W Notes B Rating Under Review BMO 2023-5C1: Fitch Assigns B-sf Rating on Class G-RR Certs BWAY 2015-1740: S&P Lowers Class X-B Notes Rating to 'B- (sf) CARLYLE US 2023-3: Fitch Assigns BB-sf Rating on Class E Debt CHNGE 2023-4: Fitch Assigns B(EXP) Rating to Class B-2 Certs CHNGE MORTGAGE 2023-4: Fitch Gives Final 'Bsf' Rating on B-2 Certs CITIGROUP 2020-420K: DBRS Confirms BB(high) Rating on HRR COMM 2016-DC2: Fitch Affirms B-sf Rating on 2 Tranches COMM 2017-COR2: Fitch Affirms Rating at 'B-sf' on Class G-RR Debts CONN'S RECEIVABLES 2023-A: Fitch Gives 'B+' Rating on Class C Notes CSMC TRUST 2014-USA: S&P Assigns CCC(sf) Rating on Class X-2 Notes ELMWOOD CLO 19: S&P Assigns Prelim B- (sf) Rating on Cl. FR Notes EMPOWER CLO 2023-2: S&P Assigns Prelim BB- (sf) Rating on E Notes EXETER AUTOMOBILE 2023-4: Fitch Gives BB(EXP) Rating to Cl. E Debt FLAGSHIP CREDIT 2023-3: S&P Assigns 'BB-(sf)' Rating on Cl. E Notes FORTRESS CREDIT V: S&P Raises Class E Notes Rating to 'BB (sf)' FREDDIE MAC 2023-1: DBRS Finalizes B(low) Rating on Class M Trusts GCAT TRUST 2023-INV1: Moody's Assigns B2 Rating to Cl. B-5 Debt GENERATE CLO 12: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes GOLDENTREE LOAN 15: Fitch Affirms B-(EXP) Rating on Cl. F-R Notes GREEN TREE 1996-9: S&P Raises Class M-1 Notes Rating to B+ (sf) GS MORTGAGE 2018-GS10: DBRS Confirms B(low) Rating on G-RR Certs GS MORTGAGE 2019-GC40: DBRS Confirms BB(high) Rating on X-F Certs GS MORTGAGE 2019-GC40: Fitch Affirms B-sf Rating on G-RR Certs GS MORTGAGE 2023-PJ4: Fitch Gives B-(EXP) Rating to Cl. B-5 Certs GS MORTGAGE 2023-RPL2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes GS MORTGAGE 2023-SHIP: Moody's Assigns B2 Rating to Cl. HRR Certs HERTZ VEHICLE 2023-4: DBRS Gives Prov. BB Rating on Class D Notes ICG US 2023-1: S&P Assigns Prelim BB- (sf) Rating of Class E Notes INVESCO U.S. 2023-3: S&P Assigns BB- (sf) Rating on Class E Notes IVY HILL XXI: S&P S&P Assigns 'BB- (sf)' Rating on Class E Notes JP MORGAN 2021-1MEM: DBRS Confirms B(high) Rating on HRR Certs KREF LTD 2021-FL2: DBRS Confirms B(low) Rating on 3 Tranches LOANCORE 2022-CRE7: DBRS Confirms B(low) Rating on Class G Notes LUXE TRUST 2021-TRIP: DBRS Confirms B(low) Rating on 2 Classes M&T EQUIPMENT 2023-LEAF1: DBRS Gives Prov. BB Rating on E Notes MORGAN STANLEY 2016-C28: Fitch Affirms 'B-sf' Rating on E-1 Certs MORGAN STANLEY 2019-NUGS: Moody's Cuts Rating on E Certs to Caa1 NASSAU 2017-I: S&P Lowers Class D Notes Rating to 'CCC (sf)' NASSAU LTD 2018-II: Moody's Lowers Rating on $30.3MM E Notes to B1 NEUBERGER BERMAN 51: Fitch Affirms BB+sf Rating on E Notes OAK STREET 2021-2: S&P Affirms BB+ (sf) Rating on Class B-3 Notes OCP CLO 2023-28: S&P Assigns BB- (sf) Rating on Class E Notes OPG TRUST 2021-PORT: DBRS Confirms B(low) Rating on Class G Certs OZLM LTD IX: Moody's Cuts Rating on $9.5MM Cl. E-RR Notes to Caa2 PARK BLUE 2022-I: Fitch Affirms BB Rating on Class E Debt RAC BOND: S&P Affirms 'B+ (sf)' Rating on Class B2-Dfrd Notes RAD CLO 17: Fitch Affirms 'BB-sf' Rating on E Notes, Outlook Stable RAD CLO 20: Fitch Gives 'BB(EXP)' Expected Rating on Cl. E Notes READY CAPITAL 2022-FL9: DBRS Cuts Class G Rating to CCC REALT 2015-1: DBRS Confirms B Rating on Class G Certs SIGNAL PEAK 2: S&P Affirms B+ (sf) Rating on Class E-R Notes SOUND POINT XXI: Moody's Cuts Rating on $22.5MM Cl. D Notes to B1 TCW CLO 2023-2: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes TRIMARAN CAVU 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes TRINITAS CLO XXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes TRUPS FINANCIALS 2023-1: Moody's Assigns (P)Ba3 Rating to D Notes UBS-BAMLL 2012-WRM: S&P Affirms CCC (sf) Rating on Class X-B Notes VELOCITY COMMERCIAL 2023-3: DBRS Finalizes B Rating on 2 Classes VISIO 2023-2: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes WARWICK CAPITAL 1: S&P Assigns Prelim BB- (sf) Rating on E Notes WELLS FARGO 2016-C34: Fitch Hikes Class D Certs Rating to CCCsf [*] DBRS Reviews 806 Classes From 24 US RMBS Transactions [*] S&P Takes Various Actions on 100 Classes From 34 US RMBS Deals ********* AMERICAN CREDIT 2023-3: DBRS Finalizes BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by American Credit Acceptance Receivables Trust 2023-3 (ACAR 2023-3 or the Issuer): -- $205,700,000 Class A Notes at AAA (sf) -- $48,400,000 Class B Notes at AA (sf) -- $90,200,000 Class C Notes at A (low) (sf) -- $74,250,000 Class D Notes at BBB (low) (sf) -- $41,800,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The final ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The DBRS Morningstar CNL assumption is 28.00% based on the cut-off date pool composition and concentration limits for the prefunding collateral. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms on which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the final scheduled distribution date. (2) The credit quality of the collateral and the consistent performance of ACA's auto loan portfolio. -- Availability of considerable historical performance data and a history of consistent performance of the ACA portfolio. -- The pool characteristics include the following: the pool is seasoned by approximately seven months and contains ACA originations from Q3 2016 through Q3 2023, the weighted-average (WA) remaining term of the collateral pool is approximately 65 months, and the WA FICO score of the pool is 547. (3) ACAR 2023-3 provides for the Class A, B, C, and D coverage multiples being slightly below the DBRS Morningstar range of multiples set forth in the "Rating U.S. Retail Auto Loan Securitizations" methodology for this asset class. DBRS Morningstar believes that this is warranted, given the magnitude of expected loss and structural features of the transaction. (4) The rating on the Class A Notes reflects 63.60% of initial hard credit enhancement provided by the subordinated notes in the pool (46.30%), the reserve account (1.00%), and OC (16.30%). The ratings on the Class B, C, D, and E Notes reflect 54.80%, 38.40%, 24.90%, and 17.30% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. (5) The consistent operational history of American Credit Acceptance, LLC (ACA or the Company) as well as the overall strength of the Company and its management team. -- The ACA senior management team has considerable experience, with an approximate average of 18 years in banking, finance, and auto finance companies as well as an average of approximately ten years of Company tenure. (6) ACA's operating history and its capabilities with regard to originations, underwriting, and servicing. -- DBRS Morningstar has performed an operational review of ACA and considers the Company to be an acceptable originator and servicer of subprime automobile loan contracts. -- ACA has completed 43 securitizations since 2011, including four transactions in 2022 and two in 2023. -- ACA maintains a strong corporate culture of compliance and a robust compliance department. (7) The Company indicated that it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against ACA could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (8) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the depositor and the issuer with ACA, that the issuer has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar "Legal Criteria for U.S. Structured Finance" methodology. (9) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update," published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. ACA is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distributable Amount and the related Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is related to Interest Carryover Shortfall Amount for each of the rated notes. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. ARBOR REALTY 2021-FL2: DBRS Confirms B(low) Rating on G Notes ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of notes issued by Arbor Realty Commercial Real Estate Notes 2021-FL2, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance as the trust continues to be solely secured by multifamily collateral. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The initial collateral consisted of 25 floating-rate mortgages secured by 50 transitional multifamily properties with a cut-off date balance totaling $653.0 million. Most loans were in a period of transition with plans to stabilize performance and improve the asset value. The trust reached its maximum funded balance of $815.0 million in December 2021. The transaction is a managed vehicle with a 30-month reinvestment period scheduled to expire with the December 2023 Payment Date. As of the July 2023 remittance, the pool comprises 28 loans secured by 29 properties with a cumulative trust balance of $648.2 million. The cash balance of the Reinvestment Account is $166.8 million. Only four of the original loans in the transaction at closing, totaling $121.9 million, currently remain in the trust. Since issuance, 30 loans with a former cumulative trust balance of $719.0 million have been successfully repaid from the pool, including 17 loans totaling $425.0 million since the previous DBRS Morningstar rating action in November 2022. An additional nine loans, totaling $240.1 million, have been added to the trust since the previous DBRS Morningstar rating action. The transaction is concentrated by property type, as all loans are secured by multifamily properties. The loans are primarily secured by properties in suburban markets as 16 loans, representing 62.7% of the pool, are secured by properties in suburban markets, as defined by DBRS Morningstar, with a DBRS Morningstar Market Rank of 3, 4, or 5. An additional 11 loans, representing 29.8% of the pool, are secured by properties with a DBRS Morningstar Market Rank of 2, denoting a tertiary market, while one loan, representing 7.5% of the pool, is secured by property with a DBRS Morningstar Market Rank of 6, denoting an urban market. In comparison, in April 2022, properties in suburban markets represented 72.9% of the collateral, properties in tertiary and rural markets represented 12.8% of the collateral, and properties in urban markets represented 14.3% of the collateral. Leverage across the pool has declined marginally as of July 2023 reporting as the current weighted-average (WA) as-is appraised value loan-to-value (LTV) ratio is 79.8%, with a current WA stabilized LTV ratio of 68.0%. In comparison, these figures were 82.2% and 72.3%, respectively, as of April 2022. DBRS Morningstar recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. Through March 2023, the lender had advanced cumulative loan future funding of $63.9 million to 25 of the 28 outstanding individual borrowers to aid in property stabilization efforts. The largest advances have been made to the borrowers of the Diplomat Towers ($25.1 million) and 2 East Oak Street ($12.2 million) loans. The Diplomat Towers loan is secured by a high-rise multifamily building in Hallandale Beach, Florida, built in 2022. The advanced funds have been provided as an earnout based on the property achieving occupancy benchmarks as well as for debt service reserves to keep the loan current during the initial lease-up phase. An additional $5.0 million of future funding for future debt service shortfalls remains outstanding. The 2 East Oak Street loan is secured by a multifamily property in Chicago. The advanced funds were used as $0.8 million to purchase former condominium units as collateral for the loan with an additional $11.5 million for unit renovations. The borrower has used all loan future funding as it has completed its capital expenditure program. In February 2023, the borrower successfully exercised a one-year maturity extension option. An additional $34.5 million of loan future funding allocated to 25 of the outstanding individual borrowers remains available. The largest portion of available funds, $5.0 million, is allocated to the borrower of the Diplomat Towers loan, noted above. The second largest portion, $3.8 million, is allocated to the borrower of The 910 Apartments loan, which is secured by a multifamily property in Houston. The loan future funding is available to the borrower to complete a planned $4.2 million capital expenditure program, which included $3.3 million ($7,000/unit) for unit-interior upgrades. As of the July 2023 remittance, there are no delinquent loans or loans in special servicing, and there are no loans on the servicer's watchlist. According to the collateral manager, four loans, representing 19.6% of the current cumulative trust loan balance, have been modified. The modified loans include Diplomat Towers, 2 East Oak Street, Parc at 505, and Marbury Plaza. In general, the modifications have allowed a reallocation of existing reserves or uses for future funding dollars and maturity extensions. In exchange, borrowers have been required to make principal curtailment payments on loans or deposit additional dollars into existing reserves. Only one loan, Fontana Village, representing 6.3% of the current cumulative trust balance, has a loan maturity date by YE2023. The loan matures in November 2023 and is secured by a multifamily property in Rosedale, Maryland. According to the collateral manager, the borrower had renovated 301 of the total 356 units through March 2023 as the borrower was successfully implementing the planned $6.0 million capital expenditure plan. The property was only 53% occupied; however, as the borrower noted it would begin its lease-up plan in the near term. The loan is structured with one one-year extension option, which DBRS Morningstar expects will be exercised if the renovation program and lease-up of the property are not completed by YE2023. Notes: All figures are in U.S. dollars unless otherwise noted. ATLAS FUND VIII: S&P Affirms 'B+ (sf)' Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C notes from Atlas Senior Secured Loan Fund VIII Ltd. S&P lowered its ratings on the class F notes and affirmed our ratings on the class A, D, and E notes from the same transaction. At the same time, S&P removed the ratings on class E and class F notes from CreditWatch, where we placed them with negative implication on June 30, 2023. The rating actions follow S&P's review of the transaction's performance using data from the July 2023 trustee report and consider all rating actions and defaults on the underlying collateral that might have occurred subsequently. Although the same portfolio backs all of the tranches, there can be circumstances, such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it both experienced principal paydowns, which increased the senior credit support, and faced an increase in defaults and a decline in collateral credit quality, which decreased the junior credit support. The transaction has paid down $90.21 million to the class A notes since S&P's August 2020 rating actions. Since the June 2020 trustee report, which S&P used for its previous rating actions, the reported overcollateralization (O/C) ratios have changed: -- The class A/B O/C ratio improved to 132.87% from 127.17%. -- The class C O/C ratio improved to 119.58% from 116.84%. -- The class D O/C ratio improved to 111.06% from 110.00%. -- The class E O/C ratio declined to 104.57% from 104.65% -- While the senior O/C ratios experienced positive movement due to the lower balances of the senior notes, the class E O/C ratio declined marginally due to overall negative par movement and has been failing the O/C test. The trustee report also shows that the transaction has around $39.81 million (about 12.3% of the total performing assets) exposure to collateral obligations rated in the 'CCC' category and is failing the corresponding concentration limitation test. Additionally, it has around $3.49 million exposure to defaulted collateral obligations. The upgrades reflect the improved credit support at the prior rating levels; the affirmation reflects S&P's view that the credit support available is commensurate with the current rating level. The lowered rating reflects the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class F notes. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B, C, D and E notes. However, because the transaction currently has higher-than-average exposures to 'CCC' and 'D' rated collateral obligations, S&P's rating actions reflect additional sensitivity runs that consider such exposures and offset future potential credit migration in the underlying collateral. S&P said, "The class F notes do not pass our cash flow analysis, on a standalone basis, at a 'B-' rating level, and this class is currently deferring its interest. At this time, the lowered rating is limited to one notch based on its existing credit enhancement as we believe the class meets our 'CCC' criteria and would be dependent on favorable market conditions. However, further paydowns or improvements could improve this class in the future. "Atlas Senior Secured Loan Fund VIII Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. Our cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, our cash flow analysis considered the same. "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. In addition, our analysis 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 all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these 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 we will take rating actions as we deem necessary." Ratings Raised Atlas Senior Secured Loan Fund VIII Ltd. Class B to 'AA+ (sf)' from 'AA (sf)' Class C to 'A+ (sf)' from 'A (sf)' Ratings Lowered And Removed From CreditWatch Negative Atlas Senior Secured Loan Fund VIII Ltd. Class F to 'CCC+ (sf)' from 'B- (sf)/Watch Neg' Ratings Affirmed And Removed From CreditWatch Negative Atlas Senior Secured Loan Fund VIII Ltd. Class E to 'B+ (sf)' from 'B+ (sf)/Watch Neg' Ratings Affirmed Atlas Senior Secured Loan Fund VIII Ltd. Class A: AAA (sf) Class D: BBB (sf) BAIN CAPITAL 2023-4: Fitch Gives BB-(EXP) Rating on Class E Debt ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Bain Capital Credit CLO 2023-4, Limited. ENTITY / DEBT RATING ------------- ------ Bain Capital Credit CLO 2023-4, Limited A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Bain Capital Credit CLO 2023-4, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.5, versus a maximum covenant, in accordance with the initial expected matrix point of 25.2. 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 98.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.8% versus a minimum covenant, in accordance with the initial expected matrix point of 71.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 38% 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. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and '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, 'A-sf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or Credit Opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. BANK 2017-BNK7: DBRS Confirms B Rating on Class X-F Certs --------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-BNK7 issued by BANK 2017-BNK7 as follows: -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which generally remains in line with DBRS Morningstar's expectations since the last rating action in November 2022. Despite increased risks for a select number of loans, overall credit metrics appear to be stable to improving as evidenced by the historical occupancy rate and/or cash flow trends demonstrated over the last few reporting periods. DBRS Morningstar notes the market for office and retail properties continues to be challenging, especially for assets in noncore, tertiary, or smaller metropolitan areas. However, partially mitigating some of these risks are low-to-moderate going-in loan-to-value (LTV) ratios, averaging 49.2% for the pool. In addition, the majority of loans in the pool mature in 2027, providing sponsors with a fair amount of time to work toward stabilization, if needed. At issuance, the transaction consisted of 65 fixed-rate loans secured by 83 commercial and multifamily properties, with an aggregate trust balance of $1.2 billion. As of the July 2023 remittance, 63 loans remain within the transaction with a trust balance of $1.1 billion, reflecting collateral reduction of 7.2% since issuance. Defeasance has been minimal as only one loan, representing 1.4% of the pool, has fully defeased. Ten loans, representing 16.4% of the pool, are on the servicer's watchlist, and there are no specially serviced loans. The largest loan on the servicer's watchlist, Redondo Beach Hotel Portfolio (Prospectus ID#7; 5.2% of the pool), is secured by two hotels, a 172-key Residence Inn by Marriott and an adjacent 147-key Hilton Garden Inn. The hotels are in Redondo Beach, California, approximately seven miles southeast of the Los Angeles International Airport. The loan was originally added to the servicer's watchlist in October 2019, because of a decline in the debt service coverage ratio (DSCR), caused primarily by an increase in operating expenses. Subsequently, pandemic-related travel restrictions placed further stress on occupancy and cash flow, prompting the borrower to request financial relief. Forbearance was granted in the form of deferment of furniture, fixtures, and equipment reserves for a period of three months to allow for those amounts to be applied to the monthly debt service obligations. Repayment of the deferred amounts was carried out over a nine-month period. The loan has remained current since the modification request was granted. Operating performance has improved from the lows reported during the pandemic; however, the portfolio has not reached stabilization. The YE2022 occupancy rate, net cash flow, and DSCR were 72.3%, $2.3 million, and 0.6 times (x), respectively, compared with 91.4%, $6.6 million, and 1.6x at issuance. Despite compressions in occupancy and cash flow, the portfolio's average daily rate and revenue per available room are rising again, with the YE2022 figures of $157.79 and $116.61 slightly below the issuance figures (trailing 12 months ended June 2017) of $166.00 and $151.00. DBRS Morningstar analyzed this loan with a stressed probability of default (POD) penalty, resulting in an expected loss approximately 2.2x the pool average. Loans representing 23.4% of the pool are backed by office properties. Although the majority of loans collateralized by office properties are performing well, DBRS Morningstar has a cautious outlook for this asset type. Increasing vacancy rates in the broader office market may challenge landlords' efforts to backfill vacant space and, in certain instances, contribute to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities. DBRS Morningstar identified three office loans representing 11.0% of the pool that are exhibiting increased credit risk from issuance –which is likely to persist in the near to moderate term, given the continued uncertainty related to end-user demand and current macroeconomic headwinds. DBRS Morningstar applied stressed LTV ratios, and where applicable, increased the POD penalties for these loans. At issuance, five loans representing 25.1% of the pool balance, were shadow-rated investment grade. With this review, DBRS Morningstar confirms that the performance of four of those loans—General Motors Building (Prospectus ID#1; 9.9% of the pool); Westin Building Exchange (Prospectus ID#5; 6.0% of the pool); The Churchill (Prospectus ID#8; 4.3% of the pool), and Moffett Place B4 (Prospectus ID#13; 2.8% of the pool)—remains consistent with investment-grade characteristics. This assessment continues to be supported by the loans' strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. In addition, with this review, DBRS Morningstar removed the investment-grade shadow rating for one loan, Overlook at King of Prussia (Prospectus ID#9; 3.6% of the pool), given deteriorations in the underlying collateral's operating performance. Notes: All figures are in U.S. dollars unless otherwise noted. BDS 2021-FL10: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of notes issued by BDS 2021-FL10 Ltd. as follows: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of this transaction since issuance. The pool remains in its reinvestment period, which is scheduled to end in November 2023, and most loans are in a period of transition with plans to stabilize and improve asset values. DBRS Morningstar reviewed the collateral manager updates provided and concluded that the majority of loans appear to be performing in line with expectations. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update rating report with in-depth analysis and credit metrics for the transaction and business plan updates on select loans. The transaction is a managed collateralized loan obligation pool, which includes a 180-day ramp-up acquisition period and subsequent 24-month reinvestment period that will end with the November 2023 Payment Date. The ramp-up acquisition period will be used to increase the trust balance to a total target collateral principal balance of $1.23 billion. According to the July 2023 remittance report, the pool consists of 40 floating-rate mortgages secured by 43 properties with an aggregate trust balance of $1.23 billion. As of July 2023 reporting, the Reinvestment Account had a balance of $1,947, signaling the loans are approaching their maximum balance. As of the July 2023 reporting, two loans with a former cumulative trust balance of $43.4 million, have been repaid from the transaction. One of the loans, totaling $25.0 million, was purchased out of the transaction by the collateral manager at par. Twenty-seven of the outstanding loans, representing 66.1% of the current trust balance, are scheduled to mature by YE2024; however, all loans have remaining extension options. While required performance tests may not be met across all collateral properties, borrowers and lenders may agree to terms to allow loan maturity dates to be extended. As of July 2023, there are no loans in special servicing, and 10 loans are on the servicer's watchlist, representing 27.6% of the current trust balance. These loans are primarily being monitored for deferred maintenance items and low debt service coverage ratios as the borrowers execute their business plans. Occupancy rates and cash flow may remain depressed at select properties as the borrowers work toward property stabilization. The transaction benefits from a significant concentration of loans backed by multifamily properties, representing 91.1% of the current trust balance, followed by manufactured housing properties (4.4% of the current trust balance) and industrial properties (1.8% of the current trust balance). The loans are primarily secured by properties in suburban markets with 34 loans, representing 85.4% of the current trust balance, in locations with DBRS Morningstar Market Ranks of 3, 4, and 5. One additional loan, representing 1.6% of the pool, is secured by a property in an urban location with a DBRS Morningstar Market Rank of 7 and five loans, representing 13.0% of the pool, are secured by properties in tertiary markets. In terms of leverage, the pool has a current weighted-average (WA) appraised loan-to-value ratio (LTV) of 73.5% and a WA stabilized LTV ratio of 60.6%. By comparison, these figures were 71.6% and 65.1%, respectively, as of November 2021. DBRS Morningstar recognizes the current market value of the collateralized properties may have declined given the increased interest rate and widening capitalization rate environments currently facing borrowers and lenders. Through July 2023, the collateral manager advanced $58.5 million in loan future funding to 32 individual borrowers to aid in property stabilization efforts. The largest advance, $5.4 million, was made to the borrower of The American Steel Collection (1.8% of the current pool balance), which is secured by a portfolio of four industrial properties in Oakland, California. The borrower's business plan centers on improving property management, investing approximately $51.0 million in capital expenditures and tenant improvements, and stabilizing operations by increasing occupancy and executing leases at market rents. In addition to this loan, DBRS Morningstar identified a few loans that are lagging in their original business plans. DBRS Morningstar's analysis includes additional adjustments to the loan-level probability of default for these assets to reflect this. An additional $74.2 million of loan future funding allocated to 29 individual borrowers remains available. The largest unadvanced portion of $29.8 million is also allocated to the borrower of The American Steel Collection. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2019: DBRS Places E Notes B(h) Rating Under Review ---------------------------------------------------------------- DBRS, Inc. placed its ratings on the Class A-1, A-2, B, C, D, and E Notes issued by BlackRock DLF IX 2019 CLO, LLC (BlackRock IX CLO or the Issuer) Under Review with Developing Implications. Notes Rating ----- ------ Class A-1 Notes AAA (sf) UR-Dev. Class A-2 Notes AA (high) (sf) UR-Dev. Class B Notes A (high) (sf) UR-Dev. Class C Notes BBB (high) (sf) UR-Dev. Class D Notes BB (high) (sf) UR-Dev. Class E Notes B (high) (sf) UR-Dev. The Secured Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated August 30, 2019, among the Issuer and U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity (as defined in the NPSA). The ratings on the Class B, C, D, and E Notes address the ultimate payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of August 30, 2029. CREDIT RATING RATIONALE/DESCRIPTION The rating action is a result of a benchmark replacement event that occurred as of July 3, 2023, pursuant to the NPSA. DBRS Morningstar placed its ratings on the Secured Notes Under Review with Developing Implications until its review of the transaction is complete. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2021-1: DBRS Places W Notes B Rating Under Review --------------------------------------------------------------- DBRS, Inc. placed its ratings on the Class A-1, A-2, B, C, D, E, and W Notes (together, the Secured Notes) issued by BlackRock DLF IX CLO 2021-1, LLC (BlackRock IX CLO or the Issuer) Under Review with Developing Implications. Notes Rating ----- ------ Class A-1 Notes AAA (sf) UR-Dev. Class A-2 Notes AAA (sf) UR-Dev. Class B Notes AA (sf) UR-Dev. Class C Notes A (sf) UR-Dev. Class D Notes BBB (sf) UR-Dev. Class E Notes BB (sf) UR-Dev. Class W Notes B (sf) UR-Dev. The Secured Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated March 30, 2021, and amended on August 10, 2022, among the Issuer and U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The ratings on the Class B, C, D, E, and W Notes address the ultimate payment of interest (including any Deferred Interest, but excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes, including the Class E Notes, and could therefore be considered below market rate. CREDIT RATING RATIONALE/DESCRIPTION The rating action is a result of a benchmark replacement event that occurred as of July 3, 2023, pursuant to the NPSA. DBRS Morningstar placed its ratings on the Secured Notes Under Review with Developing Implications until its review of the transaction is complete. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2021-2: DBRS Places W Notes B Rating Under Review --------------------------------------------------------------- DBRS, Inc. placed its ratings on the Class A-1, A-2, B, C, D, E, and W Notes (together, the Secured Notes) issued by BlackRock DLF IX CLO 2021-2, LLC (BlackRock IX CLO or the Issuer) Under Review with Developing Implications. Notes Rating ----- ------ Class A-1 Notes AAA (sf) UR-Dev. Class A-2 Notes AA (high)(sf) UR-Dev. Class B Notes A (high) (sf) UR-Dev. Class C Notes A (sf) UR-Dev. Class D Notes BBB (sf) UR-Dev. Class E Notes BB (sf) UR-Dev. Class W Notes B (sf) UR-Dev. The Secured Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated May 20, 2021, and amended on August 2, 2022, among the Issuer and U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The ratings on the Class B, C, D, E, and W Notes address the ultimate payment of interest (including any Deferred Interest, but excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes, including the Class E Notes, and could therefore be considered below market rate. CREDIT RATING RATIONALE/DESCRIPTION The rating action is a result of a benchmark replacement event that occurred as of July 3, 2023, pursuant to the NPSA. DBRS Morningstar placed its ratings on the Secured Notes Under Review with Developing Implications until its review of the transaction is complete. Notes: All figures are in U.S. dollars unless otherwise noted. BMO 2023-5C1: Fitch Assigns B-sf Rating on Class G-RR Certs ----------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2023-5C1 Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2023-5C1 as follows: -- $708,000 class A-1 'AAAsf'; Outlook Stable; -- $535,695,000a class A-3 'AAAsf'; Outlook Stable; -- $77,587,000 class A-S 'AAAsf'; Outlook Stable; -- $50,767,000 class B 'AA-sf'; Outlook Stable; -- $25,862,000 class C 'A-sf'; Outlook Stable; -- $15,518,000d class D 'BBBsf'; Outlook Stable; -- $8,429,000cd class E-RR 'BBB-sf'; Outlook Stable; -- $15,326,000cd class F-RR 'BB-sf'; Outlook Stable; -- $10,536,000cd class G-RR 'B-sf'; Outlook Stable; -- $536,403,000b class X-A 'AAAsf'; Outlook Stable; -- $154,216,000b class X-B 'AA-sf'; Outlook Stable; -- $15,518,000bd class X-D 'BBB-sf'; Outlook Stable. Fitch does not expect to rate the following class: -- $25,863,090cd class J-RR. (a) Since Fitch published its expected ratings on July 24, 2023, the balance for class A-3 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-2 and A-3 were expected to be $535,695,000 in the aggregate, subject to a 5% variance. The classes above reflect the final ratings and deal structure. (b) Notional amount and interest only. (c) Classes E-RR, F-RR, G-RR, and J-RR comprise the transactions' horizontal risk retention interest. (d) Privately placed and pursuant to Rule 144A. Additionally, at the time the presale was issued, class X-B (which is tied to the classes A-S, B, and C) was rated 'A-(EXP)sf', reflecting class C, the lowest rated tranche. Since Fitch published its expected ratings, the class C pass-through rates was finalized and will be variable rate (WAC), equal to the weighted average of the net mortgage interest rates on the mortgage loan, and therefore its payable interest will not have an impact on the IO payments for class X-B. Fitch updated class X-B to 'AA-sf' (from 'A-(EXP)sf' at the time of the presale) reflecting the lowest tranche (class B)whose payable interest has an impact on the IO payments. This is consistent with Appendix 4 of Fitch's "Global Structured Finance Rating Criteria." TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 86 commercial properties having an aggregate principal balance of $766,291,090 as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, 3650 Real Estate Investment Trust 2 LLC, Citi Real Estate Funding Inc., Societe Generale Financial Corporation, German American Capital Corporation, Goldman Sachs Mortgage Company, Starwood Mortgage Capital LLC, LMF Commercial, LLC, and KeyBank National Association. The master servicer is expected to be KeyBank National Association, and the special servicer is expected to be 3650 REIT Loan Servicing LLC. Fitch has withdrawn the expected rating for class A-2 because the class was removed from the final deal structure. The classes above reflect the final ratings and deal structure. 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 89.5% 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 10.2% 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 93.5% and 9.9%, respectively, compared to 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 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. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.0% of the pool, which is higher than the 2023 YTD level of 63.5% and 2022 level of55.2%. The pool's effective loan count of 19.0 is lower 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 14.5% of the pool received an investment-grade credit opinion. Gilardian NYC Portfolio II (5.35%) received a standalone credit opinion of AA-sf, Back Bay Office (3.9%) received a standalone credit opinion of 'AAAsf*', Harborside 2-3 (3.9%) received a standalone credit opinion of 'BBBsf*', and Prime Storage Portfolio #3 (1.3%) received a standalone credit opinion of 'A-sf*'. 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 0.1%, which is well-below the 2023 YTD and 2022 averages of 2.0% and 3.3%, respectively. The pool has 25 interest-only loans, or 97.4% 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 below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; -- 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf' / 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 below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; -- 10% NCF Increase: 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'Bsf'. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BWAY 2015-1740: S&P Lowers Class X-B Notes Rating to 'B- (sf) ------------------------------------------------------------- S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through certificates from BWAY 2015-1740 Mortgage Trust, a U.S. CMBS transaction, and removed the rating on class D from CreditWatch with negative implications. S&P's ratings on five other classes remain on CreditWatch negative. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a fixed-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple interest in 1740 Broadway, an office building in Manhattan's Columbus Circle office submarket. Rating Actions The downgrades on the class A, B, C, and D certificates reflect interest shortfalls affecting these classes due to a nonrecoverable determination made by the master servicer, Wells Fargo Bank N.A. (Wells Fargo), according to the Aug. 10, 2023, trustee remittance report. This stemmed from the servicer's consideration of the recently released 'as is' appraisal value of $175.0 million dated April 27, 2023, a 71.1% decline from the issuance appraised value of $605.0 million, as well as the amount that the servicer has advanced to date ($34.9 million) and the projected property protection, operating, and other expense advances needed prior to resolving the specially serviced loan. S&P said, "At this time, we maintained our stabilized expected-case value of $270.4 million that we derived in our last review on Aug. 9, 2023, despite the revised appraised value. In addition, our ratings on classes A, B, and C remain on CreditWatch with negative implications because of uncertainty around the magnitude and duration of ongoing interest shortfalls that may be prolonged in nature, the continued increase in total loan exposure, and the ultimate liquidation proceeds and timing of the specially serviced loan, including the potential for principal losses on the classes in the trust. Lastly, at this time, it is unclear when (and with what priority) interest shortfalls due to a nonrecoverable determination will be repaid to the bondholders as this is dependent on the trustee and/or certificate administrator's view of the priority of distributions in transaction documents, which may differ from our view." S&P said, "Specifically, we downgraded class D to 'D (sf)' from 'CCC- (sf)' and removed the rating from CreditWatch negative because of ongoing interest shortfalls that we expect will remain outstanding for a prolonged period. According to the August 2023 trustee remittance report, class D shorted for two consecutive months. Moreover, in our view, based on its position in the waterfall and current market conditions, the class would most likely incur principal losses upon the eventual resolution of the sole loan in the trust. "In addition, the downgrade of class C to 'CCC- (sf)' reflects our view that, due to current market conditions and its position in the waterfall, this class is at a heightened risk of default and loss. "In our last review on Aug. 9, 2023, we lowered our ratings on eight classes due primarily to our view that the increase in the total loan exposure from the lack of leasing activity at the property and the extended resolution timing of the specially serviced loan have reduced the liquidity and ultimate recovery to the bondholders. We also placed our ratings on classes A, B, C, and D on CreditWatch with negative implications because of our concerns that the continued increase in total loan exposure from the aforementioned items could result in further reductions in liquidity and ultimate recovery. Our CreditWatch placements further considered that any updated appraisal value is likely to yield an appraisal reduction amount (ARA) that exceeds the automatic ARA (25% of the loan amount or $77.0 million) implemented by Wells Fargo in the July 2023 reporting period." Following S&P's Aug. 9, 2023, rating actions, the prior special servicer, Midland Loan Services, released an updated appraisal value of $175.0 million as of April 2023, which represented a significant drop of 71.1% from the issuance appraised value of $605.0 million. As S&P previously discussed, Wells Fargo deemed the loan nonrecoverable in the current reporting period and, resultingly, did not advance any of the interest due on the underlying mortgage loan. As a result, according to the August 2023 trustee remittance report, none of the classes received interest payments. Wells Fargo recently informed us that it will continue to make advances for property protection, operating, and other expenses for the time being and, together with the special servicer, will continue to reassess its advancing ratio on an ongoing basis. The newly appointed special servicer, CWCapital Asset Management LLC (CWCapital), indicated that it is currently reviewing the transfer file and exploring various resolution strategies, including a note sale. S&P said, "We lowered our ratings and kept them on CreditWatch with negative implications on the class X-A and X-B IO certificates, based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance of the class X-A and X-B certificates references the class A certificates and a portion of the class B certificates. "As part of the CreditWatch resolution, we will continue our dialogues with the servicers to assess the magnitude and duration of the interest shortfalls currently affecting all the classes as well as monitor for further developments on resolution strategy and/or timing and priority of payments to the bondholders. If we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future and/or the liquidation proceeds to be lower than our stabilized expected-case value of $270.4 million, we may revisit our assumptions and take further rating actions, as appropriate." Property-Level Analysis The loan collateral is a 26-story, 603,928-sq.-ft. class A-/B+ office building, located at 1740 Broadway, between West 55th and West 56th Streets, in midtown Manhattan's Columbus Circle office submarket. The property, which is in proximity to various modes of transportation, including multiple subway lines, was constructed in 1949 as the headquarters of Mutual Life Insurance Co. (vacated in 2006). According to the special servicer, CWCapital, the sponsor, Blackstone Property Partners L.P., commenced a $33.3 million renovation project in 2020 to, among other items, update the lobby, modernize the elevators, repair the roof, and construct a 12,751-sq.-ft. amenity center that includes a gym, locker room with showers, and a bar and lounge area. As of July 2023, the property was 12.6% occupied to several small office and retail tenants, and there continues to be no material leasing prospects. S&P said, "Since the property performance and office submarket fundamentals are relatively the same as in our last review, in our current analysis, we maintained our stabilized expected-case value of $270.4 million ($448 per sq. ft.) that we derived in our last review." Transaction Summary The 10-year, fixed-rate, IO mortgage loan had an initial and current balance of $308.0 million (according to the Aug. 10, 2023, trustee remittance report). The mortgage loan, which transferred to special servicing on March 18, 2022, due to imminent monetary default, pays an annual fixed interest rate of 3.84%, matures on Jan. 6, 2025, and has been delinquent since the October 2022 payment period. There is no additional debt, and the trust has not incurred any principal losses to date. Through the August 2023 trustee remittance report date, the loan has a total reported exposure of $344.6 million, which comprises the following outstanding advances and accruals: $9.7 million in cumulative interest advances, $5.4 million in cumulative real estate taxes and insurance advances, $19.8 million in cumulative operating and other expenses advances, $245,758 in cumulative appraisal subordinate entitlement reduction amounts related to the aforementioned auto ARA that Wells Fargo effectuated in July 2023, and $1.4 million in cumulative accrued unpaid advance interest. As we mentioned, Wells Fargo did not advance any of the accrued interest totaling $975,854 this month. Rating Lowered and Removed From CreditWatch Negative BWAY 2015-1740 Mortgage Trust Class D to 'D (sf)' from 'CCC- (sf)/Watch Neg' Ratings Lowered BWAY 2015-1740 Mortgage Trust Class A to 'BB+ (sf)/Watch Neg' from 'A (sf)/Watch Neg' Class B to 'B- (sf)/Watch Neg' from 'BB+ (sf)/Watch Neg' Class C to 'CCC- (sf)/Watch Neg' from 'B+ (sf)/Watch Neg' Class X-A to 'B- (sf)/Watch Neg' from 'BB+ (sf)/Watch Neg' Class X-B to 'B- (sf)/Watch Neg' from 'BB+ (sf)/Watch Neg' CARLYLE US 2023-3: Fitch Assigns BB-sf Rating on Class E Debt ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Carlyle US CLO 2023-3, Ltd. ENTITY / DEBT RATING PRIOR ------------- ------ ----- Carlyle US CLO 2023-3, Ltd A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT NRsf New Rating NR(EXP)sf B 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 Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Carlyle US CLO 2023-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.00 million of primarily first lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.3, versus a maximum covenant, in accordance with the initial expected matrix point of 27.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.78% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.6% versus a minimum covenant, in accordance with the initial expected matrix point of 72.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality tests. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 notes as those 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. CHNGE 2023-4: Fitch Assigns B(EXP) Rating to Class B-2 Certs ------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by CHNGE Mortgage Trust 2023-4 (CHNGE 2023-4). ENTITY / DEBT RATING ------------- ------ CHNGE 2023-4 Class A-1 LT NR(EXP)sf Expected Rating Class A-2 LT NR(EXP)sf Expected Rating Class A-3 LT A(EXP)sf Expected Rating Class A-4 LT A(EXP)sf Expected Rating Class A-IO-S LT NR(EXP)sf Expected Rating Class B-1 LT BB(EXP)sf Expected Rating Class B-2 LT B(EXP)sf Expected Rating Class B-3 LT NR(EXP)sf Expected Rating Class M-1 LT BBB(EXP)sf Expected Rating Class R LT NR(EXP)sf Expected Rating Class X-S LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 527 non-prime loans with a total balance of approximately $288 million as of the cut-off date. Loans in the pool were originated by Change Lending. The loans are currently serviced by Shellpoint Mortgage Servicing. CHNGE 2023-4 is the tenth securitization issued by the sponsor Change Lending, LLC (Change) but the third rated by Fitch. Change is an independent Community Development Financial Institution (CDFI) lender certified by the U.S. Department of the Treasury. In order to maintain its CDFI designation, a CDFI is expected to originate at least 60% of its volumes (by count and balance) to its CDFI Target Markets, which generally focus on certain underserved or low-income communities and individuals. KEY RATING DRIVERS Change Community Mortgage Product (Negative): Although Change has multiple lending programs, this pool represents 100% of their Community Mortgage product. This product is underwritten to borrower assets, borrower credit history, FICO and loan-to-value ratio (LTV). The Community Mortgage product does not require income, employment or debt-to-income (DTI) documentation. Although this program is compliant with applicable law and aligned to the CDFI's mandate to serve low-income individuals, low-income communities, African-Americans and Hispanics, Fitch considers it a no-ratio and low documentation product; thus, it carries higher risk. As a CDFI, all loans originated by Change are CDFI loans and are exempt from certain sections of Reg Z, including the Consumer Financial Protection Bureau's (CFPB) qualified mortgage (QM) and ability-to-repay (ATR) rules. This allows Change to originate no-ratio consumer mortgage loans without income or DTI documentation. While the loans in this pool were originated to creditworthy borrowers based on their FICO, equity contributions and assets, the lack of income and employment documentation required to align these mortgages' underwriting standards post-Global Financial Crisis (GFC) is a concern. Additionally, with the CDFI ATR exemption, the lack of underwriting using a DTI is a greater risk. Given this, Fitch capped the highest possible initial rating at 'Asf'. Due to these factors, the transaction has ESG Relevance Scores of '4' for Exposure to Governance and '4' for Exposure to Social due to the Community Mortgage lending program and CDFI exemption. Nonprime Credit Quality (Negative): The collateral consists of 527 loans totaling $288 million. The average loan balance is $546,393. The borrowers have a moderate credit profile consisting of a 736 model FICO and leverage with a 71.5% sustainable LTV (sLTV) and a 66.2% combined current LTV (cLTV). Of the pool, 96.7% consists of loans where the borrower maintains a primary residence, 3.3% are loans for second homes and there are no investor property loans; additionally, 0% are QM, as the QM rule does not apply to loans in this transaction due to the CDFI exemption. Fitch's expected loss in the 'Asf' stress is 12.25%. This is mainly because most are low documentation/ no-ratio loans with compensating factors, including borrower equity, strong FICOs and large reserves. From an LTV and FICO standpoint, the collateral in this pool is prime-like; however, due to the low documentation and lack of DTI underwriting, Fitch considers this collateral as nonprime. Concentration Adjustments (Negative): Fitch adjusted expected losses due to concentration concerns attributable to geographic distribution and small loan counts. The largest concentration of loans is in California (41.3%), followed by Florida and New Jersey. The largest MSA is Los Angeles (20.1%); as a result, a penalty was applied for geographic concentration, which increased losses at the 'Asf' level by 15 basis points (bps). Additionally, Fitch increased losses at the 'Asf' level by 17 bps due to the low loan count. The loan count is 527, with a weighted average number (WAN) of 265. As a loan pool becomes more concentrated, there is a greater risk that the pool will exhibit default characteristics. 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 7.3% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23, down 0.2% qoq). The rapid gain in home prices through the pandemic has seen signs of moderating, with a decline observed in 3Q22. Driven by strong gains in 1H22, home prices decreased -0.2% yoy nationally as of April 2023. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to 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 the 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 additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. CHNGE 2023-4 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100 bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. The unrated class B-3 interest allocation goes toward the senior cap carryover amount (classes A-1, A-2 and A-3) for as long as any unpaid cap carryover is outstanding. This increases the P&I allocation for senior classes. As a sensitivity to Fitch's rating stresses, the agency 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% (the historical Alt-A modification percentage) of 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 preemptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but ultimately will not 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 30.5% at 'A'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'Asf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'Asf' ratings. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. ESG CONSIDERATIONS CHNGE 2023-4 has an ESG Relevance Score of '4' for Exposure to Social due to human rights, community relations and access & affordability, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. CHNGE 2023-4 has an ESG Relevance Score of '4' for Exposure to Governance due to transaction parties and operational risk, which has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHNGE MORTGAGE 2023-4: Fitch Gives Final 'Bsf' Rating on B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by CHNGE Mortgage Trust 2023-4 (CHNGE 2023-4). Entity/Debt Rating Prior ----------- ------ ----- CHNGE 2023-4 Class A-1 LT NRsf New Rating NR(EXP)sf Class A-2 LT NRsf New Rating NR(EXP)sf Class A-3 LT Asf New Rating A(EXP)sf Class A-4 LT Asf New Rating A(EXP)sf Class M-1 LT BBBsf New Rating BBB(EXP)sf Class B-1 LT BBsf New Rating BB(EXP)sf Class B-2 LT Bsf New Rating B(EXP)sf Class B-3 LT NRsf New Rating NR(EXP)sf Class X-S LT NRsf New Rating NR(EXP)sf Class R LT NRsf New Rating NR(EXP)sf Class A-IO-S LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 527 non-prime loans with a total balance of approximately $288 million as of the cut-off date. Loans in the pool were originated by Change Lending. The loans are currently serviced by Shellpoint Mortgage Servicing. CHNGE 2023-4 is the 10th securitization issued by the sponsor Change Lending, LLC (Change) but the third rated by Fitch. Change is an independent Community Development Financial Institution (CDFI) lender certified by the U.S. Department of the Treasury. In order to maintain its CDFI designation, a CDFI is expected to originate at least 60% of its volumes (by count and balance) to its CDFI Target Markets, which generally focus on certain underserved or low-income communities and individuals. KEY RATING DRIVERS Change Community Mortgage Product (Negative): Although Change has multiple lending programs, this pool represents 100% of their Community Mortgage product. This product is underwritten to borrower assets, borrower credit history, FICO and loan-to-value ratio (LTV). The Community Mortgage product does not require income, employment or debt-to-income (DTI) documentation. Although this program is compliant with applicable law and aligned to the CDFI's mandate to serve low-income individuals, low-income communities, African-Americans and Hispanics, Fitch considers it a no-ratio and low documentation product; thus, it carries higher risk. As a CDFI, all loans originated by Change are CDFI loans and are exempt from certain sections of Reg Z, including the Consumer Financial Protection Bureau's (CFPB) qualified mortgage (QM) and ability-to-repay (ATR) rules. This allows Change to originate no-ratio consumer mortgage loans without income or DTI documentation. While the loans in this pool were originated to creditworthy borrowers based on their FICO, equity contributions and assets, the lack of income and employment documentation required to align these mortgages' underwriting standards post-Global Financial Crisis (GFC) is a concern. Additionally, with the CDFI ATR exemption, the lack of underwriting using a DTI is a greater risk. Given this, Fitch capped the highest possible initial rating at 'Asf'. Due to these factors, the transaction has ESG Relevance Scores of '4' for Exposure to Governance and '4' for Exposure to Social due to the Community Mortgage lending program and CDFI exemption. Nonprime Credit Quality (Negative): The collateral consists of 527 loans totaling $288 million. The average loan balance is $546,393. The borrowers have a moderate credit profile consisting of a 736 model FICO and leverage with a 71.5% sustainable LTV (sLTV) and a 66.2% combined current LTV (cLTV). Of the pool, 96.7% consists of loans where the borrower maintains a primary residence, 3.3% are loans for second homes and there are no investor property loans; additionally, 0% are QM, as the QM rule does not apply to loans in this transaction due to the CDFI exemption. Fitch's expected loss in the 'Asf' stress is 12.25%. This is mainly because most are low documentation/ no-ratio loans with compensating factors, including borrower equity, strong FICOs and large reserves. From an LTV and FICO standpoint, the collateral in this pool is prime-like; however, due to the low documentation and lack of DTI underwriting, Fitch considers this collateral as nonprime. Concentration Adjustments (Negative): Fitch adjusted expected losses due to concentration concerns attributable to geographic distribution and small loan counts. The largest concentration of loans is in California (41.3%), followed by Florida and New Jersey. The largest MSA is Los Angeles (20.1%); as a result, a penalty was applied for geographic concentration, which increased losses at the 'Asf' level by 15 basis points (bps). Additionally, Fitch increased losses at the 'Asf' level by 17 bps due to the low loan count. The loan count is 527, with a weighted average number (WAN) of 265. As a loan pool becomes more concentrated, there is a greater risk that the pool will exhibit default characteristics. 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 7.3% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23, down 0.2% qoq). The rapid gain in home prices through the pandemic has seen signs of moderating, with a decline observed in 3Q22. Driven by strong gains in 1H22, home prices decreased -0.2% yoy nationally as of April 2023. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to 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 the 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 additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. CHNGE 2023-4 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100 bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. The unrated class B-3 interest allocation goes toward the senior cap carryover amount (classes A-1, A-2 and A-3) for as long as any unpaid cap carryover is outstanding. This increases the P&I allocation for senior classes. As a sensitivity to Fitch's rating stresses, the agency 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% (the historical Alt-A modification percentage) of 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 preemptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but ultimately will not default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. CHNGE 2023-4 has an ESG Relevance Score of '4' for Exposure to Social due to human rights, community relations and access & affordability, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. CHNGE 2023-4 has an ESG Relevance Score of '4' for Exposure to Governance due to transaction parties and operational risk, which has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. 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 30.5% at 'A'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'Asf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'Asf' ratings. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. ESG CONSIDERATIONS CHNGE 2023-4 has an ESG Relevance Score of '4' for Exposure to Social due to human rights, community relations and access & affordability, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. CHNGE 2023-4 has an ESG Relevance Score of '4' for Exposure to Governance due to transaction parties and operational risk, which has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP 2020-420K: DBRS Confirms BB(high) Rating on HRR --------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates Series 2020-420K issued by Citigroup Commercial Mortgage Trust 2020-420K as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction which remains in line with DBRS Morningstar's expectations. Although there has been relatively limited seasoning with minimal updates to the financial reporting since the transaction closed in November 2020, the loan continues to exhibit healthy credit metrics, with the servicer reported financials for YE2021 and YE2022 reflecting consistent year-over-year growth in revenue and net cash flow (NCF). The loan is secured by the borrower's fee-simple interest in two 22-story luxury residential towers, 416 Kent and 420 Kent, located along the waterfront in the Williamsburg neighborhood of Brooklyn, New York. The high-rise buildings consist of 857 residential units and 18,827 square feet (sf) of commercial space, with extensive amenities including two parking garages consisting of 429 parking spaces, rooftop pools, resident lounges, a fitness center, yoga studios, and co-working spaces. The sponsor and guarantor for the mortgage loan is Eliot Spitzer, the former governor of New York and the head of Spitzer Enterprises. Spitzer Enterprises has a 60-plus year history of developing, owning, and managing real estate in New York City and Washington, D.C. The residential portion of the development benefits from significant 421-a tax exemptions during the loan term and, in return, the developer has designated between 20% and 25% of the units at each address as affordable housing (65 units at 416 Kent and 121 units at 420 Kent). The market-rate units at 416 Kent are generally not subject to any restrictions on rental rates, while the market-rate component at 420 Kent is subject to limitations on rental rate increases set by the New York City Rent Guidelines Board during the 25-year exemption period. The tax abatements exempt each of the properties from 100.0% of the taxes on the improvements and will extend beyond loan maturity. The $388.0 million total debt package consists of a mortgage loan of $298.0 million and a mezzanine loan of $90.0 million. The mortgage loan comprises $216.9 million in senior notes and $81.1 million in junior notes. The trust is made up of the $156.9 million senior A-1 note and the $81.1 million junior B-1 note (totaling $238.0 million). The $60.0 million A-2 note is pari passu with the senior note but is held outside the trust (contributed to the BMARK 2020-B21 transaction, which is not rated by DBRS Morningstar). The mezzanine loan is not an asset of the trust. The notes evidence a 10-year, fixed-rate, interest-only (IO) loan, maturing in November 2030, with no extension options. Loan proceeds were used to refinance $381.5 million of existing debt, pay closing costs, fund upfront reserves, and return equity to the sponsor. According to the trailing 12-month (T-12) ended March 31, 2023, financials the property was 97.1% occupied, an increase over the YE2022 occupancy rate of 94.5% and in line with the YE2021 occupancy rate of 97.4%. Likewise, reported NCF has trended upward with the T-12 ended March 31, 2023, figure of $25.7 million (debt service coverage ratio (DSCR) of 1.74 times (x)), greater than the YE2022, YE2021, and DBRS Morningstar figures of $24.4 million (DSCR of 1.66x), $16.8 million (DSCR of 1.14x) and $21.8 million (DSCR of 2.15x), respectively. According to Reis, the Kings County submarket had an average effective rent of $2,569 per unit and an average vacancy rate of 4.2% as of Q2 2023. At issuance, DBRS Morningstar noted the property was outperforming the submarket given its above-average property quality and finishes with in-place rent for market units averaging $4,504 and $4,124 for 416 Kent and 420 Kent, respectively; the in-place rent for the smaller subset of affordable units averaging $1,084 and $932, respectively. An up-to-date rent roll was requested but not received. At issuance, DBRS Morningstar derived a value of $348.6 million based on a capitalization rate of 6.25% and DBRS Morningstar NCF of $21.8 million, resulting in a DBRS Morningstar loan-to-value ratio (LTV) of 85.5% compared with the LTV of 51.0% based on the appraised value at issuance. The property benefits from its 421a tax abatements, high-end amenity package, and desirable location along the East River. DBRS Morningstar made positive qualitative adjustments to the final LTV sizing benchmarks, totaling 10.0% to account for the cash flow volatility, property quality, and market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2016-DC2: Fitch Affirms B-sf Rating on 2 Tranches ------------------------------------------------------ Fitch Ratings has upgraded two classes and affirmed 10 classes of COMM Mortgage Trust, commercial mortgage pass-through certificates, series 2016-DC2 (COMM 2016-DC2). Additionally, Fitch has assigned Stable Outlooks to the upgraded classes and the Outlooks remain Stable for the affirmed classes. The criteria observation (UCO) has been resolved. ENTITY / DEBT RATING PRIOR ------------- ------ ----- COMM 2016-DC2 Mortgage Trust A-4 12594CBE9 LT AAAsf Affirmed AAAsf A-5 12594CBF6 LT AAAsf Affirmed AAAsf A-M 12594CBH2 LT AAAsf Affirmed AAAsf A-SB 12594CBD1 LT AAAsf Affirmed AAAsf B 12594CBJ8 LT AA-sf Affirmed AA-sf C 12594CBK5 LT A-sf Affirmed A-sf D 12594CAL4 LT BBsf Affirmed BBsf E 12594CAN0 LT Bsf Affirmed Bsf F 12594CAQ3 LT B-sf Upgrade CCCsf X-A 12594CBG4 LT AAAsf Affirmed AAAsf X-C 12594CAC4 LT BBsf Affirmed BBsf X-D 12594CAE0 LT B-sf Upgrade CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Improved Loss Expectations: The upgrades and affirmations reflect the impact of the updated criteria coupled with a decline in overall pool loss expectations since Fitch's prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.4%. Eleven loans (32.1% of the pool) are flagged as Fitch Loans of Concern (FLOCs), including one loan (1.1%) in special servicing and loans backed by retail or office properties with occupancy and/or cash flow concerns. Fitch assumed a higher probability of default for several FLOCs, including Columbus Park Crossing, North Point Center East, Promenade Gateway and Petsmart Sunnyvale in its analysis to reflect the performance concerns and refinancing risk. Largest Contributor to Loss: The largest contributor to expected loss is the Columbus Park Crossing loan (5.8% of the pool), which is secured by a 638,028-sf anchored retail center located in Columbus, GA, approximately 100 miles from Atlanta. This FLOC was flagged due to a low occupancy, declining cash flow and low debt service coverage ratio (DSCR). Sears (previously 22.2% of the NRA ) closed in 2017. Major tenants include AMC (13.2% of the NRA through September 2023), Haverty Furniture Company (5.2% of the NRA through December 2025) and a Ross Dress for Less (4.7% of the NRA, extended through January 2028). Fitch requested an update on AMC's upcoming lease expiration. Burlington Coat Factory (4.4% of NRA) has a lease through February 2033. The servicer reported occupancy as of the March 2023 rent roll was approximately 76%. Fitch's 'Bsf' rating case loss of approximately 35% (prior to concentration adjustments) reflects a 15% cap rate and 7.5% stress to the YE 2022 NOI. The next largest contributor to loss is the specially serviced Colony Square Atascadero asset (1.1%), which is a 47,543-sf retail property located in Atascadero, CA. Previously, the largest tenant at the property was Galaxy Theatre (73% NRA), which vacated in 2022. The tenant was then replaced by a local movie theatre on a long-term lease. The borrower filed for bankruptcy in 2021. The most recent servicer commentary indicated the property is in foreclosure. Fitch modeled a 'Bsf' rating case loss of approximately 72%, which reflects a value of $106 psf. Other FLOCs include North Point Center East (9.5% of the pool) and Promenade Gateway (4.8%). North Point Center East, the largest loan in the pool, is secured by a 540,707 sf four building suburban office portfolio located in Alpharetta, GA north of Atlanta. As of August 2023, availability at the portfolio was approximately 30% per CoStar. Fitch requested a recent rent roll and leasing activity from the servicer and has not received an update. Promenade Gateway is secured by a 131,470 sf mixed use property located in Santa Monica, CA. Major property tenants include AMC Theaters (21.9% of the commercial space NRA through October 2024) and exposure to co-working tenant, WeWork (13.7% of the NRA). As of the June 2023 servicer provided rent roll, 28 of the 32 multifamily units were leased. Increase in Credit Enhancement: As of the July 2023 distribution date, the pool's aggregate principal balance was reduced by 21.8% to $630.1 million from $806.2 million at issuance. The increase in CE is attributed to loan payoffs, amortization and defeasance. Twenty-two loans (28.9% of the pool balance) have been defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' and 'AAsf' category rated classes are not expected due to their increasing CE, overall stable pool performance and expected continued paydown; however, downgrades to these classes may occur should interest shortfalls affect these classes. Downgrades to 'Asf' 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 specially serviced assets. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are not expected, but possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBsf' and 'Bsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. COMM 2017-COR2: Fitch Affirms Rating at 'B-sf' on Class G-RR Debts ------------------------------------------------------------------ Fitch Ratings has affirmed 13 classes of COMM 2017-COR2 Mortgage Trust Series 2017-COR2. The Rating Outlook for classes E-RR and F-RR were revised to Negative from Stable, and the Outlook for class G-RR remains Negative. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- COMM 2017-COR2 A-2 12595EAC9 LT AAAsf Affirmed AAAsf A-3 12595EAD7 LT AAAsf Affirmed AAAsf A-M 12595EAF2 LT AAAsf Affirmed AAAsf A-SB 12595EAB1 LT AAAsf Affirmed AAAsf B 12595EAG0 LT AA-sf Affirmed AA-sf C 12595EAH8 LT A-sf Affirmed A-sf D 12595EAN5 LT BBBsf Affirmed BBBsf E-RR 12595EAQ8 LT BBB-sf Affirmed BBB-sf F-RR 12595EAS4 LT BBsf Affirmed BBsf G-RR 12595EAU9 LT B-sf Affirmed B-sf X-A 12595EAE5 LT AAAsf Affirmed AAAsf X-B 12595EAJ4 LT AA-sf Affirmed AA-sf X-D 12595EAL9 LT BBBsf Affirmed BBBsf 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 affirmations reflect the impact of the updated criteria and overall stable pool loss expectations since the prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.8%. Nine loans are considered Fitch Loans of Concern (FLOCs; 28.8% of pool). The Negative Outlooks reflect performance concerns on the larger FLOCs, including Renaissance Seattle and Grand Hyatt Seattle, as well as an additional sensitivity scenario where pool-level losses could reach 6.3% when factoring a higher probability of default on three suburban office loans with refinance concerns, given their low occupancy and/or high near-term tenant rollover, including The Landing, 16027 Ventura Boulevard and One Independence Way. The largest contributor to loss expectations is the Grand Hyatt Seattle FLOC (5.9%), which is secured by a 457-room full-service hotel in downtown Seattle, WA and located across the street from the Seattle Convention Center (formerly known as the Washington State Convention Center). The hotel reopened in January 2023 after undergoing an extensive renovation. This loan has the same sponsor as the fifth largest loan in the pool, Renaissance Seattle (5.9%). Property performance has continued to stabilize from pandemic lows. Occupancy, ADR and RevPAR for TTM ending June 2023 was 63%, $243.70 and $153.68, respectively. This compares with 40%, $219.62 and $87.14, respectively at June 2022; 22%, $202.81 and $44.62, respectively at September 2021; and 85.8%, $239.09 and $205.24, respectively at issuance. Fitch's 'Bsf' rating case loss of 9% prior to a concentration adjustment reflects an 11% cap rate and a 20% stress to the YE 2019 NOI, equating to a stressed value of approximately $188,000 per key. The second largest contributor to loss expectations, AHIP Northeast Portfolio II FLOC (6.7%), is secured by a portfolio of four extended-stay hotels, two in Hanover, MD, one in Mount Laurel, NJ and one in Bethlehem, PA. Per servicer, loan is being monitored for franchise default with the Residence Inn at Bishops Gate property. The servicer-reported NOI DSCR as of YE 2022 was 1.79x, down from 2.63x at YE 2021 and 2.06x at YE 2020. Occupancy has fallen to 66% for YTD March 2023 from 74% at YE 2022, 76% at YE 2021, 68% at YE 2020 and 89% at issuance. An updated STR report was requested, but not provided. Fitch's 'Bsf' rating case loss of 8% prior to a concentration adjustment reflects a cap rate of 11.50% and a 10% stress to the YE 2022 NOI. Increasing CE: CE has increased since Fitch's prior rating action due to amortization, loans dispositions and defeasance. As of the July 2022 remittance reporting, the aggregate pool balance has been paid down by 7.7% since issuance. No losses have been realized to date, and 10.2% of the pool has been defeased. Interest shortfalls are currently affecting the non-rated class G-RR. Of the remaining pool balance, 13 loans comprising 45.8% of the pool are full-term interest-only. Property Type Concentration: The highest concentration is office (35.6%), followed by hotel (21.4%), multifamily (17.7%), and retail (17.3%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to 'AAAsf' and 'AA-sf' rated classes are not expected due to increasing CE and expected continued amortization, but may occur should interest shortfalls affect these classes. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral with the U.S. sovereign rating lower than 'AAA' could also contribute to downgrades. Downgrades on 'A-sf' and 'BBBsf' rated classes could occur if deal-level losses increase significantly and/or with outsized losses on larger FLOCs. Downgrades to 'BBB-sf', 'BBsf' and 'B-sf' rated classes, which have Negative Outlooks, are possible with higher expected losses on the larger hotel and office FLOCs and/or greater certainty of near-term losses on specially serviced assets and other FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity factors that could lead to upgrades include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'AA-sf' and 'A-sf' classes may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse. Upgrades to classes rated 'BBBsf' and 'BBB-sf' may occur as the number of FLOCs are reduced, and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls. Upgrades to 'BBsf' and 'B-sf' 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. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CONN'S RECEIVABLES 2023-A: Fitch Gives 'B+' Rating on Class C Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by Conn's Receivables (Conn's) Funding 2023-A, LLC, which consists of notes backed by retail loans originated by Conn's Appliances, Inc. or Conn's Credit Corporation, Inc. and serviced by Conn's Appliances, Inc. Entity/Debt Rating Prior ----------- ------ ----- Conn's Receivables Funding 2023-A, LLC Class A LT BBBsf New Rating BBB(EXP)sf Class B LT BBsf New Rating BB(EXP)sf Class C LT B+sf New Rating B+(EXP)sf KEY RATING DRIVERS Forward-Looking Approach to Base Case Default Derivation: Fitch considered economic conditions and future expectations when deriving the base case default assumption of 28%. During the pandemic, Conn's managed performance improved as the company tightened underwriting, and as obligors benefitted from available stimulus payments and re-age and deferral programs offered by Conn's. Conn's has also tightened use of the re-age policy in recent years, which is contributing to an increase in early defaults. Due to the recency of these changes and shifting macroeconomic conditions, Fitch relied on historical default timing trends and pre-pandemic performance to set the base case default assumption. Rating Stress Reflects Subprime Collateral: The Conn's 2023-A receivables pool has a weighted average (WA) FICO score of 619, and 10.2% of the loans have scores below 550 or no score. Fitch applied 2.2x, 1.5x and 1.3x stresses to the 28% default assumption at the 'BBBsf', 'BBsf' and 'B+sf' 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 in 2020 contributing to increased defaults in impacted securitized vintages; and servicing collection risk, albeit reduced in recent years, due to a portion of customers making in-store payments. Payment Structure — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) totals 56.46%, 33.87% and 25.50% for class A, B and C notes, respectively. Initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Adequate Servicing Capabilities: Conn Appliances, Inc. (Conn's) 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. (SST), which has committed to a servicing transition period of 30 days. Fitch considers all parties to be adequate servicers for this pool at the expected 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 charge-offs 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%, 25% and 50% 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 a trusts performance. The most severe downside sensitivity run of a 50% increase in the base case default rate could result in downgrades of one rating category for the class A notes, two categories for the class B notes, and a downgrade below 'CCCsf' for the class C notes. Fitch examines the magnitude of the multiplier compression during the sensitivity analysis 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. If the defaults are 20% less than the projected base case default rate, the expected ratings for the class B notes could be upgraded by two notches and the expected ratings for the class C notes could be upgraded by one category. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CSMC TRUST 2014-USA: S&P Assigns CCC(sf) Rating on Class X-2 Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on nine classes of commercial mortgage pass-through certificates from CSMC Trust 2014-USA, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by an 11-year, fixed-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple and leasehold interests in a portion (2.6 million sq. ft.) of Mall of America, a 2.8 million-sq.-ft. super regional destination mall in Bloomington, Minn. Rating Actions S&P said, "The affirmations of classes A-1, A-2, B, C, D, E, and F reflect our expected-case valuation, which is unchanged from our last published review in March 2020. The trust balance has also paid down 1.0% since our last review. "In our last published review, we revised and lowered our sustainable net cash flow (NCF) to $82.4 million and increased our capitalization rate to 6.50%, arriving at an expected-case value of $1.27 billion to reflect the declining and weakening trends within the retail mall sector. The servicer reported that NCF at the property was negatively affected by the COVID-19 pandemic due to lower occupancy, as well as lower income from the operation of the theme parks within the mall, given fewer visitors and admissions: It was down 11.9% to $78.4 million in 2020 from $89.0 million in 2019, and then fell a further 8.6% to $71.6 million in 2021. Since, NCF has improved, increasing 16.8% to $83.7 million in 2022, which is generally in line with our NCF assumption of $82.4 million that we derived in 2020. The servicer reported a $21.6 million NCF for the three months ended March 31, 2023. Servicer-reported occupancy likewise decreased during the pandemic to 88.4% in 2020 from 92.9% in 2019. It then increased marginally to 89.3% in 2021 and 90.7% in 2022. As a result, in our current analysis, we maintained our long-term sustainable NCF of $82.4 million and expected-case value of $1.27 billion, which is 39.7% lower than the October 2022 appraised value of $2.1 billion. "Due to government-mandated store closures at the onset of the COVID-19 pandemic, the collateral property experienced cash flow issues and was not able to generate sufficient cash flow to cover debt service, which included amortization of the loan's principal starting with the April 2020 payment period and operating expenses. The loan transferred to the special servicer on May 21, 2020, due to payment default. The loan was subsequently modified on Dec. 11, 2020, to address the borrower's goal of improving property performance in the wake of the pandemic and repaying outstanding advances." The modification terms included that: -- The loan was converted from paying principal and interest based on a 30-year amortization schedule to IO as of the December 2020 payment date; -- The borrower was allowed to defer debt service payments as needed through the June 2021 payment date, as well as for one additional payment period between July and December 2021; -- The loan would remain with the special servicer, CWCapital Asset Management LLC, until outstanding advances were repaid in full; -- In lieu of cash management, the borrower would remit monthly net cash flow to the servicer and would provide additional documentation for the remitted cash flow; and -- A waterfall would be established to address the repayment of outstanding advances from net cash flow remitted by the borrower, with outstanding advances on loan payments being repaid first. S&P said, "From April 2020 through November 2021, Wells Fargo Bank N.A. had advanced debt service payments totaling $45.9 million as well as $34.3 million to primarily cover the property's 2020 real estate tax bill and $3.3 million for special servicing fees and other expenses. Excess cash flow that was deposited into a lender-controlled reserve account has since been used to pay down outstanding servicer advances, beginning with the loan payment advances. As of the August 2023 payment date, outstanding servicer advances and accruals totaled $73.4 million, which comprises $20.5 million in cumulative debt service advances, $34.3 million in cumulative real estate taxes and insurance advances, $9.5 million in cumulative other expenses and special servicing fees advances, and $9.0 million in cumulative accrued unpaid advance interest. Given the anticipated rate of repayment of aggregate advances (as well as the interest thereon), we expect that at the loan's maturity in September 2025, there may be remaining servicer advances and interest to be repaid ahead of the certificates, which could result in lower recovery to the trust, specifically for the most subordinate classes. "The affirmation of class F's rating at 'CCC (sf)' reflects our view that the bond's susceptibility to liquidity interruption and risk of default and loss remain elevated based on our expected-case value, current market conditions, and the buildup of exposure due to unpaid servicer advances and accruals as discussed above." Although the model-indicated ratings were lower than the classes' current ratings, we affirmed our ratings on classes A-1, A-2, B, C, D, and E based on certain weighted qualitative considerations: -- The potential that the property's operating performance continues to improve above our current expectations; -- The significant market value decline from the October 2022 appraisal value of $2.1 billion that would need to occur before these classes experience principal losses; -- The liquidity support provided in the form of servicer advancing; and -- The relative position of these classes in the payment waterfall. S&P said, "While the servicer-reported debt service coverage ratio (DSCR) is 1.33x for year-end 2022 and 1.14x for year-end 2021, we note that the existing mortgage interest rate of 4.38% is well-below prevailing rates for retail properties. We will continue to monitor interest rates in tandem with the property's cash flow and value, because DSC considerations may constrain the size of a refinance mortgage at the loan's maturity in September 2025. "The affirmations on the class X-1 and X-2 IO certificates reflect our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-1 certificates references classes A-1 and A-2, and the notional amount of the class X-2 certificates references classes B, C, D, E, and F." Property-Level Analysis Mall of America is an enclosed, four-story, 2.8-million-sq.-ft. super-regional destination mall, of which 2.6-million-sq.-ft serves as the loan's collateral. The property was built between 1988 and 1992 and is in Bloomington. Beginning in 2014, the mall underwent a major expansion project at a cost of over $300.0 million, which included the construction of a JW Marriot Hotel, 150,000 sq. ft. of new retail space, an office building, a food hall, and a new underground parking ramp. In 2018, the sponsor, Triple Five Worldwide, had also proposed another major expansion to build a 325,000-sq.-ft. indoor waterpark at the property. Although the expansion project was put on hold during the COVID-19 pandemic and the timing of the project is currently uncertain, the plan had been approved by the Bloomington City Council in March 2022 and, according to a number of news outlets, the mall's management is still interested in moving forward with the project. In March 2021, several news outlets reported that 49.0% of the equity stake in Mall of America was seized by the lenders of the American Dream Mall loan and a group of real estate investors. Triple Five Worldwide had pledged 49.0% of its equity stake in Mall of America, as well as 49.0% of its equity stake in the West Edmonton Mall, to secure a $1.2 billion construction loan in 2017 for the American Dream Mall project in New Jersey. Triple Five Worldwide had defaulted on the American Dream Mall loan, resulting in the lenders and other real estate investors taking over 49.0% of the equity in the two other mall properties. At this time, S&P doesn't expect these developments to impact property operations. Collateral anchors at the property include Nickelodeon Universe (302,966 sq. ft.), Macy's (276,581 sq. ft.), and Nordstrom (210,664 sq. ft.). There is one noncollateral anchor box (177,904 sq. ft.) that was formerly occupied by Sears, which had closed its store at this location in 2019 following the company's bankruptcy in 2018. It is S&P's understanding that the former Sears space remains empty. Performance at the property had improved in 2022, though it has not fully rebounded to pre-COVID-19 levels. According to the March 31, 2023, rent roll, the collateral property was 88.6% occupied. The five largest tenants comprise 34.9% of the collateral net rentable area (NRA) and include: -- Nickelodeon Universe (11.6% of NRA; rent is derived from the net operating income of the amusement park; August 2037 lease expiration). -- Macy's (10.6%; pays expense reimbursement income; July 2028); Nordstrom (8.0%; 1.1% of aggregate base rent as calculated by S&P Global Ratings; August 2032); -- B&B Theatres (2.5%; pays percentage rent; May 2031); and -- Crayola Experience (2.3%; 1.6%; May 2026). The property faces staggered rollover risk through the loan's maturity: 10.7% of the NRA (15.0% of S&P Global Ratings' aggregate in-place gross rent) is scheduled to roll in 2023, 8.2% (13.1%) in 2024, and 5.5% (11.8%) in 2025. Using the March 31, 2023, rent roll and servicer-reported 2022 performance figures, we assumed an 89.8% occupancy rate, an S&P Global Ratings' base rent of $35.24 per sq. ft. and gross rent of $59.32 per sq. ft., and a 57.5% operating expense ratio to arrive at an S&P Global Ratings' NCF of $82.4 million, unchanged from our last published review. The S&P Global Ratings' value of $1.27 billion ($484 per sq. ft.), which reflects an S&P Global Ratings' capitalization rate of 6.50% (the same as in our last published review) and yields an S&P Global Ratings' loan-to-value (LTV) ratio of 109.4% on the current loan balance and 113.5% on total loan exposure (including outstanding advances and accruals and net of reserves, as of the August 2023 trustee remittance report) of $1.44 billion. Transaction Summary The mortgage loan had a trust balance of $1.39 billion as of the Aug. 17, 2023, trustee remittance report, down from $1.4 billion in S&P's last published review and at issuance. The loan was originally IO for the first 66 months and then amortizes on a 30-year schedule starting with the April 2020 payment period, pays an annual fixed interest rate of 4.38%, and matures on Sept. 11, 2025. The loan was converted in December 2020 to IO through its maturity date. The borrower is current on its debt service payments. However, the servicer reported an April 2023 paid-through date in the August 2023 trustee remittance report because there is approximately $20.5 million in outstanding principal and interest advances, which amounts to approximately four monthly debt service payments. To date, the trust has not experienced any principal losses and, according to the August 2023 trustee remittance report, class F had accumulated interest shortfalls outstanding totaling $573, which S&P deemed de minimis. According to the transaction documents, the borrower is permitted to incur mezzanine debt if, among other factors, the aggregate LTV ratio is equal to or less than 65.0% and the combined DSCR is equal to or greater than 1.20x. It is our understanding that no mezzanine debt has been incurred to date. Ratings Affirmed CSMC Trust 2014-USA Class A-1: AAA (sf) Class A-2: AAA (sf) Class B: A- (sf) Class C: BBB- (sf) Class D: BB- (sf) Class E: B- (sf) Class F: CCC (sf) Class X-1: AAA (sf) Class X-2: CCC (sf) ELMWOOD CLO 19: S&P Assigns Prelim B- (sf) Rating on Cl. FR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class AR, BR, CR, DR, ER, and FR replacement notes from Elmwood CLO 19 Ltd./Elmwood CLO 19 LLC, a CLO originally issued in 2022 that is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of Aug. 18, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 4, 2023, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. At that time, S&P expects to withdraw its ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original notes and withdraw our preliminary ratings on the replacement notes. 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 Elmwood CLO 19 Ltd. /Elmwood CLO 19 LLC Class AR, $252.00 million: AAA (sf) Class BR, $52.00 million: AA (sf) Class CR (deferrable), $24.00 million: A (sf) Class DR (deferrable), $22.00 million: BBB- (sf) Class ER (deferrable), $14.00 million: BB- (sf) Class FR (deferrable), $6.00 million: B- (sf) Subordinated notes, $33.00 million: Not rated EMPOWER CLO 2023-2: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Empower CLO 2023-2 Ltd./Empower CLO 2023-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Empower Capital Management LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Empower CLO 2023-2 Ltd./Empower CLO 2023-2 LLC Class A-1, $250.00 million: AAA (sf) Class A-1 loans, $50.00 million: AAA (sf) Class A-2, $22.50 million: AAA (sf) Class B, $57.50 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $27.50 million: BBB- (sf) Class E (deferrable), $17.50 million: BB- (sf) Subordinate notes, $49.30 million: Not rated EXETER AUTOMOBILE 2023-4: Fitch Gives BB(EXP) Rating to Cl. E Debt ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to Exeter Automobile Receivables Trust (EART) 2023-4. ENTITY/DEBT RATING ----------- ------ Exeter Auto Receivables Trust 2023-4 A1 ST F1+(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance — Subprime Credit Quality: EART 2023-4 is backed by collateral with subprime credit attributes, including a weighted average (WA) FICO score of 577, a WA loan-to-value (LTV) ratio of 113.41% and WA APR of 21.77%. In addition, 97.30% of the loans are backed by used vehicles and the WA payment-to-income (PTI) ratio is 12.06%. Forward-Looking Approach to Derive Base Case Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions to derive the series loss proxy. Although recessionary performance data from Exeter are not available, the initial base case cumulative net loss (CNL) proxy was derived utilizing 2006-2009 data from Santander Consumer — as proxy recessionary static-managed portfolio data — and 2016-2017 vintage data from Exeter to arrive at a forward-looking base case CNL proxy of 20.00%. Payment Structure — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) totals 61.90%, 48.20%, 34.75%, 21.55% and 9.35% for classes A, B, C, D and E, respectively. The class B, C, and D CE levels are up from 2023-3, while the class A and E and CE levels are lower than or consistent with 2023-3. CE for each class is up from those of transactions prior to 2022-5. Excess spread is expected to be 11.16% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base case CNL proxy of 20%. Seller/Servicer Operational Review — Adequate Origination/Underwriting/Servicing: Exeter demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch does not rate Exeter but deems the company as capable to service this transaction. In addition, Citibank, N.A., which Fitch rates 'A+'/Stable/'F1', has been contracted as backup servicer for this transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Additionally, Fitch evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected subordinate note ratings could be upgraded by up to one category. ESG CONSIDERATIONS The concentration of electric and hybrid vehicles in the pool is low and did not have an impact on Fitch's ratings analysis or conclusion of this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FLAGSHIP CREDIT 2023-3: S&P Assigns 'BB-(sf)' Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to Flagship Credit Auto 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 44.48%, 38.38%, 29.77%, 22.84%, and 18.33% credit support--hard credit enhancement and haircut to excess spread--for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x coverage of S&P's expected net loss of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime automobile loans in this transaction, S&P's view of the credit risk of the collateral, its updated macroeconomic forecast, and its forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Flagship Credit Acceptance LLC as servicer, along with its view of the company's underwriting and the backup servicing arrangement with UMB Bank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Flagship Credit Auto Trust 2023-3 Class A-1, $35.80 million: A-1+ (sf) Class A-2, $145.00 million: AAA (sf) Class A-3, $46.26 million: AAA (sf) Class B, $31.13 million: AA (sf) Class C, $41.33 million: A (sf) Class D, $31.48 million: BBB (sf) Class E, $19.00 million: BB- (sf) FORTRESS CREDIT V: S&P Raises Class E Notes Rating to 'BB (sf)' --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1, B-2-R, C, and E notes from Fortress Credit BSL V Ltd., a U.S. CLO transaction. At the same time, S&P removed the ratings on the class B-1, B-2-R, and E notes from CreditWatch, where they were placed with positive implications in June 2023. S&P also affirmed its ratings on the class A and D notes from the same transaction. The rating actions follow its review of the transaction's performance, based on the June 2023 trustee report. The transaction has paid down $133 million in collective paydowns to the class A notes since our June 2022 rating action. These paydowns resulted in improved reported overcollateralization (O/C) ratios for the senior tranches since the May 2022 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 135.85% from 132.35%. -- The class C O/C ratio improved to 123.62% from 122.66%. While the O/C ratios improved at the senior levels, the junior O/C ratios reported some decline since S&P's previous rating actions: -- The class D O/C ratio declined to 113.66% from 114.52%. -- The class E O/C ratio declined to 108.66% from 110.33%. The higher coverage tests for classes A/B and C indicate an increase in their credit support. While senior O/C ratios improved, the class D and E O/C ratios declined but are both still passing with a cushion at 5.76% and 3.96%, respectively. The decline in the O/C ratios is primarily due to defaults and increases to haircuts that the transaction incurred since our last rating action. The O/C ratios have since improved though across all levels as of the August 2023 trustee report. The collateral portfolio's credit quality slightly deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category increased, with $34.68 million reported as of the May 2022 trustee report, compared with $57.88 million reported as of the June 2023 trustee report. Defaulted obligations appear to have increased as well, from $1.67 million to $10.04 million as of the June 2023 trustee report. The defaulted bucket, however, has shown some decline in the most recent August 2023 trustee report. Overall, despite the slightly larger concentrations in the 'CCC' category and defaulted obligations, the transaction has benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 3.49 years reported as of the June 2023 trustee report, compared with 4.20 years reported at the time of our June 2022 rating actions. Additionally, the transaction's consistent paydowns have offset their impact and, overall, the transaction shows par gain. S&P also took into consideration some updated information in the trustee report, namely that several reported short-term defaulted assets were recently upgraded back to a 'CCC' rating level. This is also reflected in the decline in defaults on the August 2023 trustee report. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. The rating on the class E note was raised back to its original rating. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could result in rating changes. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C, D, and E notes. S&P said, "However, because the transaction currently has a larger exposure to 'CCC' rated collateral obligations and an increased level of defaulted obligations, we considered extra sensitivity runs and preferred to have more cushion at the junior classes. Based on these results and each of their respective available cushions, we chose to raise our ratings on the class C and E notes by one notch and affirmed our rating on the class D notes." S&P said, "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. In addition, our analysis considered the transaction's ability to pay timely interest and 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 all the outstanding rated classes have adequate credit enhancement available at the rating levels associated with these 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 will take rating actions as we deem necessary." Fortress Credit BSL V Ltd. has transitioned its liabilities to three-month CME term secured overnight financing rate (SOFR) as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. S&P's cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, its cash flow analysis considered the same Ratings Raised And Removed From CreditWatch Positive Fortress Credit BSL V Ltd. Class B-1 to 'AA+ (sf)' from 'AA (sf)/Watch Pos' Class B-2-R to 'AA+ (sf)' from 'AA (sf)/Watch Pos' Class E to 'BB (sf)' from 'BB- (sf)/Watch POS' Rating Raised Fortress Credit BSL V Ltd. Class C to 'A+ (sf)' from 'A (sf)' Ratings Affirmed Fortress Credit BSL V Ltd. Class A: AAA (sf) Class D: BBB (sf) FREDDIE MAC 2023-1: DBRS Finalizes B(low) Rating on Class M Trusts ------------------------------------------------------------------ DBRS, Inc. finalized its provisional rating on the following Mortgage-Backed Security, Series 2023-1 issued by Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2023-1 (the Trust): -- $10.6 million Class M at B (low) (sf). DBRS Morningstar did not rate the other classes in the Trust. This transaction is a securitization of a portfolio of seasoned, reperforming first-lien residential mortgages funded by the issuance of the certificates, which are backed by 2,788 loans with a total principal balance of $470,690,243 as of the Cut-Off Date. Freddie Mac either purchased the mortgage loans from securitized Freddie Mac Participation Certificates or Uniform Mortgage Backed Securities, or retained them in whole-loan form since their acquisition. The loans are currently held in Freddie Mac's retained portfolio and will be deposited into the Trust on the Closing Date. The loans are approximately 149 months seasoned, and approximately 92.7% have been modified. Each modified mortgage loan was modified under the Government-Sponsored Enterprise (GSE) Home Affordability Modification Program (HAMP), GSE non-HAMP modification program, and/or under or subject to a Freddie Mac payment deferral program (PDP). The remaining loans (7.3%) were never modified. Within the pool, 659 mortgages have forborne principal amounts as a result of modification, which equates to 4.8% of the total unpaid principal balance as of the Cut-Off Date. For 30.5% of the modified loans, the modifications happened more than two years ago. 92.2% of the loans have payment status as current as of the Cut-Off Date, of which 0.9% are in bankruptcy. Furthermore, 73.5% and 16.9% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 12 and 24 months, respectively, under the Mortgage Bankers Association delinquency methods. DBRS Morningstar assumed all loans within the pool are exempt from the qualified mortgage rules because of their eligibility to be purchased by Freddie Mac. Specialized Loan Servicing LLC (56.1%), and NewRez LLC, d/b/a Shellpoint Mortgage Servicing (43.9%) will service the mortgage loans as of the closing date. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers; however, the Servicers are obligated to advance to third parties any amounts necessary for the preservation of mortgaged properties or real estate owned properties acquired by the Trust through foreclosure or a loss mitigation process. Freddie Mac will serve as the Sponsor, Seller, and Trustee of the transaction as well as the Guarantor of the senior certificates (i.e., the Class A-IO, MAU, MA, MA-IO, MB, MBU, MB-IO, MT, MT-IO, MTU, MV, MZ, TAU, TAW, TA, TA-IO, TBU, TBW, TB, TB-IO, TT, TT-IO, TTU, TTW, M5AU, M5AW, M55A, M5AI, M5BU, M5BW, M55B, M5BI, M55T, M5TI, M5TU, and M5TW Certificates). Wilmington Trust, National Association (Wilmington Trust) will serve as the Trust Agent. Computershare Trust Company, N.A. will serve as the Custodian for the Trust. U.S. Bank Trust Company, National Association will serve as the Securities Administrator for the Trust and will also initially act as the Paying Agent, Certificate Registrar, Transfer Agent, and Authenticating Agent. Freddie Mac, as the Seller, will make certain representations and warranties (R&W) with respect to the mortgage loans. It will be the only party from which the Trust may seek indemnification (or, in certain cases, a repurchase) as a result of a breach of R&Ws. If a breach review trigger occurs during the warranty period, the Trust Agent, Wilmington Trust, will be responsible for the enforcement of R&Ws. The warranty period will be effective only through August 7, 2026 (approximately three years from the Closing Date), for substantially all R&Ws other than the real estate mortgage investment conduit R&W and the R&W-related mortgage loans whose high-cost regulatory compliance was unable to be tested, which will not expire. The mortgage loans will be divided into three loan groups: Group M, Group M55, and Group T. The Group M loans (81.1% of the pool) and Group M55 loans (8.2% of the pool) were subject to either fixed-rate modifications or step-rate modifications that have reached their final step rates and, as of the Cut-Off Date, the borrowers have made at least one payment after such mortgage loans reached their respective final step rates. Each Group M loan has a mortgage interest rate less than or equal to 5.5% and has no forbearance, or may have forbearance and any mortgage interest rate. Each Group M55 loan has a mortgage interest rate higher than 5.5% and has no forbearance. Group T loans (10.8% of the pool) were never modified or were subject to a PDP. Principal and interest (P&I) on the senior certificates (the Guaranteed Certificates) will be guaranteed by Freddie Mac. The Guaranteed Certificates related to a group of loans (M/M55/T) will be primarily backed by collateral from each group. The remaining certificates, including the subordinate, nonguaranteed interest-only (IO) mortgage insurance and residual certificates, will be cross-collateralized and supported by the three groups. The transaction employs a pro rata pay cash flow structure among the senior group certificates with a sequential pay feature among the subordinate certificates as described further in the Priority of Payments section of the related report. Certain principal proceeds can be used to cover interest shortfalls on the rated Class M certificates. Senior classes, other than Class A-IO, benefit from P&I payments that are guaranteed by the Guarantor, Freddie Mac; however, such guaranteed amounts, if paid, will be reimbursed to Freddie Mac from the P&I collections prior to any allocation to the subordinate certificates. The senior principal distribution amounts vary subject to the satisfaction of a step-down test. Realized losses are allocated reverse sequentially. Notes: All figures are in U.S. dollars unless otherwise noted. GCAT TRUST 2023-INV1: Moody's Assigns B2 Rating to Cl. B-5 Debt --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 34 classes of residential mortgage-backed securities (RMBS) to be issued by GCAT 2023-INV1 Trust, and sponsored by Blue River Mortgage III LLC. The securities are backed by a pool of GSE-eligible (100% by balance) residential mortgages aggregated by Blue River Mortgage III LLC, originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint), PennyMac Loan Services, LLC and PennyMac Corp. (collectively, PennyMac). The complete rating actions are as follows: Issuer: GCAT 2023-INV1 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes Moody's is withdrawing the provisional ratings for the Class A-1A loans, assigned on August 10, 2023, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.45%, in a baseline scenario-median is 1.10% and reaches 8.67% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 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 up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GENERATE CLO 12: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Generate CLO 12 Ltd./Generate CLO 12 LLC's floating-rate debt. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Generate Advisors LLC. The preliminary ratings are based on information as of Aug. 22, 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 Generate CLO 12 Ltd./Generate CLO 12 LLC Class A, $206.00 million: Not rated Class A loans, $50.00 million: Not rated Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $20.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $38.00 million: Not rated GOLDENTREE LOAN 15: Fitch Affirms B-(EXP) Rating on Cl. F-R Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the expected ratings on six classes of notes of GoldenTree Loan Management US CLO 15, Ltd. The Rating Outlooks are Stable. Fitch has also affirmed the expected ratings on the class F-R notes. The Rating Outlooks are Stable. DEBT RATING PRIOR ---- ------ ----- GoldenTree Loan Management US CLO 15, Ltd. A-J LT AAA(EXP)sf Affirmed AAA(EXP)sf A-R LT AAA(EXP)sf Affirmed AAA(EXP)sf B-R LT AA(EXP)sf Affirmed AA(EXP)sf C-R LT A(EXP)sf Affirmed A(EXP)sf D-R LT BBB-(EXP)sf Affirmed BBB-(EXP)sf E-R LT BB-(EXP)sf Affirmed BB-(EXP)sf F-R LT B-(EXP)sf Affirmed B-(EXP)sf X-R LT NR(EXP)sf Affirmed NR(EXP)sf TRANSACTION SUMMARY GoldenTree Loan Management US CLO 15, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM II, LP, an affiliate of GoldenTree Asset Management. GLM II, LP is dependent on support and services from GoldenTree Asset Management LP, as outlined in a services agreement between the two parties. The deal originally closed in August 2022. Fitch expects the CLO's secured notes to be refinanced in whole on Sept. 14, 2023 from proceeds of new secured and subordinated notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.07, versus a maximum covenant, in accordance with the initial expected matrix point of 26.25. 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 98.1% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.53% versus a minimum covenant, in accordance with the initial expected matrix point of 74.0%. Portfolio Composition (Neutral): The largest three industries may comprise up to 44.5% 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 (Positive): The transaction has a 5.1-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 test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. An error was identified in the expected ratings assigned on August 7, 2023. The class F-R notes were not assigned a Rating Outlook at the time of this rating action. There was no rating impact as a result of this error. Today's actions reflect the correction of this error and the assignment of a Stable Rating Outlook on the class F-R notes. 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-R, between 'BBBsf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, between less than 'B-sf' and 'B+sf' for class E-R and between less than 'B-sf' and 'Bsf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A 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-R, 'A+sf' for class C-R, 'A+sf' for class D-R, 'BBB+sf' for class E-R and 'BBB-sf' for class F-R. GREEN TREE 1996-9: S&P Raises Class M-1 Notes Rating to B+ (sf) --------------------------------------------------------------- S&P Global Ratings completed its review of 11 classes from 10 Green Tree Financial Corp. Manufactured Housing Trust (GTFCMHT) transactions issued from 1996 to 1997. S&P raised three ratings, lowered and withdrew two, and affirmed six. The transactions are U.S. ABS transactions backed by pools of manufactured housing installment sale contracts and installment loan agreements that are currently serviced by Shellpoint Mortgage Servicing. The rating actions reflect the transactions' collateral performance to date, its views regarding future collateral performance, the transactions' structures, and the credit enhancement available. S&P's assessment also incorporated secondary credit factors such as credit stability and sector- and issuer-specific analysis. The upgrades reflect S&P's assessment of the growth in credit enhancement for the affected classes in the form of subordination, which it expects will mitigate the impact of losses that are higher than originally expected for these pools. S&P also took into consideration the relatively short estimated time horizon for the notes to be paid in full. Table 1 Collateral Performance (%) As of the August 2023 distribution date Prior Current 60+ day expected expected Current Current delinq. lifetime lifetime Series Mo. PF (%) CNL (%) (%)(i) CNL (%)(ii) CNL (%) 1996-6 325 1.03 17.33 5.03 17.50-18.50 17.75-18.25 1996-8 323 1.10 16.57 5.74 17.00-18.00 17.00-17.50 1996-9 319 1.25 18.17 5.58 18.50-19.50 18.75-19.25 (i)Aggregate 60-plus-day delinquencies as a percentage of the current pool balance. (ii)As of August 2023. Mo.--months. PF--Pool factor. CNL--cumulative net loss. Table 2 Hard Credit Support Prior total hard Current total hard credit support credit support Series Class (% of current)(i) (%)(ii)(iii) 1996-6 M-1 58.26 95.53 1996-8 M-1 62.13 99.53 1998-8 A-1 50.79 78.18 (i)As of the July 2022 distribution date. (ii)As of the August 2023 distribution date. (iii)The current hard credit support consists solely of subordination. Prior and current total hard credit support exclude excess spread, if any. S&P said, "The 'CCC (sf)' and 'CC (sf)' ratings that we affirmed reflect our view that the credit support will remain insufficient to cover our projected losses for these classes. As defined in our criteria, the 'CCC (sf)' level ratings reflect our view that the related classes are still vulnerable to nonpayment and are dependent upon favorable business, financial, and economic conditions in order to be paid interest and/or principal according to the terms of each transaction. Additionally, the 'CC (sf)' ratings reflect our view that the related classes remain virtually certain to default. Each transaction was initially structured with overcollateralization (O/C) and subordination. However, due to higher-than-expected losses, the O/C on each of these transactions has been depleted to zero, and many of the subordinated classes have experienced principal write-downs. "We lowered two ratings to 'D (sf)' from 'CC (sf)' on class B-1 from GTFCMHT 1996-2 and class M-1 from GTFCMHT 1996-3, and subsequently withdrew our ratings on the two classes. The downgrades follow the transactions' failure to make timely interest payments for 12 consecutive months. "We will continue to monitor the performance of the transactions relative to their cumulative net loss expectations and the available credit enhancement. We will take rating actions as we consider appropriate." RATINGS RAISED Green Tree Financial Corp. Manufactured Housing Trust Rating Series Class To From 1996-6 M 1 BB+ (sf) B- (sf) 1996-8 M-1 BB+ (sf) B- (sf) 1996-9 M-1 B+ (sf) CCC+ (sf) RATINGS LOWERED AND WITHDRAWN Green Tree Financial Corp. Manufactured Housing Trust Rating Series Class To From 1996-2 B-1 D (sf) CC (sf) 1996-3 M-1 D (sf) CC (sf) RATINGS AFFIRMED Green Tree Financial Corp. Manufactured Housing Trust Series Class Rating 1996-2 M-1 CC (sf) 1996-4 M-1 CCC- (sf) 1996-5 M-1 CCC- (sf) 1997-4 M-1 CCC- (sf) 1997-6 M-1 CC (sf) 1997-7 M-1 CC (sf) GS MORTGAGE 2018-GS10: DBRS Confirms B(low) Rating on G-RR Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-GS10 issued by GS Mortgage Securities Trust 2018-GS10 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G-RR at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the underlying collateral, which generally remains in line with DBRS Morningstar's expectations since the last review. Three loans—1000 Wilshire (Prospectus ID#2; 8.2% of the pool balance), Aliso Creek Apartments (Prospectus ID#3; 7.9% of the pool balance), and Marina Heights State Farm (Prospectus ID#11; 3.4% of the pool balance)—were shadow-rated investment grade by DBRS Morningstar at issuance. With this review, DBRS Morningstar confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. As of the July 2023 reporting, all loans remain in the pool with an aggregate principal amount of $797.4 million, representing a nominal collateral reduction of 1.6% since issuance as a result of loan amortization. One loan, representing 0.2% of the pool, is fully secured. Two loans, representing 10.5% of the pool, are in special servicing, and six loans, representing 16.2% of the pool, are on the servicer's watchlist, for low debt service coverage ratios (DSCRs), occupancy declines, or deferred maintenance. The pool is concentrated by property type with loans secured by office, retail, and industrial properties representing 34.4%, 23.9%, and 16.5% of the pool balance, respectively. In general, the office sector has been challenged, given the low investor appetite for the property type and high vacancy rates in many submarkets as a result of the shift in workplace dynamics. While the majority of office loans in the transaction continue to perform as expected, there were two loans that were showing declines from issuance or otherwise exhibiting increased risks from issuance. For this review, these loans were analyzed with stressed scenarios to increase expected losses (ELs) as applicable, which resulted in a weighted-average (WA) EL that was greater than three times the pool's WA EL for these two loans secured by office properties. DBRS Morningstar continues to closely monitor the largest loan in the pool, GSK North American HQ (Prospectus ID #1; 9.4% of the pool), following the decision by the property's tenant, GlaxoSmithKline plc (GSK), to vacate its space in Q1 2022, as announced in 2021. The subject loan is secured by a Class A office complex in Philadelphia's Navy Yard submarket. The property was built-to-suit for GSK at a cost of $80.0 million in 2013, when GSK executed a 15-year lease through September 2028 with no termination options. The loan was transferred to special servicing for imminent default in November 2022, following the borrower's request to approve the termination of the lease with GSK. The borrower also requested a 12-month maturity extension prior to the June 2023 maturity date; however, both requests were ultimately denied. The servicer is currently dual tracking the workout with negotiations about a possible loan extension, including an equity injection from the borrower, or alternative options to refinance on an ongoing basis. According to the July 2023 reporting, the loan has been kept current. Although the space is dark, the former tenant will continue to make its rental monthly payments until September 2028. The loan is structured with a cash flow sweep that was activated as GSK went dark. According to the servicer report, approximately $4.7 million was being held in the cash management account and $0.6 million held in a tenant reserve. The loan has historically benefited from strong performance, with the most recent trailing six months (T-6) financials available ended June 30, 2022, reflecting a DSCR of 2.42 times (x), compared with the YE2021 and YE2020 DSCRs of 2.33x. Per the appraisal at issuance, the dark value of the property was reported at $91.8 million, which is in excess of the whole-loan amount of $85.2 million, providing some cushion if no leasing traction can be made to stabilize the asset. Per Reis figures, office properties in the South Philadelphia submarket have historically reported strong market fundamentals, supported by the Q1 2023 vacancy rate of 2.3%, compared with the Q1 2022 vacancy rate of 1.1% and Q1 2021 vacancy rate of 1.7%. According to an article published by The Philadelphia Inquirer in June 2022, a $6.0 billion investment plan to revitalize and redevelop the Navy Yard over the next 20 years was announced, with the hope of creating a new neighborhood in the city. This plan is estimated to bring 12,000 new jobs to the Navy Yard, as well as 8.9 million square feet (sf) of new residential, commercial, retail, and mixed-use space. The developers, Mosaic Development Partners and Ensemble Real Estate Investments, plan to build 4,000 residential units as part of the redevelopment. Although the loan's refinance risk has significantly increased following the departure of GSK, mitigating factors include historically strong submarket and property performance in addition to the redevelopment plans discussed above and the sponsor's commitment to the property. Korea Investment Management, an investment firm owned by Korea Investment Holdings Co., Ltd. (a financial services firm in South Korea), is the loan sponsor and has been working with Coretrust Capital Partners, LLC, which serves as a domestic asset manager in the United States. At issuance, the sponsor contributed $45.9 million of equity to purchase the property. With this review, DBRS Morningstar elevated the probability of default in its analysis to increase the loan's expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2019-GC40: DBRS Confirms BB(high) Rating on X-F Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-GC40 issued by GS Mortgage Securities Corporation Trust 2019-GC40 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G-RR at B (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class X-D at BBB (sf) -- Class X-F at BB (high) (sf) Additionally, DBRS Morningstar confirmed its ratings on the following rake bonds (the Rake Bonds), which are secured by the beneficial interest on the Diamondback Industrial Portfolio 1 (Prospectus ID#14) and Diamondback Industrial Portfolio 2 (Prospectus ID#1) loans that were defeased in 2022: -- Class DB-A at AAA (sf) -- Class DB-X at AAA (sf) -- Class DB-B at AAA (sf) -- Class DB-C at AAA (sf) -- Class DB-D at AAA (sf) -- Class DB-E at AAA (sf) -- Class DB-F at AAA (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which continues to perform in line with DBRS Morningstar's expectations since the last rating action. Despite increased risks for a select number of loans, overall credit metrics appear to be stable as evidenced by the historical occupancy rate and/or cash flow trends demonstrated over the last few reporting periods. DBRS Morningstar notes that there is a high concentration of loans collateralized by office properties, which represent 32.5% of the pool balance. While the market for office properties continues to be challenging, especially for assets in noncore, tertiary, or smaller metropolitan areas, DBRS Morningstar considered mitigating factors such as stable in-place occupancy; investment-grade, long-term tenancy; and potential stabilization timelines, as the majority of loans in the pool are not scheduled to mature until 2029. As of the July 2023 remittance, all 35 of the originally securitized loans remain in the trust with an outstanding trust balance of $900.1 million, reflecting a collateral reduction of 1.2% since issuance. Four loans, representing 10.8% of the trust balance, are defeased. Eight loans, representing 21.6% of the trust balance, are on the servicer's watchlist, primarily because of low debt service coverage ratios (DSCRs) and/or deferred maintenance. There are currently no loans in special servicing and no delinquent loans. The second-largest loan, 101 California Street (Prospectus ID#4; 8.8% of the pool), is secured by the borrower's fee-simple interest in a 1.3 million-square-foot (sf), Class A+, LEED Platinum office building in the heart of San Francisco's financial district. Between 2012 and 2018, the sponsors invested about $96.3 million ($77 per square foot (psf)) in capital expenditures. As of YE2022, the loan reported a net cash flow (NCF) of $49.1 million and a DSCR of 1.58 times (x), down from the reported NCF and DSCR of $56.5 million and 1.81x, respectively, at YE2021 and $66.2 million and 2.10x at issuance. The decline in NCF is primarily attributed to the decreased occupancy and increased operating expenses since issuance. According to the rent roll dated March 31, 2023, the property was 75.6% occupied compared with 92.1% at the time of issuance. The former largest tenants, Merrill Lynch (previously 9.7% of the net rentable area (NRA)) and Cooley LLP (previously 8.0% of the NRA), vacated the building upon their lease expirations in 2022 and 2021, respectively. In 2021, Chime Financial (Chime) executed a 200,000-sf (16.0% of the NRA) 10-year lease at an average rental rate of $54.50 psf. Chime has since subleased 36,000 sf of its space; however, its direct lease is not scheduled to expire until 2032. According to a Q1 2023 Reis report, office properties in San Francisco's North Financial District submarket reported a vacancy rate of 14.0% compared with the Q1 2022 vacancy rate of 12.5%. Near-term rollover risk is moderate, with leases representing 9.0% of the NRA scheduled to roll over in the next 12 months. Given the decline in DSCR and cash flow paired with soft submarket conditions, DBRS Morningstar analyzed this loan with a stressed loan-to-value (LTV) and probability of default (POD), resulting in an expected loss (EL) higher than the pool average. Another pivotal loan of concern is Nitya Tower (Prospectus ID#12; 3.9% of the pool), secured by a 207,563-sf office building in Houston. The loan was added to the servicer's watchlist in 2022 because of a decline in DSCR as well as occupancy concerns. According to the March 2023 rent roll, the property occupancy was 72.4%, down from 85% at the time of issuance. The three largest tenants include GSI Environmental Inc. (8.0% of the NRA; lease expiration April 2028), Sprott Newsom (4.8% of the NRA; lease expiration December 2027), and Houston Medical Records (4.3% of the NRA; lease expiration December 2029). Near-term rollover risk is moderate, with leases representing 17% of the NRA scheduled to roll through the end of 2024. The subject's submarket has historically experienced high vacancy. According to a Q1 2023 Reis report, office properties in the Richmond submarket reported a vacancy rate of 24.5% compared with the Q1 2022 vacancy rate of 25.6%. The reported DSCR for the trailing nine months ended September 30, 2022, was 1.12x, down from the DBRS Morningstar DSCR of 1.65x derived at issuance. To reflect DBRS Morningstar's concerns surrounding the property's declining occupancy, declining cash flow, and soft submarket conditions, DBRS Morningstar analyzed this loan with a stressed LTV, resulting in an EL almost triple the pool average. Adjustments were made for a select number of additional loans identified as having increased credit risks. As noted above, there is property type concentration, with 32.5% of the pool secured by office properties. DBRS Morningstar has a cautious outlook for this asset type. Increasing vacancy rates in the broader office market may challenge landlords' efforts to backfill vacant space and, in certain instances, contribute to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities. In addition to the two loans described above, DBRS Morningstar identified five more office loans, representing 20.6% of the pool, that are exhibiting increased credit risk from issuance, which is likely to persist in the near to moderate term given the continued uncertainty related to end-user demand and current macroeconomic headwinds. DBRS Morningstar applied stressed LTV ratios and, where applicable, increased the POD penalties for these loans. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2019-GC40: Fitch Affirms B-sf Rating on G-RR Certs -------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of GS Mortgage Securities Trust, series 2019-GC40. Fitch has also revised the Rating Outlooks on classes E, F and G-RR, along with the associated interest-only (IO) classes X-D and X-F, to Negative from Stable. The under criteria observation (UCO) has been resolved. ENTITY/DEBT RATING PRIOR ----------- ------ ----- GSMS 2019-GC40 A-1 36257HBL9 LT AAAsf Affirmed AAAsf A-2 36257HBM7 LT AAAsf Affirmed AAAsf A-3 36257HBN5 LT AAAsf Affirmed AAAsf A-4 36257HBP0 LT AAAsf Affirmed AAAsf A-AB 36257HBQ8 LT AAAsf Affirmed AAAsf A-S 36257HBT2 LT AAAsf Affirmed AAAsf B 36257HBU9 LT AA-sf Affirmed AA-sf C 36257HBV7 LT A-sf Affirmed A-sf D 36257HAA4 LT BBBsf Affirmed BBBsf E 36257HAE6 LT BBB-sf Affirmed BBB-sf F 36257HAG1 LT BB-sf Affirmed BB-sf G-RR 36257HAL0 LT B-sf Affirmed B-sf X-A 36257HBR6 LT AAAsf Affirmed AAAsf X-B 36257HBS4 LT A-sf Affirmed A-sf X-D 36257HAC0 LT BBB-sf Affirmed BBB-sf X-F 36257HAJ5 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Increased Loss Expectations: While overall performance has remained generally stable, the Negative Outlooks reflects increased loss expectations for the pool since Fitch's prior rating action due to performance concerns/declines with the four Fitch Loans of Concern (FLOCs; 17.4% of the pool) and high office concentration (40.8%). No loans are currently in special servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 3.7%. The largest contributor to overall loss expectations is the 57 East 11th Street FLOC (2.2% of the pool), which is secured by a 61,375-sf mixed-use office/retail property located in Union Square, NY. The subject is 100% leased to WeWork through October 2034. The property was renovated in 2018, with the sponsor investing approximately $20.0 million ($326 psf) for capital improvements, including lobby renovations, creation of a new retail storefront, window and elevator replacements, new bathroom installations and the creation of a rooftop terrace for tenant use. Fitch's 'Bsf' rating case loss of 27% reflects an 8.50% cap rate and 15% stress to the YE 2022 NOI, and factors a higher probability of default given the WeWork exposure and concerns with a possible bankruptcy affecting property-level cash flow. The next largest contributor to overall loss expectations is the 159 Canal Street FLOC (3.7% of the pool), which is secured by a 61,245-sf unanchored retail property located in Manhattan's Chinatown neighborhood. The largest tenant, First Republic Bank (10.7% NRA), was acquired by J.P. Morgan Chase in May 2023. The tenant remains open and operating, but it remains unclear if J.P. Morgan will be assigned the lease, which expires in September 2032. Occupancy remains low at 26.5% per the July 2023 rent roll, unchanged since YE 2020. The rent roll includes three 15,000-sf office spaces, which have remained vacant since issuance. Property-level cash flow has declined in 2023 as a result of higher real estate taxes and insurance expenses compared to 2022. The servicer-reported NOI DSCR for YTD March 2023 was 1.21x, down from 1.80x at YE 2022, and 1.72x at YE 2021. Fitch's 'Bsf' rating case loss of 12.7% reflects a 5% stress to YE 2021 NOI and a 10.5% cap rate. The next largest contributor to overall loss expectations is the Waterfront Plaza loan (7.5% of the pool), which is secured by a 544,012-sf mixed-use office/retail property located in Honolulu, HI. The subject is comprised of seven, five-story office buildings with ground floor retail and restaurants. The largest tenants include Hawaii Pacific University (18.0% NRA; lease expiration in June 2034) and Oahu Publications, Inc. (5.8%; September 2029). Occupancy increased to 94.0% per the March 2023 rent roll, up from 91.7% at YE 2022 and 92.2% at YE 2021, but remains below 96.8% at YE 2020. Property-level NOI had declined between 2021 and 2022, mainly due to increased utility expense; YE 2022 NOI DSCR was 1.14x, down from 1.36x at YE 2021 and YE 2020. Upcoming tenant rollover includes 26 tenants (7.9% NRA; inclusive of MTM tenants and storage space) in 2023; 19 tenants (12% NRA) in 2024 and 14 tenants (21.6% NRA) in 2025. Fitch's 'Bsf' rating case loss of 5.9% reflects a 7.5% stress to YE 2022 NOI and a 9.5% cap rate. The Nitya Tower FLOC, secured by 207,563-sf suburban office located in Houston, TX, was flagged for occupancy declines and upcoming tenant rollover concerns. Occupancy was 72.5% as of March 2023 rent roll, down from 76.4% at YE 2022 and 80.5% at YE 2021. Houston Medial Records downsized from 4.3% of the NRA to 1.9% and renewed through February 2029. Mental Health America of Greater Houston reduced their footprint by 0.6% of the NRA, now leasing 2.8% through September 2028. GSI Environmental, Inc (8.0% NRA) has signed a long-term renewal through July 2034. Near-term rollover includes 6.3% in 2023, 12.8% in 2024 and 11.1% in 2025. Fitch's 'Bsf' rating case loss of 10.3% reflects a 10% stress to YE 2022 NOI and a 10% cap rate. The 101 California FLOC, secured by a 1.25 million-sf office property in San Francisco's Northern Financial District, has experienced occupancy declines since issuance. Occupancy was 75.7% as of the March 2023 rent roll, compared with 76.3% at YE 2022 and 92% around the time of issuance. The former largest tenants, Merrill Lynch, Pierce, Fenner (8.2% NRA) and Cooley Godward Kronish LLP (8.1%), have both vacated. Fitch's 'Bsf' rating case loss of 3.1% reflects a 10% stress to YE 2022 NOI and an 8.5% cap rate. Increased CE: Since the prior review, the Diamondback Industrial Portfolio 1 and 2 have defeased, representing 10.9% of the pool. As of the July 2023 remittance reporting, the pool's aggregate balance has been paid down by 1.8% to $897.3 million from $914.2 million at issuance. There are 29 loans (78.5%) that are full-term IO, six (14.1%) balloon loans and six loans (7.4% of the pool) with a partial IO component. Investment-Grade Credit Opinion Loans: Four loans representing 24.4% of the pool were assigned investment-grade credit opinions on a standalone basis at issuance. Loans currently with investment-grade credit opinions include ARC Apartments (3.9%), Moffett Towers II Building V (6.9%) and Newport Corporate Center (5.5%). 101 California is no longer considered to have credit characteristics consistent with an investment-grade credit opinion due to performance declines since issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' and 'AA-sf' rated classes are not likely due to the continued expected amortization and increasing CE relative to overall loss expectations, but may occur should interest shortfalls affect these classes. Downgrades to the 'A-sf' and 'BBBsf' rated classes may occur should expected losses for the pool increase substantially, particularly on all of the FLOCs. Downgrades to classes E, F and G-RR, along with the associated IO classes X-D and X-F, which have Negative Outlooks, would occur with continued underperformance of the FLOCs, particularly 57 East 11th Street (2.2%) and 101 California Street (8.0%), both of which continues to underperform expectations and has suffered from declining occupancy. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that could lead to positive rating actions would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'AA-sf' and 'A-sf' rated classes would occur when CE improves significantly, coupled with stabilization and/or significantly improved performance on the FLOCs ; however, adverse selection and increased concentrations could cause this trend to reverse. Upgrades to the 'BBBsf' category rated classes are considered unlikely and would be limited based on the potential for future concentrations as the deal ages. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to the 'BB-sf' and 'B-sf' rated classes are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2023-PJ4: Fitch Gives B-(EXP) Rating to Cl. B-5 Certs ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2023-PJ4 (GSMBS 2023-PJ4). ENTITY/DEBT RATING ----------- ------ GSMBS 2023-PJ4 A-1 LT AA+(EXP)sf Expected Rating A-1-X LT AA+(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-16-L LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-19-X LT AAA(EXP)sf Expected Rating A-2 LT AA+(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-21-X LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-22-L LT AAA(EXP)sf Expected Rating A-23 LT AA+(EXP)sf Expected Rating A-23-X LT AA+(EXP)sf Expected Rating A-24 LT AA+(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-A LT AAA(EXP)sf Expected Rating A-3-L LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-L LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-X LT AA+(EXP)sf Expected Rating AR LT NR(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 TRANSACTION SUMMARY The certificates are supported by 287 prime-jumbo and agency conforming loans with a total balance of approximately $333.4 million, as of the cut-off date. The transaction is expected to close on Aug. 31, 2023. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 7.8% above a long-term sustainable level (vs. 7.6% on a national level as of 1Q23, down 0.2% since last quarter). The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately six months in aggregate. The average loan balance is $1,161,797. The collateral comprises primarily prime-jumbo loans and 4% agency conforming loans. Borrowers in this pool have moderate credit profiles (a 756 model FICO) but lower than what Fitch has observed for other prime-jumbo securitizations. The sustainable loan-to-value ratio (sLTV) is 77.9% and the mark-to-market (MTM) combined LTV ratio (CLTV) is 71.4%. Fitch treated 100% of the loans as full documentation collateral, and all the loans are qualified mortgages (QMs). Of the pool, 81% are loans for which the borrower maintains a primary residence, while 19% are for second homes. Additionally, 54% of the loans were originated through a retail channel or a correspondent's retail channel. Expected losses in the 'AAA' stress amount to 9.0%, similar to those of prior issuances and other prime-jumbo shelves. Loan Concentration (Negative): Fitch adjusted the expected losses due concentration concerns due to small loan counts. Fitch increased the losses at the 'AAAsf' level by 108 bps, due to the low loan count. The loan count is 287, with a weighted average number (WAN) of 226. As a loan pool becomes more concentrated, there is a greater risk the pool will exhibit default characteristics. Shifting-Interest Deal Structure (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 deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 3.50% of the original balance will be maintained for the senior notes, and a subordination floor of 2.50% of the original balance will be maintained for the subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 40.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria". AMC and Consolidated Analytics Inc. were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2023-RPL2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings to the residential mortgage backed notes issued by GS Mortgage-Backed Securities Trust 2023-RPL2 (GSMBS 2023-RPL2). Entity/Debt Rating ----------- ------ GSMBS 2023-RPL2 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT AAsf New Rating M-1 LT Asf New Rating A-4 LT Asf New Rating M-2 LT BBBsf New Rating A-5 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating B-4 LT NRsf New Rating B-5 LT NRsf New Rating B LT NRsf New Rating PT LT NRsf New Rating RISKRETEN LT NRsf New Rating SA LT NRsf New Rating X LT NRsf New Rating TRANSACTION SUMMARY The notes are supported by one collateral group that consists of 2,299 seasoned performing loans and reperforming loans (RPLs) with a total balance of approximately $406 million. 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. The servicers will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9% above a long-term sustainable level (vs. 7.6% on a national level as of 1Q23, down 0.2% since last quarter). The rapid gain in home prices through the pandemic moderated in the second half of 2022 but has resumed increasing in 2023. Driven by the declines in H2 2022, home prices decreased 0.2% YoY nationally as of April 2023. RPL Credit Quality (Negative): The collateral consists of 2,299 seasoned performing and re-performing first and second lien loans, totaling $406 million, and seasoned approximately 180 months in aggregate. The pool is 96.7% current and 3.3% delinquent. Over the last two years 49.7% of loans have been clean current. Additionally, 75.8% of loans have a prior modification. The borrowers have a moderate credit profile (687 FICO and 45% DTI) and low leverage (57% sustainable loan-to-value [sLTV]). The pool consists of 89.7% of loans where the borrower maintains a primary residence, while 10.2% are investment properties or second home. No Advancing (Mixed): The deal is structured to zero months of servicer advances for delinquent principal and interest. The lack of advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. Sequential Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% loss severity over-ride. - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point loss severity increase. - Loans with a missing modification agreement received a three-month liquidation timeline extension. - Loans found to be in violation of federal high cost regulations received a 200% loss severity over-ride. - Unpaid taxes and lien amounts were added to the loss severity. In total, these adjustments increased the 'AAAsf' loss by approximately 50bps. ESG CONSIDERATIONS GSMBS 2023-RPL2 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to increased operational risk considering R&W, transaction due diligence and originator and servicer results in an increase in expected losses, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2023-SHIP: Moody's Assigns B2 Rating to Cl. HRR Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to six classes of CMBS securities, issued by GS Mortgage Securities Corporation Trust 2023-SHIP, Commercial Mortgage Pass-Through Certificates, Series 2023-SHIP: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. HRR, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage related to a portfolio of 12 single-tenant industrial warehouse properties each leased to Amazon.com Services LLC. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Portfolio offers 12,067,244 SF of aggregate area, and all 12 properties are brand new with one property built in 2020, ten properties built in 2021, and one built in 2022. The properties offer superior functionality with a large average size of 742,796 footprint SF (range from 278,435 footprint SF to 1,080,308 footprint SF), low average percentage of office usage of 3.3% (range from 1.0% to 6.2%), high clear heights averaging 38' (range from 12' to 45'), and a high average number of dock doors at 115 (range from 52 to 257). The Portfolio is 100% leased to Amazon.com Services LLC, with Amazon.com, Inc. (A1, senior unsecured) as the guarantor under 12 different leases. The leases maintain a weighted average remaining term of 14.2 years. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.26X and Moody's first mortgage actual stressed DSCR is 0.73X. Moody's DSCR is based on Moody's stabilized net cash flow. The first mortgage balance of $1,035,000,000 represents a Moody's LTV of 117.7% based on Moody's Moody's value. The adjusted Moody's LTV ratio for the first mortgage balance is 103.9%, compared to 103.8% issued at Moody's provisional rating, based on Moody's adjusted Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's property quality grade is 1.00. Positive features of the transaction include asset quality, strong tenancy, strategic locations, rollover profile, and geographic diversity. Offsetting these strengths are tenant concentration, low barriers to entry markets, interest-only mortgage loan profile and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. HERTZ VEHICLE 2023-4: DBRS Gives Prov. BB Rating on Class D Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the notes to be issued by Hertz Vehicle Financing III LLC (HVF III) as follows: -- $168,750,000 Series 2023-3, Class A Notes at AAA (sf) -- $27,500,000 Series 2023-3, Class B Notes at A (sf) -- $33,750,000 Series 2023-3, Class C Notes at BBB (sf) -- $20,000,000 Series 2023-3, Class D Notes at BB (sf) -- $168,750,000 Series 2023-4, Class A Notes at AAA (sf) -- $27,500,000 Series 2023-4, Class B Notes at A (sf) -- $33,750,000 Series 2023-4, Class C Notes at BBB (sf) -- $20,000,000 Series 2023-4, Class D Notes at BB (sf) CREDIT RATING RATIONALE The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of subordination, overcollateralization, letters of credit (LOCs), and any amounts held in the reserve account support the DBRS Morningstar stress-case liquidation analysis with bankruptcy and liquidation period assumptions that vary by rating category and vehicle type (program versus non-program) as well as residual value stresses that vary by rating category for non-program vehicles and program vehicles from non-investment-grade-rated manufacturers. -- Liquid credit enhancement will be provided in the form of a reserve account and/or an LOC sufficient to cover interest on the notes, consistent with DBRS Morningstar criteria for this asset class. (2) Credit enhancement in the transaction is dynamic, depending on the composition of the vehicles in the fleet and certain market value tests. -- The enhancement in the transaction depends on whether the vehicles are program or non-program, whether the manufacturer is investment grade or below investment grade, and if a vehicle is a medium-duty truck. -- For non-program vehicles, the enhancement levels may increase as a result of two market value tests: (A) a marked-to- market test that compares the market value of the vehicles with the net book value (NBV) of these vehicles and (B) a disposition proceeds test that compares the actual disposition proceeds of vehicles sold with the NBV of those vehicles. -- If the credit enhancement required in the transaction increases and HVF III is unable to meet the increased enhancement levels, then an Amortization Event may occur that will result in a Rapid Amortization of the notes. -- The required credit enhancement is subject to a floor of 11.05% of the assets. (3) Amortization Events include, but are not limited to, default in the payment of amounts due after five consecutive business days, default in the payments of amounts due by the expected final payment date, deficiency of amounts available in the liquidity reserve account, payment default under the master lease, the required asset amount exceeding the aggregate asset amount, servicer default, and administrator default. (4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the documents. The ratings address the timely payment of interest to the Class A, Class B, Class C, and Class D noteholders at their respective note rates as well as the ultimate payment of principal on the notes, in each case by the legal final payment date. (5) The intention of each party to the master lease to treat the lease as a single indivisible lease. (6) The transaction allows vehicles, for which the Collateral Agent has not yet been noted on the Certificates of Title as lienholder, to remain as eligible assets for up to 45 days for new vehicles and 60 days for used vehicles (Lien Holidays). All vehicles benefit from a negative pledge. (7) Inclusion of medium-duty trucks that are subject to a limit of 5% and a required credit enhancement of 35%. (8) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update," published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (9) The transaction parties' capabilities to effectively manage rental car operations and dispose of the fleet to the extent necessary. -- DBRS Morningstar has performed an operational review of Hertz and considers the entity to be a capable rental fleet operator and manager. -- Lord Securities Corporation is the backup administrator for this transaction, and defi AUTO, LLC is the backup disposition agent. (10) The legal structure and its consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance" methodology, the provision of legal opinions that address the treatment of the operating lease as a true lease, the non-consolidation of the special-purpose vehicles with Hertz and its affiliates, and that the trust has a valid first-priority security interest in the assets. DBRS Morningstar's credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes for each series are the related Monthly Interest Amount and the related Principal Amount. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes for each series is the related interest on any unpaid Monthly Interest Amount. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. ICG US 2023-1: S&P Assigns Prelim BB- (sf) Rating of Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to ICG US CLO 2023-1(i) Ltd./ICG US CLO 2023-1(i) LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ICG Debt Advisors LLC – Manager Series. The preliminary ratings are based on information as of Aug. 24, 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 ICG US CLO 2023-1(i) Ltd. /ICG US CLO 2023-1(i) LLC Class A, $213.50 million: AAA (sf) Class B, $52.50 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D (deferrable), $17.50 million: BBB- (sf) Class E (deferrable), $12.25 million: BB- (sf) Subordinated notes, $38.80 million: Not rated INVESCO U.S. 2023-3: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Invesco U.S. CLO 2023-3 Ltd./Invesco U.S. CLO 2023-3 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Invesco CLO Equity Fund 3 L.P. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Invesco U.S. CLO 2023-3 Ltd./Invesco U.S. CLO 2023-3 LLC Class A, $320.00 million: Not rated Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $38.75 million: Not rated IVY HILL XXI: S&P S&P Assigns 'BB- (sf)' Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ivy Hill Middle Market Credit Fund XXI Ltd./Ivy Hill Middle Market Credit Fund XXI LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle-market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Ivy Hill Asset Management L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Ivy Hill Middle Market Credit Fund XXI Ltd./ Ivy Hill Middle Market Credit Fund XXI LLC Class A, $243.12 million: AAA (sf) Class A loan, $30.00 million: AAA (sf) Class B, $52.25 million: AA (sf) Class C (deferrable), $38.00 million: A (sf) Class D (deferrable), $26.13 million: BBB- (sf) Class E (deferrable), $28.50 million: BB- (sf) Subordinated notes, $58.11 million: Not rated JP MORGAN 2021-1MEM: DBRS Confirms B(high) Rating on HRR Certs -------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-1MEM: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. The rating confirmations and Stable trends reflect overall stable performance of the transaction, which benefits from the collateral property's location within an area exhibiting strong demand and institutional sponsorship in MetLife and Norges Bank Investment Management. Although the property's largest tenant, Intersystems Corporation (Intersystems), with nearly 60% of the net rentable area (NRA), has exercised a termination option and will be vacating it space, there are mitigating factors to support the rating confirmations and Stable trends with this review. The loan structure provides for a cash flow sweep to be initiated with the termination, which will net a significant amount of money for re-leasing efforts that should be bolstered by the favorable market dynamics. The loan is collateralized by One Memorial Drive, a Class A, 17-story office building totaling 409,422 square feet directly adjacent to the Massachusetts Institute of Technology (MIT) campus in Cambridge, Massachusetts. The property includes a five-story, approximately 300-stall parking garage, and amenities include a fitness center, full-service cafe, on-site Blue Bike station, EV chargers, and bike storage. The property was built in 1985 and renovated in 2018, with approximately $49.0 million spent on capital improvements, including elevator modernizations, HVAC upgrades, roof replacements, and tenant improvements for the two largest tenants. The whole loan proceeds of $414.0 million include six pari passu senior notes with an aggregate initial principal balance of $299.3 million and one junior note with an initial principal balance of $114.7 million. The subject transaction totals $255.8 million and consists of one senior note with a principal balance of $141.5 million and the junior note. The remaining notes are securitized in the BMARK 2021-B30 ($95.0 million) and BMARK 2021-B31 transactions ($63.2 million), neither of which are rated by DBRS Morningstar. The loan is interest-only (IO) throughout its 10-year term with a scheduled maturity in October 2031. The collateral's strong occupancy to date contributed to the reported YE2022 NCF of $30.3 million, representing a whole loan debt service coverage ratio (DSCR) of 2.68 times (x). These figures remain in line with the DBRS Morningstar NCF and DSCR of $27.7 million and 2.45x at issuance. The largest tenants at the property are InterSystems (58.5% of the NRA) and Microsoft Corporation (Microsoft) (38.3% of NRA). The property was 98.2% occupied as of YE2022. Microsoft has a lease scheduled to roll in 2028, two years prior to the loan's scheduled maturity and there are no termination options available in Microsoft's lease. It is considered an investment-grade tenant, has been in occupancy since 2007, and has one 10-year extension option remaining on its lease. InterSystems has been headquartered at the property since 1987, having executed multiple expansions in the building since. The tenant recently gave notice as of May 2022 of its intention to terminate its lease following a failed attempt to further expand space within the subject building. The termination will be effective 18 months from the date of the notice and a termination fee equal to unamortized leasing costs will be paid and reserved with the servicer. During the notice period, all excess cash flow is to be swept into a cash management account, and is projected to accumulate to a balance of approximately $27.6 million. DBRS Morningstar has requested confirmation of the balance of the sweep account and as of the date of this press release, the servicer's response is pending. The property is situated within Kendall Square, a global hub of research and development for the life sciences industry, and is near to MIT and Harvard. According to Reis, the submarket had a Q1 2023 vacancy rate of 11.9% (-110 basis points from Q4 2022) and an average rent of $81.55 per square foot (psf) for Class A office buildings in the area. In comparison, the property is achieving an average rental rate of $74.68 psf. InterSystems is currently paying a below-market rate, so there is upside potential in the tenant's departure. Eighteen of the 20 largest pharmaceutical companies and 11 of the largest 15 biotechnology companies in the world have a presence in the submarket. The concentration of such pharmaceutical and biotech companies has driven technology companies such as Apple, Google, and others to seek traditional office spaces close to these life sciences companies, as evidenced by the submarket's declining vacancy rate. Notes: All figures are in U.S. dollars unless otherwise noted. KREF LTD 2021-FL2: DBRS Confirms B(low) Rating on 3 Tranches ------------------------------------------------------------ DBRS Limited confirmed its ratings on all classes of notes issued by KREF 2021-FL2 Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class F-E at BB (low) (sf) -- Class F-X at BB (low) (sf) -- Class G at B (low) (sf) -- Class G-E at B (low) (sf) -- Class G-X at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. At issuance, the transaction consisted of 20 floating-rate mortgages secured by 29 mostly transitional commercial real estate properties totaling approximately $1.0 billion, excluding approximately $260.5 million of future funding commitments. The Issuer then added additional proceeds into the proposed structure to bring the total transaction structure from $1.0 billion to $1.3 billion. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction is structured with a Reinvestment Period through the August 2023 Payment Date, whereby the Issuer may acquire Funded Companion Participations and introduce new loan collateral into the trust subject to the Reinvestment Criteria as defined at issuance. The transaction will have a sequential-pay structure following the expiration of the Reinvestment Period. As of the July 2023 remittance, the pool consists of 17 loans secured by 22 properties with a cumulative trust balance of $1.22 billion. Since the November 2022 review, five loans, with a former cumulative trust balance of $360.4 million, were successfully repaid from the pool. Over the same period, three loans, with a current cumulative trust balance of $275.0 million, were contributed to the trust. As of the July 2023 remittance, there was $80.0 million remaining in the Reinvestment Account. In general, borrowers are progressing toward completion of the stated business plans. Of the current collateral pool, 10 of the 17 outstanding loans were structured with future funding components and, according to an update from the collateral manager, $172.1 million of loan future funding was advanced through June 2023 to 10 individual borrowers to aid in property stabilization efforts. The largest advance was made toward the Boston South End Life Science Campus loan ($107.3 million). That loan is secured by two office and laboratory (lab) properties in Boston. The borrower has used loan future funding for leasing costs as well as ongoing capital improvement projects at the property, including a conversion of one of the two collateral properties from a traditional office building to a lab space. An additional $37.3 million of unadvanced loan future funding allocated to nine individual borrowers remains outstanding with the largest portion ($13.2 million) allocated to the borrower of the aforementioned Boston South End Life Science Campus loan. The transaction consists of six loans (totaling 40.9% of the current trust balance) secured by office properties, six loans (totaling 35.0% of the current trust balance) secured by multifamily properties, and three loans (totaling 14.8% of the current trust balance) secured by hotel properties. The remaining two loans (totaling 9.2% of the current trust balance) are secured by a student housing property and a mixed-use property. In comparison with the transaction composition at closing in July 2021, loans secured by office properties have increased by 23.4% of the trust balance from issuance, while loans secured by multifamily properties have decreased by 18.7% of the trust balance. Given the uncertainty related to the end-user demand and investor appetite for office properties, DBRS Morningstar anticipates upward pressure on vacancy rates in the broader office market, challenging landlords' efforts to backfill vacant space, which could lead to delays to business plan progression and property stabilization. In certain instances, this pressure can contribute to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. In the analysis for this review, DBRS Morningstar applied stressed loan-to-value (LTV) ratios to loans secured by office collateral to reflect the concerns to the office market. Following these adjustments, the expected losses for loans secured by office properties were among the highest in the pool, with a weighted average (WA) expected loss 45.0% greater than the WA pool expected loss. In terms of geographical concentration, the collateral is most heavily concentrated in Texas and California, with loans representing 20.2% and 21.6% of the cumulative loan balance, respectively. Eight loans, representing 51.4% of the cumulative trust balance, are in urban markets with DBRS Morningstar Market Ranks of 6, 7, and 8. These markets have historically shown greater liquidity and demand. The remaining nine loans, representing 48.6% of the cumulative loan balance, are secured by properties in markets with DBRS Morningstar Market Ranks of 3, 4, and 5, which are suburban in nature and have historically had higher probability of default levels when compared with properties in urban markets. In comparison with issuance, properties in urban markets have decreased as a percentage of the transaction from 55.9%, while suburban markets have increased as a percentage of the transaction from 44.1%. As of July 2023 reporting, all loans remain current with one loan on the servicer's watchlist representing 5.5% of the pool balance. The Boathouse Apartments loan (Prospectus ID#8; 5.5% of the pool) was added to the servicer's watchlist in April 2023; however, no watchlist comment has been provided to date. According to the Q1 2023 collateral report provided by the collateral manager, the property experienced a minor decline in occupancy to 84.0% at Q1 2023 from 88.4% at YE2022. The property's tenant mix primarily consists of students, suggesting that cash flow volatility may be elevated as students are likely to move out following the completion of the school year. The property is well located in Washington, D.C., and is close to both Georgetown University and George Washington University. The loan reported a YE2022 NCF of $3.9 million, representing a DSCR of 1.00x and a debt yield of 5.9%. There have been 12 loans, representing 71.7% of the pool balance, that have reported loan modifications. All 12 loan modifications were related to loan maturity extensions and/or the conversion from LIBOR to SOFR interest rates. Notes: All figures are in U.S. dollars unless otherwise noted. LOANCORE 2022-CRE7: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of notes issued by LoanCore 2022-CRE7 Issuer Ltd. (the Issuer) as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance as the trust continues to be primarily secured by multifamily collateral with the exception of one manufactured-housing property. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The initial collateral consisted of 29 floating-rate mortgages secured by 29 transitional properties with a cut-off balance of $1.25 billion, excluding approximately $65.4 million of future funding participations and $194.7 million of funded companion participations. The transaction is managed with a two-year reinvestment period ending with the March 2024 Payment Date during which the Issuer may use principal proceeds to acquire additional eligible loans, subject to the eligibility criteria. All subsequent new loan collateral during the reinvestment period is required to be multifamily properties. As of the July 2023 remittance, the pool comprises 30 loans secured by 30 properties with a cumulative trust balance of $1.5 billion. The cash balance of the Reinvestment Account is $7.9 million. Since the previous DBRS Morningstar rating action in November 2022, three loans with a former cumulative trust balance of $84.9 million have been successfully repaid from the pool while no new loans have been added to the trust. The transaction is concentrated by property type, as 29 loans, representing 97.8% of the pool, are secured by multifamily properties with one loan secured by a manufactured-housing property, representing 2.2% of the pool. The loans are primarily secured by properties in suburban markets as 26 loans, representing 86.4% of the pool, are secured by properties in suburban markets, as defined by DBRS Morningstar, with a DBRS Morningstar Market Rank of 3, 4, or 5. An additional three loans, representing 10.2% of the pool, are secured by properties with a DBRS Morningstar Market Rank of 2, denoting a tertiary market, while one loan, representing 3.4% of the pool, is secured by property with a DBRS Morningstar Market Rank of 6, denoting an urban market. In comparison, at issuance, properties in suburban markets represented 84.1% of the collateral, properties in tertiary and rural markets represented 12.1% of the collateral, and properties in urban markets represented 3.9% of the collateral. Leverage across the pool has marginally increased since issuance as the current weighted-average (WA) as-is appraised value loan-to-value (LTV) ratio is 77.1%, with a current WA stabilized LTV ratio of 67.9%. In comparison, these figures were 76.2% and 67.4%, respectively, since issuance. DBRS Morningstar recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. Through June 2023, the lender had advanced cumulative loan future funding of $41.8 million to 16 of the 20 outstanding individual borrowers to aid in property stabilization efforts. The largest advance has been made to the borrower of the GVA Sunrise Portfolio Pool C loan ($7.0 million), which is secured by a portfolio of five cross-collateralized, garden-style multifamily properties, totaling 1,670 units. The borrower's business plan is to complete unit-renovations and property upgrades across all five individual properties. While the Q1 2023 collateral manager report did not provide specific details regarding completed capital expenditure projects or the number of upgraded unit interiors at the individual properties, the collateral manager's commentary noted the borrower was generally achieving its business plan to renovate units and increase rents. As of Q1 2023, individual property occupancy rates ranged from 84.3% to 96.3% with a portfolio-wide occupancy rate of 89.2%. An additional $46.0 million of loan future funding allocated to 19 of the outstanding individual borrowers remains available. The largest portion of available funds, $9.1 million, is allocated to the borrower of the aforementioned GVA Sunrise Portfolio Pool C loan. As of the July 2023 remittance, there are no delinquent loans or loans in special servicing, and there are no loans on the servicer's watchlist. According to the collateral manager, six loans, representing 18.7% of the current cumulative trust loan balance, have been modified. The modified loans include Elan Heights, 1000 West Apartments, Elan Crockett Row, Parcland Crossing, Skyline MHP, and Pillar at Westgate. In general, the modifications resulted in the waivers of interest rate cap requirements, prepayment penalties, and increasing renovation budgets. In exchange, borrowers have been required to make principal curtailment payments on loans or deposit additional dollars into existing reserves. Seven loans have upcoming loan maturities by year-end 2023; however, all seven loans include three 12-month extension options pursuant to certain requirements. The largest loan with an upcoming maturity is the pool's second-largest loan, Seagrass Apartments, which is secured by a 396-unit garden-style apartment complex in Jacksonville, Florida. According to the February 2023 rent roll, the property was 95.1% occupied, unchanged since issuance, with an average rental rate of $1,646/unit. The rental rate represents a $215/unit premium over in place rents at loan closing. The loan matures in November 2023. Notes: All figures are in U.S. dollars unless otherwise noted. LUXE TRUST 2021-TRIP: DBRS Confirms B(low) Rating on 2 Classes -------------------------------------------------------------- DBRS Limited upgraded its ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2021-TRIP issued by LUXE Trust 2021-TRIP as follows: -- Class B to AAA (sf) from AA (high) (sf) -- Class C to AAA (sf) from AA (low) (sf) -- Class D to AA (sf) from A (low) (sf) -- Class E to A (low) (sf) from BBB (low) (sf) In addition, DBRS Morningstar confirmed its ratings on the following three classes: -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class HRR at B (low) (sf) All trends are Stable. The rating upgrades reflect significant principal paydown following the release of three of the original nine lodging properties collateralizing the underlying loan. According to the July 2023 remittance, the current pool balance was reported at $1.1 billion, representing a collateral reduction of $685.7 million (38.1%) since issuance. The paydown is directly attributable to three property releases described in further detail below. As a result of the paydown, overall credit support to the bonds has increased significantly. DBRS Morningstar revised the loan-to-value (LTV) sizing in its analysis for this review to reflect the recent deleveraging as well as to account for potential adverse selection, and derived an updated baseline value of $1.4 billion based on the value DBRS Morningstar concluded at issuance and a stressed value of $1.15 billion. The $1.8 billion floating-rate, interest-only loan is structured with an initial three-year term with two additional one-year extension options for a fully extended maturity date of October 2026. At issuance, the transaction was collateralized by the fee-simple and/or leasehold interest in a portfolio of nine luxury hospitality properties, totaling 3,269 rooms. The hotels were distributed among four different flags, namely the Four Seasons, Fairmont, Loews, and Marriott (Ritz-Carlton). The sponsor is an affiliate of Strategic Hotels and Resorts (Strategic), which was acquired by AB Stable VII, LLC (AB Stable) and is an indirect subsidiary of Anbang Insurance Group Co., Ltd. (Anbang), the owner of the borrowers. As noted at issuance, property releases are permitted and subject to a release premium of 110% for the first 25% of the collateral, followed by 115% until a 50% collateral reduction is reached, and 120% thereafter, based on the allocated loan amount (ALA). Furthermore, immediately prior to the release the property, debt yield must equal or be greater than 5.5%. As of the July 2023 remittance, three of the original nine properties have been successfully released from the pool: the Four Seasons Jackson Hole, the Four Seasons Scottsdale Troon North, and Loews Santa Monica. In November 2022, the Four Seasons Jackson Hole was released for a total release price of $237.0 million, including a $15.2 million release premium as well as a $69.7 million fee to maintain the debt yield, followed by the release of the Four Seasons Scottsdale Troon North in December 2022 for $189.8 million with a $14.7 million release premium and a $28.2 million debt yield fee. Lastly, Loews Santa Monica was released in February 2023 for a total price of $259.0 million, including a $32.9 million dollar release premium and no debt yield fee. The remaining six properties total 2,588 rooms across Arizona, California, Illinois, and Texas. Four of the six properties have reported improved performance since issuance, while two properties lag behind issuance expectations. The YE2022 reported net cash flow (NCF) for the remaining assets was $108.3 million, up from the DBRS Morningstar concluded NCF of $102.8 million for the same assets at issuance. According to the STR report for the trailing 12-month (T-12) period ended March 31, 2023, the weighted-average occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) based on the remaining keys were 58.6%, $475.82, and $279.13, respectively. For those same properties, the DBRS Morningstar issuance figures were 65.1%, $391.03, and $256.79, respectively. As noted in that STR report, all of the remaining properties maintained RevPAR penetration rates above 100% with the exception of the Four Seasons Silicon Valley, which reported a RevPAR penetration rate of 84.7%. According to the YE2022 operating statement, the Four Seasons Silicon Valley (7.4% of the ALA) reported an individual net operating income (NOI) of $1.4 million, marking a 30.1% decline from DBRS Morningstar's stabilized NOI of $8.3 million at issuance, driven primarily by a decline in occupancy. For the T-12 ended March 31, 2023, the reported occupancy rate, ADR, and RevPAR were 44.2%, $581.53, and $257.24. Despite a slight increase in ADR, the occupancy rate and RevPAR were lower than the DBRS Morningstar concluded values of 60.6% and $315.94. The second hotel with declining performance is the Fairmont Chicago (6.1% of the ALA). Despite performing in line with its competitive set and recording improvements in occupancy rate, ADR, and RevPAR, the property's NOI has decreased by 68.5% from $4.4 million at issuance to $1.4 million as of YE2022. These declines are mitigated by the performance improvements exhibited by the other four assets, with the combined performance of the pool largely in line with DBRS Morningstar's expectations at issuance. DBRS Morningstar also notes that graduated increases to release premiums will continue to lower the bonds' exposure and offset the potential for adverse selection. Given the significant deleveraging achieved since issuance, DBRS Morningstar updated the LTV sizing in its analysis for this review to reflect both the impact of that paydown and the ability of the ratings to withstand fluctuations in property value over the remainder of the term. DBRS Morningstar concluded a value of $1.4 billion based on the DBRS Morningstar concluded values from issuance for the six remaining assets. In the stressed scenario, DBRS Morningstar applied a more conservative haircut of 20% to the YE2022 NCF, resulting in a stressed value of $1.15 billion. A 7.5% cap rate was used in both scenarios. To evaluate the stability of the upgrade pressure the baseline LTV sizing results produced, DBRS Morningstar sized the stressed DBRS Morningstar value in its analysis for this review. DBRS Morningstar maintained positive qualitative adjustments totaling 5.75% to account for the historically strong performance, property quality, and market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. M&T EQUIPMENT 2023-LEAF1: DBRS Gives Prov. BB Rating on E Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by M&T Equipment (2023-LEAF1), LLC (the Issuer): -- $115,620,000 Class A-1 Notes rated R-1 (high) (sf) -- $207,030,000 Class A-2 Notes rated AAA (sf) -- $175,790,000 Class A-3 Notes rated AAA (sf) -- $51,560,000 Class A-4 Notes rated AAA (sf) -- $26,641,000 Class B Notes rated AA (sf) -- $23,972,000 Class C Notes rated A (sf) -- $23,971,000 Class D Notes rated BBB (sf) -- $13,317,000 Class E Notes rated BB (sf) The provisional ratings are based on the review by DBRS Morningstar of the following analytical considerations: (1) Subordination, OC, amounts held in the Reserve Fund, and excess spread create credit enhancement levels that can support DBRS Morningstar's expected cumulative net loss (CNL) of 1.75% under various stress scenarios using multiples of 5.40 times (x) of the expected CNL assumption with respect to the Class A Notes, 4.40x with respect to the Class B Notes, 3.50x with respect to the Class C Notes, 2.55x with respect to the Class D Notes, and 2.00x with respect to the Class E Notes. -- The structure includes credit enhancement in the form of subordination of junior classes of Notes. The principal payments on the Class A-2, A-3 and A-4 Notes are subordinated to the Class A-1 Notes. Consequently, the Class B, Class C, Class D, and Class E Notes are subordinated to the Class A Notes. Each subordinated class of the Notes will not receive principal payments until the more senior classes of Notes are paid in full. Payments of interest on subordinate classes of the Notes on any Payment Date will only be made to the extent that available funds remain after making all distributions of interest on the more senior classes of Notes and paying all fees, expenses, and reimbursements due to the Servicer, the Indenture Trustee, and the Custodian, as well as, in some cases, reducing the principal amount of the more senior classes of the Notes. Interest payments on the Class A Notes will be paid pro rata and pari passu. -- Sequential amortization of the Notes, subordination of junior classes, targeted build-up in OC and the non-declining reserve amount are expected to increase credit enhancement over time for the Notes. (2) Annual vintage static pool CNL to date for LEAF Commercial Capital's (LEAF) overall portfolio from 2013 to 2022 have ranged between 0.70% and 2.09%. In addition, DBRS Morningstar reviewed annual vintage static pool CNL for LEAF's portfolios by originating business unit, Small Business Scoring Service (SBSS) score, and original term. (3) LEAF maintains a strong and visible position in the small-ticket equipment leasing space, providing financing to vendors of commercial equipment to small- through large-sized businesses. Many of LEAF's management team members have been involved in the equipment leasing industry since the 1980s and have been working together for over 30 years. -- LEAF primarily originates loans and leases through program agreements with equipment vendors and dealers. LEAF maintains systems and infrastructure to effectively penetrate the highly diversified equipment leasing market. (4) LEAF and its predecessor entities have been sponsoring secured financing facilities since 2003 including twelve term ABS securitizations and multiple funding facilities. (5) DBRS Morningstar conducted operational review of LEAF, as a subsidiary of M&T Bank Corporation. As a result, LEAF continues to be an acceptable originator and servicer of equipment loans/leases. -- M&T Bank has entered into a servicing performance guarantee, for the benefit of the Issuer and the Trustee, whereby M&T Bank has guaranteed the performance and observance of all terms, covenants, conditions, agreements, obligations and undertakings on the part of the initial servicer under the servicing agreement. (6) The MTLRF 2023-1 transaction includes a more diverse set of collateral, compared to LEAF's previous transactions. The top three equipment types in the collateral pool are industrial equipment, office equipment, and software which make up 22.77%, 21.63%, and 14.76%, respectively, while approximately 47% of the Series 2017-1 transaction consisted of office equipment. (7) The Contract Assets do not contain any significant concentrations of obligors, industries or geographies and are similar to those included in other small-ticket lease and loan securitizations rated by DBRS Morningstar. Only 4.20% of the Contract Assets will have the original term of 67 months or longer. The weighted average (WA) SBSS score is 202, and the average Statistical Discounted Pool Balance is $26,134. (8) While the transaction allows for a limited credit for booked residuals, the residual realization risk is mitigated by the following considerations: -- Booked residuals are given only a limited credit in DBRS Morningstar's cash flow modeling scenarios for investment grade rating categories, even though the historical residual realizations by LEAF have regularly exceeded 100%. Moreover, the transaction allows only 60% of the discounted balance of pledged residual payments to be included in the Aggregate Statistical Discounted Pool Balance. -- LEAF's generally conservative approach to residual setting has historically resulted in relatively high residual realizations from dispositions. (9) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns June 2023 Update, published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (10) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the issuing entity, the non-consolidation of the issuing entity, that the issuing entity has a valid first-priority security interest in the assets and the consistency with the DBRS Morningstar Legal Criteria for U.S. Structured Finance. DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Note Current Interest and the related Outstanding Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are interest on unpaid Note Interest for each of the rated notes and the related Optional Redemption Price. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-C28: Fitch Affirms 'B-sf' Rating on E-1 Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C28 commercial mortgage pass-through certificates. A Negative Outlook was assigned to classes X-B, A-S, B and C. In addition, the Outlook for classes D, X-D and E-1 remains Negative. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2016-C28 A-3 61766LBR9 LT AAAsf Affirmed AAAsf A-4 61766LBS7 LT AAAsf Affirmed AAAsf A-S 61766LBV0 LT AAAsf Affirmed AAAsf A-SB 61766LBQ1 LT AAAsf Affirmed AAAsf B 61766LBW8 LT AA-sf Affirmed AA-sf C 61766LBX6 LT A-sf Affirmed A-sf D 61766LAC3 LT BBsf Affirmed BBsf E 61766LAJ8 LT CCCsf Affirmed CCCsf E-1 61766LAE9 LT B-sf Affirmed B-sf E-2 61766LAG4 LT CCCsf Affirmed CCCsf EF 61766LAS8 LT CCsf Affirmed CCsf F 61766LAQ2 LT CCsf Affirmed CCsf X-A 61766LBT5 LT AAAsf Affirmed AAAsf X-B 61766LBU2 LT AAAsf Affirmed AAAsf X-D 61766LAA7 LT BBsf Affirmed BBsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 9.6%. Nine loans are considered Fitch Loans of Concern (FLOCs; 42.3% of pool). The Negative Outlooks reflect the impact of the updated criteria and performance concerns with office assets and retail properties, including Ellenton Premium Outlets (9.1%), Navy League Building (7.4%), Princeton Pike Corporate Center (7.4%), Greenville Mall (5%) and the two specially serviced loans Princeton South Corporate Center (5.9%) and DoubleTree by Hilton - Cleveland Ohio (3.3%). The largest contributor to overall loss expectations is the specially serviced Princeton South Corporate Center loan (5.9% of the pool), which is secured by a 267,426-sf suburban office property located in Trenton, NJ. The loan was transferred back to special servicing for a second time in February 2022 due to imminent monetary default. According to the servicer, the borrower has recently expressed its willingness to enter into a consent to foreclosure judgment and sale. The most recent servicer-reported occupancy was 76% as of September 2021, down from 81% at YE 2020 and 86% at YE 2019. Fitch's 'Bsf' rating case loss of 36% reflects a stress on a February 2023 valuation reflecting a stressed value of $117 psf. The second largest contributor to overall loss expectations is the specially serviced DoubleTree by Hilton - Cleveland, OH loan (3.3%), which is secured by a 379-room full-service hotel in downtown Cleveland, OH. The loan was transferred to special servicing in October 2019 for imminent monetary default. Property performance had already been declining pre-pandemic due to increased competition and several non-recurring local events that resulted in higher revenues during 2016. TTM September 2019 NOI dropped 15% from YE 2018. The borrower has not provided updated financials since TTM September 2019. The foreclosure moratorium was lifted in October 2020 and the union pension plan issue has been resolved and the noteholder is pursuing rights prior to finalizing foreclosure. Fitch's 'Bsf' rating case loss of 51% reflects a stress on a July 2023 valuation reflecting a stressed value of $62,000 per key. Increasing Credit Enhancement (CE): CE has increased since the prior rating action due to amortization, loans paying off, and defeasance. The pool balance has been paid down by 18.5% since issuance. No losses have been realized losses to date and 11.1% of the pool is defeased. Interest shortfalls are currently affecting the non-rated classes G and H. Six of the remaining loans comprising 34.3% of the pool are full IO through the term of the loan. Property Type Concentration: The highest concentration is retail (41% of the pool), followed by office (28.9%), hotel (10.8%), and multifamily (10.5%). Pari Passu Loans: Four loans (32.9% of pool) are pari passu. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated in the 'AAAsf' category are not likely due to expected continued paydowns and amortization, but may occur should interest shortfalls occur. Downgrades to classes in the 'AA-sf' and 'A-sf' category are possible should overall pool losses increase significantly and additional loans become FLOCs. Downgrades to classes in the 'BBsf' and 'B-sf' categories would occur should losses to the special serviced loans exceed Fitch's loss expectations and/or continued performance decline of the FLOCs. Downgrades to the distressed classes would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades would occur with stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes 'AA-sf' and 'A-sf' category B and C would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs and better than expected recoveries on specially serviced loans. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Classes in the 'BBsf' category and below are unlikely to be upgraded absent sustained performance improvement of distressed assets, FLOCs and/or office-backed loans. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2019-NUGS: Moody's Cuts Rating on E Certs to Caa1 ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on five classes in Morgan Stanley Capital I Trust 2019-NUGS, Commercial Mortgage Pass-Through Certificates, Series 2019-NUGS as follows: Cl. A, Downgraded to A1 (sf); previously on Mar 1, 2023 Downgraded to Aa1 (sf) Cl. B, Downgraded to Baa2 (sf); previously on Mar 1, 2023 Downgraded to A2 (sf) Cl. C, Downgraded to Ba1 (sf); previously on Mar 1, 2023 Downgraded to Baa2 (sf) Cl. D, Downgraded to B1 (sf); previously on Mar 1, 2023 Downgraded to Ba2 (sf) Cl. E, Downgraded to Caa1 (sf); previously on Mar 1, 2023 Downgraded to B2 (sf) RATINGS RATIONALE The ratings on five P&I classes were downgraded due to an increase in Moody's loan-to-value (LTV) ratio because of the decline in the property's performance since securitization and the anticipated further declines in its net operating income (NOI). This floating rate loan transferred to special servicing in December 2022 after failing to extend or pay off at its first extended maturity date. The property's occupancy decreased from 87% at securitization to 79% as of March 2023, and the property's 2022 reported NOI was 14% lower than its trailing-twelve-month NOI reported as of September 2019. The property's NOI is anticipated to see a further decline from the lower occupancy after two major tenants recently reduced their space. Furthermore, the risk of interest shortfalls may increase due to the recent appraisal reduction amount (ARA). An updated appraised value reported as of the June 2023 remittance report showed a decline in the appraised value of 40% from securitization which has caused ARA of $14.1 million. While the loan remains current on its interest only debt service payments as of the August 2023 remittance statement, there are also outstanding tax and insurance advances totaling approximately $8.2 million. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and trophy/dominant nature of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the August 2023 distribution date, the transaction's aggregate certificate balance remains unchanged at $277.1 million from securitization. The 5-year (including three one-year extensions with a final maturity date in December 2024), interest only, floating rate loan is secured by a 1,195,149 square feet (SF), Class A, office property comprised of 52-story tower and an adjoining 12-story garage located in the central business district (CBD) of Denver, Colorado. In addition, the property is encumbered by $50.6 million of non-pooled B-note and $45.3 million of non-pooled mezzanine debt. The loan transferred to special servicing in December 2022 due to maturity default. The borrower previously exercised the loan's first extension option which extended the maturity date by one year, from December 2021 to December 2022. While the borrower had the second one-year extension option, the borrower didn't exercise the option largely due to increased interest rates and costs associated with an interest rate protection agreement for the extended term. The loan required an extension term strike rate that would result in a debt service coverage ratio (DSCR) of 1.05x based on the total debt. As of March 2023, the property was 79% leased, compared to 83% leased in June 2022, 86% in December 2020 and 87% at securitization. The property's 2022 reported NOI was $20.5 million which was 8% lower than the NOI in 2021, 11% below that of 2020, and 14% lower than the trailing-twelve-month NOI reported as of September 2019. Based on the reported NOI in 2022, the senior mortgage loan balance of $277.1 million had a DSCR slightly above 1.00X at current SOFR rates, however, the total debt DSCR would be below 1.00X. Additionally, the property's NOI is anticipated to see further declines as two major tenants reduced their space recently. The fourth largest tenant at securitization, WeWork, negotiated an early termination agreement to vacate the 14th and 15th floors, effective May 1, 2023 and the 18th floor, effective July, 1, 2023, which represented a combined 69,683 SF (6% of the property net rentable area (NRA)). Furthermore, another major tenant, Bryan Cave HRO, downsized their spaces by 59,070 SF (5% of the property NRA) when renewing their lease that expired in December 2022. Accounting for the reduced space WeWork and Bryan Cave HRO now each represent approximately 4% of the NRA on leases through 2034 and 2035 respectively. With respect to the largest tenant, Wells Fargo Bank, a portion of their leases, (69,778 SF or 6% of the property NRA), expire in December 2023 and the remaining 175,115 SF (15% of the property NRA) expire in December 2028. The property is well-located in the Denver CBD, however, the Denver office market vacancies have increased since securitization. According to CBRE, the Downtown submarket in Denver, Colorado included 27.6 million SF of Class A office space in Q2 2023 with a vacancy of 24.4%, compared to a vacancy rate of 10.7% in 2019. Moody's NCF was $17.3 million and the Moody's capitalization rate was increased from last review. Moody's LTV ratio for the first mortgage balance is 145% based on Moody's Moody's Value and the Adjusted Moody's LTV ratio for the first mortgage balance is 128% based on Moody's Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's stressed DSCR is 0.67x for the first mortgage balance. The loan is classified as "performing maturity balloon" and is current on its interest-only debt service payments through the August 2023 remittance date and there are outstanding interest shortfalls totaling $3,105 affecting up to Cl. F. No losses have been realized as of the current distribution date and there are outstanding tax and insurance advances totaling approximately $8.2 million. NASSAU 2017-I: S&P Lowers Class D Notes Rating to 'CCC (sf)' ------------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-2 and B notes from Nassau 2017-I Ltd., and removed them from CreditWatch, where S&P placed them with positive implications on June 30, 2023. At the same time, S&P lowered its rating on the class D notes and removed it from CreditWatch, where S&P placed it with negative implications on June 30, 2023. S&P also affirmed its ratings on the A-1a-S-R, A-1a-J-R, A-1b-R, and C notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the July 2023 trustee report and consider all rating actions and defaults on the underlying collateral that might have occurred subsequently. Although the same portfolio backs all of the tranches, there can be circumstances, such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it both experienced principal paydowns, which increased the senior credit support, and faced an increase in defaults and a decline in collateral credit quality, which decreased the junior credit support. The transaction has paid down $167.47 million to the class A-1a-S-R and A-1b-r notes since our September 2020 rating actions. Since the July 2020 trustee report, which S&P used for its previous rating actions, the reported overcollateralization (O/C) ratios have changed: -- The class A O/C ratio improved to 139.87% from 127.69%. -- The class B O/C ratio improved to 119.76% from 116.84%. -- The class C O/C ratio declined to 108.65% from 110.17%. -- The class D O/C ratio declined to 100.23% from 104.76%. While the senior O/C ratios experienced positive movement due to the lower balances of the senior notes, the class C and D O/C ratio declined marginally due to overall negative par movement; and class D has been failing the O/C test. The upgrades reflect the improved credit support at the prior rating levels; and the affirmations reflect S&P's view that the credit support available is commensurate with the current rating levels. The lowered rating reflects the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class D notes. On a standalone basis, the results of the cash flow analysis indicated higher ratings on the class A-2, B, and C notes. However, because the transaction currently has higher-than-average exposures to 'CCC' and 'D' rated collateral obligations, our rating actions reflect additional sensitivity runs that consider such exposures and offset future potential credit migration in the underlying collateral. The class D notes do not pass S&P's cash flow analysis, on a standalone basis, at a 'B+' rating level. It believes the class meets its 'CCC' criteria and would be dependent on favorable market conditions. However, further paydowns or improvements could improve this class in the future. Nassau 2017-I Ltd. has transitioned its liabilities to three-month CME term secured overnight finance rate (SOFR) as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. S&P's cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, our cash flow analysis considered the same. S&P said, "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. In addition, our analysis 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 all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these 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 we will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive Nassau 2017-I Ltd. Class A-2 to 'AA+ (sf)' from 'AA (sf)/Watch Pos' Class B to 'A+ (sf)' from 'A (sf)/Watch Pos' Rating Lowered And Removed From CreditWatch Negative Nassau 2017-I Ltd. Class D to 'CCC (sf)' from 'B+ (sf)/Watch Neg' Ratings Affirmed Nassau 2017-I Ltd. Class A-1a-J-R: AAA (sf) Class A-1a-S-R: AAA (sf) Class A-1b-R: AAA (sf) Class C: BBB- (sf) NASSAU LTD 2018-II: Moody's Lowers Rating on $30.3MM E Notes to B1 ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings on the following notes issued by Nassau 2018-II Ltd.: US$69,600,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on November 20, 2018 Assigned Aa2 (sf) Moody's has also downgraded the ratings on the following notes: US$30,300,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on August 18, 2020 Confirmed at Ba3 (sf) Nassau 2018-II Ltd., originally issued in November 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2023. RATINGS RATIONALE The upgrade rating action on the Class B notes reflects the benefit of the short period of time remaining before the end of the deal's reinvestment period in October 2023, and an expectation that the notes will subsequently begin to be repaid in order of seniority. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained or continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from a lower weighted average rating factor (WARF) compared to the covenant level. Moody's modeled a WARF of 2835 compared to the current covenant level of 2997. The deal has also benefited from a shortening of the portfolio's weighted average life since July 2022. The downgrade rating action on Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's July 2023 report[1], the over-collateralization (OC) ratio for the Class E notes is reported at 103.94% versus the July 2022 level of 106.27%[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: $569,021,388 Defaulted par: $19,382,716 Diversity Score: 79 Weighted Average Rating Factor (WARF): 2835 Weighted Average Spread (WAS (before accounting for reference rate floors): 3.67% Weighted Average Recovery Rate (WARR): 47.31% Weighted Average Life (WAL): 4.0 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. NEUBERGER BERMAN 51: Fitch Affirms BB+sf Rating on E Notes ---------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class B, C, D and E notes of Neuberger Berman Loan Advisers CLO 51, Ltd. (Neuberger 51). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 51, Ltd. B 64135BAE9 LT AAsf Affirmed AAsf C 64135BAG4 LT Asf Affirmed Asf D 64135BAJ8 LT BBB-sf Affirmed BBB-sf E 64135CAA5 LT BB+sf Affirmed BB+sf TRANSACTION SUMMARY Neuberger 51 is a broadly syndicated collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers II LLC. The transaction closed in September 2022 and will exit its reinvestment period in October 2027. The CLO is secured primarily by first lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The affirmations are driven by the portfolio's stable performance since closing. As of July 2023 reporting, the credit quality of the portfolio has remained at the 'B'/'B-' rating level. The Fitch weighted average rating factor of the portfolio is 25.6 compared with 25.2 at closing. The portfolio consists of 268 obligors, and the largest 10 obligors represent 10.0% of the portfolio. Fitch classified one obligor comprising 0.6% of the total portfolio notional as defaulted. Exposure to obligors with a Negative Outlook and Fitch's watchlist is 14.2% and 4.2%, respectively. First lien loans, cash and eligible investments comprise 94.8% of the portfolio. Fitch's weighted average recovery rate of the portfolio was 74.6%, compared to 74.2% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Cash Flow Analysis Fitch conducted updated cash flow analysis based on newly run Fitch Stressed Portfolio (FSP) since the transaction is still in its reinvestment period. The FSP analysis stressed the current portfolio from the latest trustee report to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average life of 7.0 years and the weighted average spread was modeled at the covenant level of 3.5%. Other FSP assumptions include 10.0% non-senior secured assets, 5% fixed rate assets and 7.5% CCC assets. The ratings are in line with their respective model-implied rating (MIR), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to three notches, 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 notches, based on MIRs. OAK STREET 2021-2: S&P Affirms BB+ (sf) Rating on Class B-3 Notes ----------------------------------------------------------------- S&P Global Ratings placed its ratings on 21 classes from Oak Street Investment Grade Net Lease Fund L.P.'s series 2020-1, 2021-1, and 2021-2 on CreditWatch with negative implications. Oak Street Investment Grade Net Lease Fund L.P. is an ABS securitization backed by 272 industrial, retail, and office commercial real estate properties. Series 2020-1, 2021-1, and 2021-2 share collateral within the master trust. In April 2023, the second-largest tenant in the collateral pool, Bed Bath & Beyond Inc. (BBBY), filed for Chapter 11 bankruptcy protection. Within the portfolio, BBBY has exposure to two flex industrial buildings and nine retail stores representing 8.23% of the pool's aggregate appraised value. Five of the assets are delinquent in lease payments as of the July distribution date. Nevertheless, all tranches are current on their interest and scheduled principal payments, and debt service coverage ratios remain above the trigger thresholds. In late June 2023, BBBY announced the sale of its intellectual property assets, which didn't include the operations of the retail chain's brick-and-mortar stores. The leases are currently undergoing an auction process. The CreditWatch negative placements reflect, among other things: -- Development on the BBBY bankruptcy case and the continued pressure on related lease collections; -- The uncertainty surrounding the issuer's ability to remarket the vacant properties in current market conditions through either property sale or tenant replacement, and the timeframe associated; and -- The lack of headroom at the current rating levels based on S&P's current cash flow assumptions, combined with the uncertainty about future office demand and the impact on valuations. S&P will continue to monitor the BBBY bankruptcy development and reassess the cash flow projections as it gains more visibility on the vacant properties. Performance could improve in the coming months if the manager is able to sell or lease the vacant properties at favorable rates. Ratings List RATING ISSUER SERIES CLASS TO FROM Oak Street Investment Grade Net Lease Fund L.P. 2020-1 A-1 AAA (sf)/CW Neg AAA (sf) Oak Street Investment Grade Net Lease Fund L.P. 2020-1 A-2 AAA (sf)/CW Neg AAA (sf) Oak Street Investment Grade Net Lease Fund L.P. 2020-1 A-3 AA (sf)/CW Neg AA (sf) Oak Street Investment Grade Net Lease Fund L.P. 2020-1 A-4 AA (sf)/CW Neg AA (sf) Oak Street Investment Grade Net Lease Fund L.P. 2020-1 A-5 A (sf)/CW Neg A (sf) Oak Street Investment Grade Net Lease Fund L.P. 2020-1 A-6 A (sf)/CW Neg A (sf) Oak Street Investment Grade Net Lease Fund L.P. 2020-1 B-1 BBB+ (sf)/CW Neg BBB+ (sf) Oak Street Investment Grade Net Lease Fund L.P. 2020-1 B-2 BBB+ (sf)/CW Neg BBB+ (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-1 A-1 AAA (sf)/CW Neg AAA (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-1 A-2 AAA (sf)/CW Neg AAA (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-1 A-3 A (sf)/CW Neg A (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-1 A-4 A (sf)/CW Neg A (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-1 B-1 BBB+ (sf)/CW Neg BBB+ (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-1 B-2 BBB+ (sf)/CW Neg BBB+ (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-2 A-1 AAA (sf)/CW Neg AAA (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-2 A-2 AAA (sf)/CW Neg AAA (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-2 A-3 A (sf)/CW Neg A (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-2 A-4 A (sf)/CW Neg A (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-2 B-1 BBB+ (sf)/CW Neg BBB+ (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-2 B-2 BBB+ (sf)/CW Neg BBB+ (sf) Oak Street Investment Grade Net Lease Fund L.P. 2021-2 B-3 BB+ (sf)/CW Neg BB+ (sf) OCP CLO 2023-28: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned ratings to OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC's floating-rate notes. The notes issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners LLC. The ratings assigned to the notes reflect S&P's assessment of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned OCP CLO 2023-28 Ltd./OCP CLO 2023-28 LLC Class A, $299.2500 million: AAA (sf) Class B, $61.7500 million: AA+ (sf) Class C (deferrable), $27.3125 million: A+ (sf) Class D (deferrable), $27.3125 million: BBB- (sf) Class E (deferrable), $16.6250 million: BB- (sf) Preferred shares, $34.4000 million: Not rated Subordinated notes, $8.0000 million: Not rated OPG TRUST 2021-PORT: DBRS Confirms B(low) Rating on Class G Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-PORT issued by OPG Trust 2021-PORT, as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class X-NCP at A (high) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the underlying loan, which is secured by a portfolio of industrial properties as further described below. Since issuance, there has been significant paydown as a result of property releases processed in accordance with the transaction documents. This deleveraging has reduced the loan-to-value ratio (LTV) implied by the DBRS Morningstar value, but the overall benefit to the capital stack has been limited given the pro rata pay structure for the releases processed to date. The occupancy rate for the remaining properties has generally been higher than the overall occupancy rate at issuance and the portfolio continues to benefit from a very granular tenant roster across the collateral set. This deal is collateralized by a single mortgage loan evidenced by four componentized promissory notes with an original aggregate principal amount of $1.4 billion. At issuance, the loan was secured by the borrower's fee-simple interest in a portfolio of 109 industrial properties across 11 markets in seven states. The interest-only (IO) mortgage loan bears interest at a floating rate and had an initial maturity date in October 2023, subject to three successive one-year extension options. As of the July 2023 remittance period, the servicer noted that the borrower has not yet requested to exercise the first extension option to October 2024. The sponsor for the transaction is OMERS Administration Corporation, a benefit pension plan for Ontario, Canada's municipal employees. The sponsor contributed approximately $812.0 million of cash equity to facilitate the acquisition, representing about 37.0% of the purchase price of almost $2.2 billion. The transaction is structured with weak release premiums and a pro rata prepayment structure on the first 35.0% of the initial loan balance. The release provisions for individual properties within the portfolio, among other stipulations, are outlined in the offering documents and are subject to no event of default, a debt-yield test, payment of a spread maintenance premium, and release payment that is equal to 100% of the allocated loan amount (ALA) until the original principal balance has been reduced to 90%; 105% of the allocated loan amount until the original loan amount is reduced to 65%; and 110% thereafter. As of the July 2023 remittance, 33 property releases have been processed, with 76 properties remaining. The trust balance of $952.2 million has been reduced by 33.4% since issuance. One property has been released since DBRS Morningstar's last rating action in Circle K Distribution, which had an issuance ALA of $26.6 million. The servicer-reported consolidated financial statement for the portfolio showed a YE2022 net cash flow (NCF) of $54.3 million; however, that figure includes revenue and expenses for the properties released during that time frame. The YE2022 NCF represents a decline of 10.9% from the Issuer's NCF of $61.0 million for the remaining pool at that time and a decline of 6.0% from the DBRS Morningstar's NCF of $57.8 million for those same properties. The resulting in-place debt service coverage ratio for YE2022 was 1.45 times (x) compared with 3.36x at issuance, partly because of increases in interest rates for the floating-rate debt. According to the servicer, portfolio occupancy as of March 2023 was 97.4% compared with 92.8% at issuance; however, DBRS Morningstar notes that this figure includes the 100% occupancy rate for the released Circle K Distribution property, which represented 2.7% of the ALA. In the analysis for this review, DBRS Morningstar removed the cash flows for the released properties, resulting in a DBRS Morningstar NCF of $56.4 million. DBRS Morningstar maintained the cap rate of 7.00% applied at issuance, which resulted in a DBRS Morningstar value of $805.5 million, a variance of -44.9% from the issuance appraised value of $1.5 billion for the remaining collateral. The updated DBRS Morningstar value implies an LTV of 118.2%, compared with the LTV of 65.1% on the issuance appraised value for the remaining collateral. The DBRS Morningstar value at issuance implied an LTV of 125.9% on the closing balance. The portfolio benefits from its position in strong industrial markets, composition of last-mile urban in-fill logistics properties, and elevated cash flow stability attributable to multiple property pooling. As such, DBRS Morningstar applied an aggregate 8.0% qualitative adjustment in the sizing for cash flow volatility, property quality, and market fundamentals. The LTV Sizing results suggested moderate upgrade pressure throughout the stack, generally driven by the paydown over the last two years since the deal closed. Notes: All figures are in U.S. dollars unless otherwise noted. OZLM LTD IX: Moody's Cuts Rating on $9.5MM Cl. E-RR Notes to Caa2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by OZLM IX, Ltd.: US$49,500,000 Class A-2-R3 Senior Secured Floating Rate Notes due 2031 (the "Class A-2-R3 Notes"), Upgraded to Aaa (sf); previously on October 20, 2021 Assigned Aa2 (sf) US$25,000,000 Class B-RR Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B-RR Notes"), Upgraded to Aa3 (sf); previously on November 8, 2018 Assigned A2 (sf) Moody's has also downgraded the rating on the following notes: US$9,500,000 Class E-RR Secured Deferrable Floating Rate Notes due 2031 (the "Class E-RR Notes"), Downgraded to Caa2 (sf); previously on August 19, 2020 Downgraded to Caa1 (sf) OZLM IX, Ltd., originally issued in December 2014 and last refinanced in October 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2023. RATINGS RATIONALE The upgrading rating actions reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in October 2023. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF), higher weighted average spread (WAS) and diversity levels compared to their respective covenant levels. Moody's modeled a WARF of 2599 compared to the covenant level of 2776, WAS of 3.30% compared to the covenant level of 3.10%, and diversity score of 82 compared to the covenant level of 80. The deal has also benefited from a shortening of the portfolio's weighted average life since July 2022. The downgrade rating action on the Class E-RR notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's July 2023 report [1], the overcollateralization ratio for the Class E-RR notes (the Reinvestment Overcollateralization Test) is reported at 103.13% compared to July 2022 trustee reported level of 104.41% [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: $477,668,939 Defaulted par: $3,878,978 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2599 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.30% Weighted Average Recovery Rate (WARR): 46.71% Weighted Average Life (WAL): 4.30 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. PARK BLUE 2022-I: Fitch Affirms BB Rating on Class E Debt --------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-2, B-1 and B-2 (collectively, class B), C-1 and C-2 (collectively, class C), D, and E notes of Park Blue CLO 2022-I, Ltd. (Park Blue 2022-I). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Park Blue CLO 2022-I, Ltd. A-2 70016WAC8 LT AAAsf Affirmed AAAsf B-1 70016WAE4 LT AAsf Affirmed AAsf B-2 70016WAG9 LT AAsf Affirmed AAsf C-1 70016WAJ3 LT Asf Affirmed Asf C-2 70016WAN4 LT Asf Affirmed Asf D 70016WAL8 LT BBB-sf Affirmed BBB-sf E 699903AA8 LT BBsf Affirmed BBsf TRANSACTION SUMMARY Park Blue 2022-I is a broadly syndicated collateralized loan obligation (CLO) managed by Centerbridge Credit Funding Advisors, LLC. The transaction closed in September 2022 and will exit its reinvestment period in October 2026. The CLO is secured primarily by first lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The affirmations are driven by the portfolio's stable performance since closing. As of July 2023 reporting, the credit quality of the portfolio was at the 'B' rating level. The Fitch weighted average rating factor is 23.3 compared with 22.2 at closing. The portfolio consists of 186 obligors, and the largest 10 obligors represent 10.0% of the portfolio. Exposure to obligors with a Negative Outlook and Fitch's watchlist is 17.7% and 4.6%, respectively. There are no defaulted assets in the current portfolio, and the aggregate portfolio amount was 0.3% above the initial portfolio target par amount. First lien loans, cash and eligible investments comprise 95.8% of the portfolio, decreasing from 99.8% from closing. Fitch's weighted average recovery rate of the portfolio decreased to 73.4% from 77.4% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Cash Flow Analysis Fitch conducted updated cash flow analysis based on newly run Fitch Stressed Portfolio (FSP) since the transaction is still in its reinvestment period. The FSP analysis stressed the current portfolio from the latest trustee report to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average life of 6.0 years and the weighted average spread was modeled at the covenant level of 3.5%. Other FSP assumptions include 7.5% non-senior secured assets, 10% fixed rate assets and 7.5% CCC assets. The ratings are in line with their respective model-implied rating (MIR), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement does not compensate for the higher than initially assumed loss expectation. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of two notches for the class B, C and E notes, and one notch for the class D notes. There would be no rating impact on the class A-2 notes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 up to five notches, based on the MIRs. RAC BOND: S&P Affirms 'B+ (sf)' Rating on Class B2-Dfrd Notes ------------------------------------------------------------- S&P Global Ratings affirmed its 'BBB (sf)' and 'B+ (sf)' credit ratings on RAC Bond Co. PLC's class A2 and B2-Dfrd notes, respectively. RAC Bond Co. PLC is a whole business securitization of RAC Bidco Ltd.'s (RAC) operating businesses. RAC Bond Co.'s financing structure blends a corporate securitization of the operating business of RAC in the U.K. with a subordinated high-yield issuance. The transaction is backed by future cash flows generated by the operating businesses, which include roadside services and insurance and financial services, but exclude RAC Insurance Ltd. and RACMS (Ireland) Ltd. In S&P's opinion, the transaction will likely qualify for the appointment of an administrative receiver under the U.K. insolvency regime. An obligor default would allow the noteholders to gain substantial control over the charged assets before an administrator's appointment, without necessarily accelerating the secured debt, both at the issuer and borrower level. Following S&P's review of RAC's performance, it affirmed its 'BBB (sf)' and 'B+ (sf)' ratings on the class A2 and B2-Dfrd notes, respectively. RAC utilized GBP100 million of excess cash proceeds and drew GBP200 million of the 2022 senior term facility (STF) to repay the class A1 notes on their expected maturity debt (EMD) in May 2023. At the same time, GBP100 million undrawn from the 2022 STF was canceled. As a result, the total senior debt leverage (class A2, the working capital facility (WCF), and the STF) is 6.5:1, while total debt leverage (class A, B2-Dfrd, the WCF, and the STF) is 8.3:1 based on FY2022 EBITDA as adjusted by us. S&P said, "Our base-case forecasts of cash flow available for debt service (CFADS) reflect our higher EBITDA expectation, showing assumed organic revenue growth of 3.4% in FY2023. Growth in the breakdown services segment mostly comes from the business to consumer side, where we expect a steady retention rate coupled with membership growth, whereas on the business-to-business side, we expect the company to retain all key customers. We also expect S&P Global Ratings-adjusted margins of 34%-35% over our forecast horizon, on the back of significant efficiency initiatives in operations, such as reduced reliance on third-party garage contractors. "Our higher EBITDA expectations are coupled with higher capital expenditures (capex) expectations (including customer acquisition costs). The net effect modestly reduces our projected cash flow available for debt service in FY2023. Consequently, our minimum debt service coverage ratios (DSCRs) in our base-case, which is driven by the near-term CFADS, have decreased slightly. Long-term, our higher EBITDA expectation means higher average DSCR ratios in both the base case and downside case scenarios. That said, they remain above middle range for a 'bbb' anchor in our base-case analysis, and above the breakpoint between a strong and a satisfactory resilience score in our downside analysis. Our satisfactory business risk profile remains unchanged. "Our rating on the class A2 notes is not currently constrained by the long-term issuer credit ratings on any of the counterparties, including the liquidity facility, derivatives, and bank account providers. "Our rating on the class A2 notes addresses timely payment of interest and ultimate payment of principal on the legal final maturity date. Our rating on the class B2-Dfrd notes addresses ultimate payment of interest and ultimate payment of principal on the legal final maturity date. "Under the transaction documents, the counterparties can invest cash in short-term investments with a minimum required rating of 'BBB+'. Given the substantial reliance on excess cash flow as part of our analysis and the possibility this could be invested in short-term investments, full reliance can be placed on excess cash flows only in rating scenarios up to 'BBB+'." RAD CLO 17: Fitch Affirms 'BB-sf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class B, C, D and E notes of Rad CLO 16, Ltd. (Rad 16) and the class B-1, B-2, C, D and E notes of Rad CLO 17, Ltd. (Rad 17). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Rad CLO 16, Ltd. B 75009LAE6 LT AAsf Affirmed AAsf C 75009LAG1 LT Asf Affirmed Asf D 75009LAJ5 LT BBB-sf Affirmed BBB-sf E 75009MAA2 LT BB-sf Affirmed BB-sf RAD CLO 17, Ltd. B-1 75009JAB7 LT AAsf Affirmed AAsf B-2 75009JAE1 LT AAsf Affirmed AAsf C 75009JAC5 LT Asf Affirmed Asf D 75009JAD3 LT BBB-sf Affirmed BBB-sf E 75009KAA6 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Rad 16 and Rad 17 are broadly syndicated collateralized loan obligations (CLOs) managed by Irradiant Partners, LP. Rad 16 closed in September of 2022 and will exit its reinvestment period in October of 2025. Rad 17 closed in October of 2022 and will exit its reinvestment period in October of 2027. Both CLOs are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The affirmations are due to the portfolios' stable performance since closing. The credit quality of both portfolios as of July 2023 reporting remained at the 'B'/'B-' rating level since their closing dates. The Fitch weighted average rating factors (WARF) for Rad 16 and Rad 17 portfolios were 25.3 on average, compared with an average of 25.1 at closing. The portfolio for Rad 16 consists of 233 obligors, and the largest 10 obligors represent 9.0% of the portfolio. Rad 17 has 264 obligors, with the largest 10 obligors comprising 7.7% of the portfolio. There are no defaults in either portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 23.0% and 9.2%, respectively, for Rad 16 and 19.2% and 4.8%, respectively, for Rad 17. On average, first lien loans, cash and eligible investments comprise 98.9% of the portfolio and fixed-rate assets comprise 0.8% of the portfolio. Fitch's weighted average recovery rate of the portfolios was 75.7% on average, compared with an average of 75.6% at closing. As of July 2023, all coverage tests and concentration limitations are in compliance for both transactions, except the 'CCC' Collateral Obligation concentration limitation is exceeded by 0.7% for Rad 16. Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since both transactions are still in their reinvestment periods. The FSP analysis stressed the current portfolios from the latest trustee reports to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average lives of 6.25 years and 7.25 years for Rad 16 and Rad 17, respectively. Fixed-rate assets were also assumed at 5.0% for both Rad 16 and Rad 17. The weighted average spread (WAS), WARR and WARF were stressed to the current Fitch test matrix points for both Rad 16 and Rad 17. The ratings are in line with their respective model-implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to three rating notches for Rad 16 and one rating notch for Rad 17, 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 six rating notches for Rad 16 and eight rating notches for Rad 17, based on the MIRs. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. RAD CLO 20: Fitch Gives 'BB(EXP)' Expected Rating on Cl. E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to RAD CLO 20, Ltd. Entity/Debt Rating ----------- ------ RAD CLO 20, Ltd. A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY RAD CLO 20, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Irradiant Partners, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.91, versus a maximum covenant, in accordance with the initial expected matrix point of 25.65. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.54% versus a minimum covenant, in accordance with the initial expected matrix point of 74.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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. READY CAPITAL 2022-FL9: DBRS Cuts Class G Rating to CCC ------------------------------------------------------- DBRS, Inc. downgraded its rating on one Class of Ready Capital Mortgage Financing 2022-FL9, LLC as follows: -- Class G to CCC (sf) from B (low) (sf) DBRS Morningstar also confirmed its ratings on the remaining classes as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All classes have Stable trends with the exception of Class G as its rating does not carry a trend. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The rating downgrade on Class G is the result of ongoing accumulated interest shortfalls, which have persisted since August 2022. In April 2023, DBRS Morningstar placed the rating on Class G Under Review with Negative Implications as the interest shortfalls had been outstanding for more than six consecutive months. As per DBRS Morningstar's Structured Finance and Covered Bonds Ratings Committee Global Procedure dated October 2022, the tolerance threshold for a DBRS Morningstar credit rating in the BB or B rating category is six months. The shortfalls stem from the difference in the floating interest rate benchmark between the bonds and some of the individual loans remaining in the transaction. As of July 2023 reporting, cumulative interest shortfalls on the Class F Notes were repaid; however, cumulative interest shortfalls on Class G total $1.5 million. DBRS Morningstar notes there are no delinquent or specially serviced loans in the transaction and the rating downgrade to Class G is strictly related to the outstanding interest shortfalls rather than credit concerns with the outstanding collateral. According to the collateral manager, all remaining loans in the transaction are expected to transition to the Secured Overnight Financing Rate, the same benchmark rate on the rated bonds, in the near term. As this occurs, the outstanding interest shortfalls to Class G are expected to recouped over time. DBRS Morningstar expects to revisit the rating of Class G once the cumulative interest shortfall is fully recouped. The initial collateral consisted of 25 floating-rate mortgages secured by 75 transitional properties totaling $754.2 million, excluding $82.3 million of remaining future funding commitments. Most loans were in a period of transition with plans to stabilize and improve asset value. The collateral pool for the transaction is static with no ramp-up period or reinvestment period; however, the Issuer can acquire funded loan participation interests into the trust subject to stated criteria. The Permitted Funded Companion Participation Acquisition Period ends with the June 2024 Payment Date. As of the July 2023 remittance, the pool comprises 21 loans secured by 70 properties with a cumulative trust balance of $650.4 million. The balance of the Permitted Funded Companion Participation Acquisition Account is $58.6 million. Since issuance, four loans with a former cumulative trust balance of $134.3 million have been successfully repaid from the pool, resulting in collateral reduction of 5.5%. The transaction is concentrated by property type as 18 loans are secured by multifamily properties, totaling 86.1% of the current cumulative trust loan balance, while the remaining three loans secured by self-storage, student housing, and industrial properties, totaling 9.3% of the current cumulative trust loan balance. The loans are primarily secured by properties in suburban markets. Sixteen loans, representing 80.2% of the current cumulative trust loan balance, are secured by properties in suburban markets, as defined by DBRS Morningstar, with a DBRS Morningstar Market Rank of 3, 4, or 5. An additional four loans, representing 12.4% of the current cumulative trust loan balance, are secured by properties with a DBRS Morningstar Market Rank of 6 or 7, denoting an urban market, while one loan, representing 2.8% of the pool, is secured by a property with a DBRS Morningstar Market Rank of 2, denoting a tertiary market. In comparison, at issuance, properties in suburban markets represented 78.7% of the collateral, properties in urban markets represented 12.8% of the collateral, and properties tertiary markets represented 8.4% of the collateral. Leverage across the pool has also remained consistent from the pool as of July 2023 reporting as the current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 67.5%, with a current WA stabilized LTV of 63.0%. In comparison, these figures were 71.6% and 67.4%, respectively, at issuance. DBRS Morningstar recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. Through July 2023, the lender had advanced cumulative loan future funding of $29.4 million to 13 of the 19 remaining individual borrowers to aid in property stabilization efforts. The largest advance, $8.8 million, has been made to the borrower of the Renaissance Business Park loan, which is secured by a Class B industrial property totaling 360,458 square feet in Fort Pierce, Florida. Funds were advanced to the borrower to complete various capital expenditure items and fund leasing costs. As of the March 2023 rent roll, the property was 60.4% occupied, up from 50.9% at issuance. An additional $41.0 million of loan future funding allocated to all 19 individual borrowers remains available. The largest portion of available funds, $13.0 million, is allocated to the borrower of the Premier Apartments and 300 Riverside loan, which is secured by two adjoining multifamily properties totaling 500 units in Austell, Georgia. The loan future funding is available to the borrower to fund interior and exterior upgrades across both properties. As of the July 2023 remittance, there are no delinquent or specially serviced loans; however, there are 10 loans on the servicer's watchlist, representing 33.5% of the current trust balance. The loans have been flagged for a variety of reasons including upcoming maturity dates and low occupancy rates or cash flow, which may or may not have resulted in cash flow sweeps being initiated. The largest loan on the servicer's watchlist, Trail Run Apartments, is secured by a 312-unit multifamily property in Vernon, Connecticut. The loan is currently on the servicer's watchlist for the July 2023 maturity date; however, according to servicer commentary, the borrower will exercise the first of two six-month extension options as it continues to season operations prior to completing its business plan to secure agency take-out financing. As of YE2022, the property was 92.3% occupied. Notes: All figures are in U.S. dollars unless otherwise noted. REALT 2015-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-1 issued by Real Estate Asset Liquidity Trust (REALT) Series 2015-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class X at AA (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which remains in line with DBRS Morningstar's expectations since its last review with no changes to the pool composition. There remain no delinquent or specially serviced loans, with five loans, representing 20.6% of the pool, on the servicer's watchlist exhibiting generally consistent to improved performance. All of the loans on the servicer's watchlist, excluding the U-Haul SAC 3 Portfolio, which is shadow-rated investment-grade, have some level of meaningful recourse. Per the July 2023 reporting, 32 of the original 46 loans remain in the pool with an aggregate principal balance of $205.1 million, representing a collateral reduction of 38.8% since issuance as a result of loan amortization and loan repayment. Additionally, one loan, representing 11.2% of the current pool balance, is fully defeased. By property type, the pool is most heavily concentrated in loans secured by retail, lodging, and industrial properties, representing 30.9%, 21.5%, and 14.6% of the current pool, respectively. The largest loan on the watchlist and in the deal, Alta Vista Manor Retirement Ottawa (Prospectus ID#1, 11.4% of the pool), is secured by a 174-unit luxury senior housing retirement residence in Ottawa. The property comprises a mix of independent-living and assisted-living units located near the Ottawa Hospital. The loan has been on the servicer's watchlist since May 2018 as a result of declining revenue and a low debt service coverage ratio (DSCR). Given the challenging market conditions for senior housing in Ottawa in general, which were further exacerbated by the effects of the Coronavirus Disease (COVID-19) pandemic, the property has experienced a steady decline in occupancy levels and a significant increases in expenses. As of the YE2021 financials (the most recent reporting available), the loan reported a negative net cash flow (NCF), reflecting an operating expense ratio of 105.0%, well above the Issuer's underwritten figure of 66.0% at issuance. According to the December 2022 rent roll, property occupancy remained subdued at 68.2% from the pre-pandemic figure of 77.3% in December 2019 and 88.0% at issuance. In addition, the property reported an average rental rate of $3,191 per unit, well below the average rental rate of $4,270 per unit at issuance. According to Cushman & Wakefield's 2023 Senior Housing Overview, properties in the Ottawa market reported a median vacancy rate of 29% and median rental rate of $4,581 per unit as of YE2022, respectively, compared with the figures from YE2019 of 17.8% and $4,471 per unit, respectively. On the upside, 19 new tenants have signed leases at the property within the last 12 months. The loan has full recourse to Regal Lifestyle Communities, which was purchased by Welltower (formerly known as Health Care REIT Inc.) and Revera, Inc. The second-largest loan on the servicer's watchlist, Hilton Mississauga Meadowvale (Prospectus ID#7, 5.3% of the pool) is secured by a 374-key full-service hotel in the Meadowvale Business Park in Mississauga, Ontario. The trust loan is a pari passu participation in a $27.0 million whole loan, which is split into two notes held in the subject transaction and in IMSCI 2016-7 (also rated by DRBS Morningstar). The loan was added to the servicer's watchlist in September 2020 stemming from significant performance declines as a result of the pandemic. At issuance, demand segmentation was 49% meeting and group, largely driven by conferences held at the property, given its 46,518 square feet of meeting space. Given the halt in demand, the borrower requested and was granted short-term relief in 2020. The loan has remained current since April 2021. Property financials show a significant decline in the DSCR from 3.74x in 2019 to well below breakeven as of YE2021, however, NCF has shown improvement from YE2020, increasing by approximately $1.3 million year-over-year. In addition, performance metrics have rebounded, nearly in line with pre-pandemic figures. Per the May 2023 STR report, the property reported T-12 occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures of 73.9% (+91.3% year-over-year (YoY) growth), $188 (+30.2% YoY growth), and $139 (+149.1% YoY growth), respectively, reflecting a RevPAR penetration rate of 104.9%. In October 2019, the property reported comparable T-12 figures of 74.6%, $165, and $123, respectively. The sponsor, Manjis Holdings, is a real estate investment group with interests in Hilton Toronto and senior living company Amica Mature Lifestyles. The sponsorship group provides partial recourse of $10 million. At issuance, DBRS Morningstar shadow-rated the U-Haul SAC 3 Portfolio loan as investment grade. The loan is secured by a portfolio of 10 individual loans backed by self-storage properties across Ontario. With this review, DBRS Morningstar has confirmed that the performance of the loan remains consistent with investment-grade loan characteristics. Notes: All figures are in Canadian dollars unless otherwise noted. SIGNAL PEAK 2: S&P Affirms B+ (sf) Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings raised its ratings on the class B-R2, C-R2, and D-R2 notes from Signal Peak CLO 2 LLC. S&P also removed these ratings from CreditWatch, where it placed them with positive implications in June 2023. At the same time, S&P affirmed its ratings on the class A-R2 and E-R notes from the same transaction. Today's rating actions follow our review of the transaction's performance using data from the July 2023 trustee report and consider all rating actions and defaults on the underlying collateral that might have occurred subsequently. The transaction has paid down $172.90 million to the class A-R2 notes since S&P's August 2020 rating actions. Since the July 2020 trustee report, which it used for its previous rating actions, the reported overcollateralization (O/C) ratios have changed: -- The class A/B O/C ratio improved to 145.52% from 129.09%. -- The class C O/C ratio improved to 126.02% from 117.93%. -- The class D O/C ratio improved to 114.36% from 110.65%. -- The class E O/C ratio improved to 106.01% from 105.12%. -- In addition to improved O/C ratios, collateral obligations with ratings in the 'CCC' category have been reduced, with $23.9 million reported as of the July 2023 trustee report, compared with $44.7 million reported as of the July 2020 trustee report. Over the same period, the par amount of defaulted collateral has reduced to $4.3 million from $5.1 million. S&P said, "The upgrades reflect the improved credit support at the prior rating levels; the affirmation reflects our view that the credit support available is commensurate with the current rating level. "On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C-R2 and D-R2 notes. However, because the transaction currently has higher-than-average exposure to 'CCC' and 'D' rated collateral obligations, our rating actions reflect additional sensitivity runs that consider such exposures and offset future potential credit migration in the underlying collateral. Additionally, there are still substantial balances on the more senior notes that must be paid before proceeds are cascaded to the payment of the class C-R2 and D-R2 notes." Signal Peak CLO 2 LLC has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. S&P's cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, its cash flow analysis considered the same. S&P said, "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. In addition, our analysis 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 all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these 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 will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive Signal Peak CLO 2 LLC Class B-R2 to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C-R2 to 'AA (sf)' from 'A (sf)/Watch Pos' Class D-R2 to 'BBB+ (sf)' from 'BBB- (sf)/Watch Pos' Ratings Affirmed Signal Peak CLO 2 LLC Class A-R2: AAA (sf) Class E-R: B+ (sf) SOUND POINT XXI: Moody's Cuts Rating on $22.5MM Cl. D Notes to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Sound Point CLO XXI, Ltd.: US$55,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on Oct 10, 2018 Definitive Rating Assigned Aa2 (sf) Moody's has also downgraded the rating on the following notes: US$22,500,000 Class D Junior Secured Deferrable Floating Rate Notes due 2031, Downgraded to B1 (sf); previously on Aug 21, 2020 Confirmed at Ba3 (sf) Sound Point CLO XXI, Ltd., issued in October 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2023. RATINGS RATIONALE The upgrade rating action on the Class A-2 notes reflects the benefit of the short period of time remaining before the end of the deal's reinvestment period in October 2023. In light of the reinvestment restrictions during the amortization period, which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from a lower weighted average rating factor (WARF) compared to the covenant level. Moody's modeled a WARF of 2680 compared to its current covenant level of 2778. The downgrade rating action on the Class D notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's July 2023 report, the OC ratio for the Class D notes is reported at 105.13% [1] versus July 2022 trustee reported level of 106.45% [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: $483,493,089 Defaulted par: $2,931,993 Diversity Score: 81 Weighted Average Rating Factor (WARF): 2680 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.39% Weighted Average Recovery Rate (WARR): 46.92% Weighted Average Life (WAL): 4.14 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. TCW CLO 2023-2: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TCW CLO 2023-2 Ltd./TCW CLO 2023-2 LLC's fixed- and floating-rate debt. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by TCW Management Co. LLC. The preliminary ratings are based on information as of Aug. 24, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned TCW CLO 2023-2 Ltd. /TCW CLO 2023-2 LLC Class A-1, $208.00 million: AAA (sf) Class A-L, $48.00 million: AAA (sf) Class A-J, $8.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $18.50 million: BBB (sf) Class D-F (deferrable), $3.50 million: BBB (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $37.45 million: Not rated TRIMARAN CAVU 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Trimaran CAVU 2023-1 Ltd./Trimaran CAVU 2023-1 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trimaran Advisors LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Trimaran CAVU 2023-1 Ltd./Trimaran CAVU 2023-1 LLC Class A, $252.0 million: Not rated Class B, $52.0 million: AA (sf) Class C (deferrable), $22.6 million: A (sf) Class D (deferrable), $21.8 million: BBB- (sf) Class E (deferrable), $12.4 million: BB- (sf) Subordinated notes, $42.7 million: Not rated TRINITAS CLO XXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Trinitas CLO XXIII Ltd./Trinitas CLO XXIII LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital Management LLC. The preliminary ratings are based on information as of Aug. 22, 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 Trinitas CLO XXIII Ltd./Trinitas CLO XXIII LLC Class A, $310.000 million: AAA (sf) Class B-1, $59.500 million: AA (sf) Class B-2, $10.500 million: AA (sf) Class C (deferrable), $30.000 million: A (sf) Class D (deferrable), $28.750 million: BBB- (sf) Class E (deferrable), $15.000 million: BB- (sf) Subordinated notes, $44.485 million: Not rated TRUPS FINANCIALS 2023-1: Moody's Assigns (P)Ba3 Rating to D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to four classes of notes issued by TruPS Financials Note Securitization 2023-1 (the "Issuer" or "TFNS 2023-1"). Moody's rating action is as follows: US$84,000,000 Class A Senior Secured Floating Rate Notes due 2039 (the "Class A Notes"), Assigned (P)Aaa (sf) US$18,000,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039 (the "Class B Notes"), Assigned (P)Aa3 (sf) US$17,000,000 Class C Mezzanine Deferrable Floating Rate Notes due 2039 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$5,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2039 (the "Class D Notes"), Assigned (P)Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. TFNS 2023-1 is a static cash flow CDO. The issued notes will be collateralized primarily by a portfolio of trust preferred securities ("TruPS"), subordinated notes and surplus notes issued by US community banks and their holding companies and insurance companies. The portfolio is 100% ramped as of the closing date. EJF CDO Manager LLC (the "Manager"), an affiliate of EJF Capital LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, or certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities. In addition to the Rated Notes, the Issuer issued preferred shares. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of TruPS, subordinated debt and surplus notes issued by 24 US community banks and 4 insurance companies, the majority of which Moody's does not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q1-2023 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $150,850,000 Weighted Average Rating Factor (WARF): 993 Weighted Average Spread (WAS) Float Only: 3.20% Weighted Average Coupon (WAC) Fixed Only: 7.38% Weighted Average Coupon (WAC) Fixed to Float: 6.09% Weighted Average Spread (WAS) Fixed to Float: 3.38% Weighted Average Life (WAL): 7.41 In addition to the quantitative factors that Moody's explicitly models, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. UBS-BAMLL 2012-WRM: S&P Affirms CCC (sf) Rating on Class X-B Notes ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from UBS-BAMLL Trust 2012-WRM, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on five other classes from the transaction. This U.S. CMBS transaction is backed by one remaining fixed-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple interest in a portion (616,591 sq. ft.) of Westfield MainPlace Mall, a 1.1 million-sq.-ft. regional mall in Santa Ana, Calif. Rating Actions The downgrades on the class B and C certificates, and the affirmations on the class D and E certificates at 'CCC (sf)', reflect our revised valuation of the remaining loan in the pool, Westfield MainPlace, which is lower than the valuation S&P derived in its last review in April 2022 due primarily to ongoing lower-than-expected net cash flow (NCF) at the property. The affirmation on the class A certificates accounts for the significant deleveraging of the pooled trust balance (66.3%) since our last review, the low debt per sq. ft. (about $15 per sq. ft.), and its senior position in the payment waterfall. The servicer reported that NCF at the property further decreased 30.7% to $6.8 million in 2021 after falling 32.0% to $9.8 million in 2020 from $14.4 million in 2019. While NCF increased 41.5% to $9.6 million in 2022, it is still below the pre-COVID-19 pandemic levels. The year-to-date (YTD) NCF ending June 30, 2023, was $5.2 million. S&P attributes the decline in 2021 NCF primarily to lower base rent and expense reimbursements income; however, base rent income rebounded, leading to an increase in 2022 NCF. Additionally, occupancy at the collateral property is slightly down to 88.8% as of the Feb. 28, 2023, rent roll, from 90.2% as of the Dec. 31, 2021, rent roll. S&P said, "As a result of fluctuating NCFs and tenant movements at the property, we revised and lowered our long-term sustainable NCF to $8.0 million, 19.3% lower than our last review in April 2022, and 16.7% below the servicer-reported year-end 2022 NCF. Using an S&P Global Ratings capitalization rate of 9.75% (unchanged from our last review), we arrived at an S&P Global Ratings expected-case value of $81.9 million--a decline of 19.3% from our last review value of $101.6 million and 72.9% from the appraised value of $302.0 million as of April 2022. This yielded an S&P Global Ratings loan-to-value ratio of 170.8% on the loan balance." S&P said, "Specifically, the affirmations on the class D and E certificates at 'CCC (sf)' reflect our view that these classes continue to be more susceptible to reduced liquidity support, and the risk of default and loss remains elevated based on our revised lower expected-case value and current market conditions. "The model-indicated rating was higher for class A due to this class's balance being reduced by 96.8% to $9.0 million after the $275.0 million Westfield Galleria at Roseville loan was paid in full in June 2022. However, we affirmed our 'AA (sf)' rating on the class A certificates because we considered the borrower failed to repay the remaining loan at its original June 2022 maturity and its subsequent extended June 2023 maturity. The loan was transferred to the special servicer earlier this year due to imminent maturity default and was subsequently modified and extended to June 2024. We also considered that although the servicer-reported debt service coverage (DSC) was 1.72x for the YTD ending June 30, 2023, and 1.59x as of year-end 2022, the existing mortgage interest rate of 4.245% is well below prevailing rates for retail properties and DSC considerations may continue to constrain the borrower's ability to refinance this loan at its current extended maturity in June 2024. "We will continue to monitor the performance of the property and the market conditions, and, if we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions, as we deem necessary. "The affirmations on the class X-A and X-B IO certificates reflect our criteria for rating IO securities. Under our criteria, the ratings on the IO securities would not be higher than the lowest-rated referenced class. The notional amount of class X-A references class A, while class X-B references classes B, C, D, and E." Property-Level Analysis Westfield MainPlace Mall is a three-story enclosed 1.1 million-sq.-ft. regional mall in Santa Ana, Calif., built in phases in 1954, 1987, and 1991, and renovated in 2008, of which 616,591 sq. ft. serves as collateral for the loan. The property is in Orange County, about 30 miles southeast of Los Angeles. Non-collateral anchors at the property include Macy's (225,000 sq. ft.), 24 Hour Fitness (42,205 sq. ft.), Round One Entertainment (38,618 sq. ft.), and Ashley Furniture (33,609 sq. ft.), which backfilled a Macy's Men & Home Furnishings that vacated in 2012. The collateral anchor is J.C. Penney (145,040 sq. ft.). As previously mentioned, while NCF and occupancy have rebounded in 2022, they are still significantly below pre-COVID-19 levels. According to the Feb. 28, 2023, rent roll, the collateral property was 88.9% occupied and the five largest tenants comprise 38.7% of collateral net rentable area (NRA) and include: -- J.C. Penney (23.5% of NRA; 4.3% of gross rent as calculated by S&P Global Ratings; March 2027 lease expiration). -- Picture Show (6.9%; 2.3%; January 2024). -- H&M (3.2; 0.2%; January 2028). The tenant's base rent is currently deferred due to a co-tenancy clause. -- American Ninja Warrior Adventure Park (2.8; 2.3%; June 2032). -- Forever 21 (2.2%; 0.3%; month-to-month). The tenant currently pays a percentage in lieu. The property's near-term rollover schedule includes 11.3% of collateral NRA (10.3% of S&P Global Ratings' in-place gross rent) rolling in 2023, 32.5% (27.4%) in 2024, and 8.2% (10.8%) in 2025. According to the tenant sales report as of February 2022, in-line tenant sales and occupancy costs were $424 per sq. ft. and 12.8%, respectively, as calculated by S&P Global Ratings. S&P said, "Our current analysis considered tenant bankruptcies and store closures and excluded income from tenants that are no longer listed on the mall directory or that have announced store closures, which resulted in our assumed collateral occupancy rate of 80.8%. We assumed a $22.13 per sq. ft. base rent, a $34.03 per sq. ft. gross rent, and a 62.5% operating expense ratio to arrive at our NCF of $8.0 million." Transaction Summary As of the Aug. 11, 2023, trustee remittance report, the transaction consists of one loan with a trust balance of $140.0 million, down from two loans with a trust balance of $415.0 million at issuance. To date, the trust has not experienced any principal losses. The remaining loan, Westfield MainPlace, has an initial and current trust balance of $140.0 million, is IO, pays a fixed interest rate of 4.245% and initially matured on June 1, 2022. The loan initially transferred to special servicing on April 25, 2022, for imminent maturity default. Effective June 1, 2022, the loan was modified, and the maturity date was extended to Dec. 1, 2022, with an option to further extend the loan's maturity date to June 1, 2023. The loan returned to the master servicer, KeyBank Real Estate Capital (KeyBank), on Sept. 26, 2022. As S&P previously discussed, the loan was transferred back to the special servicer on Feb. 28, 2023, due to imminent maturity default. The borrower requested a one-year extension and a partial release of a non-income-generating parcel, which would be used for an additional multifamily development. According to the special servicer, also KeyBank, the loan was modified, and the maturity date was extended by another year to June 1, 2024. The loan returned to the master servicer on July 31, 2023. The loan has a reported current payment status through its August 2023 debt service payment date. There is $139,299 in other expense advances outstanding; however, according to the August 2023 loan level reserve report, $7.7 million is held in various lender-controlled reserve accounts. Ratings Lowered UBS-BAMLL Trust 2012-WRM Class B to 'BBB+ (sf) ' from 'A- (sf)' Class C to 'B+ (sf)' from 'BB (sf)' Ratings Affirmed UBS-BAMLL Trust 2012-WRM Class A: AA (sf) Class D: CCC (sf) Class E: CCC (sf) Class X-A: AA (sf) Class X-B: CCC (sf) VELOCITY COMMERCIAL 2023-3: DBRS Finalizes B Rating on 2 Classes ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Certificates, Series 2023-3 issued by Velocity Commercial Capital Loan Trust 2023-3 (VCC 2023-3 or the Issuer) as follows: -- $155.0 million Class A at AAA (sf) -- $14.6 million Class M-1 at AA (low) (sf) -- $12.6 million Class M-2 at A (low) (sf) -- $17.8 million Class M-3 at BBB (sf) -- $34.6 million Class M-4 at BB (sf) -- $19.5 million Class M-5 at B (sf) -- $155.0 million Class A-S at AAA (sf) -- $155.0 million Class A-IO at AAA (sf) -- $14.6 million Class M1-A at AA (low) (sf) -- $14.6 million Class M1-IO at AA (low) (sf) -- $12.6 million Class M2-A at A (low) (sf) -- $12.6 million Class M2-IO at A (low) (sf) -- $17.8 million Class M3-A at BBB (sf) -- $17.8 million Class M3-IO at BBB (sf) -- $34.6 million Class M4-A at BB (sf) -- $34.6 million Class M4-IO at BB (sf) -- $19.5 million Class M5-A at B (sf) -- $19.5 million Class M5-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect 41.15% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 35.60%, 30.80%, 24.05%, 10.90% and 3.50% of CE, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. VCC 2023-3 is a securitization of a portfolio of newly originated and seasoned fixed and adjustable rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial (SBC) mortgages collateralized by various types of commercial, multifamily rental, and mixed-use properties. The securitization is funded by the issuance of the Certificates. The Certificates are backed by 774 mortgage loans with a total principal balance of $263,458,813 as of the Cut-Off Date (July 1, 2023). Approximately 65.9% of the pool comprises residential investor loans and about 34.1% of SBC loans. All loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC). The loans were underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (No Ratio). The lender reviews mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio in underwriting SBC loans with balances more than $750,000 for purchase transactions and more than $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation will service all loans within the pool for a servicing fee of 0.30% per annum. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) will act as the Custodian. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by DBRS Morningstar) will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class P and Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS Certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each Class's target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each Class's target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential-pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over a life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net weighted-average coupon shortfalls (Net WAC Rate Carryover Amounts). COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY The collateral for the SBC portion of the pool consists of 223 individual loans secured by 223 commercial and multifamily properties with an average cut-off date loan balance of $402,514. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, DBRS Morningstar applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The CMBS loans have a weighted-average (WA) fixed interest rate of 12.0%. This is approximately 60 basis points (bps) higher than the VCC 2023-2 transaction; 150 bps higher than the VCC 2023-1 transaction; 270 bps higher than the VCC 2022-5 transaction; and more than 370 bps higher than the interest rates of VCC 2022-5, VCC 2022-4, and VCC 2022-3 transactions, highlighting the recent increase in interest rates. Most of the loans have original loan term lengths of 30 years and fully amortize over 30-year schedules. However, nine loans, which represent 14.9% of the SBC pool, have an initial IO period ranging from 60 months to 120 months. Most SBC loans were originated between December 2022 and June 2023 (81.9% of cut-off pool balance), with 54 loans originated between September 2014 and February 2016, resulting in a WA seasoning of 17.5 months. The SBC pool has a WA original term length of 342 months, or nearly 28.5 years. Based on the current loan amount, which reflects approximately 30 bps of amortization, and the current appraised values, the SBC pool has a WA loan-to-value (LTV) ratio of 64.1%. However, DBRS Morningstar made LTV adjustments to 23 loans that had an implied capitalization rate more than 200 bps lower than a set of minimal capitalization rates established by the DBRS Morningstar Market Rank. The DBRS Morningstar minimum capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher DBRS Morningstar LTV of 89.5%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for commercial mortgage-backed securities (CMBS) conduit pools. DBRS Morningstar's research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in DBRS Morningstar's "Rating North American CMBS Interest-Only Certificates" methodology, the most significant risk to an IO cash flow stream is term default risk. As DBRS Morningstar noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one-third of the total default rate), and the term default rate was approximately 11%. DBRS Morningstar recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table to derive a probability of default (POD) for a CMBS bond from its rating, DBRS Morningstar estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for DBRS Morningstar to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The DBRS Morningstar CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate. If the CMBS predictive model had an expectation of prepayments, DBRS Morningstar would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and DBRS Morningstar expects this pool will have prepayments over the remainder of the transaction. DBRS Morningstar applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects the DBRS Morningstar opinion that in a rising interest rate environment fewer borrowers may elect to pre-pay their loan. As a result of higher interest rates and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, loans comprising more than 80.0% of the deal have less than a 1.0 times Issuer net operating income debt service coverage ratio, which is a larger composition than previous VCC transactions in 2022. Additionally, although the DBRS Morningstar CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score for the SBC loans of 717 is higher than prior transactions. With regard to the aforementioned concerns, DBRS Morningstar applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date loan balance of $402,514, a concentration profile equivalent to that of a transaction with 128 equal-size loans, and a top-10 loan concentration of 16.9%. Increased pool diversity helps to insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial), with no exposure to higher-volatility property types, such as hotels or other lodging facilities. All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. As classified by DBRS Morningstar for modeling purposes, the SBC pool contains a significant exposure to retail (32.6% of the SBC pool) and office (14.5% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent 47.1% of the SBC pool balance. Retail, which has struggled because of the Coronavirus Disease (COVID-19) pandemic, is the third-largest asset type in the transaction. DBRS Morningstar applied a 20.0% reduction to the net cash flow (NCF) for retail properties and a 30.0% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. DBRS Morningstar did not perform site inspections on loans within its sample for this transaction. Instead, DBRS Morningstar relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans in the DBRS Morningstar sample, 15 were Average quality (23.8%), 48 were Average - (56.3%), and 15 were Below Average (18.1%). DBRS Morningstar assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by DBRS Morningstar. Limited property-level information was available for DBRS Morningstar to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. DBRS Morningstar received and reviewed appraisals for the top 20 loans, which represent 27.7% of the SBC pool balance. These appraisals were issued between August 2015 and June 2023 when the respective loans were originated. DBRS Morningstar was able to perform a loan-level cash flow analysis on the top 20 loans. The NCF haircuts for the top 20 loans ranged from -8.1% to -100%, with an average of -13.2%. ESA reports were neither provided nor required by the Issuer; however, all of the loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss information or earthquake insurance requirements are provided. Therefore, a loss given default penalty was applied to all properties in California to mitigate this potential risk. DBRS Morningstar received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 12.0%, which is indicative of the broader increased interest rate environment and represents a large increase over previous VCC deals. DBRS Morningstar generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by DBRS Morningstar. Furthermore, DBRS Morningstar received a 12-month pay history on each loan as of May 31, 2023. If any loan has more than two late pays within this period or was currently 30 days past due, DBRS Morningstar applied an additional stress to the default rate. This occurred for 27 loans, representing 8.1% of the SBC pool. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 551 mortgage loans with a total balance of approximately $173.7 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to No Ratio program guidelines for business-purpose loans. The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economics, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update," published June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. VISIO 2023-2: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Visio 2023-2 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by investor-only, business-purpose, first-lien, fixed- and adjustable-rate residential mortgage loans secured by single-family residences, planned unit developments, condominiums, and two- to four-family residential properties to both prime and non-prime borrowers. The pool has 713 loans that are exempt from ability-to-repay rules. The preliminary ratings are based on information as of Aug. 21, 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, geographic concentration, and representation and warranty framework; -- The mortgage originator, Visio Financial Services Inc.; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "Per our latest macroeconomic update, we 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 2023, 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. As a result, we continue to maintain the revised outlook per the April 2020 update to the guidance to our RMBS criteria (which increased the archetypal 'B' projected foreclosure frequency to 3.25% from 2.50%)." Preliminary Ratings Assigned Visio 2023-2 Trust Class A-1(i), $117,644,000: AAA (sf) Class A-2(i), $16,191,000: AA (sf) Class A-3(i), $20,693,000: A (sf) Class M-1(i), $11,592,000: BBB (sf) Class B-1(i), $11,688,000: BB- (sf) Class B-2(i), $6,994,000: B- (sf) Class B-3(i), $6,802,180: Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The offered notes. (ii)The class XS notes will have a notional amount equal to the aggregate unpaid principal balance of the mortgage loans as of the first day of the related collection period. In addition, the class XS notes will have a note amount with respect to any determination date equal to the excess if any of the unpaid principal balance over the aggregate note amount of the class A, M-1, and B notes as of such determination date as reduced by any applied realized loss amounts allocated to the notes on all prior payment dates. WARWICK CAPITAL 1: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Warwick Capital CLO 1 Ltd./Warwick Capital CLO 1 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Warwick, a subsidiary of Warwick Capital Partners. The preliminary ratings are based on information as of Aug. 24, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Warwick Capital CLO 1 Ltd./Warwick Capital CLO 1 LLC Class A, $244.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $22.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $38.00 million: Not rated WELLS FARGO 2016-C34: Fitch Hikes Class D Certs Rating to CCCsf --------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2016-C34 (WFCM 2016-C34) commercial mortgage pass-through certificates issued by Wells Fargo Bank N.A. A Stable Outlook was assigned to class D following the upgrade. The under criteria observation (UCO) has been resolved. DEBT RATING PRIOR ---- ------ ----- WFCM 2016-C34 A-2 95000DBB6 LT AAAsf Affirmed AAAsf A-3 95000DBC4 LT AAAsf Affirmed AAAsf A-3FL 95000DAG6 LT AAAsf Affirmed AAAsf A-3FX 95000DAJ0 LT AAAsf Affirmed AAAsf A-4 95000DBD2 LT AAAsf Affirmed AAAsf A-S 95000DBF7 LT AAAsf Affirmed AAAsf A-SB 95000DBE0 LT AAAsf Affirmed AAAsf B 95000DBJ9 LT Asf Affirmed Asf C 95000DBK6 LT BBB-sf Affirmed BBB-sf D 95000DAL5 LT B-sf Upgrade CCCsf E 95000DAN1 LT CCsf Affirmed CCsf F 95000DAQ4 LT CCsf Affirmed CCsf X-A 95000DBG5 LT AAAsf Affirmed AAAsf X-B 95000DBH3 LT Asf Affirmed Asf X-E 95000DAA9 LT CCsf Affirmed CCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The upgrade of class D reflects better than expected recoveries from the disposition of the two specially serviced assets, 200 Precision & 425 Privet Portfolio and Shoppes at Alafaya assets in 2022, as well as the impact of the updated criteria and overall stable pool performance since Fitch's last rating action. Fitch identified 12 Fitch Loans of Concern (FLOCs; 30.8% of pool), including four specially serviced loans (17.5%). Fitch's current ratings incorporate a 'Bsf' rating case loss of 8.1%. Fitch's analysis included an additional sensitivity scenario to test the viability of the upgrade on class D. This sensitivity scenario, which reflects a 'Bsf' sensitivity case loss of 10.3%, factors in a higher probability of default on eight retail FLOCs (12.5%) with significant upcoming tenant rollover, low debt service coverage ratio (DSCR), declining occupancy and/or refinance concerns, including Embassy Plaza (3%), Matrix Portfolio (2.8%), Perrysburg Market Center (2.3%), Ward's Crossing (2%), Marketplace at Signal Butte (1%), Ingram Heights Shopping Center (0.6%), Maple Place Shopping Center (0.4%) and Plaza Center I&II (0.3%). Specially Serviced Loans/Largest Contributors to Loss: The largest contributor to expected loss is the specially serviced Regent Portfolio (11.8%) asset, which was originally secured by 13 medical office buildings totaling 352,000-sf mostly located throughout New Jersey (12 properties), with one each in New York and Florida. The loan transferred to the special servicer in June 2019 for delinquent payments. Approximately 50% of the portfolio at issuance was leased directly to the sponsor or an affiliate of the sponsor. The borrower attempted to sell the individual assets, but has only sold one of the properties to date, with sale proceeds being held by the special servicer. The borrower filed for Chapter 11 bankruptcy in February 2020 with a consensual bankruptcy plan filed in February 2022. Under the plan, the borrower was required to pay off the loan by January 2023 which did not occur. The remaining 12 properties became REO in January 2023 and the special servicer continues to establish a viable workout strategy for the assets. Fitch's 'Bsf' rating case loss of 36% incorporates a stressed valuation based on the net proceeds received from the asset sale, plus a conservative stress on 2022 valuations of the 12 remaining assets to address the expected prolonged workout and anticipated increase in loan exposure and special servicing fees/expenses. The second largest contributor to expected loss is the specially serviced Cypress Medical Plaza loan (1.3%), which is secured by a 46,380-sf multi-tenant medical office building located in Cypress, TX, approximately 20 miles northwest of Houston. The loan transferred to the special servicer in April 2020 for imminent monetary default. The asset became REO in June 2021 and is currently not listed for sale. Both cashflow and occupancy remain depressed; as of YE 2022, the NOI DSCR was 0.51x with a 67% occupancy, compared with 0.96x and 49% at YE 2021 and 1.44x and 96% at YE 2019. Fitch's 'Bsf' rating case loss of 43% incorporates a conservative stress on an April 2023 valuation, reflecting a stressed value of $155 psf. Increased Credit Enhancement: As of the July 2023 distribution date, the pool's aggregate principal balance has been reduced by 19.7% to $564 million from $703 million at issuance. The pool has realized $5.4 million (0.77% of original pool balance) in losses to date. Two loans (11.1% of pool) are full-term, IO. Twelve loans (8.1%) have been defeased, up from six loans (4.5%) at the prior rating action. High Retail Concentration: There are 29 retail loans (41.3%), followed by five hotel loans (17.8%) and three office loans/assets (13.4%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes are not considered likely due to increasing CE and expected continued amortization and paydowns, but could occur if interest shortfalls affect these classes. Downgrades to 'Asf' and 'BBB-sf' rated classes may occur should expected losses for the pool increase substantially and with outsized losses on larger FLOCs. Downgrades to the 'B-sf' rated class may occur if FLOCs fail to stabilize and/or additional loans transfer to special servicing. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'Asf' and 'BBB-sf' rated classes may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse. Upgrades to 'B-sf' rated class would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to distressed ratings are possible with significantly higher recovery expectations on the FLOCs. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] DBRS Reviews 806 Classes From 24 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 806 classes from 24 U.S. residential mortgage-backed securities (RMBS) transactions. The 24 transactions are generally classified as prime jumbo, non-QM, and re-performing transactions. Of the 806 classes reviewed, DBRS Morningstar upgraded 53 ratings, confirmed 750 ratings, and discontinued three ratings. The Affected Ratings are available at https://bit.ly/45BcrHI The Issuers involved are: OBX 2021-J3 Trust GCAT 2022-NQM4 Trust Towd Point Mortgage Trust 2022-2 Eagle Re 2019-1 Ltd. CHNGE Mortgage Trust 2022-NQM1 J.P. Morgan Mortgage Trust 2021-11 Flagstar Mortgage Trust 2021-7 BRAVO Residential Funding Trust 2022-NQM3 Mello Mortgage Capital Acceptance 2021-INV2 J.P. Morgan Mortgage Trust 2021-12 Homeward Opportunities Fund Trust 2022-1 Wells Fargo Mortgage Backed Securities 2021-2 Trust J.P. Morgan Mortgage Trust 2020-LTV2 Citigroup Mortgage Loan Trust 2021-INV2 Freddie Mac STACR REMIC Trust 2022-HQA3 GS Mortgage-Backed Securities Trust 2021-PJ9 Mello Mortgage Capital Acceptance 2018-MTG1 GS Mortgage-Backed Securities Trust 2022-LTV2 GS Mortgage-Backed Securities Trust 2022-RPL4 WinWater Mortgage Loan Trust 2014-2 WinWater Mortgage Loan Trust 2015-1 WinWater Mortgage Loan Trust 2015-4 FirstKey Mortgage Trust 2015-1, Mortgage Pass-Through Certificates Connecticut Avenue Securities Trust 2022-R09 The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the full repayment of principal to bondholders. [*] S&P Takes Various Actions on 100 Classes From 34 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 100 ratings from 34 U.S. RMBS transactions issued between 2003 and 2007. The review yielded 37 upgrades, three downgrades, and 60 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/7m4q9 Analytical Considerations S&P incorporate various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; and -- Historical missed interest payments or interest shortfalls. -- Available subordination and/or overcollateralization; -- Expected duration; -- A small loan count; and -- The assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. In addition, most of these classes are receiving all of the principal payments or are next in the payment priority when the more senior class pays down. S&P said, "We raised our rating on class AV-3 from Terwin Mortgage Trust Series TMTS 2005-12ALT by five notches because its credit support increased to 95.97% in July 2023 from 71.21% during our last review. The rating was raised to 'A (sf)' from 'BB+ (sf)'. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. 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