/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230903.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, September 3, 2023, Vol. 27, No. 245 Headlines APIDOS CLO XLVI: Moody's Assigns B3 Rating to $500,000 Cl. F Notes APIDOS XLVI: Fitch Gives 'BB+sf' Rating on E Notes, Outlook Stable ARES LXVI: Fitch Gives Final 'BB-sf' Rating on Class E-R Notes ARTS DISTRICT: Bankruptcy Case Dismissed, Sale/Settlement Denied BARINGS CLO 2018-III: S&P Affirms B+(sf) Rating on Class E Notes BENEFIT STREET II: S&P Affirms B- (sf) Rating on Class D-R Notes BENEFIT STREET III: S&P Affirms B- (sf) Rating on Class D-R Notes CIFC FUNDING 2022-VI: Fitch Affirms BB- Rating on Cl. E Notes COMM 2017-PANW: Fitch Affirms BB Rating on Cl. E Certificates COREVEST AMERICAN 2022-P2: Fitch Affirms B-sf Rating on G Certs COREVEST AMERICAN 2023-P1: Fitch Puts 'B-(EXP)sf' Rating on G Certs CSAIL 2019-C17: Fitch Lowers Rating on Class F-RR Notes to B-sf DRYDEN 107: S&P Assigns BB- (sf) Rating on Class E Notes ETRADE RV 2004-1: S&P Raises Class D/E Notes Rating to 'CCC (sf)' EXETER AUTOMOBILE 2023-4: S&P Assigns 'BB-' Rating on Cl. E Notes FALCON 2019-1: Fitch Affirms CCC Rating on Series C Debt FRONTIER ISSUER 2023-1: Fitch Gives Final 'BB-sf' Rating on C Notes GREEN ACRES: Plan Provides Adequate Payment Structure, Court Says HALCYON LOAN 2013-2: Moody's Cuts Rating on $26.75MM D Notes to Ca HALSEYPOINT CLO 6: Fitch Affirms BB- Rating on Class E Notes HERTZ VEHICLE III: Moody's Gives Ba2 Rating to 2023-3 Cl. D Notes JP MORGAN 2023-DSC2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs JPMCC MORTGAGE 2019-BROOK: Fitch Affirms B- Rating on Class F Certs JPMDB COMMERCIAL 2017-C7: Fitch Affirms CCC Rating on F-RR Certs KVK CLO 2013-1: S&P Raises Class E-R Notes Rating to BB+ (sf) LONGFELLOW PLACE: S&P Affirms B- (sf) Rating on Class E-RR Notes LUNAR AIRCRAFT 2020-1: Fitch Hikes Rating on Cl. C Notes to 'BB-sf' MALLINCKRODT PLC: Davis Polk Advises Noteholders in Chapter 11 MALLINCKRODT PLC: Receives Court Approval for "First Day" Motions MAN US 2023-1: Fitch Gives 'BB-(EXP)sf' Rating on Class E Notes MAXUS ENERGY: PSE&G Not Allowed to Amend Proof of Claim MFA TRUST 2023-NQM3: Fitch Gives 'B(EXP)' Rating on Cl. B-2 Certs MORGAN STANLEY 2015-C25: Fitch Affirms B- Rating on Class F Debt MORGAN STANLEY 2019-PLND: Moody's Cuts Rating on Cl. D Certs to B1 NEW RESIDENTIAL 2016-1: Moody's Ups Rating on Cl. B-5 Certs to Ba3 NEWSTAR FAIRFIELD: Fitch Affirms BB- Rating on Cl. D-N Notes ONE LCM 26: S&P Lowers Class E Notes Rating to 'B+ (sf)' PIONEER AIRCRAFT: Fitch Affirms 'Bsf' Rating on Series B Notes PRKCM 2023-AFC3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes RR 23 LTD: Fitch Gives Final 'BBsf' Rating on Class D-R Notes RR LTD 23: Moody's Assigns B3 Rating to $850,000 Class E-R Notes SEQUOIA MORTGAGE 2023-3: Fitch Gives Final BBsf Rating on B-4 Certs TRANSCARE CORP: 2d Cir. Affirms $38-Million Judgment vs. Tilton TRY THE WORLD: Urthbox Motion for Default Judgment Denied VENTURE CLO 48: Moody's Assigns (P)Ba3 Rating to $14MM Cl. E Notes VESTTOO LTD: MBL Appointed to Statutory Creditors Committee WELLS FARGO 2017-C41: Fitch Lowers Rating on Cl. F-RR Certs to B+sf WELLS FARGO 2018-C46: Fitch Lowers Rating on F-RR Certs to B-sf WFRBS COMMERCIAL 2011-C5: Moody's Cuts Rating on X-B Certs to Caa3 WIND RIVER 2013-1: S&P Affirms 'B+ (sf)' Rating on Class D-R Notes WVSV HOLDINGS: 9th Cir. Affirms Dismissal of WICP Claim vs. 10K LLC [*] Fitch Affirms 144 Classes from 14 US CMBS 2015 Conduit Deals [*] S&P Takes Various Actions on 78 ratings from 13 U.S. RMBS Deals ********* APIDOS CLO XLVI: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of notes issued by Apidos CLO XLVI Ltd (the "Issuer" or "Apidos XLVI"). Moody's rating action is as follows: US$307,500,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2036, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos XLVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. The portfolio is approximately 85% ramped as of the closing date. CVC Credit Partners, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3261 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. APIDOS XLVI: Fitch Gives 'BB+sf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XLVI Ltd. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XLVI Ltd A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf The final ratings on class E notes differ from the expected ratings published on July 5, 2023. Following the updated cost of funding for liabilities and final portfolio analysis, the class E notes are deemed to be robust to assign a 'BB+sf' rating. These notes can withstand a default rate of 37.5% versus the 'BB+sf' default stress of 37.10% assuming 73.05% recovery given default, assuming a portfolio of 95% floating rate and 5% fixed rate assets and can withstand a default rate of 40.0% when assuming the portfolio is 100% floating rate assets. Additionally, the performance of class E notes is in line with other Fitch-rated CLO notes in the 'BB+sf' category. TRANSACTION SUMMARY Apidos CLO XLVI LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500.00 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B'/'B-' rating category denote a highly speculative credit quality; however, the class notes benefit from credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.9% first lien senior secured loans and has a weighted average recovery assumption of 75.2%. Fitch Ratings stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may constitute up to 40.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other U.S. CLOs'. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls, and assess the effectiveness of various structural features of the transaction. In its stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between 'less than B-sf' and 'BB+sf' for class D, and between 'less than B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1, A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. DATA ADEQUACY A majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis, according to its applicable rating methodologies, indicates that it is adequately reliable. ARES LXVI: Fitch Gives Final 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the Ares LXVI CLO Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Ares LXVI CLO Ltd. A-R LT NRsf New Rating B 04019RAG6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 04019RAL5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 04019RAN1 LT PIFsf Paid In Full BBB+sf D-2 04019RAS0 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 04019TAA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating TRANSACTION SUMMARY Ares LXVI CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. The transaction originally closed in August 2022. The CLO's secured notes will be refinanced in whole on Aug. 23, 2023 (the reset date) from proceeds of new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.35, versus a maximum covenant, in accordance with the initial expected matrix point of 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 95.03% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.88% versus a minimum covenant, in accordance with the initial expected matrix point of 71.80%. 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 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 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'A+sf' for class C-R, 'A-sf' for class D-R, and 'BBBsf' for class E-R. DATA ADEQUACY A majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied on for its rating analysis, according to its applicable rating methodologies, indicates that it is adequately reliable. ARTS DISTRICT: Bankruptcy Case Dismissed, Sale/Settlement Denied ---------------------------------------------------------------- Bankruptcy Judge Ernest M. Robles for the Central District of California grants the motion to dismiss filed by the U.S. Trustee in the bankruptcy case captioned as In re: Arts District Patients Collective, Inc., Chapter: 11 (Subchapter V), Debtor, Case No. 2:23-bk-10604-ER, (Bankr. C.D. Cal.). On June 14, 2023, the Court conducted a Subchapter V Status Conference, to determine whether it would be feasible for the Debtor to seek confirmation of the Plan prior to the resolution of disputes with Swamp Capital, LLC. The Debtor disputes Swamp Capital's claim of a 50% interest in the Debtor. The Debtor contends that 100% of the Debtor's shares are held by James Shaw. The Debtor also disputes the validity of Claim No. 6, a secured claim in the amount of approximately $4.4 million asserted by Swamp Capital. The Debtor holds an interest in applications for licenses with the City of Los Angeles Department of Cannabis Regulation. At the Status Conference, the Debtor represented that it was attempting to settle its disputes with Swamp Capital. The contemplated settlement would involve the sale of the License Applications to Swamp Capital. On the other hand, the U.S. Trustee stated that if the Debtor attempted to sell or otherwise monetize the License Applications, he intended to seek dismissal of the case. The U.S. Trustee argues that dismissal is warranted because (1) the Debtor has failed to provide any explanation or documents supporting the value or marketability of the License Applications that it claims are crucial to funding the Plan and (2) the License Applications cannot be sold through the bankruptcy process, as any such sale would improperly involve the Court in activities violating federal drug laws. The Court need not, and does not, reach the issue of whether the Debtor's ownership of cannabis-related assets constitutes a separate and independent ground requiring dismissal. The Court determines that the Debtor's failure to provide information regarding the License Applications and the absence of a likelihood of rehabilitation are, standing alone, more than sufficient grounds to dismiss the case. In view of the dismissal of the case, the Sale/Settlement Motion is denied as moot. A full-text copy of the MEMORANDUM OF DECISION dated August 28, 2023, is available https://tinyurl.com/592yz3sp from Leagle.com. About Arts District Patients Collective Arts District Patients Collective, Inc., d/b/a Arts District Healing Center, filed its voluntary petition for relief under Chapter 11 of the Bankruptcy Code (Bankr. C.D. Cal. Case No. 23-10604) on Feb. 2, 2023. The petition was signed by James Shaw as chief executive officer. At the time of filing, the Debtor estimated $10 million to $50 million in assets and $1 million to $10 million in liabilities. Judge Ernest M. Robles presides over the case. Reed Olmstead, Esq., at the LAW OFFICES OF REED H. OLMSTEAD, represents the Debtor as counsel. BARINGS CLO 2018-III: S&P Affirms B+(sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1, B-2-R, and C notes from Barings CLO Ltd. 2018-III and removed these ratings from CreditWatch, where S&P placed them with positive implications in June 2023. At the same time, S&P lowered its rating on the class F notes and removed the rating from CreditWatch, where S&P placed it with negative implications in June 2023. S&P also affirmed its ratings on the class A-1, D, and E notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the July 2023 trustee report. 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 principal paydowns increased the senior credit support, while at the same time an increase in defaults and a decline in credit quality decreased the junior credit support. The transaction has seen approximately $263 million in paydowns to the class A-1 notes since our November 2021 rating actions. The following are the changes in the reported overcollateralization (O/C) ratios since the September 2021 trustee report, which we used for our previous rating actions: -- The class A/B O/C ratio improved to 147.49% from 128.39 %. -- The class C O/C ratio improved to 128.61% from 118.97 %. -- The class D O/C ratio improved to 113.48% from 110.52 %. -- The class E O/C ratio stayed roughly the same at 106.00% -- While the senior O/C ratios increased due to the lower balances of the senior notes, the junior O/C ratio stayed roughly the same, since the benefit of senior paydown was offset by an increase in the portfolio's exposure to 'CCC'-level and defaulted assets. The collateral portfolio's credit quality has slightly deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have decreased in amount, with $32.87 million reported as of the July 2023 trustee report, compared with $44.64 million reported as of the September 2021 trustee report; however, as a percentage of the total performing assets, they have increased to 7.8% from 6.6%. This increase resulted in the failure of the corresponding concentration limitation test. Over the same period, the par amount of defaulted collateral has increased to $9.65 million from zero. The rating 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 C and D notes. S&P said, "However, because the transaction currently has an increased exposure to 'CCC'-rated collateral obligations, and has defaulted assets, our rating actions reflect additional sensitivity runs that considered the CLO's exposure to such lower quality assets and distressed prices we noticed in the portfolio. Thus, we limited the upgrade on class C notes and affirmed rather than upgraded the class D notes to offset future potential credit migration in the underlying collateral. "The class F notes do not pass our cash flow analysis, on a standalone basis, at a 'B-' rating level. 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 lead us to consider an upgrade on this class in the future. "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." Barings CLO Ltd. 2018-III 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, S&P's cash flow analysis considered the same. Ratings Raised And Removed From CreditWatch Barings CLO Ltd. 2018-III Class B-1 to 'AAA(sf)' from 'AA(sf)/Watch Pos' Class B-2-R to 'AAA(sf)' from 'AA(sf)/Watch Pos' Class C to 'AA(sf)' from 'A(sf)/Watch Pos' Rating Lowered And Removed From CreditWatch Barings CLO Ltd. 2018-III Class F to 'CCC+(sf)' from 'B-(sf)/Watch Neg' Ratings Affirmed Barings CLO Ltd. 2018-III Class A-1: AAA(sf) Class D: BBB-(sf) Class E: B+(sf) Other Outstanding Class Barings CLO Ltd. 2018-III Class A-2: Not rated BENEFIT STREET II: S&P Affirms B- (sf) Rating on Class D-R Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2-R2 and B-R2 notes from Benefit Street Partners CLO II Ltd., a U.S. CLO transaction. 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-1-R2, C-R, and D-R notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the July 2023 trustee report. The transaction has paid down $163.66 million in collective paydowns to the class A-1-R2 notes since S&P's June 2022 rating actions. Since the May 2022 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 162.28% from 139.05%. -- The class B O/C ratio improved to 129.91% from 122.23%. -- The class C O/C ratio improved to 113.95% from 112.66%. -- The class D O/C ratio declined to 103.74% from 106.01%. The higher O/C ratios for the class A-2-R2, B-R2, and C-R notes indicate an increase in their credit support. While senior O/C ratios improved, the class D-R O/C ratio has declined but is still above its trigger. The decline in its O/C ratio is likely due to par losses in the portfolio and increase in haircuts following higher exposure to assets in the 'CCC' category since our last rating action. Collateral obligations with ratings in the 'CCC' category have increased, with $25.49 million (11.2%) reported as of the July 2023 trustee report, compared with $21.80 million (5.4%) million reported as of the May 2022 trustee report. However, despite the slightly larger concentrations in the 'CCC' category and par loss, the transaction's paydowns have offset their impact for the senior tranches. The upgrades reflect the improved credit support available to the class A-2-R2 and B-R2 notes at their prior rating levels. The affirmations reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the junior tranche may result in a ratings change. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B-R2 and C-R notes. S&P said, "However, our rating actions reflect the quality of the assets backing the tranches and additional sensitivity runs that we considered based on the transaction's current exposure to lower quality assets and to some assets that currently have a significantly lower market price than par." 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 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 will take rating actions as we deem necessary." Benefit Street Partners CLO II 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. 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 Benefit Street Partners CLO II Ltd. Class A-2-R2 to 'AAA (sf)' from 'AA+ (sf)/Watch Pos' Class B-R2 to 'AA (sf)' from 'A+ (sf)/Watch Pos' Ratings Affirmed Benefit Street Partners CLO II Ltd. Class A-1-R2: AAA (sf) Class C-R: BBB- (sf) Class D-R: B- (sf) BENEFIT STREET III: S&P Affirms B- (sf) Rating on Class D-R Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A2-R2 and B-R2 notes from Benefit Street Partners CLO III Ltd. 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 A1-R2, C-R and D-R from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the July 2023 trustee report. The transaction has paid down $151.55 million in collective paydowns to the class A1-R2 notes since our June 2022 rating actions. Since the May 2022 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 161.41% from 138.21%. -- The class B O/C ratio improved to 132.47% from 123.18%. -- The class C O/C ratio improved to 115.46% from 113.08%. -- The class D O/C ratio declined to 104.79% from 106.18%. The higher O/C ratios for the classes A1-R2, A2-R2, B-R2 and C-R indicate an increase in their credit support. While senior O/C ratios improved, the class D-R O/C ratio has declined but is still above its trigger. The decline in its O/C ratio is likely due to par losses in the portfolio and increase in haircuts following higher exposure to CCC assets since S&P's last rating action. Collateral obligations with ratings in the 'CCC' category have increased, with $29.13 million (11.0%) reported as of the July 2023 trustee report, compared with $18.24 (4.8%) million reported as of the May 2022 trustee report. However, despite the slightly larger concentrations in 'CCC' category and par loss, the transaction's paydowns have offset their impact for the senior tranches. The upgrades reflect the improved credit support available to the A2-R2 and B-R2 notes at their prior rating levels; the affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the junior tranche result in a ratings changes. On a standalone basis, the results of the cash flow analysis indicated a higher rating on B-R2 and C-R notes. However, S&P's rating actions reflect additional sensitivity runs that S&P considered based on CLO's current exposure to lower quality assets and to some assets that currently have a significantly lower market price than par. 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." Benefit Street Partners CLO III 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. 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 Benefit Street Partners CLO III Ltd. Class A2-R2 to 'AAA (sf)' from 'AA+ (sf)' Class B-R2 to 'AA (sf)' from 'A+ (sf)' Ratings Affirmed Benefit Street Partners CLO III Ltd. Class A1-R2: AAA (sf) Class C-R: BBB- (sf) Class D-R: B- (sf) CIFC FUNDING 2022-VI: Fitch Affirms BB- Rating on Cl. E Notes ------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-1 and A-2 notes of CIFC Funding 2018-V, Ltd. (CIFC 2018-V) and the class B-1, B-2, C, D and E notes of CIFC Funding 2022-VI, Ltd. (CIFC 2022-VI). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2022-VI, Ltd. B-1 12574HAC7 LT AAsf Affirmed AAsf B-2 12574HAJ2 LT AAsf Affirmed AAsf C 12574HAE3 LT Asf Affirmed Asf D 12574HAG8 LT BBB-sf Affirmed BBB-sf E 12569BAA1 LT BB-sf Affirmed BB-sf CIFC Funding 2018-V, Ltd. A-1 12550GAA1 LT AAAsf Affirmed AAAsf A-2 12550GAC7 LT AA+sf Affirmed AA+sf TRANSACTION SUMMARY CIFC 2018-V and CIFC 2022-VI are arbitrage collateralized loan obligations (CLOs) managed by CIFC CLO Management II LLC and CIFC Asset Management LLC, respectively. CIFC 2018-V closed in December 2018 and will exit its reinvestment period in January 2024. CIFC 2022-VI closed in September 2022 and will exit its reinvestment period in July 2027. Both CLOs are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The affirmations are due to the portfolios' stable performance since closing. The credit quality of both portfolios as of the most recent trustee reports is at the 'B'/'B-' level, the same as at closing. The Fitch weighted average rating factors (WARF) for the CIFC 2018-V and CIFC 2022-VI portfolios were 25.8 for both transactions, compared with 25.1 and 25.0 respectively, at last review. The portfolio for CIFC 2018-V consists of 464 obligors, and the largest 10 obligors represent 7.9% of the portfolio. CIFC 2022-VI has 294 obligors, with the largest 10 obligors comprising 10.6% of the portfolio. Defaulted assets comprised 0.6% of the portfolio for CIFC 2018-V and there were no defaulted assets in CIFC 2022-VI. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 16.7% and 6.4%, respectively, for CIFC 2018-V, and 18.8% and 4.4%, respectively, for CIFC 2022-VI. On average, first lien loans, cash and eligible investments comprise 96.7% of the portfolio with fixed-rate concentrations of 0.0% for CIFC 2018-V and 3.2% for CIFC 2022-VI. Fitch's weighted average recovery rate of the portfolios was 75.1% on average, compared with an average of 76.0% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance for both transactions. Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since both transactions are still in their reinvestment periods. The FSP analysis stressed the current portfolios from the latest trustee reports to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average lives of 4.50 years and 7.25 years for CIFC 2018-V and CIFC 2022-VI, respectively. Fixed-rate assets were also assumed at 3.5% and 5.0% of the portfolio for CIFC 2018-V and CIFC 2022-VI, respectively. The weighted average spread (WAS), WARR and WARF were stressed to all points within the Fitch Test Matrix for CIFC 2022-VI, while the FSP analysis assumed 3.05% WAS, 5.0% non-senior secured assets, and 7.5% 'CCC' assets for CIFC 2018-V. 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 one rating notch for CIFC 2018-V and up to three rating notches for CIFC 2022-VI, 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 one rating notch for CIFC 2018-V and up to five rating notches for CIFC 2022-VI, based on the MIRs, except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded. COMM 2017-PANW: Fitch Affirms BB Rating on Cl. E Certificates ------------------------------------------------------------- Fitch Ratings has affirmed five classes of COMM 2017-PANW Mortgage Trust Commercial Mortgage Pass-Through Certificates. Entity/Debt Rating Prior ----------- ------ ----- COMM 2017-PANW A 12595HAA6 LT AAAsf Affirmed AAAsf B 12595HAC2 LT AA-sf Affirmed AA-sf C 12595HAE8 LT A-sf Affirmed A-sf D 12595HAG3 LT BBB-sf Affirmed BBB-sf E 12595HAJ7 LT BBsf Affirmed BBsf TRANSACTION SUMMARY The certificates represent the beneficial interests in the $310 million, seven-year, fixed-rate, IO mortgage loan securing the fee interest in The Campus @ 3333 Phase III, a 940,564-sf, four-building office campus located in Santa Clara, CA. The certificates follow a sequential-pay structure. KEY RATING DRIVERS Stable Performance: Performance remains stable and in-line with Fitch's expectations at issuance. The property is fully occupied with servicer-reported net cash flow (NCF) debt service coverage ratio (DSCR) at 3.45x for YE 2022 and 3.34x for YE 2021, compared to 3.15x at issuance. Fitch Leverage: The $310.0 million mortgage loan has a Fitch DSCR and loan to value (LTV) of 1.09x and 81.8%, respectively, and debt of $330psf. Creditworthy Tenancy: The property is 100% leased to Palo Alto Networks, Inc., which executed three separate, absolute NNN leases, which expire in July 2028, 3.9 years beyond the loan maturity in October 2024. PANW provides security platform solutions to enterprises, service providers and government entities worldwide, and the company reported fiscal year 2022 revenue of $5.5 billion. Asset Quality and Strong Location: Built in 2017, The Campus @ 3333 Phase III is an LEED Silver certified office complex located along Tannery Way in Santa Clara, CA, in the heart of Silicon Valley. PANW has invested over $80 million into outfitting the four buildings. At issuance, Fitch assigned the property a collateral quality grade of 'A-'. Institutional Sponsorship: The loan is sponsored by The California State Teachers' Retirement System (CalSTRS) and Korea Post (KP). CalSTRS is the third largest retirement plan in the U.S., KP is owned by the Republic of Korea government (rated AA-/F1+/Stable; country ceiling of AA+); as a government entity, KP is considered a sovereign wealth fund. Single-Tenant/Asset Exposure: The transaction is secured by a single property and is, therefore, more susceptible to single-event risk related to the market, sponsors or tenant. Although the property is currently leased to one tenant, PANW, the four-building campus can easily be divided to accommodate multiple tenants. Full-Term, IO Loan: The fixed-rate loan is IO for the entire seven-year loan term with a rate of 3.45%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A sustained decline in collateral occupancy; - A significant deterioration in property cash flow. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - An upgrade to classes B, C, D, and E may occur with significant improved performance of the underlying asset. ESG CONSIDERATIONS COMM 2017-PANW has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to the collateral's sustainable building practices including Green building certificate credentials, which has a positive 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. COREVEST AMERICAN 2022-P2: Fitch Affirms B-sf Rating on G Certs --------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed eight classes of CoreVest American Finance 2022-P2 Trust (CAF 2022-P2) commercial mortgage pass-through certificates. Fitch has removed all classes from this transaction from Under Criteria Observation (UCO). Entity/Debt Rating Prior ----------- ------ ----- CAF 2022-P2 A-1 21872DAA0 LT AAAsf Affirmed AAAsf A-2 21872DAB8 LT AAAsf Affirmed AAAsf B 21872DAC6 LT A+sf Upgrade Asf C 21872DAD4 LT A-sf Affirmed A-sf D 21872DAE2 LT BBBsf Affirmed BBBsf E 21872DAF9 LT BBB-sf Affirmed BBB-sf F 21872DAG7 LT BB-sf Affirmed BB-sf G 21872DAJ1 LT B-sf Affirmed B-sf X 21872DAM4 LT A-sf Affirmed A-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023 and incorporate any changes in loan status and/or credit enhancement (CE) since Fitch's last review. Performance and 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss is 8.5%. No loans are delinquent or in special servicing. Seventeen loans comprising 20% of the transaction are on the watchlist, largely due to performance declines since issuance. This transaction has more limited updated reporting compared to typical CMBS transactions and was recently issued, so Fitch's analysis was based on performance assumptions and net cash flow from issuance. The affirmations reflect sufficient CE in relation to the 'Bsf' rating case loss. The upgrade to class B primarily reflects the impact of criteria, as performance remains in line with issuance expectations. Alternative Loss Scenario: To test the viability of upgrades, Fitch performed a more severe hypothetical stress that assumed loans on the watchlist would experience a 25% loss; this resulted in a deal-level 'Bsf' sensitivity case loss of 12.0%. Prior Loan Substitution: A former defaulted and specially serviced loan was repurchased by the Mortgage Loan Seller, formerly comprising 10.2% of the transaction. The loan was substituted with 11 Qualifying Substitute Mortgage Loans (QSMLs) as allowed for by the Pooling and Servicing Agreement. The 11 QSMLs, ranging in size from 0.33% to 1.53% of the pool, are collectively secured by seven multifamily buildings comprising 120 traditional apartment units, plus 100 single family residence rentals for a total of 220 units. The properties are located in seven regional markets across the U.S. that include: Seattle, WA (19 units); Eastern CT (26 units); Brooklyn, NY (20 units); Camden, NJ (43 units); Akron, OH (33 units); Central Florida (69 units); and Tulsa, OK (10 units). As of the most recent reported occupancies (from August 2022 through March 2023), the average occupancy was 93.8% occupied, with an average rental rate of $1,437 per unit. Limited Change to Credit Enhancement: As of the July 2023 distribution date, the transaction has paid down by 0.9%. Following the loan substitutions, the transaction will be undercollateralized by $819,692 due to a lower combined principal balance of the 11 QSMLs when compared to the removed specially serviced loan. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A significant decline in portfolio performance/cash flow, including increases in 60+ days delinquencies, specially serviced loans and/or realized losses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - For classes rated 'AAAsf' upgrades are not possible; - For classes with continued low delinquencies and material increases in CE due to repayments, upgrades would be possible but may be limited by increasing pool concentration and limited financial reporting received for the loans. ESG CONSIDERATIONS CAF 2022-P2 has an ESG Relevance Score of '4' for Data Transparency & Privacy due to limited financial reporting, 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. COREVEST AMERICAN 2023-P1: Fitch Puts 'B-(EXP)sf' Rating on G Certs ------------------------------------------------------------------- Fitch Ratings has issued a presale report on CoreVest American Finance 2023-P1 Trust Mortgage Pass-Through Certificates, Series 2023-P1. Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $106,144,000 class A1 'AAAsf'; Outlook Stable; - $79,000,000 class A2 'AAAsf'; Outlook Stable; - $31,611,000 class B 'Asf'; Outlook Stable; - $222,312,000a class X 'A-sf'; Outlook Stable; - $5,557,000 class C 'A-sf'; Outlook Stable; - $10,074,000 class D 'BBBsf'; Outlook Stable; - $4,863,000 class E 'BBB-sf'; Outlook Stable; - $9,726,000 class F 'BB-sf'; Outlook Stable; - $6,600,000 class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $4,168,000 class H; - $20,148,080b class I. (a) Notional amount and interest-only. (b) Horizontal credit risk retention interest. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 58 loans secured by 1,501 commercial properties (residential income-producing rental properties, multifamily properties and mixed-use properties) having an aggregate principal balance of $277,891,081 as of the cutoff date. The loans were contributed to the trust by CoreVest American Finance Lender LLC (CAFL). Fitch reviewed a comprehensive sample of the transaction's collateral, including cash flow analysis on 100% of the pool. Details of Fitch's analysis are highlighted in the presale report. KEY RATING DRIVERS Fitch Leverage: Fitch Ratings' debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and Fitch net cash flow (NCF) debt yield of 1.02x, 119.6% and 8.22%, respectively, indicate leverage slightly better than recently issued CAF transactions. The Fitch-stressed DSCR of 1.02x is better than CAF 2022-P2 (0.95x), CAF 2022-1 (0.89x) and CAF 2021-3 (0.96x). The Fitch-stressed LTV of 119.6% is slightly higher compared with CAF 2022-P2 (117.8%) and is lower compared with CAF 2022-1 (131.1%) and CAF 2021-3 (130.7%). Pool Concentration: The pool consists of 58 loans secured by 1,501 properties. On average, each loan has 26 properties. The 10 largest loans represent 59.2% of the pool, which is more concentrated than recently issued CAF transactions including CAF 2022-P2 and CAF 2022-1, which had respective top 10 loan concentrations of 53.6% and 44.7%. Additionally, the pool's largest sponsor contributed 13.1% of the pool, which is above 10.2% in CAF 2022-P2 and 9.7% in CAF 2022-1. Below-Average Amortization: Scheduled amortization of 4.6% is higher than the amounts scheduled for CAF 2022-1 of 4.4%, but lower than the amounts scheduled for CAF 2022-P2 and CAF 2021-3 of 5.4% and 6.1%, respectively. Contributing factors include the weighted average original loan term for the pool, which is 84 months, below CAF 2022-P2 and CAF 2022-1, which had terms of 95.8 and 97.7, respectively, and the pool's concentration of interest-only (IO) loans, totaling 49.8% of the cutoff, which is below both the CAF 2022-P2 and CAF 2022-1 concentrations of 59.3% and 51.7%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf' / 'Asf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; 10% NCF Decline: 'AAsf' / 'BBB+sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf' / ' 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' / 'Asf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; 10% NCF Increase: 'AAAsf' / 'AA-sf' / 'A+sf' / 'BBB+sf' / 'BBBsf' / 'BB+sf' / 'B+sf'. ESG CONSIDERATIONS CAF 2023-P1 has an ESG Relevance Score of '4' for Data Transparency & Privacy due to limited transaction data and periodic reporting, 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. CSAIL 2019-C17: Fitch Lowers Rating on Class F-RR Notes to B-sf --------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 13 classes of CSAIL 2019-C17 Commercial Mortgage Trust. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2019-C17 A-1 12597BAQ2 LT AAAsf Affirmed AAAsf A-2 12597BAR0 LT AAAsf Affirmed AAAsf A-3 12597BAS8 LT AAAsf Affirmed AAAsf A-4 12597BAT6 LT AAAsf Affirmed AAAsf A-5 12597BAU3 LT AAAsf Affirmed AAAsf A-S 12597BAY5 LT AAAsf Affirmed AAAsf A-SB 12597BAV1 LT AAAsf Affirmed AAAsf B 12597BAZ2 LT AA-sf Affirmed AA-sf C 12597BBA6 LT A-sf Affirmed A-sf D 12597BAC3 LT BBB-sf Affirmed BBB-sf E-RR 12597BAE9 LT BBsf Downgrade BBB-sf F-RR 12597BAG4 LT B-sf Downgrade BB-sf G-RR 12597BAJ8 LT CCCsf Downgrade B-sf X-A 12597BAW9 LT AAAsf Affirmed AAAsf X-B 12597BAX7 LT A-sf Affirmed A-sf X-D 12597BAA7 LT BBB-sf Affirmed BBB-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. The downgrades reflect the impact of the criteria and deterioration in performance of the office loans in the pool, specifically with the transfer of APX Morristown to special servicing. Fitch's current ratings incorporate a 'Bsf' rating case loss of 6.71%. Three loans are Fitch Loans of Concern (FLOCs; 15.4% of the pool), with one loan (5.1% of the pool) currently in special servicing. Fitch Loans of Concern: The largest contributor to modeled losses is the APX Morristown loan (5.1%), which is secured by a 486,742-sf suburban office property located in Morristown, NJ. The loan transferred to special servicing in July 2023 due to imminent monetary default. Occupancy has declined at the property to 59% as of March 2023 due to the departure and downsizing of several tenants. The largest tenant, Louis Berger (NRA 22.3%), which was acquired by WSP in late 2018, vacated in 2022 ahead of its lease expiration in 2026. Additionally, Majesco (6.4%) vacated in 2021 and the second-largest tenant, New York Marine & General Insurance, downsized by 6.8% of the NRA and extended their lease for the remaining space (12.8%) through 2032. Fitch's 'Bsf' rating case loss of 35% (prior to concentration adjustments) reflects a stressed cap rate of 10% to account for the office property quality and suburban location and a 10% stress to the YE 2022 NOI. It also factors in a higher probability of default to account for the transfer to special servicing, deteriorated occupancy and high submarket vacancy. The next largest contributor to expected losses is the Selig Office Portfolio (9.6%). This loan is securitized by an urban office portfolio consisting of three properties all located in downtown Seattle, WA. The March 2023 rent roll reflects the signing of a new lease bringing occupancy to 77%. The new lease represents 8.8% of the portfolio square footage. Prior to the increase, occupancy had fallen to 68% due to Leafly (7% of NRA) and New Engen (9%) vacating. The servicer-reported NOI DSCR has declined to 1.10x as of March 2023, compared with 1.32x at YE 2022 and 1.76x at YE 2020. Fitch's 'Bsf' rating case loss of 16% (prior to concentration adjustments) is based on a 9.75% cap rate and no additional stress to YE 2022 NOI. Minimal Change in Credit Enhancement: The CE has increased slightly since issuance due to amortization, with 1.9% of the original pool balance repaid. No losses have been realized losses to date and 5.8% of the pool is defeased. Interest shortfalls are currently affecting the non-rated class NR-RR. Of the remaining pool balance, 10 loans comprising 33.9% of the pool are full interest-only through the term of the loan. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' and 'AAsf' category rated classes are not expected but could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. 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 with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' 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' would also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBsf' and 'Bsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to distressed ratings are possible with significantly higher values on 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. DRYDEN 107: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned ratings to Dryden 107 CLO Ltd.'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 PGIM Inc. 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 Dryden 107 CLO Ltd./Dryden 107 CLO LLC Class A-1, $246.00 million: AAA (sf) Class A-2, $14.00 million: Not rated Class B, $44.00 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, $33.76 million: Not rated ETRADE RV 2004-1: S&P Raises Class D/E Notes Rating to 'CCC (sf)' ----------------------------------------------------------------- S&P Global raised its rating to 'CCC (sf)' from 'CCC- (sf)' and affirmed its 'CC (sf)' rating on E*Trade RV and Marine Trust 2004-1's class D and E notes, respectively. E*Trade RV and Marine Trust 2004-1 is an ABS transaction backed by recreational vehicle and marine retail installment contracts. S&P said "The ratings reflect our view that credit support will remain insufficient to cover our expected losses for the class D and E notes. As defined in our criteria, the 'CCC (sf)' rating category reflects our view that a class is vulnerable to nonpayment and depends on favorable business, financial, and economic conditions to be paid interest or principal according to the transaction terms. The 'CC (sf)' rating on the class E notes reflects our view that the class remains virtually certain to default." As of the August 2023 distribution date, the transaction has experienced cumulative net losses of 9.49% after 224 months of performance, with a pool factor of 0.17%. The transaction's overcollateralization and reserve amount has been fully depleted. The class E notes provide a limited amount of subordination as the collateral pool has experienced defaults to a level whereby the class E notes are almost completely under-collateralized. S&P does not expect the class E notes to receive full and timely principal by their legal final maturity date--even under the most optimistic collateral performance scenario. EXETER AUTOMOBILE 2023-4: S&P Assigns 'BB-' Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2023-4's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 61.3%, 53.4%, 44.4%, 33.5%, and 26.8% credit support--hard credit enhancement and haircut to excess spread--for the class A (collectively, classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of S&P expected cumulative net loss of 22.00% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A. (Citibank), which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC (Exeter) as servicer, along with our view of the company's underwriting and the backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Exeter Automobile Receivables Trust 2023-4 Class A-1, $76.00 million: A-1+ (sf) Class A-2, $131.99 million: AAA (sf) Class A-3, $59.64 million: AAA (sf) Class B, $92.59 million: AA (sf) Class C, $90.90 million: A (sf) Class D, $89.21 million: BBB (sf) Class E, $82.45 million: BB- (sf) FALCON 2019-1: Fitch Affirms CCC Rating on Series C Debt -------------------------------------------------------- Fitch Ratings has taken various rating actions on the Dubai Aerospace transactions. Entity/Debt Rating Prior ----------- ------ ----- Falcon 2019-1 Aerospace Limited Series A 30610GAA1 LT BBBsf Affirmed BBBsf Series B 30610GAB9 LT Bsf Affirmed Bsf Series C 30610GAC7 LT CCCsf Affirmed CCCsf Kestrel Aircraft Funding Limited A 49255PAA1 LT BBBsf Affirmed BBBsf B 49255PAB9 LT BBsf Affirmed BBsf TRANSACTION SUMMARY Fitch has affirmed the ratings of Kestrel Aircraft Funding Limited's A and B notes at 'BBBsf' and 'BBsf', respectively, and revised the Rating Outlook to Stable from Negative. Fitch also affirmed Falcon 2019-1 Aerospace Limited's A, B, and C notes at 'BBBsf', 'Bsf', and 'CCCsf' respectively, and revised the Outlook to Stable from Negative on the A and B notes. These transactions, along with the rest of the portfolio of aircraft operating lease ABS transactions that Fitch performs surveillance on, were placed Under Criteria Observation (UCO) in June of 2023 following Fitch's publication of new Aircraft Operating Lease ABS Criteria: https://www.fitchratings.com/research/structured-finance/fitch-ratings-updates-aircraft-operating-lease-abs-rating-criteria-23-06-202 These ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structure to withstand stress scenarios commensurate with their respective ratings within the framework of Fitch's new criteria and related asset model. The rating actions also consider lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, which inform Fitch's modeled cash flows and coverage levels. Fitch's updated rating assumptions for airlines are based on a variety of performance metrics and airline characteristics. Portfolio performance has been stable to improving for both Kestrel and Falcon 2019-1 Aerospace Limited. All of the lessees are current in both transactions. Year-over-year cash collection trends have decreased for both transactions, but were in-line with expectations. Additional principal payments were made on the A notes for both transactions as a result of aircraft sales (including two aircraft in the Falcon transaction that were in Ukraine), although they still remain behind schedule. The Series C Notes for Falcon 2019-1 continue to defer interest and principal. Overall Market Recovery The global commercial aviation market continues to recover, posting a 47% increase in revenue passenger kilometers (RPKs) in the first half of 2023 compared with the same period last year with June global RPKs recovering to 94% of pre-pandemic levels per International Air Transport Association (IATA). Asia-Pacific airlines led the way with a 126% increase in first-half 2023 traffic versus last year. Domestic RPKs globally rose 27% in June compared with the prior year and have surpassed pre-pandemic RPKs by 5.1%; June international RPKs climbed 34% compared with the prior year and are approximately 12% below pre-pandemic levels per IATA. International and domestic market performance differs across regions. APAC has seen significant growth in domestic markets, led by China returning to pre-pandemic levels with a 136% June year-to-date increase in RPKs versus last year. APAC has also enjoyed triple digit international RPK growth; however, there is still room for additional recovery as it has only reached 71% of pre-pandemic levels per IATA. North American and European traffic (domestic and international) continues to rebound with June RPKs marginally exceeding pre-pandemic levels in North America and reaching approximately 95% of pre-pandemic levels in Europe per IATA. Macro Risks While the commercial aviation market has recovered significantly over the past 12 months, it will continue to face certain unknowns and potential headwinds including workforce shortages, inflationary pressures, particularly related to labor and fuel costs, supply chain issues, geopolitical risks, and recessionary concerns that would impact passenger demand. Most of these events would lead to increased credit risk due to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cashflows needed to meet debt service. KEY RATING DRIVERS Asset Values: The aircraft in the Dubai Aerospace Enterprise (DAE) transactions are generally mid-life with a weighted-average age (by value) of 13 and 15 years for Kestrel and Falcon, respectively. Using mean maintenance-adjusted base value in order to make period to period comparisons and to control for changes in Fitch's approach to determining the Fitch Value, the loan-to-value for each of the notes has changed since Fitch's August 2022 review as follows: - Kestrel: A note 69% to 62%; B note 83% to 79%; - Falcon 2019-1: A note 72% to 62%; B note 86% to 80%; C note 95% to 92%. In determining the Fitch Value of each pool, the agency used the most recent appraisal and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch employs a methodology whereby the agency varies the type of value per aircraft based on the remaining leasable life: - Less than three years of leasable life: Maintenance-adjusted market value; - More than three years of leasable life, but more than 15 years old: Maintenance-adjusted base value; - Less than 15 years old: Half-life base value. Fitch then uses a LMM (lesser of mean and median) of the given value. The starting Fitch Value for each of the transactions is a follows: - Kestrel: $285.3 million; - Falcon 2019-1: $244.1 million. Following the new criteria, Fitch applies a haircut to residual values that vary based on rating stress level. Haircuts start at 5% at 'Bsf' and increase to 15% at 'Asf'. Tiered Collateral Quality: Fitch utilizes three tiers when assessing the quality and corresponding marketability of aircraft collateral: tier 1 which is the most marketable and tier 3 which is the least marketable. As aircraft in the pool reach an age of 15 and then 20 years, pursuant to Fitch's criteria, the aircraft tier will migrate one level lower. The weighted average age and tier for each of the transactions is as follows: - Kestrel: Age: 13.2 years; Tier: 1.4; - Falcon 2019-1: Age: 15.0; Tier 2.1. Pool Concentration: Kestrel's concentration is acceptable given 17 aircraft on lease to 13 lessees plus one aircraft on consignment. Falcon has slightly higher, although acceptable concentration, with 15 aircraft on lease to 13 lessees. As the pool ages and Fitch models aircraft being sold at the end of their leasable lives (generally 20 years), pool concentration will continue to increase. Pursuant to Fitch's criteria, the agency stresses cash flows based on the effective aircraft count. Concentration haircuts vary by rating level and are only applied at stresses higher than 'CCCsf'. Lessee Credit Risk: Fitch considers the credit risk posed by the pool of lessees for Kestrel and Falcon to be moderate. Delinquencies have improved and all lessees are now current in both transactions. Operation and Servicing Risk: Fitch deems the servicer, Dubai Aerospace Enterprises, to be qualified to service ABS based on its experience as a lessor, overall servicing capabilities and ABS performance to date. Dubai Aerospace Enterprises is rated 'BBB-'/Stable by Fitch. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase in delinquencies, lower lease rates, or sales of aircraft below Fitch's projections could lead to a downgrade. The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry ratings lower than the senior tranche and below the ratings at close. Fitch also considers jurisdictional concentrations per the "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade. 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. FRONTIER ISSUER 2023-1: Fitch Gives Final 'BB-sf' Rating on C Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Frontier Issuer LLC, Secured Fiber Network Revenue Term Notes, Series 2023-2. Fitch has also affirmed the ratings and maintained Rating Outlooks on Frontier Issuer LLC, Secured Fiber Network Revenue Term Notes, Series 2023-1. Fitch has assigned final ratings and Rating Outlooks as follows: - $500a million Series 2023-2, class A-1, 'Asf'; Outlook Stable. In addition, Fitch has affirmed the following classes: - $1.1 billion Series 2023-1 class A-2 at 'Asf'; Outlook Stable; - $154.9 million Series 2023-1 class B at 'BBBsf'; Outlook Stable; - $311.6 million Series 2023-1 class C at 'BB-sf'; Outlook Stable. (a) This note is a Variable Funding Note (VFN) and has a maximum commitment of $500 million. This class is expected to be fully drawn immediately following issuance. TRANSACTION SUMMARY The transaction is a securitization of contract payments derived from an existing fiber-to-the-premises (FTTP) network. The collateral assets include conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and a shared infrastructure service agreement for common assets. Debt is secured by net revenue from operations and benefits from a perfected security interest in the securitized assets. The collateral network consists of the sponsor's retail fiber network, including 621,000 fiber passings and 175,000 copper passings across three issuer-defined submarkets located in the greater Dallas market. The network supports broadband, phone, video and non-switch (private network intranet) services for approximately 286,000 residential and commercial fiber subscribers. The ratings reflect a structured finance analysis of cash flows from the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the ultimate parent, Frontier Communications Parent, Inc. (BB-/Negative). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $213.3 million implying a 14.3% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.8x, compared with debt/issuer NCF leverage of 8.4x, assuming the variable funding notes are fully drawn. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage include the high quality of the underlying collateral networks, scale of the customer base, market position and penetration, market concentration, capability of the operator, and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn or the development of an alternative technology for the transmission of data could lead to downgrades. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt, from rate increases, additional contracts or contract amendments could lead to upgrades; - Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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. GREEN ACRES: Plan Provides Adequate Payment Structure, Court Says ----------------------------------------------------------------- Bankruptcy Judge Thomas L. Saladino for the District of Nebraska grants the amended motion for summary judgment filed by GREEN ACRES MHP, LLC in the adversary case captioned as IN THE MATTER OF: GREEN ACRES MHP, LLC, CHAPTER 11 Subchapter V Debtor(s). GREEN ACRES MHP, LLC, Plaintiff(s), v. GEORGE DUNLOP, JR., and LAURIE DUNLOP, individuals; JEFF FLINT, an individual; JORGE BARBOSA, an individual; KENNETH COX, an individual; TIMOTHY. FISCUS, an individual; SARA IZAZAGA HURTADO, an individual; SCOTT TAYLOR and CHRISTINA TAYLOR, individuals; MARIA GOTTSCH, an individual; FRANCISCO GUZMAN, NANCY GUZMAN, ARACELI GUZMAN, and EDUARDO E. GUZMAN, individuals; CHRISTIAN YURK and CARMON YURK, individuals; JOSE JIMENEZ and GABRIELLA BALDERAS JIMENEZ, individuals; SCOTT DESPLINTER and JILLENE DESPLINTER, individuals; ALBERTO TORRES, SR. and ALICIA VASALLO, individuals; and REO ASSET MANAGEMENT COMPANY LLC, a Nebraska limited liability company, Defendants(s), Case No. BK 22-80635-TLS, Adv. No. A23-8003-TLS, (Bank. D. Neb.). The Chapter 11 Subchapter V debtor in this case is a manufactured-home community known as Green Acres located in the village of Nickerson, Nebraska. Green Acres supplies water to its own tenants, with the cost included in the rental charges. In addition, Green Acres has offered water service contracts to Whispering Pines lot owners, but not everyone has been willing to sign the agreements. Evidently, no sustainable payment mechanism was set up when Green Acres began supplying water to its neighbors. As a result, Green Acres is providing water to Whispering Pines at a financial loss, which led to this bankruptcy. The adversary proceeding was filed "to have the Court determine that there are no effective covenants, agreements that run with the land, or easements that require Green Acres to deliver water to Whispering Pines lots, leaving a determination of the structure of how water will be provided and the fees to be charged to presentation within a future plan of reorganization to be proposed by Green Acres in the bankruptcy proceeding." Inter alia, the following facts established by the evidence are undisputed: 1. The Declaration of Covenants, Conditions, and Restrictions and Easements for Green Acres, Lots 90 through 105, dated May 7, 1998 expired by its terms on May 7, 2018, and no longer binds the real estate it is recorded against. 2. The Agreement and Easement dated May 7, 1998 has no effect on the real estate it is recorded against because the real estate of the grantees is undefined and because no one on behalf of the named grantees signed the document to evidence agreement to the grantees' obligations within the document. 3. The Declaration of Covenants, Conditions, Restrictions, and Easements for Whispering Pines Homeowners Association, formerly known as Green Acres Homeowners Association, Lots 90 through 105, dated September 14, 2004 is of no effect because its signatures are not notarized and does not include many of the signatures of the lot owners at issue in this matter. 4. The Joint Use and Maintenance Agreement (JUMA) dated June 12, 1998, is presently not effective and cannot become effective because a party to the Agreement, the Green Acres Homeowners' Association authorized by the Covenants with assessment authority and other powers, has never existed and can no longer be created. 5. The plan of reorganization approval process in the underlying bankruptcy is an adequate means for notice and due process to propose and set a monthly amount or formula to determine an amount to charge the defendants for (A) the Plaintiff's cost for installation, repair, testing, maintenance, and utility costs for the wells; (B) the cost in paragraph 9 above performed by the plaintiff or contracted with the plaintiff to perform; and (C) the Plaintiff's charges for the actual provision of water to Lots 90 through 105 above and beyond (A) from and after the filing of the Plaintiff's petition for relief to the extent not otherwise paid. A full-text copy of the ORDER dated August 28, 2023, is available https://tinyurl.com/4dku28vx from Leagle.com. About Green Acres MHP LLC Green Acres MHP, LLC filed a petition for relief under Subchapter V of Chapter 11 of the Bankruptcy Code (Bankr. D. Neb. Case No. 22-80635) on Aug. 25, 2022, listing $500,000 to $1 million in both assets and liabilities. James A. Overcash has been appointed as Subchapter V trustee. Judge Thomas L. Saladino oversees the case. Patrick Patino, Esq., at Patino King, LLC is the Debtor's bankruptcy counsel while Croker, Huck, Kasher, DeWitt, Anderson & Gonderinger, LLC serves as special counsel. HALCYON LOAN 2013-2: Moody's Cuts Rating on $26.75MM D Notes to Ca ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on the following note issued by Halcyon Loan Advisors Funding 2013-2 Ltd.: US$26,750,000 Class D Mezzanine Secured Deferrable Floating Rate Notes (current outstanding balance of $8,019,091.32), Downgraded to Ca (sf); previously on October 5, 2022 Downgraded to Caa3 (sf) Halcyon Loan Advisors Funding 2013-2 Ltd., issued in July 2013, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in August 2017. RATINGS RATIONALE The downgrade rating action on the Class D notes reflects the specific risks to the notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's July 2023 report [1], the OC ratio for the Class D notes is reported at 43.95% versus October 2022 [2] level of 64.45%. Moody's notes that the July 2023 trustee-reported OC ratios do not reflect the August 2023 payment distribution, when $923,356 of principal proceeds were used to pay down the Class D Notes. The rating action is also due to deterioration of the credit quality of the portfolio. Based on Moody's calculation, the weighted average rating factor (WARF) of the portfolio is currently 7907 compared to 4103 in October 2022. Based on Moody's calculation, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (after any adjustments for watchlist for possible downgrade) is currently 100% of the CLO par. Moody's also observes that interest collections have been insufficient to pay accrued interest due on the Class D notes over the last four payment dates. As a result, today's rating action also reflects growing concerns about the uncertainty arising from the potential for the acceleration of the notes or liquidation of the collateral should an event of default occur and continue. 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." In addition, because of the collateral pool's low diversity, Moody's used CDOROM™ to simulate a default distribution that it then used as an input in the cash flow model. 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: $890,022.77 Defaulted par: $3,099,233 Diversity Score: 1 Weighted Average Rating Factor (WARF): 7907 Weighted Average Spread (WAS): (before accounting for reference rate floors): 3.83% Weighted Average Recovery Rate (WARR): 51.04% Weighted Average Life (WAL): 0.6 years Par haircut in OC tests and interest diversion test: 17.5% 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: decrease in overall WAS or net interest income, lower recoveries on defaulted assets, forced collateral liquidation. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. HALSEYPOINT CLO 6: Fitch Affirms BB- Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class B-1, B-2, D and E notes of HalseyPoint CLO 6, Ltd. (HalseyPoint CLO 6). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- HalseyPoint CLO 6, Ltd. B-1 40639GAE9 LT AAsf Affirmed AAsf B-2 40639GAL3 LT AAsf Affirmed AAsf D 40639GAJ8 LT BBB-sf Affirmed BBB-sf E 40639JAA1 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY HalseyPoint CLO 6 is a broadly syndicated collateralized loan obligation (CLO) managed by HalseyPoint Asset Management LLC. The transaction closed in September 2022 and will exit its reinvestment period in October 2026. HalseyPoint CLO 6 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 due to the portfolio's stable performance since closing. As of July 2023 reporting, the credit quality of the portfolio has remained at the 'B' level, and the Fitch weighted average rating factor of the portfolio increased to 24.5 from 24.2 at closing. The portfolio consists of 234 obligors, and the largest 10 obligors represent 9.0% of the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 16.2% and 5.2%, respectively. There have been no defaults in the portfolio. First lien loans, cash and eligible investments comprise 98.0% of the portfolio and fixed rate investments comprise 1.5% of the portfolio. Fitch's weighted average recovery rate is 74.9%, compared to 75.5% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Cash Flow Analysis Fitch updated its Fitch Stressed Portfolio (FSP) analysis since the transaction is still in its reinvestment period. The FSP stressed the current portfolio from the latest trustee report to account for permissible concentration limits and Fitch Matrix limits. The FSP analysis assumed weighted average life of 6.28 years. Other FSP assumptions include maximum allowed limits for non-senior secured assets, industries, fixed-rate assets and 'CCC' assets. The rating actions for all classes of notes are in line with their model-implied ratings (MIRs), as defined in the 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. 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. HERTZ VEHICLE III: Moody's Gives Ba2 Rating to 2023-3 Cl. D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the series 2023-3 and series 2023-4 rental car asset-backed notes issued by Hertz Vehicle Financing III LLC (HVFIII, or the issuer), which is Hertz's rental car ABS facility. The series 2023-3 notes and the series 2023-4 notes have an expected final payment date in three and five years, respectively. HVFIII is a Delaware limited liability company, and a bankruptcy-remote special purpose entity and a direct subsidiary of The Hertz Corporation (Hertz, B2 stable). The collateral backing the notes consists of a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the issuer by the original equipment manufacturers (OEMs). Moody's also announced today that the issuance of the series 2023-3 and series 2023-4 notes, in and of themselves and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the Issuer. The complete rating actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2023-3 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2023-3 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2023-3 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2023-3 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) Series 2023-4 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2023-4 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2023-4 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2023-4 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings of the notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which Hertz uses in its rental car business, (2) the credit quality of Hertz, as the primary lessee and as guarantor under the operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) the credit enhancement supporting the notes, which consists of subordination and over-collateralization, (5) minimum liquidity in the form of cash and/or a letter of credit, (6) the transaction's legal structure, including standard bankruptcy remoteness and security interest provisions, and (7) favorable rental car market conditions, albeit modestly weaker than last year, due to robust travel demand and still tight vehicle supply. The series 2023-3 and series 2023-4 class A, class B, and class C notes benefit from subordination of 32.5%, 21.5%, and 8.0% of the outstanding balance of each series, respectively. The liquid enhancement amount is 4.25% of the outstanding note balance for the series 2023-3 and series 2023-4, sized to cover six months of interest plus 50 basis points. Consistent with prior transactions, the series are subject to a credit enhancement floor of 11.05% in the form of over-collateralization, regardless of fleet composition. As in prior issuances, the transaction documents stipulate that the required credit enhancement for the series 2023-3 and series 2023-4 notes, sized as a percentage of the total assets, will be a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories as described below: » 5.00% for eligible program vehicle and receivable amount from investment grade manufacturers (any manufacturer that has Moody's long-term rating or senior unsecured rating or long-term corporate family rating (together, relevant Moody's ratings) of at least Baa3 and any manufacturer that does not have a relevant Moody's rating and has a senior unsecured debt rating from Moody's of at least Ba1) -- 8.00% for eligible program vehicle amount from non-investment grade manufacturers -- 15.00% for eligible non-program vehicle amount from investment grade manufacturers -- 15.00% for eligible non-program vehicle amount from non-investment grade manufacturers -- 8.00% for eligible program receivable amount from non-investment grade (high) manufacturers (any manufacturer that (i) is not an investment grade manufacturer and (ii) has a relevant Moody's rating of at least Ba3) -- 100.00% for eligible program receivable amount from non-investment grade (low) manufacturers (any manufacturer that has a relevant Moody's rating of less than Ba3) -- 35.0% for medium-duty truck amount -- 0.00% for cash amount -- 100% for remainder AAA amount Consequently, the actual required amount of credit enhancement will fluctuate based on the mix of vehicles and receivables in the securitized fleet. Furthermore, the transaction documents dictate that the total enhancement should include a minimum portion which is liquid (in cash and/or letter of credit), sized as a percentage of the aggregate class A / B / C / D principal amount, net of cash. The assumptions Moody's applied in the analysis of this transaction: Risk of sponsor default: Moody's assumed a 60% decrease in the probability of default (from Moody's idealized default probability tables) implied by the B2 rating of the sponsor. This reflects Moody's view that, in the event of a bankruptcy, Hertz would be more likely to reorganize under a Chapter 11 bankruptcy filing, as it would likely realize more value as an ongoing business concern than it would if it were to liquidate its assets under a Chapter 7 filing. Furthermore, given the sponsor's competitive position within the industry and the size of its securitized fleet relative to its overall fleet, the sponsor is likely to affirm its lease payment obligations in order to retain the use of the fleet and stay in business. Moody's arrive at the 60% decrease assuming a 80% probability Hertz would reorganize under a Chapter 11 bankruptcy and a 75% probability Hertz would affirm its lease payment obligations in the event of Chapter 11. Disposal value of the fleet: Moody's assumed the following haircuts to the net book value (NBV) of the vehicle fleet: Non-Program Haircut upon Sponsor Default (Car): Mean: 19% Non-Program Haircut upon Sponsor Default (Car): Standard Deviation: 6% Non-Program Haircut upon Sponsor Default (Truck): Mean: 35% Non-Program Haircut upon Sponsor Default (Truck): Standard Deviation: 8% Non-Program Haircut upon Sponsor Default (Tesla): Mean: 21% Non-Program Haircut upon Sponsor Default (Tesla): Standard Deviation: 10% Fixed Program Haircut upon Sponsor Default: 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Car): 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Truck): 20% Additional Fixed Non-Program Haircut upon Manufacturer Default (Tesla): 50% Fleet composition -- Moody's assumed the following fleet composition (based on NBV of vehicle fleet): Non-Program Vehicles (Car, Tesla & EVs): 92.6% Non-Program Vehicles (Trucks): 5% Program Vehicles (Car, Tesla & EVs): 2.4% (decreased from 4.75% due to the steady low concentration of program vehicles over the past few years) Non-program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 10.0%, 2, A3 Baa Profile: 70.0%, 3, Baa3 (increased from 45.0% due to Tesla's rating being upgraded to Baa3) Ba/B Profile: 20.0%, 1, Ba3 Program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 0.0%, 0, A3 Baa Profile: 50.0%, 1, Baa3 Ba/B Profile: 50.0%, 1, Ba3 Manufacturer Receivables: 10%; receivables distributed in the same proportion as the program fleet (Program Manufacturer Concentration and Manufacturer Receivables together should add up to 100%) Correlation: Moody's applied the following correlation assumptions: Correlation among the sponsor and the vehicle manufacturers: 10% Correlation among all vehicle manufacturers: 25% Default risk horizon -- Moody's assumed the following default risk horizon: Sponsor: 5 years Manufacturers: 1 year A fixed set of time horizon assumptions, regardless of the remaining term of the transaction, is used when considering sponsor and manufacturer default probabilities and the expected loss of the related liabilities, which simplifies Moody's modeling approach using a standard set of benchmark horizons. Detailed application of the assumptions is provided in the methodology. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations Methodology" published in October 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2023-3 and 2023-4 subordinated notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the ratings of the series 2023-3 and 2023-4 notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, or (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation. JP MORGAN 2023-DSC2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2023-DSC2's mortgage-backed certificates series 2023-DSC2. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans. The loans are secured by single-family residences, planned-unit developments, two- to 10-unit multifamily homes and condominiums to both prime and nonprime borrowers. The pool consists of 950 loans backed by 1,546 properties that are exempt from ability-to-repay rules. Of the 950 loans, 113 are cross collateralized loans backed by 709 properties. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, mortgage aggregators and mortgage originators, and representation and warranty framework; and -- The potential impact that current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "Per our latest macroeconomic update, we continue to expect that the U.S. will fall into a shallow recession in 2023. Although safeguards from the Federal Reserve and other regulators have stabilized conditions, banking concerns increase risks of a worse outcome and chances for a worsening recession have increased, with inflation moderating faster than expected in our baseline forecast. 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%." Ratings(i) Assigned J.P. Morgan Mortgage Trust 2023-DSC2 Class A-1, $201,220,000: AAA (sf) Class A-1-A, $201,220,000: AAA (sf) Class A-1-A-X, $201,220,000(ii): AAA (sf) Class A-1-B, $201,220,000: AAA (sf) Class A-1-B-X, $201,220,000(ii): AAA (sf) Class A-1-C, $201,220,000: AAA (sf) Class A-1-C-X, $201,220,000(ii): AAA (sf) Class A-2, $32,048,000: AA- (sf) Class A-2-A, $32,048,000: AA- (sf) Class A-2-A-X, $32,048,000(ii): AA- (sf) Class A-2-B, $32,048,000: AA- (sf) Class A-2-B-X, $32,048,000(ii): AA- (sf) Class A-2-C, $32,048,000: AA- (sf) Class A-2-C-X, $32,048,000(ii): AA- (sf) Class A-3, $34,512,000: A- (sf) Class A-3-A, $34,512,000: A- (sf) Class A-3-A-X, $34,512,000(ii): A- (sf) Class A-3-B, $34,512,000: A- (sf) Class A-3-B-X, $34,512,000(ii): A- (sf) Class A-3-C, $34,512,000: A- (sf) Class A-3-C-X, $34,512,000(ii): A- (sf) Class M-1, $14,791,000: BBB- (sf) Class B-1, $10,786,000: BB- (sf) Class B-2, $7,857,000: B- (sf) Class B-3, $6,934,235: Not rated Class A-IO-S, notional(iii): Not rated Class XS, notional(iii): Not rated Class A-R, not applicable: Not rated (i)The collateral and structural information in this report reflect the private placement memorandum dated Aug. 11, 2023. The ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)Notional balance. (iii)The notional amount equals the loans' aggregate unpaid principal balance. JPMCC MORTGAGE 2019-BROOK: Fitch Affirms B- Rating on Class F Certs ------------------------------------------------------------------- Fitch Ratings has affirmed seven classes of JPMCC Mortgage Securities Trust 2019-BROOK Commercial Mortgage Pass-Through Certificates. The Rating Outlooks on four classes were revised to Negative from Stable. The interest-only class X-CP has been marked as paid-in-full as it is no longer receiving payments. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2019-BROOK A 46591JAA4 LT AAAsf Affirmed AAAsf B 46591JAG1 LT AA-sf Affirmed AA-sf C 46591JAJ5 LT A-sf Affirmed A-sf D 46591JAL0 LT BBB-sf Affirmed BBB-sf E 46591JAN6 LT BB-sf Affirmed BB-sf F 46591JAQ9 LT B-sf Affirmed B-sf X-CP 46591JAC0 LT PIFsf Paid In Full BBB-sf X-EXT 46591JAE6 LT BBB-sf Affirmed BBB-sf TRANSACTION SUMMARY The JPMCC Mortgage Securities Trust 2019-BROOK Commercial Mortgage Pass-Through Certificates represent the beneficial interest in a trust that holds a three-year, floating-rate, interest-only mortgage with an original balance of $382.5 million, mezzanine debt of $46.5 million and future funding of $26.0 million with two, one-year extension options. The loan was originally secured by the fee interests in 25 office properties and two industrial properties with a total of 4.3 million square feet (sf) located in six states. KEY RATING DRIVERS Decline in Cash Flow and Occupancy: The Outlook revisions to Negative on classes E and F reflect portfolio level performance declines. Overall occupancy declined to 68.9% as of June 2023 compared to 74.2% as of June 2022 and 81.3% at issuance. The decline in occupancy is due to several tenants vacating at lease expiration. As a result of the falling occupancy combined with operating expense increases, the servicer reported NCF declined to $24.1 million as of YE 2022 from $30.6 million as of YE 2021 and $32.6 million as of YE 2020. Property Release: Since Issuance, two properties have been released from the portfolio resulting in $43.3 million (11.3%) in paydown, increasing credit enhancement (CE) to the senior classes. One industrial property (3.9% of allocated loan amount) is reportedly under contract to be sold and will likely be released in the coming months. The portfolio primarily comprises class B suburban office properties. Given the Negative Outlook for the sector Fitch increased the cap rate to 9.5% from 8.5% at issuance. Diverse Portfolio: The loan is secured by 24 office properties and one industrial property located in six states. The three states with the largest concentrations are Pennsylvania (13 properties; 30.3%), Texas (five properties; 27.3%) and Florida (three properties; 15.9%). The portfolio consists of more than 400 unique tenants. The largest portfolio tenant is 2.3% of NRA and the top five tenants represent approximately 7.9% of NRA. Fitch Leverage: The $339.2 million mortgage loan has a Fitch debt service coverage ratio (DSCR) and loan-to-value (LTV) of 0.74x and 122.4%, respectively, and debt of $85 psf. The capital stack also includes a $43.6 million mezzanine loan. The total debt Fitch DSCR and LTV are 0.65x and 138.2%, respectively, and the total debt of $96 psf. Sponsorship: The sponsors, Brookwood, acquired the portfolio between 2007 and 2016 for a total purchase price of $430 million. The sponsors have invested approximately $35 million since purchasing the properties. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A significant and sustained decline in asset performance and/or market occupancy; - A significant and sustained deterioration in property cash flow. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - A significant and sustained increase in property occupancy and property cash flow; - Additional asset releases resulting in paydown and increased CE. 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. JPMDB COMMERCIAL 2017-C7: Fitch Affirms CCC Rating on F-RR Certs ---------------------------------------------------------------- Fitch Ratings has affirmed the ratings of 13 classes of JPMDB Commercial Mortgage Securities Trust 2017-C7, commercial mortgage pass-through certificates. In addition, the Rating Outlooks on classes C, D, E-RR and X-D were revised to Negative from Stable. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- JPMDB 2017-C7 A-3 46648KAS5 LT AAAsf Affirmed AAAsf A-4 46648KAT3 LT AAAsf Affirmed AAAsf A-5 46648KAU0 LT AAAsf Affirmed AAAsf A-S 46648KAY2 LT AAAsf Affirmed AAAsf A-SB 46648KAV8 LT AAAsf Affirmed AAAsf B 46648KAZ9 LT AA-sf Affirmed AA-sf C 46648KBA3 LT A-sf Affirmed A-sf D 46648KAC0 LT BBB-sf Affirmed BBB-sf E-RR 46648KAE6 LT Bsf Affirmed Bsf F-RR 46648KAG1 LT CCCsf Affirmed CCCsf X-A 46648KAW6 LT AAAsf Affirmed AAAsf X-B 46648KAX4 LT AA-sf Affirmed AA-sf X-D 46648KAA4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Stable Loss Expectations: Loss expectations for the pool remain stable since Fitch's prior rating action. Six loans (22.8% of pool) were flagged as Fitch Loans of Concern (FLOCs), including three office properties in the top 15 with upcoming rollover concerns and/or declining performance. There are currently no loans in special servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 3.70%. The Negative Outlooks on the classes C, D, E-RR and X-D reflect performance concerns and high overall exposure to office loans (37.4% of the pool), particularly Station Place III (6.3%) and First Stamford Place (5.4%). Fitch Loans of Concern: The largest contributor to overall expected losses is the Preston Plaza (2.6%) loan, which is secured by a secured by a 259,009-sf, suburban office property located in Dallas, TX. The property's occupancy and cashflow has declined since issuance due to multiple tenants vacating upon lease expiry. The property's largest tenants include Slater Matsil LLP (10.3% of NRA, leased through April 2024); The Ayco Company (9.9%, December 2024); and CIM Commercial Trust (3.4%, July 2025). The property was 64% occupied as of the March 2023 rent roll. According to the servicer, the property's largest tenant, Slater Matsil LLP (10.3%) is currently re-evaluating their space needs and has indicated that they would like to downsize. The property's second largest tenant, Ayco (9.9%), has stated to the borrower that they plan on consolidating to another property. The NOI DSCR for the property was 0.84x as of March 2023, down slightly from 1.02x at YE 2022, unchanged from YE 2021, 1.91x as of YE 2020, and 2.29x at YE 2019. The property is located in the Quorum/Bent tree office submarket. Per Q2 CoStar 2023 data, Submarket asking rents average $28.47 psf, submarket vacancy rate is 20.9% and the availability rate is 24.4%. Fitch's 'Bsf' case loss of 27.1% (prior to a concentration adjustment) is based on a 10% cap rate and 15% stress to the TTM ended March 2023 NOI. The second largest contributor to overall expected losses is the First Stamford Place (5.4%) loan, which is secured by an 810,471-sf office building located in Stamford, CT. The property's occupancy has trended down since issuance due to several tenants vacating upon lease expiry. As of March 2023, the property was 72.9% occupied, 71.4% at YE 2022, compared to 75.3% at YE 2021, 82% at YE 2020, 84% at YE 2019, and 88% at YE 2017. NOI debt service coverage ratio (DSCR) also declined to 1.56x as of March 2023, from 1.91x at YE 2022, 2.47x at YE 2021, 2.93x at YE 2020 and 2.82x at YE 2019. The rent roll is granular with more than 40 different tenants. Near-term lease rollover includes 4.5% of the NRA in 2023 and 3.9% in 2024. The property is located in the Stamford office submarket. Per Q2 CoStar 2023 data, Submarket asking rents average $38.85 psf, submarket vacancy rate is 21.5% and the availability rate is 26.8%. Fitch's 'Bsf' case loss of 6.4% (prior to a concentration adjustment) is based on a 10% cap rate with a 5% stress to YE 2022 NOI to account for the decline in performance of the property. Fitch is also monitoring the performance of the Station Place III (6.3%) loan, which is secured by a 517,653-sf office property located in the CBD of Washington, D.C. The property was built in 2009 as part of the Station Place Complex, which is comprised of three interconnected office buildings that were built-to-suit as the headquarters for the U.S. Securities and Exchange Commission (SEC). According to the servicer, the property's largest tenant, the SEC (40.2% of NRA; 38.9% of base rent) will not be renewing/extending their lease at the property upon lease expiry in September 2023; the loan is cash management due to SEC not renewing its lease. The loan has a total of $20.0 million in reserves as of July 2023, which includes a $13.8 million rollover reserve fund for the major tenant (SEC) trigger event. Fitch's 'Bsf' case loss of 3.4% (prior to a concentration adjustment) is based on a 8.75% cap rate and 40% stress to the YE 2022 NOI to reflect the lease rollover of the property's largest tenant. Increase in credit enhancement: As of the August 2023 remittance reporting, the pool's aggregate principal balance has been paid down by 8.5% to $1.01 billion from $1.11 billion at issuance. Two loans in the pool (1.3% of the pool) are fully defeased and five loans has been paid off (4.9% of original pool balance) since issuance. To date, the trust has not incurred any realized losses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' and 'AA-sf' are not considered likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades of classes C, D, E-RR and X-D are possible should Fitch's projected losses increase substantially from further declines in pool performance, additional loan defaults and/or greater than expected losses on the Station Place III and First Stamford Place loans. Downgrades to the F-RR class is possible with a greater certainty of losses and/or should the performance of the FLOCs fail to stabilize or decline further. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that lead to upgrades would include stable to improved asset performance coupled with additional paydown and/or defeasance. Upgrades of classes B, X-B and C would likely occur with a significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or further underperformance or default of the FLOCs could cause this trend to reverse. Upgrades to classes D and X-D would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades to classes E-RR and F-RR 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. KVK CLO 2013-1: S&P Raises Class E-R Notes Rating to BB+ (sf) ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class C-R, D-R, and E-R notes from KVK CLO 2013-1 Ltd. S&P also removed the class C-R and D-R ratings from CreditWatch, where it placed them with positive implications on June 30, 2023. The rating actions follow its review of the transaction's performance using data from the July 3, 2023, trustee report. The transaction has paid down $130.5 million in collective paydowns to the class A-R and B-R notes since our November 2021 rating actions, resulting in full payment to those notes. The transaction has also paid down $0.8 million to the class C-R notes since our previous rating actions, with 97.4% of class C-R still outstanding. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the Sept. 2, 2021, trustee report, which S&P used for its previous rating actions: -- The class C O/C ratio improved to 234.92% from 142.57%. -- The class D O/C ratio improved to 146.24% from 122.13%. -- The class E O/C ratio improved to 117.32% from 111.68%. -- The higher coverage tests for the class C-R, D-R, and E-R indicate an increase in their credit support. Collateral obligations with ratings in the 'CCC' category have increased slightly, with $22.7 million reported as of the July 2023 trustee report, compared with $20.5 million reported as of the September 2021 trustee report. As the portfolio continues to shrink, the 'CCC' category will likely continue to increase on a percentage basis, now representing over 20% of the portfolio. However, despite the slightly larger concentrations in 'CCC' category, the transaction has benefited from the paydowns and a drop in the par amount of defaulted collateral to zero from $2.7 million over the same period. Additionally, the weighted average life has decreased due to underlying collateral's seasoning, with 2.2 years reported as of the July 2023 trustee report, compared with 3.4 years reported at the time of our November 2021 rating actions. The upgraded ratings reflect the improved credit support available to the notes relative to their prior rating levels. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D-R and E-R notes. However, due to the increasing concentration risk of this transaction and the exposure to 'CCC' rated collateral obligations, S&P limited the upgrade on the class D-R and E-R notes to offset future potential credit migration in the underlying collateral. S&P's rating actions also reflect additional sensitivity runs that considered the exposure to lower quality assets and distressed prices in the portfolio. 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." KVK CLO 2013-1 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. Rating Raised KVK CLO 2013-1 Ltd. Class E-R to BB+ (sf) from BB- (sf) Ratings Raised And Removed From CreditWatch Positive KVK CLO 2013-1 Ltd. Class C-R to AAA (sf) from AA+ (sf)/Watch Positive Class D-R to AA+ (sf) from A- (sf)/Watch Positive LONGFELLOW PLACE: S&P Affirms B- (sf) Rating on Class E-RR Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R3, C-R3, and D-RR notes from Longfellow Place CLO Ltd. At the same time, S&P removed the class B-R3 and C-R3 ratings from CreditWatch, where it placed them with positive implications on June 30,2023. S&P also affirmed its rating on the class E-RR notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the July 2023 trustee report. Since S&P's June 2022 rating actions, the transaction has paid down $161.13 million to the class A-R3 and B-R3 notes. Since the April 2022 trustee report, which it used for our previous rating actions, the following reported overcollateralization (O/C) ratios have changed: -- The class A/B O/C ratio improved to 200.78% from 141.74%. -- The class C O/C ratio improved to 148.96% from 126.06%. -- The class D O/C ratio improved to 120.63% from 114.53%. -- However, the class E O/C ratio declined to 105.54% from 107.16%. 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 due to an increase in haircuts for excess 'CCC' exposure and an uptick in defaults. Collateral obligations with ratings in the 'CCC' category have decreased in terms of absolute value to $18.39 million as of the July 2023 trustee report from $25.92 million reported as of the April 2022 trustee report. However, the concentration of the 'CCC (sf)' rated assets have increased to 10.9% from 7.8% due to the portfolio getting more concentrated, currently with 68 obligors. Defaults have increased to $4.01 million from $3.86 million. However, despite the slightly larger concentrations in 'CCC' category, and an increase in defaults and par loss, the transaction's paydowns have offset their impact for the senior tranches. The raised ratings reflect the improved credit support available to the notes at the prior rating levels. The affirmed rating reflects adequate credit support at the current rating level. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D-RR notes. However, because the transaction currently has some exposure to 'CCC (sf)' rated collateral obligations, defaulted assets, S&P limited the upgrade on some classes to offset future potential credit migration in the underlying collateral. Although the cash flow results indicated a lower rating for the class E-RR notes to 'CCC+ (sf)', S&P believes the class does not meet its 'CCC' rating definition given the overall credit quality of the pool, passing coverage tests, the relatively stable O/C ratios, which currently have a significant cushion over their minimum requirements, and the class is current on interest. However, any increase in defaults or par losses could lead to negative rating actions on the class E-RR notes in the future. 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." Longfellow Place CLO 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. S&P said, "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." S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as S&P deems necessary. Ratings Raised And Removed From CreditWatch Positive Longfellow Place CLO Ltd. Class B-R3 to 'AAA (sf)' from 'AA+ (sf)/Watch Pos' Class C-R3 to 'AAA (sf)' from 'AA- (sf)/Watch Pos' Ratings Raised Longfellow Place CLO Ltd. Class D-RR to 'A- (sf)' from 'BBB (sf)' Ratings Affirmed Longfellow Place CLO Ltd. Class E-RR: B- (sf) LUNAR AIRCRAFT 2020-1: Fitch Hikes Rating on Cl. C Notes to 'BB-sf' ------------------------------------------------------------------- Fitch Ratings has upgraded the ratings of Lunar Aircraft 2020-1 Limited's class A, B, and C notes to A-sf', 'BBB-sf', and 'BB-sf', from 'BBBsf', 'BBsf' and 'Bsf', respectively. The ratings have been assigned a Stable Outlook. This transaction, along with the rest of the portfolio of aircraft operating lease ABS transactions that Fitch performs surveillance on, was placed Under Criteria Observation (UCO) in June of 2023 following Fitch's publication of new Aircraft Operating Lease ABS Criteria. These ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structure to withstand stress scenarios commensurate with their respective ratings within the framework of Fitch's new criteria and related asset model. The rating actions also consider lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, which inform its modeled cash flows and coverage levels. Fitch's updated rating assumptions for airlines are based on a variety of performance metrics and airline characteristics. Entity/Debt Rating Prior ----------- ------ ----- Lunar Aircraft 2020-1 Limited A 55037LAA2 LT A-sf Upgrade BBBsf B 55037LAB0 LT BBB-sf Upgrade BBsf C 55037LAC8 LT BB-sf Upgrade Bsf TRANSACTION SUMMARY Portfolio performance has broadly improved since its review in January 2023. The lessees are all current (no payables over 30 days past-due) compared to four of 12 lessees being delinquent as of last review. Year-over-year collection trends have improved. The class A notes and class B notes continued to receive timely interest and have caught up to their scheduled principal balances. The class C notes, however, have continued to defer interest and principal. The number of power-by-the-hour (PBH) arrangements in which the lessee pays based on usage has decreased, and only one aircraft is currently subject to this arrangement. Fitch considers this to be a positive development as PBH contracts create cash flow volatility and tend to generate less revenue than fixed rental structures. The pool has two aircraft leased to a Ukrainian airline, SkyUp, however, these aircraft have returned to service and are currently subleased to airlines operating outside of Ukraine according to the servicer. Overall Market Recovery: The global commercial aviation market continues to recover, posting a 47% increase in revenue passenger kilometers (RPKs) in the first half of 2023 compared to the same period last year with June global RPKs recovering to 94% of pre-COVID levels per IATA. Asia-Pacific airlines led the way with a 126% increase in first half 2023 traffic versus last year. Domestic RPKs globally rose 27% in June compared to the prior year and have surpassed pre-pandemic RPKs by 5.1%; June international RPKs climbed 34% compared to the prior year and are approximately 12% below pre-pandemic levels per IATA. International and domestic market performance differs across regions. APAC has seen significant growth in domestic markets, led by China returning to pre-pandemic levels with a 136% June YTD increase in RPKs versus last year. APAC has also enjoyed triple digit international RPK growth, however, there is still room for additional recovery as it has only reached 71% of pre-pandemic levels per IATA. North American and European traffic (domestic and international) continue to rebound with June RPKs marginally exceeding pre-pandemic levels in North America and reaching approximately 95% of pre-pandemic levels in Europe per IATA. Macro Risks: While the commercial aviation market is recovering, the industry faces certain unknowns and potential headwinds including workforce shortages, supply chain issues, geopolitical risks, inflation, and recessionary concerns and any associated reductions in passenger demand. Such events may lead to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cashflows needed to meet debt service. KEY RATING DRIVERS Asset Values: The aircraft have maintained their values with deprecation of only 4.3% from February 2022 to February 2023 (using mean maintenance-adjusted base value to control for changes in Fitch's approach to determining the Fitch Value.) The Fitch Value for the pool is $192 million. Fitch used the most recent appraisal as of February 2023 and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch employs a methodology whereby Fitch varies the type of value per aircraft based on the remaining leasable life: 3 years of leasable life, but >15 years old: Maintenance-adjusted base value; MALLINCKRODT PLC: Davis Polk Advises Noteholders in Chapter 11 -------------------------------------------------------------- Davis Polk is advising an ad hoc group of holders of first-lien notes due 2025 in connection with the chapter 11 restructuring of Mallinckrodt plc and certain of its subsidiaries (collectively, "Mallinckrodt"). Certain members of the ad hoc group are providing backstop commitment and funding of a $250 million debtor-in-possession term loan facility to Mallinckrodt. On August 23, 2023, Mallinckrodt, holders of approximately 72% of the aggregate principal amount of Mallinckrodt's first-lien debt and approximately 71% of the aggregate principal amount of Mallinckrodt's second-lien debt, and the Opioid Master Disbursement Trust II ("Opioid Trust") entered into a restructuring support agreement (RSA). On August 28, 2023, Mallinckrodt filed for chapter 11 bankruptcy in the United States Bankruptcy Court for the District of Delaware and filed a prepackaged plan of reorganization and disclosure statement effectuating the terms of the restructuring contemplated by the RSA. On August 30, 2023, at Mallinckrodt's first day hearing, the debtor-in-possession term loan facility was approved on an interim basis. Pursuant to the RSA and the plan, Mallinckrodt will reduce its first-lien term debt from $2.86 billion to $1.65 billion, which may be in the form of either a new money syndicated credit facility or takeback debt distributed to post-petition term lenders and prepetition first-lien creditors, and will eliminate its second-lien debt entirely. Holders of the first-lien term debt will receive 92.3% of Mallinckrodt's reorganized equity (subject to certain dilution), cash (subject to certain specified thresholds) and takeback debt (or cash in lieu thereof). Holders of the second-lien debt will receive 7.7% of Mallinckrodt's reorganized equity (subject to certain dilution). The Opioid Trust settled its deferred cash payment claims with a single lump sum cash payment of $250 million prior to the commencement of the chapter 11 bankruptcy and a four-year contingent value right for 5% of Mallinckrodt's reorganized equity (subject to certain dilution). Mallinckrodt is a global business consisting of multiple wholly owned subsidiaries that develop, manufacture, market and distribute specialty pharmaceutical products and therapies. The company's specialty brands reportable segment's areas of focus include autoimmune and rare diseases in specialty areas like neurology, rheumatology, hepatology, nephrology, pulmonology, ophthalmology and oncology; immunotherapy and neonatal respiratory critical care therapies; analgesics; cultured skin substitutes and gastrointestinal products. The company's specialty generics reportable segment includes specialty generic drugs and active pharmaceutical ingredients. The Davis Polk restructuring team includes partners Damian S. Schaible and Darren S. Klein, counsel Aryeh Ethan Falk and Jon Finelli and associates Helen Zhang, Amber Leary and Lily Zhou. The litigation team includes partner James I. McClammy, counsel Marc J. Tobak and associate Allegra M. Bianchini. The tax team includes partner Corey M. Goodman. All members of the Davis Polk team are located in the New York office. Davis Polk refers to Davis Polk & Wardwell LLP, a New York limited liability partnership, and its associated entities. About Mallinckrodt PLC Mallinckrodt -- http://www.mallinckrodt.com/-- is a global business consisting of multiple wholly-owned subsidiaries that develop, manufacture, market and distribute specialty pharmaceutical products and therapies. The company's Specialty Brands reportable segment's areas of focus include autoimmune and rare diseases in specialty areas like neurology, rheumatology, nephrology, pulmonology and ophthalmology; immunotherapy and neonatal respiratory critical care therapies; analgesics; and gastrointestinal products. Its Specialty Generics reportable segment includes specialty generic drugs and active pharmaceutical ingredients. On Oct. 12, 2020, Mallinckrodt plc and certain of its affiliates sought Chapter 11 protection in Delaware (Bankr. D. Del. Lead Case No. 20-12522) to seek approval of a restructuring that would reduce total debt by $1.3 billion and resolve opioid-related claims against them. Mallinckrodt plc disclosed $9,584,626,122 in assets and $8,647,811,427 in liabilities as of Sept. 25, 2020. Judge John T. Dorsey oversees the cases. The Debtors tapped Latham & Watkins, LLP and Richards, Layton & Finger, P.A. as their bankruptcy counsel; Arthur Cox and Wachtell, Lipton, Rosen & Katz as corporate and finance counsel; Ropes & Gray, LLP as litigation counsel; Torys, LLP as CCAA counsel; Guggenheim Securities, LLC as investment banker; and AlixPartners, LLP, as restructuring advisor. Prime Clerk, LLC is the claims agent. The official committee of unsecured creditors retained Cooley, LLP, as its legal counsel; Robinson & Cole, LLP as co-counsel; and Dundon Advisers, LLC as financial advisor. The official committee of opioid-related claimants tapped Akin Gump Strauss Hauer & Feld, LLP as its lead counsel; Cole Schotz as Delaware co-counsel; Province, Inc. as financial advisor; and Jefferies, LLC as investment banker. * * * Mallinckrodt in mid-June 2022 successfully completed its reorganization process, emerged from Chapter 11 and completed the Irish Examinership proceedings. The company said the restructuring strengthens the Company's balance sheet, reduces its total debt by approximately $1.3 billion and enables it to move forward with more than $250 million in cash and cash equivalents on hand. The Plan and Scheme include key legal settlements that resolve opioid claims brought against the Company and litigation matters involving Acthar Gel, among other claims, and provides for significant equitization of the Company's guaranteed unsecured notes. Mallinckrodt Plc said in a regulatory filing in early June 2023 that it was considering a second bankruptcy filing and other options after its lenders raised concerns over an upcoming $200 million payment related to opioid-related litigation. MALLINCKRODT PLC: Receives Court Approval for "First Day" Motions ----------------------------------------------------------------- Mallinckrodt plc (OTCMKTS: MNKTQ), a global specialty pharmaceutical company, on Aug. 30 disclosed that it has received approvals from the U.S. Bankruptcy Court for the District of Delaware for its "First Day" motions related to the Company's voluntary Chapter 11 petitions filed on August 28, 2023. As expected, the Court granted Mallinckrodt approval to access $150 million of the $250 million of commitments for new financing it received from certain of its creditors, as well as new borrowing availability from lenders under its asset-based loans. The approvals granted by the Court also enable the Company to continue paying employee wages, salaries and benefits without interruption and to continue paying vendors and suppliers in the ordinary course, including for any pre-petition amounts owed at the time of filing. Siggi Olafsson, President and Chief Executive Officer of Mallinckrodt, said, "We are pleased to have received prompt approval of these First Day motions, which will enable us to continue operating normally, supporting patients with high-quality therapies, serving customers and working with our business partners. I would also like to thank our customers, vendors, suppliers and other stakeholders for their continued partnership as well as the entire Mallinckrodt team for their continued commitment." Mr. Olafsson continued, "With the overwhelming support of our key stakeholders, we expect Mallinckrodt will emerge from this process on an expedited basis with additional financial flexibility and well-positioned to advance our business priorities and deliver high-quality therapies to our customers and patients." As previously announced, Mallinckrodt entered into a Restructuring Support Agreement with holders of approximately 90% of each of the Company's first and second lien debt and the Opioid Master Disbursement Trust II on the terms of a comprehensive financial restructuring plan. Implementing the financial restructuring contemplated by the RSA will reduce the Company's total funded debt by approximately $1.9 billion, increase free cash flow generation, extend maturity runway and better position the business for long-term success. Additional Information Additional information is available on Mallinckrodt's restructuring website at www.MNKrestructuring.com. Important information about the Chapter 11 Cases, including court filings and other information related to the proceedings, are available on a separate website administrated by the Company's claims agent, Kroll, at https://restructuring.ra.kroll.com/mallinckrodt2023; by calling Kroll representatives toll-free at +1-844-245-7926, or +1-646-440-4855 for calls originating outside of the U.S. or Canada; or by emailing Kroll at mallinckrodt2023info@ra.kroll.com. Vendors, suppliers and trade partners should direct any inquiries to the Company at +1-908-238-5650 or Supplier.Inquiry@mnk.com. Latham & Watkins LLP, Wachtell, Lipton, Rosen & Katz, Arthur Cox LLP, Richards, Layton & Finger PA, and Hogan Lovells US LLP are serving as Mallinckrodt's counsel. Guggenheim Securities, LLC is serving as investment banker, and AlixPartners LLP is serving as restructuring advisor. About Mallinckrodt PLC Mallinckrodt -- http://www.mallinckrodt.com/-- is a global business consisting of multiple wholly-owned subsidiaries that develop, manufacture, market and distribute specialty pharmaceutical products and therapies. The company's Specialty Brands reportable segment's areas of focus include autoimmune and rare diseases in specialty areas like neurology, rheumatology, nephrology, pulmonology and ophthalmology; immunotherapy and neonatal respiratory critical care therapies; analgesics; and gastrointestinal products. Its Specialty Generics reportable segment ncludes specialty generic drugs and active pharmaceutical ingredients. On Oct. 12, 2020, Mallinckrodt plc and certain of its affiliates sought Chapter 11 protection in Delaware (Bankr. D. Del. Lead Case No. 20-12522) to seek approval of a restructuring that would reduce total debt by $1.3 billion and resolve opioid-related claims against them. Mallinckrodt plc disclosed $9,584,626,122 in assets and $8,647,811,427 in liabilities as of Sept. 25, 2020. Judge John T. Dorsey oversees the cases. The Debtors tapped Latham & Watkins, LLP and Richards, Layton & Finger, P.A., as their bankruptcy counsel; Arthur Cox and Wachtell, Lipton, Rosen & Katz as corporate and finance counsel; Ropes & Gray, LLP as litigation counsel; Torys, LLP as CCAA counsel; Guggenheim Securities, LLC as investment banker; and AlixPartners, LLP, as restructuring advisor. Prime Clerk, LLC is the claims agent. The official committee of unsecured creditors retained Cooley, LLP, as its legal counsel; Robinson & Cole, LLP as co-counsel; and Dundon Advisers, LLC as financial advisor. The official committee of opioid-related claimants tapped Akin Gump Strauss Hauer & Feld, LLP as its lead counsel; Cole Schotz as Delaware co-counsel; Province, Inc. as financial advisor; and Jefferies, LLC as investment banker. * * * Mallinckrodt in mid-June 2022 successfully completed its reorganization process, emerged from Chapter 11 and completed the Irish Examinership proceedings. The company said the restructuring strengthens the Company's balance sheet, reduces its total debt by approximately $1.3 billion and enables it to move forward with more than $250 million in cash and cash equivalents on hand. The Plan and Scheme include key legal settlements that resolve opioid claims brought against the Company and litigation matters involving Acthar Gel, among other claims, and provides for significant equitization of the Company's guaranteed unsecured notes. Mallinckrodt Plc said in a regulatory filing in early June 2023 that it was considering a second bankruptcy filing and other options after its lenders raised concerns over an upcoming $200 million payment related to opioid-related litigation. MAN US 2023-1: Fitch Gives 'BB-(EXP)sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Man US CLO 2023-1 Ltd. Entity/Debt Rating ----------- ------ MAN US CLO 2023-1 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 Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Man US CLO 2023-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLG LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor of the indicative portfolio is 23.2, versus a maximum covenant, in accordance with the initial expected matrix point of 25.0. 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 99.5% first-lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 76.3% versus a minimum covenant, in accordance with the initial expected matrix point of 74.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BB+sf' and 'AA-sf' for class B notes, between 'B+sf' and 'A-sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D notes; and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class C notes, 'A+sf' for class D notes; and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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. MAXUS ENERGY: PSE&G Not Allowed to Amend Proof of Claim ------------------------------------------------------- Bankruptcy Judge Craig T. Goldblatt for the District of Delaware denies PSE&G's cross-motion for leave to file an amended proof of claim in the bankruptcy case captioned as In re: MAXUS ENERGY CORPORATION, et al., Chapter 11, Debtors, (Case No. 16-11501, Jointly Administered) (Bankr. D. Del.). In August 2016, the Court entered an order establishing a bar date of Oct. 31, 2016. PSE&G filed a timely proof of claim in these bankruptcy cases. It now seeks leave to amend that claim, years after the bar date has passed and after the Liquidating Trustee has achieved a settlement that has brought hundreds of millions of dollars of cash into the estate for distribution to creditors. The motion is vigorously opposed by the Liquidating Trustee and Occidental Chemical, another creditor of the Debtors. The Court believes that leave to file an amended proof of claim after the bar date should be granted only if the amounts sought in the amended proof of claim are fairly encompassed by the timely-filed proof of claim. The standard typically applied when considering a motion for leave to amend a proof of claim after the passage of the bar date is to ask whether the proposed amended proof of claim seeks to recover damages that are fairly encompassed within the original proof of claim. If it does, the motion for leave to file an amended proof of claim should be denied. If it does not, then the motion should be granted -- though in that case it is also unnecessary, as the original proof of claim would be sufficient to permit PSE&G to prove up, at a claims allowance hearing, the damages that are within the scope of the original proof of claim. Based on the Court's review of the proofs of claim at issue, and the evidence submitted during the Aug. 21, 2023 evidentiary hearing, the Court reads PSE&G's original proof of claim to be limited (subject to one inapplicable exception) to recovering its share of the costs that were borne by the Lower Passaic River Study Area Cooperating Parties Group (to which the parties refer as the "CPG"), of which PSE&G was a member. The parties do not dispute that PSE&G's amended proof of claim seeks the recovery of costs that PSE&G allegedly incurred in connection with addressing the environmental damage to the Passaic River that were unrelated to its participation as a member of the CPG. The Court concludes, however, that the original PSE&G claim was limited to costs that (except for costs related to the Kearny site, which are not included in the amended proof of claim) were encompassed within the CPG proof of claim. Because the amended proof of claim does not seek costs related to the Kearny site, the Court determines that the original proof of claim would not have put the Debtors or other parties in interest fairly on notice that PSE&G sought to recover on the various claims described in the proposed amended proof of claim that are independent of the CPG claim. The Court explains that "the costs for which PSE&G seeks recovery are amounts relating to the cleanup of the Passaic River, following the discharge of dioxin, for which the Debtors are alleged to be liable under various environmental laws". . . which "is insufficient for this purpose." The Court points out that "in the context of amending a proof of claim after the bar date. . . the doctrine that otherwise governs motions for leave to amend proofs of claim, Civil Rule 15's "transaction or occurrence" test would not allow a claim to 'relate back' to original filing if it seeks damages that were not fairly encompassed n the original claim." A full-text copy of the MEMORANDUM OPINION dated August 28, 2023, is available https://tinyurl.com/yc2s47y4 from Leagle.com. About Maxus Energy Corporation Maxus Energy Corporation and four of its subsidiaries filed voluntary petitions for reorganization under Chapter 11 (Bankr. D. Del. Lead Case No. 16-11501) on June 17, 2016. The Debtors engaged Young Conaway Stargatt & Taylor, LLP, as local counsel, Morrison & Foerster LLP as general bankruptcy counsel, Zolfo Cooper, LLC, as financial advisor and Prime Clerk LLC as claims and noticing agent. The Debtors hired Keen-Summit Capital Partners LLC as real estate broker. The Debtors also engaged Hilco Steambank to market and sell their internet protocol numbers and other internet number resources, and EnergyNet.com to market and sell the Debtors' rights, title, and interest in and to the oil and gas properties. On July 7, 2016, the United States Trustee for the District of Delaware filed Notice of Appointment of Committee of Unsecured Creditors. The Committee selected Schulte Roth & Zabell LLP as counsel, and Cole Schotz as Delaware co-counsel. Berkeley Research Group, LLC, serves as financial advisor for the Committee. Andrew Vara, acting U.S. Trustee for Region 3, appointed the following to a committee of retirees: John Leslie Jackson, Sr., Gerald G. Carlton, and Robert E. Garbesi. The Retirees Committee retained Akin Gump Strauss Hauer & Feld LLP as counsel and Ashby & Geddes, P.A., as co-counsel. MFA TRUST 2023-NQM3: Fitch Gives 'B(EXP)' Rating on Cl. B-2 Certs ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by MFA 2023-NQM3 Trust (MFA 2023-NQM3). Entity/Debt Rating ----------- ------ MFA 2023-NQM3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B- LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating COLLAT LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by MFA 2023-NQM3 Trust (MFA 2023-NQM3). The certificates are supported by 831 nonprime loans with a total balance of approximately $387 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation and others. Loans were aggregated by MFA Financial, Inc (MFA). Loans are currently serviced by Citadel Servicing Corporation and Planet Home Lending. All but 20 loans serviced by Citadel Servicing Corporation are subserviced by ServiceMac LLC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 7.0% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23, down 0.2% since the prior quarter). Home prices declined 0.5% yoy nationally as of May 2023. Non-QM Credit Quality (Negative): The collateral consists of 831 loans, totaling $387 million and seasoned approximately six months in aggregate. The borrowers have a moderate credit profile of a 719 Fitch model FICO and leverage with a 73.3% sustainable loan-to-value ratio (sLTV). The pool consists of 54.6% of loans where the borrower maintains a primary residence, while 45.4% comprise an investor property or second home. Additionally, 57.3% are nonqualified mortgage (non-QM) while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrower/collateral types, including second lien, foreign nationals and nonstandard property types. Fitch's expected loss in the 'AAAsf' stress is 23.50%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Around 82.7% of loans in the pool were underwritten to less than full documentation and 47.0% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (ATR Rule) or the Rule. This reduces risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Fitch's treatment of alternative loan documentation increased 'AAAsf' expected losses by 650 bps, compared with a deal of 100% fully documented loans. High Percentage of DSCR Loans (Negative): There are 360 debt service coverage ratio (DSCR) and 20 property focused investor loans, otherwise known as 'no ratio' products in the pool (45.7% by loan count). These business-purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Fitch's treatment for DSCR loans results in a higher Fitch reported nonzero DTI. Further, no ratio loans are treats as 100% DTI. Fitch's expected losses for DSCR loans is 32.5% in the 'AAAsf' stress. Modified Sequential-Payment Structure with No 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 not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. MFA 2023-NQM3 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to the class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. As additional analysis to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut, based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. 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 39.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. ESG CONSIDERATIONS 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 2015-C25: Fitch Affirms B- Rating on Class F Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2015-C25 (MSBAM 2015-C25). Fitch has revised the Rating Outlook on classes D, X-D, E and F to Negative from Stable. All other classes Outlooks are Stable. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C25 A-3 61765TAD5 LT AAAsf Affirmed AAAsf A-4 61765TAE3 LT AAAsf Affirmed AAAsf A-5 61765TAF0 LT AAAsf Affirmed AAAsf A-S 61765TAK9 LT AAAsf Affirmed AAAsf A-SB 61765TAC7 LT AAAsf Affirmed AAAsf B 61765TAL7 LT AA-sf Affirmed AA-sf C 61765TAM5 LT A-sf Affirmed A-sf D 61765TAN3 LT BBB-sf Affirmed BBB-sf E 61765TAP8 LT BB-sf Affirmed BB-sf F 61765TAR4 LT B-sf Affirmed B-sf X-A 61765TAG8 LT AAAsf Affirmed AAAsf X-B 61765TAH6 LT AAAsf Affirmed AAAsf X-D 61765TAJ2 LT BBB-sf Affirmed BBB-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. The affirmations reflect the impact of the updated criteria and generally stable pool performance and loss expectations since the prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.7%. Nine loans are considered Fitch Loans of Concern (FLOCs; 31.2% of pool). There are no loans currently in special servicing. While the pool's performance has remained generally stable, the Negative Outlooks reflects concerns with certain mixed use and office FLOCs, specifically Herald Center (11.3% of the pool), 261 Fifth Avenue (10.8%) and Landmark Towers (1.5%). The largest contributor to pool loss expectations is the 261 Fifth Avenue loan, which is secured by a 441,922-sf office building located at the southeast corner of 29th Street and 5th Avenue in Manhattan that was built in 1928 and renovated in 2015. The reported occupancy at the property was 84% as of March 2023, 79.5% as of YE 2021 and was approximately 99% around the time of issuance. The rent roll is granular, with the largest tenants Town and Country Holdings leasing 8% of the NRA through September 2031 and Dan Klores Communications leasing 7.4% of the NRA through April 2032). It is expected that Tumi (5.8%) would vacate its space in 2023. The loan is scheduled to mature in September 2025. Fitch's 'Bsf' rating case loss of approximately 25% prior to a concentration adjustment. The modeled loss reflects a 9.5% cap rate and the March 2023 reported NOI adjusted for expected rollover and recent leasing. The second largest contributor to pool loss expectations is Herald Center, an approximately 250,000-sf mixed use property located at 34th Street and Broadway in the Herald Square retail corridor of Manhattan. The previous largest tenant, ASA College (66.4% of the NRA), closed its doors in 2023. H&M, the primary retail tenant (25.2% of NRA), remains open and has a lease expiration in 2041. The property benefits from its location near various transit lines including Penn Station. The sponsor is working to lease up the vacant office space. Other retail tenants include Verizon and Bank of America. The loan is scheduled to mature in January 2024. Fitch's 'Bsf' rating case loss of approximately 8% prior to a concentration adjustment reflects an approximately 17.5% stress to YE 2022 NOI and an 8.5% cap rate. The third largest contributor to overall pool expectations is Landmark Towers, secured by a 275,441 sf office property located outside of downtown Oklahoma City, OK. The property was built in 1967 and renovated in 2021. Occupancy has declined to 46% as of March 2023 compared with 82% underwritten at issuance, with additional rollover possible in 2023. As of YE 2022, NOI DSCR has declined below 1.0x to 0.77x. The loan is scheduled to mature in August 2025. Fitch's 'Bsf' rating case loss of approximately 34% prior to a concentration adjustment reflects a 10% stress to YE 2022 NOI and an 10.0% cap rate. Increasing Credit Enhancement: As of the July 2023 distribution date, the pool's aggregate balance has been paid down by 13.3% to $1.02 billion from $1.18 billion at issuance. Nine loans (11.7%) are defeased. Four loans (24.3%) are full-term interest-only (IO), and 29 loans (54.9%) that had a partial-term, IO component at issuance have fully transitioned into their amortization period. Pool Concentration: The top 10 loans comprise 58.2% of the pool. Loan maturities are concentrated in 2025 (88.7%). One loan, Herald Center (11.3%) matures in 2024. Based on property type (excluding defeased loans), the largest concentrations are office at 23.2%, retail at 21.4%, mixed use at 16.0% and multifamily at 15.5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Factors that could lead to downgrades include an increase in pool-level expected losses from underperforming loans including FLOCs, specifically office and mixed use properties. Downgrades of classes rated 'AAAsf' and 'AA-sf' are not likely due to sufficient CE and expected continued amortization, but may occur should interest shortfalls affect these classes. Downgrades of classes rated 'A-sf' and 'BBB-sf' may occur if overall pool losses increase significantly or if one or more large FLOCs have an outsized loss which would erode CE. Classes E and F could be downgraded with continued performance decline of the FLOCs and/or loans default or transfer to special servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that could lead to upgrades include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B, C, D and X-D may occur with significant improvement in CE and/or defeasance but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes E and F are not likely until the later years in a transaction, and only if performance of the FLOCs improve significantly and/or if 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. MORGAN STANLEY 2019-PLND: Moody's Cuts Rating on Cl. D Certs to B1 ------------------------------------------------------------------ Moody's Investors Service has downgraded ratings on four classes of Morgan Stanley Capital I Trust 2019-PLND, Commercial Mortgage Pass-Through Certificates, Series 2019-PLND as follows: Cl. A, Downgraded to Aa2 (sf); previously on Sep 3, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on Sep 3, 2020 Affirmed Aa3 (sf) Cl. C, Downgraded to Baa3 (sf); previously on Sep 3, 2020 Downgraded to Baa1 (sf) Cl. D, Downgraded to B1 (sf); previously on Sep 3, 2020 Downgraded to Ba2 (sf) RATINGS RATIONALE The ratings on the four P&I classes were downgraded due to an increase in total loan exposure due to outstanding advances and the uncertainty around timing and outcome of the resolution of REO collateral. This floating rate loan is secured by two hotels and has been in special servicing since June 2020 as the properties catered to corporate and group business travel in downtown Portland, OR. As of the current distribution date, the loan remains last paid through its December 2020 payment date and the aggregate outstanding servicer advances for loan interest advances, cumulative accrued unpaid advance interest and other expenses were $35.3 million which when added to the outstanding loan balance results in a total loan exposure of $275.3 million. The portfolio's performance continues to improve but is not currently generating enough net cash flow (NCF) to cover the interest only debt service amount. As a result, Moody's expect the advances to remain outstanding and may increase if the property's cash flow does not continue to improve. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. 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 15, 2023 distribution date, the transaction's aggregate certificate balance remains unchanged at $240 million from securitization. The original 5-year (including three one-year extensions), interest only, floating rate loan is secured by fee simple interests in two, full-service hotels totaling 782-guestrooms known as The Hilton Portland Downtown (455 guestrooms) and The Duniway (327 guestrooms), located in Portland, Oregon. The two properties are located adjacent to each other and hotel guests benefit from access to the amenities at both hotels. The loan transferred to special servicing in June 2020 due to monetary default triggered by coronavirus outbreak induced property closures and travel restrictions as well as cancellation of groups. The trust was the high bidder at the January 2023 foreclosure sale and the collateral became REO as of that date. The servicer commentary indicated that the strategy is to stabilize the properties prior to disposition. The portfolio's NCF for 2019 was approximately $16.9 MM in line with the historical NCF that have ranged between $13.3 in 2014 and $19.4 million in 2018. As a result of the pandemic impact, the portfolio did not generate positive NCF until 2022 at $6.8 million. The year-to-date 2023 compared to the same period in 2022 exhibited continued positive cash flow trends; however, due to the current interest rate environment the floating rate loan's interest rate is above 8%, resulting in a DSCR less than 1.00X on the interest only debt service. The updated August 2023 appraisal value of $254.8 million remains greater than the outstanding loan balance but is 14% lower than the appraisal value from June 2022 and 25% below the value at securitization. There was no appraisal reduction amount (ARA) recognized as of the August 2023 remittance date, however, the most recent appraisal value is now 7% lower than the total loan exposure of $275 million when accounting for the total outstanding advances and accrued unpaid interest amounts totaling approximately $35.3 million. Mood's NCF was $14.2 million and the first mortgage balance represents a Moody's LTV ratio of 177%. Moody's first mortgage stressed debt service coverage ratio (DSCR) is 0.64X. There are outstanding interest shortfalls totaling $88,744 affecting Cl. HRR and there are no cumulative losses as of the current distribution date. NEW RESIDENTIAL 2016-1: Moody's Ups Rating on Cl. B-5 Certs to Ba3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 105 bonds from eight transactions issued by New Residential Mortgage Loan Trust between 2015 and 2018. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral has multiple servicers and Nationstar Mortgage LLC is the master servicer for all deals. A list of Affected Credit Ratings is available at https://urlcurt.com/u?l=rDY7d3 The complete rating actions are as follows: Issuer: New Residential Mortgage Loan Trust 2015-1 Cl. B-1, Upgraded to Aaa (sf); previously on Jun 25, 2015 Definitive Rating Assigned Aa1 (sf) Cl. B1-IO*, Upgraded to Aaa (sf); previously on Jun 25, 2015 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on May 7, 2019 Upgraded to Aa2 (sf) Cl. B2-IO*, Upgraded to Aa1 (sf); previously on May 7, 2019 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on May 7, 2019 Upgraded to A2 (sf) Cl. B-4, Upgraded to A2 (sf); previously on May 7, 2019 Upgraded to A3 (sf) Cl. B-5, Upgraded to Baa2 (sf); previously on May 7, 2019 Upgraded to Baa3 (sf) Issuer: New Residential Mortgage Loan Trust 2015-2 Cl. B-2, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B2-IO*, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Jan 22, 2020 Upgraded to A2 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Jan 22, 2020 Upgraded to Baa1 (sf) Issuer: New Residential Mortgage Loan Trust 2016-1 Cl. A-4, Upgraded to Aaa (sf); previously on Mar 31, 2016 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 31, 2016 Definitive Rating Assigned Aa2 (sf) Cl. B1-IO*, Upgraded to Aa1 (sf); previously on Mar 31, 2016 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on May 7, 2019 Upgraded to A1 (sf) Cl. B2-IO*, Upgraded to Aa2 (sf); previously on May 7, 2019 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on May 7, 2019 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on May 7, 2019 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Sep 28, 2020 Downgraded to B1 (sf) Issuer: New Residential Mortgage Loan Trust 2016-2 Cl. B-3, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Mar 9, 2022 Upgraded to Ba2 (sf) Issuer: New Residential Mortgage Loan Trust 2017-6 Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 13, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Oct 13, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Oct 13, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Oct 13, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Oct 13, 2017 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Oct 13, 2017 Definitive Rating Assigned A2 (sf) Cl. B-2B, Upgraded to Aa3 (sf); previously on Oct 13, 2017 Definitive Rating Assigned A2 (sf) Cl. B-2C, Upgraded to Aa3 (sf); previously on Oct 13, 2017 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Cl. B-4A, Upgraded to Baa2 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Cl. B-4B, Upgraded to Baa2 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Cl. B-4C, Upgraded to Baa2 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-5A, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-5B, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-5C, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-5D, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-7, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Issuer: New Residential Mortgage Loan Trust 2018-2 Cl. B-2, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2B, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2C, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2D, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3A, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3B, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3C, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3D, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4A, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4B, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4C, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-5, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-5A, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-5B, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-5C, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-5D, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-7, Upgraded to Baa1 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Issuer: New Residential Mortgage Loan Trust 2018-4 Cl. A-3, Upgraded to Aaa (sf); previously on Oct 15, 2018 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aa1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Upgraded to Aa1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A1 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A1 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A1 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A1 (sf) Cl. B-2D, Upgraded to Aa2 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A3 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A3 (sf) Cl. B-3B, Upgraded to A1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A3 (sf) Cl. B-3C, Upgraded to A1 (sf); previously on Oct 15, 2018 Definitive Rating Assigned A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-4A, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-4B, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-4C, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-5A, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-5B, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-5C, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-5D, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-7, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Issuer: New Residential Mortgage Loan Trust 2018-5 Cl. B-2, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-2D, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A1 (sf) Cl. B-3A, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A1 (sf) Cl. B-3B, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A1 (sf) Cl. B-3C, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A1 (sf) Cl. B-3D, Upgraded to Aa3 (sf); previously on Mar 9, 2022 Upgraded to A1 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4A, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4B, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4C, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-7, Upgraded to A3 (sf); previously on Mar 9, 2022 Upgraded to Baa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE Today's rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. In Moody's analysis, Moody's considered the likelihood of higher future pool expected losses due to rising borrower defaults driven by an increase in unemployment and inflation while prepayments remain broadly subdued amid elevated interest rates. The actions also reflect Moody's updated loss expectations on the pools which incorporate Moody's assessment of the representations and warranties framework of the transactions, the due diligence findings of the third-party reviews at the time of issuance, and the transactions' servicing arrangement. Principal Methodologies The methodologies used in rating all classes except interest-only classes were "Non-Performing and Re-Performing Loan Securitizations Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. NEWSTAR FAIRFIELD: Fitch Affirms BB- Rating on Cl. D-N Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class A-1-N, A-2-N, B-1-N, B-2-N, C-N and D-N notes of Newstar Fairfield Fund CLO, Ltd. (Newstar Fairfield). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Newstar Fairfield Fund CLO, Ltd. (F/K/A Fifth Street SLF II, Ltd.) A-1-N 65252BAA1 LT AAAsf Affirmed AAAsf A-2-N 65252BAC7 LT AA+sf Affirmed AA+sf B-1-N 65252BAE3 LT A+sf Affirmed A+sf B-2-N 65252BAJ2 LT A+sf Affirmed A+sf C-N 65252BAG8 LT BBB+sf Affirmed BBB+sf D-N 65252CAA9 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Newstar Fairfield is a middle-market (MM) collateralized loan obligation (CLO) managed by First Eagle Alternative Credit, LLC. The transaction closed in September 2015, reset in April 2018 and exited its reinvestment period in April 2023. The CLO is secured primarily by first lien, senior secured MM loans. KEY RATING DRIVERS Cash Flow Analysis As of the July 2023 payment date, the class A notes have paid down by 7.8%. The deleveraging led to increasing credit enhancement levels and model-implied ratings (MIR) exceeding the current rating only for the class D-N notes by one notch. The affirmations are based on the outcome of updated cash flow modelling results including current portfolio and additional sensitivities to incorporate potential future negative migration in the portfolio related to macroeconomic headwinds. The sensitivity analysis included extended weighted average life (WAL) to 4.0 years and a one-notch downgrade on the Fitch Issuer Default Rating (IDR) Equivalency Rating for assets with a Negative Outlook, to reflect the issuer's ability to consent to maturity amendments. Fitch also considered a second sensitivity scenario where, in addition to the aforementioned assumptions, a one-notch downgrade was applied for all assets that had their latest private point-in-time credit opinion updated in 2022. The second sensitivity scenario addressed potential performance volatility driven by persistently high interest rates and recessionary environment. 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. Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The credit quality of the portfolio as of July 2023 reporting is at the 'B-' rating level. The Fitch weighted average rating factor (WARF) of the performing portfolio increased to 32.9 from 32.2 at last review. Fitch classified six issuers as defaulted comprising 4.1% of the portfolio. The portfolio consists of 120 obligors, and the largest 10 obligors represent 17% of the portfolio. The exposure to issuers with a Fitch IDR in the 'CCC' category is 13.9%. First lien loans, cash and eligible investments comprise 99.3% of the portfolio and fixed rated assets 1.7% of the portfolio. Fitch's weighted average recovery rate of the portfolio was 66.1%, compared to 66.5% at last review. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance, except for the largest single obligor test, based on the July 2023 report. 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 no rating downgrade for class A-1-N notes, and downgrades of three notches for the rest of the notes based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to no rating upgrade for the class B-1-N and B-2-N notes, up to five rating notches for the rest of the notes, based on the MIRs, except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions 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. ONE LCM 26: S&P Lowers Class E Notes Rating to 'B+ (sf)' -------------------------------------------------------- S&P Global Ratings lowered its rating on the class E notes from LCM 26 Ltd. and removed it from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-1, B, C, and D notes from the same transaction. LCM 26 Ltd. is a U.S. collateralized loan obligation managed by LCM Asset Management LLC. The rating actions follow S&P's review of the transaction's performance using data from the July 12, 2023, trustee report. Since S&P's Nov. 12, 2021, rating actions, the class A-1 notes had total paydowns of $51.23 million that reduced its outstanding balance to 86% of its original balance. However, despite the paydowns, all the trustee-reported overcollateralization (O/C) ratios declined. The following are the changes in the reported O/C ratios since the Sept. 10, 2021, trustee report, which S&P used for its previous rating actions: -- The senior note O/C ratio declined to 128.03% from 128.20%. -- The class C O/C ratio declined to 117.47% from 118.10%. -- The class D O/C ratio declined to 109.80% from 110.72%. -- The class E O/C ratio declined to 104.83% from 105.90%. Despite the start of senior note paydowns, the decline in the O/C ratios is primarily due to a combination of par losses and an increase in defaults. In addition, the collateral portfolio's credit quality has slightly deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $40.95 million reported as of the July 2023 trustee report, compared with $21.86 million reported as of the September 2021 trustee report. Over the same period, the par amount of defaulted collateral has increased to $2.38 million from $0.76 million. The increase in defaults played a part in the trustee O/C ratio decline, as previously mentioned; though the 'CCC'-category assets increased, on a percentage basis, this remained below the O/C haircut threshold of 7.5% and did not impact the trustee O/C ratios. The lowered rating reflects the class's failing cash flows at the prior rating, the decrease in its credit support, and its current subordination level. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in further ratings changes. S&P said, "We also note that the results of the cash flow analysis indicate higher ratings on the class B and C notes. However, our rating actions consider the decline in all O/C ratios, increase in defaults, and uptick in the 'CCC' exposure, and hence, we prefer to have some cushion to offset the potential for further negative credit migration in the underlying collateral. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. 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 this rating action." LCM 26 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 underlying index. If the trustee reports indicated a credit spread adjustment on any asset, its cash flow analysis considered the same. S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch LCM 26 Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed LCM 26 Ltd. Class A-1: AAA (sf) Class B: AA (sf) Class C: A (sf) Class D: BBB- (sf) PIONEER AIRCRAFT: Fitch Affirms 'Bsf' Rating on Series B Notes -------------------------------------------------------------- Fitch Ratings has affirmed Pioneer Aircraft Finance Limited (Pioneer) series A, B and C notes at 'BBB-sf', 'Bsf' and 'CCCsf', respectively, with a Stable Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- Pioneer Aircraft Finance Limited Series A 72353PAA4 LT BBB-sf Affirmed BBB-sf Series B 72353PAB2 LT Bsf Affirmed Bsf Series C 72353PAC0 LT CCCsf Affirmed CCCsf TRANSACTION SUMMARY This transaction, along with the rest of the portfolio of aircraft operating lease ABS transactions that Fitch performs surveillance on, was placed Under Criteria Observation in June of 2023 following Fitch's publication of new Aircraft Operating Lease ABS Criteria: https://www.fitchratings.com/research/structured-finance/fitch-ratings-updates-aircraft-operating-lease-abs-rating-criteria-23-06-2023 These ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structure to withstand stress scenarios commensurate with their respective ratings within the framework of Fitch's new criteria and related asset model. The rating actions also consider lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, which inform Fitch's modeled cash flows and coverage levels. Fitch's updated rating assumptions for airlines are based on a variety of performance metrics and airline characteristics. Overall, the performance in the portfolio has stabilized. Several lessees remain delinquent, consistent with Fitch's latest review and year-over-year rental collections have decreased modestly. The Series A Notes and Series B Notes continued to receive timely interest, whereas for the Series C Notes interest is capitalizing. The Series A principal shortfall has decreased slightly but remains approximately 7% behind schedule, a marginal improvement versus the prior review. Series B and C Notes have fallen further behind their scheduled principal balances. Overall market recovery: The global commercial aviation market continues to recover, posting a 47% increase in revenue passenger kilometers (RPKs) in the first half of 2023 compared to the same period last year with June global RPKs recovering to 94% of pre-Covid levels per IATA. Asia-Pacific airlines led the way with a 126% increase in first half 2023 traffic versus last year. Domestic RPKs globally rose 27% in June compared to the prior year and have surpassed pre-pandemic RPKs by 5.1%; June international RPKs climbed 34% compared to the prior year and are approximately 12% below pre-pandemic levels per IATA. International and domestic market performance differs across regions. APAC has seen significant growth in domestic markets, led by China returning to pre-pandemic levels with a 136% June YTD increase in RPKs versus last year. APAC has also enjoyed triple digit international RPK growth, however, there is still room for additional recovery as it has only reached 71% of pre-pandemic levels per IATA. North American and European traffic (domestic and international) continue to rebound with June RPKs marginally exceeding pre-pandemic levels in North America and reaching approximately 95% of pre-pandemic levels in Europe per IATA. Macro Risks: While the commercial aviation market has recovered significantly over the past 12 months, it will continue to face certain unknowns and potential headwinds including workforce shortages, inflationary pressures particularly related to labor and fuel costs, supply chain issues, geopolitical risks, and recessionary concerns which would impact passenger demand. Most of these events would lead to increased credit risk due to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cashflows needed to meet debt service. KEY RATING DRIVERS Asset Values: The aggregate pool value decreased by approximately 12% on an annualized basis since last reviewed December 2022 compared to June 2022 using mean maintenance-adjusted base value to control for changes in Fitch's approach to determining the Fitch Value.) This decline is higher than Fitch's expectations. The Fitch value for the pool is $401MM. Fitch used the most recent appraisals as of December 2022 and applied depreciation and market value decline assumptions pursuant to Fitch's criteria. Fitch employs a methodology whereby Fitch varies the type of value per aircraft based on the remaining leasable life: 3 years of Leasable Life, but >15 years old -- Maintenance-adjusted base value; PRKCM 2023-AFC3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to PRKCM 2023-AFC3 Trust's mortgage-backed notes. The note issuance is an RMBS transaction backed by first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest-only periods). The loans are secured by single-family residential properties, planned unit developments, condominiums, townhomes, and two- to four-family residential properties. The pool consists of 816 loans, which are primarily ability-to-repay (ATR)-exempt loans and non-qualified mortgage/ATR-compliant loans. The preliminary ratings are based on the preliminary private placement memorandum dated August 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, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; 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 continue to expect that the U.S. will fall into recession in 2023. Although safeguards from the Federal Reserve and other regulators have stabilized conditions, banking concerns increase risks of a worse outcome. Chances for a worsening recession have increased, with inflation moderating faster than expected in our baseline forecast. 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 (i) PRKCM 2023-AFC3 Trust(i) Class A-1, $213,664,000: AAA (sf) Class A-2, $32,723,000: AA (sf) Class A-3, $31,922,000: A (sf) Class M-1, $14,276,000: BBB (sf) Class B-1, $10,748,000: BB (sf) Class B-2, $8,341,000: B (sf) Class B-3, $9,143,595: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class R, N/A: Not rated (i) The collateral and structural information in this report reflect the preliminary private placement memorandum sheet dated Aug. 21, 2023. The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $320,817,595. N/A--Not applicable. RR 23 LTD: Fitch Gives Final 'BBsf' Rating on Class D-R Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the RR 23 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RR 23 Ltd. A-1a-R LT AAAsf New Rating AAA(EXP)sf A-1b 75000GAE6 LT PIFsf Paid In Full AAAsf A-1b-R LT AAAsf New Rating AAA(EXP)sf A-2 75000GAG1 LT PIFsf Paid In Full AAsf A-2-R LT AAsf New Rating AA(EXP)sf B 75000GAJ5 LT PIFsf Paid In Full Asf B-1-R LT A+sf New Rating A+(EXP)sf B-2-R LT Asf New Rating A(EXP)sf C-1 75000GAL0 LT PIFsf Paid In Full BBB+sf C-1-R LT BBBsf New Rating BBB(EXP)sf C-2 75000GAN6 LT PIFsf Paid In Full BBB-sf C-2-R LT BBB-sf New Rating BBB-(EXP)sf D 78111FAA6 LT PIFsf Paid In Full BB+sf D-R LT BBsf New Rating BB(EXP)sf E-R LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY RR 23 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC that originally closed in August 2022. The CLO's secured notes are expected to be refinanced in whole on Aug. 29, 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 $850 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.4% first-lien senior secured loans and has a weighted average recovery assumption of 74.3%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Neutral): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Positive): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. 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-1a-R, between 'BBB+sf' and 'AA+sf' for class A-1b-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class B-1-R, between 'B+sf' and 'BBB+sf' for class B-2-R, between less than 'B-sf' and 'BB+sf' for class C-1-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1a-R and A-1b-R notes as these notes are already 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 A-2-R, 'A+sf' for class B-2-R, 'A+sf' for class C-1-R, 'A-sf' for class C-2-R, and 'BBB+sf' for class D-R. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or Credit Opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. RR LTD 23: Moody's Assigns B3 Rating to $850,000 Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by RR 23 LTD (the "Issuer"). Moody's rating action is as follows: US$522,750,000 Class A-1a-R Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$850,000 Class E-R Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 96% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Redding Ridge Asset Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and seven other classes of secured notes and one class of subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $850,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2973 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.25% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 8.13 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. SEQUOIA MORTGAGE 2023-3: Fitch Gives Final BBsf Rating on B-4 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2023-3 (SEMT 2023-3). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2023-3 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-IO1 LT AAAsf New Rating AAA(EXP)sf A-IO2 LT AAAsf New Rating AAA(EXP)sf A-IO3 LT AAAsf New Rating AAA(EXP)sf A-IO4 LT AAAsf New Rating AAA(EXP)sf A-IO5 LT AAAsf New Rating AAA(EXP)sf A-IO6 LT AAAsf New Rating AAA(EXP)sf A-IO7 LT AAAsf New Rating AAA(EXP)sf A-IO8 LT AAAsf New Rating AAA(EXP)sf A-IO9 LT AAAsf New Rating AAA(EXP)sf A-IO10 LT AAAsf New Rating AAA(EXP)sf A-IO11 LT AAAsf New Rating AAA(EXP)sf A-IO12 LT AAAsf New Rating AAA(EXP)sf A-IO13 LT AAAsf New Rating AAA(EXP)sf A-IO14 LT AAAsf New Rating AAA(EXP)sf A-IO15 LT AAAsf New Rating AAA(EXP)sf A-IO16 LT AAAsf New Rating AAA(EXP)sf A-IO17 LT AAAsf New Rating AAA(EXP)sf A-IO18 LT AAAsf New Rating AAA(EXP)sf A-IO19 LT AAAsf New Rating AAA(EXP)sf A-IO20 LT AAAsf New Rating AAA(EXP)sf A-IO21 LT AAAsf New Rating AAA(EXP)sf A-IO22 LT AAAsf New Rating AAA(EXP)sf A-IO23 LT AAAsf New Rating AAA(EXP)sf A-IO24 LT AAAsf New Rating AAA(EXP)sf A-IO25 LT AAAsf New Rating AAA(EXP)sf A-IO26 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2023-3 (SEMT 2023-3) as indicated above. The certificates are supported by 297 loans with a total balance of approximately $339 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (Redwood) from various mortgage originators. Distributions of P&I and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 297 loans totaling approximately $339 million and seasoned approximately five months in aggregate. The borrowers have a strong credit profile (772 FICO and 33.7% debt to income ratio [DTI]) and moderate leverage (77.3% sustainable loan to value ratio [sLTV] and 72.8% mark-to-market combined LTV ratio [cLTV]). However, the underlying collateral attributes are stronger than those of recently issued SEMT transactions. Overall, the pool consists of 89.4% of loans where the borrower maintains a primary residence, while 10.6% are of a second home; 81.5% of the loans were originated through a retail channel. Additionally, 98.8% are designated as qualified mortgage (QM) loans and 1.2% are designated as QM rebuttable assumption. 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 7.5% above a long-term sustainable level (versus 7.8% on a national level as of 4Q22, down 2.7% since last quarter). The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. Home prices declined 0.2% YOY nationally as of April 2023. Shifting-Interest Structure (Negative): 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. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps to limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high delinquency scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 39.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on about 94.4% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton, AMC and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given credit, compliance and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for further details. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS SEMT 2023-3 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2023-3 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in expected losses. This has a positive 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. TRANSCARE CORP: 2d Cir. Affirms $38-Million Judgment vs. Tilton --------------------------------------------------------------- The U.S. Court of Appeals for the Second Circuit affirms the district court's conclusion that Lynn Tilton owed TransCare's bankruptcy estate the sum of $38.2 million for the breach of her fiduciary duties, and the Patriarch Entities owed $39.2 million for the fraudulent transfer. This case arises from a transaction executed by Lynn Tilton, a private equity investor and the sole director of TransCare Corporation. When TransCare was on the verge of bankruptcy, Tilton hatched a plan to salvage the profitable parts of the business and spin them off into a new company. She directed Patriarch Partners Agency Services, LLC (PPAS), a company she controlled, to foreclose on select TransCare assets associated with TransCare's profitable business lines. PPAS then sold those assets to two other companies that Tilton created and controlled: Transcendence Transit, Inc. and Transcendence Transit II, Inc. (collectively, Transcendence). What remained of TransCare filed for Chapter 7 bankruptcy. However, Tilton's plan fell apart when the new business was unable to get off the ground. Transcendence shut down after only three days and its assets were returned to the bankruptcy estate, where they were liquidated. In the bankruptcy proceedings below, the bankruptcy court and the district court agreed that (1) Tilton had breached her fiduciary duties to TransCare by engaging in a self-interested transaction that failed to meet the entire fairness standard, and (2) the foreclosure on TransCare's assets was an actual fraudulent conveyance. The district court calculated that Tilton, PPAS, and Transcendence owed the bankruptcy estate a combined total of $39.2 million in damages, based on the projected future earnings of the profitable TransCare assets that Tilton had transferred to Transcendence. The appealed case is IN RE: TRANSCARE CORPORATION, Debtor, SALVATORE LAMONICA, AS CHAPTER 7 TRUSTEE OF THE JOINTLY-ADMINISTERED ESTATES OF TRANSCARE CORPORATION, ET AL., Plaintiff-Appellee, SHAMEEKA IEN, Plaintiff, v. LYNN TILTON, Defendant-Appellant, PATRIARCH PARTNERS AGENCY SERVICES, LLC, PATRIARCH PARTNERS, LLC, PATRIARCH PARTNERS MANAGEMENT GROUP, LLC, ARK II CLO 20011, LIMITED, ARK INVESTMENT PARTNERS II, L.P., LD INVESTMENTS, LLC, PATRIARCH PARTNERS II, LLC, PATRIARCH PARTNERS III, LLC, PATRIARCH PARTNERS VIII, LLC, PATRIARCH PARTNERS XIV, LLC, PATRIARCH PARTNERS XV, LLC, TRANSCENDENCE TRANSIT, INC., TRANSCENDENCE TRANSIT II, INC., Defendants, PATRIARCH PARTNERS AGENCY SERVICES, LLC, TRANSCENDENCE TRANSIT, INC., TRANSCENDENCE TRANSIT II, INC., Appellants, v. SALVATORE LAMONICA, AS CHAPTER 7 TRUSTEE OF THE JOINTLY-ADMINISTERED ESTATES OF TRANSCARE CORPORATION, ET AL., Trustee-Appellee, Case Nos. 21-2547, 21-2576, (2d Cir.). A full-text copy of the OPINION dated August 28, 2023, is available https://tinyurl.com/yrz23wjd from Leagle.com. About TransCare Corp. Patriarch Partners LLC's TransCare Corp. filed a Chapter 7 petition (Bankr. S.D.N.Y. Case No. 16-10407) on Feb. 24, 2016, shutting down operations in New York, Pennsylvania and Maryland. The Hon. Stuart M. Bernstein is the case judge. The Chapter 7 trustee is Salvatore LaMonica. The Trustee tapped his own firm, LaMonica Herbst & Manisalco, LLP, as counsel in the case. Lucy L. Thomson is the patient care ombudsman. The Trustee can be reached at Salvatore LaMonica, Esq. Partner LAMONICA HERBST & MANISCALCO, LLP Tel: (516) 826-6500 Fax: (516) 826-0222 3305 Jerusalem Avenue, Suite 201 Wantagh, NY 11793 E-mail: sl@lhmlawfirm.com TRY THE WORLD: Urthbox Motion for Default Judgment Denied --------------------------------------------------------- Bankruptcy Judge James L. Garrity, Jr. for the Southern District of New York denies the motion for default judgment filed by Urthbox LLC in the adversary case captioned as In re: Try the World, Inc., Chapter 7, Debtor. John S. Pereira, as Chapter 7 Trustee of the Estate of Try the World, Inc., Plaintiff, v. Urthbox Inc., Katerina Vorotova, David Emmanuel Foult, and John Does 1, 2, 3, Defendants. Urthbox Inc., Counter-Plaintiff, v. Try the World., Inc., Counter-Defendant, Case No. 18-11764 (JLG), Adv. P. No. 20-01013 (JLG), (Bankr. S.D.N.Y.). In this adversary proceeding, John S. Pereira, the chapter 7 trustee of the estate of Try the World, Inc., has sued Urthbox LLC, David Emmanuel Foult and Katerina Vorotova, the Debtor's former directors, and others to avoid and recover transfers of the Debtor's assets under that certain Asset Purchase Agreement between TTW and Urthbox as fraudulent transfers under state and federal law. Urthbox timely filed the Urthbox Answer to the Amended Complaint, which included a Counterclaim seeking damages from the Debtor's estate and as a setoff against any damages awarded under the Amended Complaint against Urthbox. Urthbox did not file a proof of claim in this chapter 7 case. The Trustee filed the Trustee's Answer to the Counterclaim fifteen months late, without leave of the Court. Consequently, Urthbox requests that the Court enter a default judgment against the Trustee on the Counterclaim or in the alternative, the entry of an order dismissing the Amended Complaint for failure to prosecute and an order striking the Trustee's Answer to the Counterclaim. Urthbox maintains that the Trustee's fourteen-month delay in prosecuting this action is more than sufficient to justify dismissing this action. The Court finds that the Trustee's delay in filing his Discovery Requests is the product of law office failure. The Trustee has not disregarded orders of the Court or otherwise engaged in contumacious behavior in the course of this case. The Trustee contends, and the Court agrees, that it is inappropriate to dismiss this case because it should be resolved on the merits. In addition, the Court finds that Urthbox has not demonstrated that it will be prejudiced if the Court does not strike the Trustee's Answer. Instead, the Court finds that the Trustee makes a meritorious argument that Urthbox cannot set off its Counterclaim against its potential fraudulent-transfer liability because (i) to do so would arguably be inequitable, and (ii) the requirement for mutuality under the setoff doctrine is not met because Urthbox's liability arises only from the alleged fraudulent transfer as asserted by the Trustee, and the Counterclaim is for a prepetition debt accrued against the debtor. A full-text copy of the MEMORANDUM DECISION AND ORDER dated August 28, 2023, is available https://tinyurl.com/2p6bu6bz from Leagle.com. VENTURE CLO 48: Moody's Assigns (P)Ba3 Rating to $14MM Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued and one class of loans to be incurred by Venture 48 CLO, Limited (the "Issuer" or "Venture 48"). Moody's rating action is as follows: US$192,736,842 Class A1 Senior Secured Floating Rate Notes due 2036, Assigned (P)Aaa (sf) US$50,000,000 Class A1 Loans maturing 2036, Assigned (P)Aaa (sf) US$5,263,158 Class AF Senior Secured Fixed Rate Notes due 2036, Assigned (P)Aaa (sf) US$14,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2036, Assigned (P)Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Venture 48 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and permitted debt securities. Moody's expect the portfolio to be approximately 95% ramped as of the closing date. MJX Venture Holdings II LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer will issue five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): 3.95% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. VESTTOO LTD: MBL Appointed to Statutory Creditors Committee ----------------------------------------------------------- Markel Bermuda Limited (MBL) on Aug. 31 disclosed that it has been appointed to the statutory committee of unsecured creditors in the chapter 11 bankruptcy in Delaware of Vesttoo Ltd. and its affiliates (Vesttoo). MBL's involvement in the bankruptcy stems from two collateralized reinsurance transactions it entered into utilizing White Rock Insurance (SAC) Ltd.'s segregated account platform. MBL entered into a total of two collateralized reinsurance transactions with White Rock for the benefit of a segregated account owned by a Vesttoo affiliate. In the transactions, MBL ceded collateral protection insurance risk to the segregated account, which in turn was required to provide reinsurance collateral to MBL. The letters of credit were provided as collateral backstops in the event claims were made and not paid on the underlying policies for these transactions. These letters of credit, one for $50 million and the other for $77.75 million, were later deemed to be fraudulent. Both letters of credit list an affiliate of Vesttoo as the applicant on behalf of White Rock, with MBL as the designated beneficiary. On August 14 and 15, 2023, Vesttoo and various affiliates filed voluntary chapter 11 bankruptcy petitions in the U.S. Bankruptcy Court for the District of Delaware. MBL is exploring remedies against third parties (including Vesttoo in the context of its chapter 11 case) that may be available to MBL to mitigate or eliminate potential losses resulting from the fraudulently tendered letters of credit. MBL is a class 4 Bermuda insurer, a subsidiary of Markel Group Inc. and part of Markel's global specialty insurance operations. Markel Group Inc. currently does not expect that losses arising from these fraudulently tendered letters of credit will have a material adverse impact on its results of operations, financial condition or liquidity. About Markel Markel is a leading global specialty insurer with a truly people-first approach. As the insurance operations within the Markel Group Inc. (NYSE: MKL), it operates the Markel Specialty, Markel International, and Markel Global Reinsurance divisions, as well as State National, our portfolio protection and program services operations, and Nephila, its insurance-linked securities operations. About Markel Group Markel Group Inc. (NYSE: MKL) -- http://www.mklgroup.com-- is a diverse family of companies that includes everything from insurance to bakery equipment, building supplies, houseplants, and more. The leadership teams of these businesses operate with a high degree of independence, while at the same time living the values that we call the Markel Style. Its specialty insurance business sits at the core of the company. Through decades of sound underwriting, the insurance team has provided the capital base from which it built a system of businesses and investments that collectively increase Markel Group's durability and adaptability. About Vesttoo Ltd. Vesttoo Ltd. is a technology-driven collateralized reinsurance provider. Vesttoo connects the insurance industry with the capital markets by combining AI-powered technology with expertise in data science, insurance, and finance. Vesttoo Ltd. and its affiliates sought relief under Chapter 11 of the U.S. Bankruptcy Code (Bankr. D. Del. (Lead Case No. 23-11160) on August 14 and 15, 2023. The Honorable Bankruptcy Judge Mary F. Walrath oversees the case. The Debtors tapped DLA PIPER LLP (US) as counsel, and KROLL, LLC as financial advisor. EPIQ CORPORATE RESTRUCTURING LLC is the claims agent. WELLS FARGO 2017-C41: Fitch Lowers Rating on Cl. F-RR Certs to B+sf ------------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 13 classes of Wells Fargo Commercial Mortgage Trust, Series 2017-C41. Fitch has also affirmed the rating for 2017 C41 III Trust pass through certificate (MOA 2020-WC41 Class E-RR). The Rating Outlooks for Class E-RR and the MOA 2020-WC41 E-RR certificate was revised to Negative from Stable. In addition, a Negative Outlook was assigned to Class F-RR. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2017-C41 A-2 95001ABA3 LT AAAsf Affirmed AAAsf A-3 95001ABC9 LT AAAsf Affirmed AAAsf A-4 95001ABD7 LT AAAsf Affirmed AAAsf A-S 95001ABG0 LT AAAsf Affirmed AAAsf A-SB 95001ABB1 LT AAAsf Affirmed AAAsf B 95001ABH8 LT AA-sf Affirmed AA-sf C 95001ABJ4 LT A-sf Affirmed A-sf D 95001AAD8 LT BBB+sf Affirmed BBB+sf E-RR 95001AAG1 LT BBB-sf Affirmed BBB-sf F-RR 95001AAK2 LT B+sf Downgrade BBsf G-RR 95001AAN6 LT CCCsf Affirmed CCCsf X-A 95001ABE5 LT AAAsf Affirmed AAAsf X-B 95001ABF2 LT AA-sf Affirmed AA-sf X-D 95001AAA4 LT BBB+sf Affirmed BBB+sf MOA 2020-WC41 E E-RR 90215VAA1 LT BBB-sf Affirmed BBB-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. Credit Linked Note: Fitch affirmed the rating on class E-RR of MOA 2020-WC41 as it is credit-linked to the underlying class E-RR of the WFCM 2017-C41 transaction. The Outlook was revised to Negative from Stable. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.3%. Twelve loans (36.0% of the pool) have been designated as Fitch Loans of Concerns (FLOCs). As of the July 2023 remittance reporting, there are no loans in special servicing and/or delinquent. In addition, three loans (7.6% of the pool) were defeased. The downgrade and Negative Outlooks reflect the impact of the updated criteria, performance concerns on the larger FLOCs, including the largest loan in the pool, Headquarters Plaza (6.8% of the pool), as well as heighted refinance concerns on the Mall of Louisiana (5.3% of the pool) and 100-102 Forsyth Street (2.2% of the pool) loans. The loans designated as FLOCs are generally showing low occupancy/debt service coverage ratio (DSCR), and/or high near-term tenant rollover. FLOCS/Larger Contributors to Loss: The largest contributor to loss expectations is the Headquarters Plaza loan, which is a mixed-use office, hotel, and retail complex located in Morristown, NJ. The property features three office towers, restaurants, a 10-Plex AMC Cinema, an upscale health club and the 256-key Hyatt Regency Morristown. The borrower completed a $15 million ($58,600 per key) and a $4.8 million renovation to the commercial space in 2022. Recent renovations to the hotel include an open concept lobby, space previously occupied by a restaurant has been converted to a conference space, as well as numerous additions to the rooms themselves. Largest commercial tenants include Riker Danzig Scherer (10.9% of NRA, lease expiration in 07/31/2025), Chartwell Group LLC (6.9% of NRA, lease expiration in 04/30/2032), and AMC Theatres (5.5% of NRA lease expiration in 04/30/2029). Fitch remains concerned given the sustained low NOI, recently completed renovations in 2022, and low YE 2022 NOI DSCR of 0.86x. Fitch's 'Bsf' rating case loss of 7.0% (prior to concentration add-ons) is based on a 10% stress to YE 2019 NOI and an 11.0% cap rate. The second largest contributor to loss expectations is the Mall of Louisiana loan, which is a 1.5 million-sf (of which 776,789 sf is collateral) super-regional mall built in 1997 (renovated in 2008), located in Baton Rouge, LA. The subject is the dominate mall in a secondary market, but is considered a FLOC due to declining NOI, a vacant noncollateral Sears box, and upcoming tenant rollover of 16.2% and 21.0% of the NRA in 2023 and 2024, respectively. Updated YE 2022 sales have not yet been provided by the borrower. As of 2021, in-line tenant sales recovered to $539 psf for stores under 10,000 sf, excluding Apple, and $678 including Apple, both of which are an improvement from 2020 and 2019, reporting $334 and $394, $454 and $587, respectively. However, reported sales for AMC Theaters were $64,467 per screen in 2021, a 68% decrease from $199,956 in 2020. The servicer reported YE 2022 NOI improved by 6.3% compared to 2021, however, is down 19.0% from the issuer's NOI figure. YE 2022 DSCR was 1.57x, compared with 1.48x in YE 2021, 2.00x in YE 2020, and 2.39x in 2019. The loan began amortizing in September 2020, which partly contributed to the decline in DSCR. Fitch's 'Bsf' rating case loss of 8.9% (prior to concentration add-ons) is based on a 12.9% stress to YE 2020 NOI and a 12.5% cap rate. The third largest contributor to expected loss for the pool was from the 100-102 Forsyth Street loan. The subject is secured by a five-story apartment building containing 36 residential apartments (13 of which are rent stabilized) and two ground floor commercial tenants located in the Lower East Side of New York City. According to the March 2023 rent roll, the property was 85.4%, with five vacant multifamily units and both retail units remaining empty. Despite the extremely tight vacancy rates within the Lowest East Side submarket, the subject property has consistently underperformed. NOI DSCR was 0.88x as of YE 2022, compared to 0.78x at YE 2021, 0.99x at YE 2020, and 1.28x at YE 2019. Fitch's 'Bsf' rating case loss of 20.4% (prior to concentration add-ons) is based on a 7.5% stress to YE 2022 NOI and an 8.75% cap rate. Change in Credit Enhancement: CE has declined since issuance due to the disposal of the Hilton Houston Galleria, limited amortization, and three loan defeasances representing 7.6% of the pool. As of the July 2023 remittance report, the pool's aggregate balance has been paid down by 7.1% to $733.6 million from $785.9 million at issuance. There are 19 loans (35.0% of the pool) that are full-term interest-only (IO), 16 (27.6%) balloon loans and 15 (37.4%) loans with a partial IO component. In May 2022, the pool experienced a realized loss of $11.8 million on the disposal of the Hilton Houston Galleria TX (previously 1.9% of the pool). The trust received $2.2 million in net recoveries from the sale, (approximately $7,500 per key), which was much lower than anticipated. The loan originally transferred to the special servicer in July 2020 due to payment default and the trust took the title in February 2022. 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, position in the capital structure and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. Downgrades to the 'A-sf', 'BBB+sf' and 'BBB-sf' rated classes may occur if expected losses increase for FLOCs, including the largest loan in the pool which is secured by a mixed-use office property, the regional mall loan in the top five, and/or if loans expected to pay off at maturity exhibit worsening performance. Further downgrades to rated class 'B+sf' will occur with a greater certainty of loss from continued performance decline of the FLOCs and/or loans transfer to special servicing. Downgrades to rated class 'CCCsf' would occur if loans transfer to special servicing and greater losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AA-sf' and 'A-sf' rated classes would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or further underperformance or default of the FLOCs could cause this trend to reverse. Upgrades to the 'BBB+sf' and 'BBB-sf' rated classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to the '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. The 'CCCsf' rated class could be upgraded with significant performance improvement and substantially higher recoveries than expected 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. WELLS FARGO 2018-C46: Fitch Lowers Rating on F-RR Certs to B-sf --------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 10 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2018-C46 commercial mortgage pass-through certificates. Fitch has also downgraded the MOA 2020-WC46 E horizontal risk retention pass through certificate (2018 C46 III Trust). The Rating Outlooks on classes D, X-D, E-RR, F-RR and the MOA 2020-WC46 E Argentic horizontal risk retention pass through certificate are Negative following the downgrades. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2018-C46 A-2 95001QAR2 LT AAAsf Affirmed AAAsf A-3 95001QAT8 LT AAAsf Affirmed AAAsf A-4 95001QAU5 LT AAAsf Affirmed AAAsf A-S 95001QAX9 LT AAAsf Affirmed AAAsf A-SB 95001QAS0 LT AAAsf Affirmed AAAsf B 95001QAY7 LT AA-sf Affirmed AA-sf C 95001QAZ4 LT A-sf Affirmed A-sf D 95001QAC5 LT BB+sf Downgrade BBBsf E-RR 95001QAE1 LT BB-sf Downgrade BBB-sf F-RR 95001QAG6 LT B-sf Downgrade Bsf G-RR 95001QAJ0 LT CCCsf Affirmed CCCsf X-A 95001QAV3 LT AAAsf Affirmed AAAsf X-B 95001QAW1 LT AA-sf Affirmed AA-sf X-D 95001QAA9 LT BB+sf Downgrade BBBsf MOA 2020-WC46 E E-RR 90215NAA9 LT BB-sf Downgrade BBB-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. The downgrades to classes D, X-D, E-RR, F-RR and the MOA 2020-WC46 E Argentic horizontal risk retention pass through certificate and Negative Outlooks reflect the impact of the criteria and increased loss expectations with six Fitch Loans of Concern (FLOCs; 27.1% of pool), including three in the top 15, which have recently transferred to special servicing in 2023 for maturity default (Fair Oaks Mall 6.6%, Silver Spring Plaza 6.2% and Constitution Plaza 4.1%) and one REO asset in San Francisco secured by a mixed-use property (1.7%). Fitch's current ratings incorporate a 'Bsf' rating case loss of 7.0%. Specially Serviced Loans: The largest contributor to loss expectations, Silver Springs Plaza (6.2%), is secured by a 242,823-sf office in Silver Spring, MD. The loan, which is sponsored by Washington Property Company, transferred to special servicing in July 2023 for maturity default. The largest tenant, Social & Scientific Systems (acquired by DLH Holdings Corp.), which leases 27.6% NRA through March 2031, vacated and the space is available for sublease. A cash trap remains in effect due to the space going dark. As a result, physical occupancy has declined to 45% (73% economic) from 83% at YE 2020. Servicer-reported NOI debt service coverage ratio (DSCR) has also declined to 1.80x at YE 2022 from 1.91x at YE 2020. Fitch's 'Bsf' rating case loss prior to concentration add-on of 25% is based on a 11% cap rate and the YE 2021 NOI with a 15% stress. Fitch increased the probability of default to account for the transfer to special servicing and high vacancy at the subject contributing to maturity default. The second largest contributor to loss expectations, Fair Oaks Mall (6.6%), is secured by 779,949 of a 1.5 million sf enclosed super regional mall located in Fairfax, VA, approximately 14 miles west of Washington, D.C. The loan, which is sponsored by Simon Property Group, transferred to special servicing in February 2023 and defaulted at loan maturity in May 2023. The borrower requested a maturity extension, and the servicer is considering all options available under the documents. Collateral occupancy and servicer-reported NOI DSCR for this IO loan were 91% and 2.15x as of the YTD September 2022 compared with 89% and 2.20x at YE 2021. TTM September 2021 in-line sales excluding Apple were $318 psf compared with $371 psf prior to the pandemic in 2019. The remaining non-collateral anchors are JCPenney and Macy's with Furniture Gallery after Lord & Taylor and Sears vacated. The former Sears box has been subdivided and backfilled by Dick's Sporting Goods and Dave & Buster's, and the former Lord & Taylor box is vacant. A second Macy's store serves as a collateral anchor (27.7% collateral NRA leased through February 2026). Fitch's 'Bsf' rating case loss prior to concentration add-on of 20% is based on a 12.5% cap rate and the YE 2021 NOI with a 10% stress. Fitch increased the probability of default to account for the transfer to special servicing and maturity default. The third largest specially serviced loan, Constitution Plaza (4.1%), is secured by a 659,315-sf office in Hartford, CT. The loan, which is sponsored by Aaron Berger, transferred to special servicing in May 2023 for maturity default. A notice of default has been sent, and the lender has engaged legal counsel. The largest tenant is XL America, which leases 19.1% NRA through December 2027. Occupancy and servicer-reported NOI DSCR were 81% and 1.62x at YE 2022, relatively in-line with 81% and 1.69x at issuance. Fitch's 'Bsf' rating case loss prior to concentration add-on of 16% is based on a 10% cap rate and the YE 2021 NOI with a 10% stress. Fitch increased the probability of default to account for the transfer to special servicing and maturity default. Increase in Credit Enhancement: As of the July 2023 distribution date, the pool's aggregate balance has been reduced by 18.3% to $565.3 million from $692.1 million at issuance. Seven loans with a $98 million balance were disposed with a $2.8 million loss to the trust since Fitch's prior rating action. Actual realized losses of $2.8 million impacted the non-rated H-RR class, and cumulative interest shortfalls of $1.1 million are currently impacting the non-rated H-RR class. Thirteen loans (36.5%) are full-term, IO. Fifteen loans (35.3%) had a partial-term, IO component; 10 have begun to amortize. Four loans (6.7%) are fully defeased. Loan maturities are concentrated in 2028 (81.6%). Four loans (18.4%) mature in 2023, including three, which transferred to special servicing for maturity default. Investment-Grade Credit Opinion Loans: Two loans representing 10.2% of the pool were assigned investment- grade credit opinions at issuance: Fair Oaks Mall (6.6%) and Moffett Towers II - Building 1 (3.6%). Fitch no longer considers the performance of Fair Oaks Mall to be consistent with an investment-grade credit opinion. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of classes rated in the 'AAAsf' category are not likely due to increasing CE and expected continued amortization but could occur if interest shortfalls impact these classes. Downgrades of classes B, X-B and C could occur if pool loss expectations increase significantly, additional loans become FLOCs and/or transfer to special servicing or performance of the FLOCs declines further. Classes D, X-D, E-RR, F-RR,G-RR and the MOA 2020-WC46 E Argentic horizontal risk retention pass through certificate would be downgraded if loss expectations increase, become more certain or are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes B, X-B and C may occur with significant improvement in CE but would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades of classes D, X-D and E-RR, F-RR, G-RR and the MOA 2020-WC46 E Argentic horizontal risk retention pass through certificate are possible if the specially serviced loans are disposed with better than expected recoveries. 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. WFRBS COMMERCIAL 2011-C5: Moody's Cuts Rating on X-B Certs to Caa3 ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on one interest-only (IO) class in WFRBS Commercial Mortgage Trust 2011-C5, Commercial Mortgage-Pass-Through Certificates, Series 2011-C5 as follows: Cl. X-B*, Downgraded to Caa3 (sf); previously on Apr 5, 2022 Downgraded to Caa1 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on the (IO) class, Cl. X-B, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. The deal has paid down 83% since Moody's last review and nearly 99% since securitization. As of the August 2023 remittance report, all the originally referenced classes for the IO class, except Class H (which is not rated by Moody's), has now paid down in full and Class H has already realized a 9.1% loss on its original balance. Moody's rating action reflects a base expected loss of 27.3% of the current pooled balance, compared to 15.6% at Moody's last review. Moody's base expected loss plus realized losses is now 0.7% of the original pooled balance, compared to 1.5% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in this rating were "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for particular specially serviced loans that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the August 17, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 98.6% to $15.4 million from $1.1 billion at securitization. The certificates are collateralized by two remaining mortgage loans, which are both delinquent and in special servicing. The transaction has already experienced an aggregate $3.4 million loss based on previously liquidated loans. The largest specially serviced loan is the SpringHill Suites Wheeling Loan ($8.6 million – 55.4% of the pool), which is secured by a 115-room Marriott-flagged hotel located in Wheeling, West Virginia. The loan was transferred to special servicing for imminent monetary default in September 2021 and failed to payoff at its loan maturity date in September 2022. The property was significant impacted from the business disruptions caused by the coronavirus pandemic and the property's NOI has declined year over year since 2020 causing the loan DSCR to remain 1.00X since 2020. An updated appraisal value from January 2023 valued the property 37% below the value at securitization. The loan is last paid through its September 2021 payment date and servicer commentary indicated a receiver was appointed in October 2022, and they are continuing to evaluate workout options with the borrower. The other specially serviced loan is the Poughkeepsie Galleria II loan ($6.9 million – 44.6% of the pool), which is secured by an 82,000 SF retail space attached to the Poughkeepsie Galleria, the 1.2 million SF super-regional mall located in Poughkeepsie, New York. The collateral is 100% occupied by three tenants, Best Buy, Old Navy, and H&M. Best Buy, which rents 62% of the net rentable area (NRA), exercised their option to extend their lease term by five years through January 2026. The loan has been in special servicing since April 2020 and as of the August 2023 remittance statement was last paid thru its June 2023 payment date. Servicer commentary indicated the borrower and lender executed a loan modification to provide (among other terms) an extension of the maturity date to January 2025 with two additional extensions one-year extensions options and the loan is expected to remain in special servicing for a rehab period. WIND RIVER 2013-1: S&P Affirms 'B+ (sf)' Rating on Class D-R Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-2RR and B-RR notes from Wind River 2013-1 CLO Ltd. (Wind River). S&P also removed the rating on the class A-2RR notes from CreditWatch with positive implications, where S&P placed them in June 2023. At the same time, S&P affirmed its ratings on the class A-1RR, C-R, and D-R notes from the same transaction. S&P removed the class D-R notes from CreditWatch with negative implications, where it placed them in June 2023. 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. The transaction has paid down $109.60 million to the class A-1RR notes since our June 2022 rating actions. Since the April 2022 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 137.75% from 132.86%. -- The class B O/C ratio improved to 121.69% from 120.90%. -- The class C O/C ratio declined to 110.79% from 112.37%. -- The class D O/C ratio declined to 103.26% from 106.26%. The paydowns led to the class A and B O/C test improvement, while the benefits of those paydowns were offset for the class C and D O/C ratios by a widening exposure to collateral obligations with ratings in the 'CCC' category. Exposure to 'CCC' collateral obligations increased from approximately $29.86 million at the time of S&P's last rating action to $32.47 million as of the July 2023 trustee report. Over the same period, the par amount of defaulted collateral has increased to $2.90 million from $1.57 million. The upgrades reflect the improved credit support at the prior rating levels and the affirmation reflects S&P's 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 B-RR and C-R notes. However, because the transaction currently has higher-than-average exposure 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. 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 B-RR and C-R notes. Wind River 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 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." Rating Raised Wind River 2013-1 CLO Ltd. Class B-RR to 'A+ (sf)' from 'A (sf)' Rating Raised And Removed From CreditWatch Positive Wind River 2013-1 CLO Ltd. Class A-2RR to 'AAA (sf)' from 'AA (sf)/Watch Pos' Ratings Affirmed Wind River 2013-1 CLO Ltd. Class A-1RR: AAA (sf) Class C-R: BBB (sf) Rating Affirmed And Removed From CreditWatch Negative Class D-R to 'B+ (sf)' from 'B+/Watch Neg' WVSV HOLDINGS: 9th Cir. Affirms Dismissal of WICP Claim vs. 10K LLC ------------------------------------------------------------------- In the appealed case captioned as In re: WVSV HOLDINGS, LLC, Debtor. WVSV HOLDINGS, LLC, Plaintiff-Appellant, v. 10K, LLC; LEO R. BEUS; ANNETTE BEUS; PAUL GILBERT; SUSAN GILBERT; RANDY STOLWORTHY; KARI STOLWORTHY, Defendants-Appellees. In re: WVSV HOLDINGS, LLC, Debtor. WVSV HOLDINGS, LLC, Plaintiff-Appellee, v. 10K, LLC; LEO R. BEUS; ANNETTE BEUS; PAUL GILBERT; SUSAN GILBERT; RANDY STOLWORTHY; KARI STOLWORTHY, Defendants-Appellants, Case Nos. 21-16874, 21-16952, (9th Cir.), the U.S. Court of Appeals for the Ninth Circuit affirms the bankruptcy court and district court's dismissal of WVSV Holdings, LLC's wrongful institution of civil proceedings claim against 10K, LLC. This case is the latest in a protracted litigation between two real-estate companies over a 13,000-acre tract in Arizona. Defendant 10K, LLC contracted to sell the land in 2002. The deal collapsed, and 10K's manager -- a separate firm -- sold the plot to the Plaintiff WVSV Holdings, LLC. 10K's members challenged that sale in state court, precipitating a 16-year quagmire. In 2012, nine years after the inception of 10K's suit, WVSV filed Chapter 11 bankruptcy. 10K was by far its largest creditor. WVSV's reorganization plan was confirmed two years later, providing in part for the preservation of "all claims of 10K against the Debtor. . . [and vice versa] brought in the State Court Litigation." In 2019, judgment was entered for WVSV on the land sale. A little over a year later, WVSV filed a lawsuit against the Defendants in state court, alleging, inter alia, wrongful institution of civil proceedings. The Defendants removed to bankruptcy court and sought dismissal and attorneys' fees. The bankruptcy court, claiming jurisdiction to determine whether WVSV's suit violated its confirmed plan, held that it did, dismissed and awarded the Defendants their fees. WVSV appealed to the district court, which affirmed the dismissal but reversed the fee award. Both sides cross-appeal from that judgment. The Ninth Circuit determines that the bankruptcy court did not abuse its discretion by holding the unscheduled claim waived. WVSV had satisfied all requirements to plead "wrongful institution of civil proceedings" at the time of its bankruptcy. The unmatured claim that WVSV was aware of was a contingent interest, and it was required to be disclosed on WVSV's schedules under Section 541 of the Code. Considering the bankruptcy court's sound conclusion that WVSV's WICP claim was estate property, the Ninth Circuit concludes that it did not abuse its discretion in holding that it was. Finally, the Ninth Circuit concurs with the district court that the bankruptcy court abused its discretion by awarding 10K attorneys' fees. In this case, 10K claims that the land sale to WVSV was the relevant contract. But the Court points out that tort, not the contract, was the basis of the WICP claim. The Court finds that the bankruptcy court's fee award was properly overturned by the district court because it was based on an incorrect interpretation of Arizona law. A full-text copy of the MEMORANDUM dated August 29, 2023, is available https://tinyurl.com/mvrnnhcb from Leagle.com. About WVSV Holdings W.V.S.V. Holdings LLC, the owner of about 13,000 acres of vacant land in Buckeye, Arizona, filed a petition for Chapter 11 protection (Bankr. D. Ariz. Case No. 12-10598) on May 14, 2012, in Phoenix. It claims that the three tracts of land planned for "future development" are worth $120 million and secure $57.3 million in debt. The Debtor disclosed $120.04 million in total assets and $57.35 million in total liabilities in its schedules. West Valley Ventures, LLC, owns 75% of the Debtor, and Breycliffe, LLC, owns the remaining 25%. Judge Redfield T. Baum, Sr., oversees the case. Michael W. Carmel, Esq., serves as the Debtor's counsel. Lee Allen Johnson, manager of West Valley Ventures, signed the petition. No official committee of unsecured creditors has been appointed in the Debtor's bankruptcy case. [*] Fitch Affirms 144 Classes from 14 US CMBS 2015 Conduit Deals ---------------------------------------------------------------- Fitch Ratings, on Aug. 28, 2023, downgraded 17, upgraded 13 and affirmed 144 classes from 14 U.S. CMBS 2015 vintage conduit transactions. The Rating Outlooks were revised to Negative from Stable for seven classes, and to Stable from Positive for five other classes. Stable Outlooks were assigned to 17 classes and Negative Outlooks to 10 classes following their upgrades and/or downgrades. The Outlooks remain Negative on five classes. Fitch has removed all classes from these transactions from Under Criteria Observation (UCO). Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2015-C29 A-3A1 46644RAY1 LT AAAsf Affirmed AAAsf A-3A2 46644RAA3 LT AAAsf Affirmed AAAsf A-4 46644RAZ8 LT AAAsf Affirmed AAAsf A-S 46644RBD6 LT AAAsf Affirmed AAAsf A-SB 46644RBA2 LT AAAsf Affirmed AAAsf B 46644RBE4 LT AA-sf Affirmed AA-sf C 46644RBF1 LT BBB-sf Downgrade A-sf D 46644RBH7 LT CCCsf Affirmed CCCsf E 46644RAN5 LT CCsf Affirmed CCsf EC 46644RBG9 LT BBB-sf Downgrade A-sf F 46644RAQ8 LT Csf Affirmed Csf X-A 46644RBB0 LT AAAsf Affirmed AAAsf X-B 46644RBC8 LT AA-sf Affirmed AA-sf X-D 46644RAE5 LT CCCsf Affirmed CCCsf X-E 46644RAG0 LT CCsf Affirmed CCsf X-F 46644RAJ4 LT Csf Affirmed Csf GSMS 2015-GC32 A-3 36250PAC9 LT AAAsf Affirmed AAAsf A-4 36250PAD7 LT AAAsf Affirmed AAAsf A-AB 36250PAE5 LT AAAsf Affirmed AAAsf A-S 36250PAH8 LT AAAsf Affirmed AAAsf B 36250PAJ4 LT AAAsf Upgrade AA-sf C 36250PAL9 LT AA-sf Upgrade A-sf D 36250PAM7 LT BBB-sf Affirmed BBB-sf E 36250PAP0 LT BBsf Affirmed BBsf F 36250PAR6 LT B+sf Upgrade Bsf PEZ 36250PAK1 LT AA-sf Upgrade A-sf X-A 36250PAF2 LT AAAsf Affirmed AAAsf X-B 36250PAG0 LT AAAsf Upgrade AA-sf X-D 36250PAN5 LT BBB-sf Affirmed BBB-sf COMM 2015-CCRE24 A-4 12593JBE5 LT AAAsf Affirmed AAAsf A-5 12593JBF2 LT AAAsf Affirmed AAAsf A-M 12593JBH8 LT AAAsf Affirmed AAAsf A-SB 12593JBC9 LT AAAsf Affirmed AAAsf B 12593JBJ4 LT AA-sf Affirmed AA-sf C 12593JBK1 LT A-sf Affirmed A-sf D 12593JBL9 LT BBsf Downgrade BBB-sf E 12593JAL0 LT B-sf Affirmed B-sf F 12593JAN6 LT CCCsf Affirmed CCCsf X-A 12593JBG0 LT AAAsf Affirmed AAAsf X-C 12593JAC0 LT BBsf Downgrade BBB-sf MSBAM 2015-C23 A-3 61690QAD1 LT AAAsf Affirmed AAAsf A-4 61690QAE9 LT AAAsf Affirmed AAAsf A-S 61690QAG4 LT AAAsf Affirmed AAAsf A-SB 61690QAC3 LT AAAsf Affirmed AAAsf B 61690QAH2 LT AA+sf Upgrade AA-sf C 61690QAK5 LT A+sf Upgrade A-sf D 61690QAS8 LT BBB-sf Affirmed BBB-sf E 61690QAU3 LT BB-sf Affirmed BB-sf F 61690QAW9 LT B-sf Affirmed B-sf PST 61690QAJ8 LT A+sf Upgrade A-sf X-A 61690QAF6 LT AAAsf Affirmed AAAsf X-B 61690QAL3 LT AAAsf Affirmed AAAsf CGCMT 2015-P1 A-4 17324DAT1 LT AAAsf Affirmed AAAsf A-5 17324DAU8 LT AAAsf Affirmed AAAsf A-AB 17324DAV6 LT AAAsf Affirmed AAAsf A-S 17324DAW4 LT AAAsf Affirmed AAAsf B 17324DAX2 LT AAsf Upgrade AA-sf C 17324DAY0 LT A-sf Affirmed A-sf D 17324DAA2 LT BBB-sf Affirmed BBB-sf E 17324DAE4 LT BBsf Affirmed BBsf F 17324DAG9 LT Bsf Affirmed Bsf PEZ 17324DAZ7 LT A-sf Affirmed A-sf X-A 17324DBA1 LT AAAsf Affirmed AAAsf X-B 17324DBB9 LT AAsf Upgrade AA-sf X-D 17324DAL8 LT BBB-sf Affirmed BBB-sf WFCM 2015-SG1 A-4 94989QAV2 LT AAAsf Affirmed AAAsf A-S 94989QAX8 LT AAAsf Affirmed AAAsf A-SB 94989QAW0 LT AAAsf Affirmed AAAsf B 94989QBA7 LT Asf Affirmed Asf C 94989QBB5 LT BBBsf Affirmed BBBsf D 94989QBD1 LT BB-sf Affirmed BB-sf E 94989QAL4 LT CCCsf Affirmed CCCsf F 94989QAN0 LT CCsf Affirmed CCsf PEX 94989QBC3 LT BBBsf Affirmed BBBsf X-A 94989QAY6 LT AAAsf Affirmed AAAsf X-E 94989QAA8 LT CCCsf Affirmed CCCsf X-F 94989QAC4 LT CCsf Affirmed CCsf WFCM 2015-C30 A-3 94989NBD8 LT AAAsf Affirmed AAAsf A-4 94989NBE6 LT AAAsf Affirmed AAAsf A-S 94989NBG1 LT AAAsf Affirmed AAAsf A-SB 94989NBF3 LT AAAsf Affirmed AAAsf B 94989NBK2 LT AA+sf Upgrade AA-sf C 94989NBL0 LT A-sf Affirmed A-sf D 94989NAL1 LT BBB-sf Affirmed BBB-sf E 94989NAN LT B-sf Affirmed B-sf F 94989NAQ LT CCCsf Affirmed CCCsf PEX 94989NBM8 LT A-sf Affirmed A-sf X-A 94989NBH9 LT AAAsf Affirmed AAAsf X-E 94989NAA5 LT B-sf Affirmed B-sf CGCMT 2015-GC29 A-3 17323VAY1 LT AAAsf Affirmed AAAsf A-4 17323VAZ8 LT AAAsf Affirmed AAAsf A-AB 17323VBB0 LT AAAsf Affirmed AAAsf A-S 17323VBC8 LT AAAsf Affirmed AAAsf B 17323VBD6 LT AA-sf Affirmed AA-sf C 17323VBE4 LT A-sf Affirmed A-sf D 17323VAA3 LT BB+sf Downgrade BBB-sf E 17323VAC9 LT B+sf Downgrade BBsf F 17323VAE5 LT B-sf Affirmed B-sf PEZ 17323VBH7 LT A-sf Affirmed A-sf X-A 17323VBF1 LT AAAsf Affirmed AAAsf X-B 17323VBG9 LT AA-sf Affirmed AA-sf X-D 17323VAL9 LT BB+sf Downgrade BBB-sf WFCM 2015-C29 A-3 94989KAU7 LT AAAsf Affirmed AAAsf A-4 94989KAV5 LT AAAsf Affirmed AAAsf A-S 94989KAX1 LT AAAsf Affirmed AAAsf A-SB 94989KAW3 LT AAAsf Affirmed AAAsf B 94989KBA0 LT AA-sf Affirmed AA-sf C 94989KBB8 LT A-sf Affirmed A-sf D 94989KBC6 LT BBsf Downgrade BBB-sf E 94989KAE3 LT Bsf Downgrade BBsf F 94989KAG8 LT CCCsf Downgrade B-sf PEX 94989KBD4 LT A-sf Affirmed A-sf X-A 94989KAY9 LT AAAsf Affirmed AAAsf CGCMT 2015-GC33 A-3 29425AAC7 LT AAAsf Affirmed AAAsf A-4 29425AAD5 LT AAAsf Affirmed AAAsf A-AB 29425AAE3 LT AAAsf Affirmed AAAsf A-S 29425AAF0 LT AAAsf Affirmed AAAsf B 29425AAG8 LT AA-sf Affirmed AA-sf C 29425AAH6 LT BBBsf Downgrade A-sf D 29425AAJ2 LT B+sf Downgrade BBB-sf E 29425AAP8 LT CCCsf Downgrade BB-sf F 29425AAR4 LT CCsf Downgrade B-sf PEZ 29425AAN3 LT BBBsf Downgrade A-sf X-A 29425AAK9 LT AAAsf Affirmed AAAsf X-D 29425AAM5 LT B+sf Downgrade BBB-sf MSCI 2015-UBS8 A-3 61691ABK8 LT AAAsf Affirmed AAAsf A-4 61691ABL6 LT AAAsf Affirmed AAAsf A-S 61691ABN2 LT AAsf Upgrade AA-sf A-SB 61691ABJ1 LT AAAsf Affirmed AAAsf B 61691ABP7 LT A-sf Affirmed A-sf C 61691ABQ5 LT BBB-sf Affirmed BBB-sf D 61691AAQ6 LT CCCsf Affirmed CCCsf E 61691AAS2 LT CCsf Affirmed CCsf F 61691AAU7 LT Csf Affirmed Csf G 61691AAW3 LT Csf Affirmed Csf X-A 61691ABM4 LT AAAsf Affirmed AAAsf X-B 61691AAA1 LT A-sf Affirmed A-sf X-D 61691AAC7 LT CCsf Affirmed CCsf X-F 61691AAG8 LT Csf Affirmed Csf X-G 61691AAJ2 LT Csf Affirmed Csf BACM Trust 2015-UBS7 A-3 06054AAW9 LT AAAsf Affirmed AAAsf A-4 06054AAX7 LT AAAsf Affirmed AAAsf A-S 06054ABB4 LT AAAsf Affirmed AAAsf A-SB 06054AAV1 LT AAAsf Affirmed AAAsf B 06054ABC2 LT A-sf Affirmed A-sf C 06054ABD0 LT BB+sf Downgrade BBBsf D 06054ABE8 LT CCCsf Affirmed CCCsf E 06054AAG4 LT CCsf Affirmed CCsf F 06054AAJ8 LT Csf Affirmed Csf X-A 06054AAY5 LT AAAsf Affirmed AAAsf X-B 06054AAZ2 LT AAAsf Affirmed AAAsf X-D 06054ABA6 LT CCCsf Affirmed CCCsf X-E 06054AAA7 LT CCsf Affirmed CCsf COMM 2015-CCRE25 A-3 12593PAV4 LT AAAsf Affirmed AAAsf A-4 12593PAW2 LT AAAsf Affirmed AAAsf A-M 12593PAY8 LT AAAsf Affirmed AAAsf A-SB 12593PAU6 LT AAAsf Affirmed AAAsf B 12593PAZ5 LT AAsf Upgrade AA-sf C 12593PBA9 LT A-sf Affirmed A-sf D 12593PBB7 LT BBsf Affirmed BBsf E 12593PAE2 LT CCCsf Affirmed CCCsf X-A 12593PAX0 LT AAAsf Affirmed AAAsf X-C 12593PAC6 LT BBsf Affirmed BBsf COMM 2015-CCRE26 A-3 12593QBD1 LT AAAsf Affirmed AAAsf A-4 12593QBE9 LT AAAsf Affirmed AAAsf A-M 12593QBG4 LT AAAsf Affirmed AAAsf A-SB 12593QBC3 LT AAAsf Affirmed AAAsf B 12593QBH2 LT AAsf Affirmed AAsf C 12593QBJ8 LT Asf Affirmed Asf D 12593QBK5 LT BBB-sf Affirmed BBB-sf E 12593QAL4 LT BB+sf Affirmed BB+sf F 12593QAN0 LT B-sf Affirmed B-sf X-A 12593QBF6 LT AAAsf Affirmed AAAsf X-C 12593QAC4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since its prior rating action of these transactions between January and April 2023. Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses range from 2.8% to 18.3%. These transactions have concentrations of Fitch Loans of Concern (FLOCs) averaging 24.9% (ranging from 4% to 43%) and specially serviced loans averaging 3.1% (ranging from 0.0% to 14.9%). Downgrades reflect the impact of the criteria and higher expected losses on FLOCs, most notably larger top 15 loans and specially serviced assets in the transactions. The six transactions with downgrades have concentrations of FLOCs in excess of 12%, with five of the six having FLOCs in excess of 23%, primarily consisting of underperforming office and retail properties/assets. The transactions with downgrades are BACM 2015-UBS7, CGCMT 2015-GC29, COMM 2015-CCRE24, CGCMT 2015-GC33, JPMBB 2015-C29 and WFCM 2015-C29. FLOCs for these transactions average 27%. Six of the downgraded classes were from the CGCMT 2015-GC33 transaction, which has a FLOC concentration of 37.3% and a weighted average Fitch-stressed loan-to-value (LTV) and debt service coverage ratio (DSCR) of 87.4% and 1.52x, respectively. Three of the downgraded classes were from CGCMT 2015-GC29, which has a FLOC concentration of 13.0%, and a weighted average Fitch stressed LTV and DSCR of 95.3% and 1.35x, respectively. Three of the downgraded classes were from WFCM 2015-C29, which has a FLOC concentration of 30.1%, and weighted average Fitch stressed LTV and DSCR of 74.5% and 1.89x, respectively. Upgrades reflect the impact of the criteria on 13 classes in six transactions with increased CE and stable performance since Fitch's prior rating action. These upgrades also considered improved performance since issuance and/or these classes' resiliency to withstand an additional sensitivity scenario that incorporated higher stress sensitivities on underperforming FLOCs. Transactions with upgrades are CGCMT 2015-P1, COMM 2015-CCRE25, GSMS 2015-GC32, MSBAM 2015-C23, MSCI 2015-UBS8 and WFCM 2015-C30. Five of the upgraded classes were from the GSMS 2015-GC32 transaction, which has a FLOC concentration of 15.6%, and a weighted average Fitch-stressed LTV and DSCR of 83% and 1.50x, respectively. Three of the upgraded classes were from the MSBAM 2015-C23 transaction, which has a FLOC concentration of 3.7%, and a weighted average Fitch-stressed LTV and DSCR of 83.3% and 1.48x, respectively. Two of the upgraded classes were from the CGCMT 2015-P1 transaction, which has a FLOC concentration of 19.9%, and a weighted average Fitch-stressed LTV and DSCR of 80.7% and 1.65x, respectively. Additionally, one class each in the COMM 2015-CCRE25, MSC 2015-UBS8 and WFCM 2015-C30 were upgraded. The Negative Outlooks in the following eight transactions reflect office, retail, and/or hospitality concentrations and performance concerns and/or an additional sensitivity scenario that applies higher default and/or loss expectations on the loans noted below. BACM 2015-UBS7: 261 Fifth Avenue (11.6%) and The Mall of New Hampshire (8.3%); CGCMT 2015-GC29: Selig Office Portfolio (14.1%), Parkchester Commercial (11.3%), Papago Arroyo (3.1%) and 400 Plaza Drive (2.2%); COMM 2015-CCRE24: Lakewood Center (14.1%), Two Chatham Center & Garage (11.3%), Westin Portland (4.6%) and 40 Wall Street (4.2%); COMM 2015-CCRE26: Prudential Plaza (10.9%), Devon Park Drive Corporate Campus (4.5%), Rosetree Corporate Center (4.2%) and Empire Corporate Plaza (3.2%); CGCMT 2015-GC33: Illinois Center (11.1%), The Decoration & Design Building (7.3%), and Hamilton Landing (7.0%); MSC 2015-UBS8: Grove City Premium Outlets (5.8%), Gulfport Premium Outlets (3.5%), Mall de las Aguilas (3.2%), Action Properties Portfolio (2.9%), and Porterwood (1.7%); WFCM 2015-C30: Riverpark Square (8.2%), Simmons Tower (5.5%), and Kent Office Portfolio (3.6%); WFCM 2015-SG1: Patrick Henry Mall (8.2%), Simmons Tower (5.5%), and Kent Office Portfolio (3.6%). Change to Credit Enhancement: As of the July 2023 distribution date, the aggregate pool balance has been reduced on average 18.5% (ranging from 10.8% to 43.6%). Losses ranging from 0.01% to 3.0% of the original pool balance have been incurred to date on 10 transactions. Defeasance: On average, the transactions have a 17.2% concentration of defeasance; with largest concentrations in the following transactions: WFCM 2015-C30 (28.8%), CGCMT 2015-GC29 (28.2%), CGCMT 2015-P1 (24.9%), GSMS 2015-GC32 (23.5%), WFCM 2015-C29 (22.1%), and JPMBB 2015-C29 (21.9%). Fitch is currently evaluating the treatment of defeased loans in CMBS transactions and may consider higher stress assumptions on government obligations that have a rating lower than 'AAA'. No classes rated 'AAAsf' in these transactions are anticipated to be negatively impacted by defeasance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' and 'AAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to significant concentrations of defeased collateral could cause downgrades. Downgrades to 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings of 'CCCsf' through 'Csf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' through 'Csf' are not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. ESG CONSIDERATIONS 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. [*] S&P Takes Various Actions on 78 ratings from 13 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 78 classes from 13 U.S. RMBS transactions issued between 2019 and 2021, which are all backed by non-qualified mortgage collateral. The review yielded 30 upgrades and 48 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/z5m3xutb S&P said, "For each transaction, we performed a credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior credit event adjustment factors were based on the transactions' current pool composition." The upgrades primarily reflect deleveraging, as the rated classes benefit from a growing percentage of credit support from historical prepayments and very low delinquencies. The affirmations reflect S&P's view that the projected collateral performance relative to its projected credit support on these classes remains relatively consistent with our prior projections. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2023. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***