/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230910.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 10, 2023, Vol. 27, No. 252 Headlines ACCELERATED 2021-1H: Fitch Affirms BB Rating on Cl. D Notes AMERICREDIT AUTOMOBILE 2023-2: Moody's Assigns (P)Ba1 to E Notes ANGEL OAK 2023-6: Fitch Gives 'B(EXP)sf' Rating on Class B-2 Certs ARBOR REALTY 2022-FL1: DBRS Confirms B(low) Rating on G Notes AREIT 2022-CRE6: DBRS Confirms B(low) Rating on Class G Notes ATLAS SENIOR IX: S&P Affirms B- (sf) Rating on Class E Notes BANC OF AMERICA 2015-UBS7: DBRS Confirms B Rating on X-E Certs BANK 2018-BNK10: DBRS Confirms B Rating on Class X-F Certs BANK 2018-BNK13: DBRS Confirms B Rating on Class X-F Certs BARCLAYS MORTGAGE 2023-NQM2: Fitch Finalizes B- Rating on B-2 Certs BARROW HANLEY II: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes BBCMS MORTGAGE 2017-C1: DBRS Confirms B Rating on Class X-G Certs BCR PINEWOOD: Case Summary & Three Unsecured Creditors BDS 2021-FL7: DBRS Confirms B(low) Rating on Class G Notes BENCHMARK 2018-B4: DBRS Confirms B(high) Rating on G-RR Certs BENCHMARK 2018-B4: Fitch Affirms B- Rating on Class G-RR Debt BENCHMARK 2018-B6: DBRS Confirms B Rating on Class J-RR Certs BLACKROCK DLF IX 2019-G: DBRS Confirms B Rating on Class W Notes BMO MORTGAGE 2023-C6: Fitch Assigns B-sf Rating on Two Tranches BRAVO RESIDENTIAL 2023-NQM6: Fitch Gives B(EXP) Rating on B-2 Notes BX TRUST 2018-GW: DBRS Confirms B(low) Rating on Class G Certs BX TRUST 2021-ARIA: DBRS Confirms BB Rating on Class G Certs BX TRUST 2021-LGCY: DBRS Confirms B(low) Rating on Class G Certs CAMB 2021-CX2: DBRS Confirms BB(high) Rating on Class HRR Certs CAPITAL FOUR US II: Fitch Affirms 'BB-' Rating on Class E Notes CD 2017-CD5 MORTGAGE: Fitch Affirms B-sf Rating on Class F Notes CHNGE MORTGAGE 2023-4: DBRS Gives Prov. B(high) Rating on B2 Certs CITIGROUP COMMERCIAL 2015-GC27: DBRS Confirms C Rating on G Certs COMM 2015-CCRE23: DBRS Confirms B Rating on Class X-D Certs COMM 2016-CCRE28: DBRS Confirms B Rating on Class X-E Certs CORE CONSTRUCTION: Case Summary & 20 Largest Unsecured Creditors CSAIL 2016-C6: DBRS Confirms B Rating on Class X-F Certs DBJPM 2016-C1: Fitch Affirms CCsf Rating on Class F Certs DC COMMERCIAL 2023-DC: DBRS Gives Prov. BB Rating on HRR Certs EXETER AUTOMOBILE 2023-4: Fitch Assigns Final BB Rating on E Notes FLAGSHIP CREDIT 2023-3: DBRS Finalizes BB(high) Rating on E Notes FORTRESS CREDIT XVI: Fitch Affirms 'BB-sf' Rating on Cl. E Notes GALLATIN CLO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E Notes GOODLEAP SUSTAINABLE 2023-3: Fitch Gives 'BB-sf' Rating on C Debts GS MORTGAGE 2015-GC34: Fitch Lowers Rating on Two Tranches to B-sf GS MORTGAGE 2021-ARDN: DBRS Confirms B(low) Rating on G Certs GS MORTGAGE 2023-PJ4: Fitch Gives Final 'B-sf' Rating on B-5 Certs GS MORTGAGE 2023-RPL2: DBRS Gives B(low) Rating on B-3 Notes HERTZ VEHICLE 2023-4: DBRS Finalizes BB Rating on Class D Notes ICG US CLO 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes INVESCO CLO 2023-3: Fitch Affirms 'BB-sf' Rating on Cl. E Notes JP MORGAN 2021-NYAH: DBRS Confirms B(low) Rating on Class H Certs JP MORGAN 2023-DSC2: DBRS Gives Prov. B(low) Rating on B-2 Certs JPMBB COMMERCIAL 2016-C1: Fitch Hikes Rating on F Certs to 'B-sf' JPMCC COMMERCIAL 2017-JP7: DBRS Confirms BB Rating on F-RR Certs LCM E8 LTD: Fitch Gives 'B-(EXP)sf' Rating on Class F-R Notes M&T EQUIPMENT 2023-LEAF1: DBRS Finalizes BB Rating on E Notes MAN US 2023-1: Fitch Assigns 'BB-sf' Rating on Class F Notes METROPLEX RECOVERY: Case Summary & 19 Unsecured Creditors MORGAN STANLEY 2016-C29: DBRS Confirms BB Rating on Class E Certs MORGAN STANLEY 2016-C32: DBRS Confirms BB(low) Rating on F Certs MORGAN STANLEY 2016-UBS12: Fitch Lowers Rating on 4 Tranches to CC MOUNTAIN VIEW XVII: S&P Assigns Prelim BB- (sf) Rating on E Notes NELNET STUDENT 2023-A: DBRS Gives Prov. BB Rating on Class E Notes NMEF FUNDING 2023-A: Moody's Assigns (P)Ba3 Rating to Cl. D Notes NPC FUNDING IX: DBRS Confirms BB(low) Rating on 2 Classes OCTAGON LTD 60: Fitch Affirms 'BB-sf' Rating on Class E Notes OPORTUN FUNDING XIV 2021-A: DBRS Confirms BB (high) on D Series RCMF 2023-FL11: Fitch Corrects Feb. 7 Ratings Release REALT 2021-1: DBRS Confirms B Rating on Class G Certs STONY POINT: Voluntary Chapter 11 Case Summary SYCAMORE TREE 2023-4: S&P Assigns Prelim 'BB-' Rating on E Notes SYMPHONY CLO 35: Moody's Assigns B3 Rating to $500,000 F-R Notes TCP DLF VIII 2018: DBRS Places E Notes BB(low) Rating Under Review TELOS CLO 2013-3: Moody's Cuts Rating on $24.1MM E-R Notes to Caa3 TRINITAS CLO V: S&P Affirms B (sf) Rating on Class E Notes US AUTO 2020-1: Moody's Upgrades Rating on Class D Notes to B2 WELLS FARGO 2015-LC22: Fitch Affirms CCC Rating on 2 Tranches WELLS FARGO 2017-C39: Fitch Lowers Rating on Cl. F-RR Certs to B-sf WELLS FARGO 2018-C48: Fitch Affirms B-sf Rating on Class G-RR Certs WESTLAKE AUTOMOBILE 2023-3: DBRS Finalizes BB Rating on E Notes [*] DBRS Confirms Rating on 12 Tranches From 3 Oportun Deals [*] DBRS Reviews 405 Classes From 34 US RMBS & ReREMIC Transactions [*] Moody's Takes Action on $17.8MM of US RMBS Issued 2003-2006 [*] Moody's Ups $31MM of US Scratch & Dent RMBS Issued 2005-2007 [*] S&P Takes Actions on 38 Classes From 14 Aircraft ABS Deals [*] S&P Takes Various Actions on 82 Classes From 10 U.S. RMBS Deals [*] S&P Takes Various Actions on 84 Classes From 20 U.S. RMBS Deals ********* ACCELERATED 2021-1H: Fitch Affirms BB Rating on Cl. D Notes ----------------------------------------------------------- Fitch Ratings has affirmed the outstanding notes of Accelerated 2021-1H LLC (AALLC 2021-1H). The Rating Outlooks remain Stable for all classes of notes. Entity/Debt Rating Prior ----------- ------ ----- Accelerated 2021-1H LLC A 00439KAA4 LT AAAsf Affirmed AAAsf B 00439KAB2 LT Asf Affirmed Asf C 00439KAC0 LT BBBsf Affirmed BBBsf D 00439KAD8 LT BBsf Affirmed BBsf TRANSACTION SUMMARY The affirmation of the notes reflects loss coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that loss coverage levels will remain supportive of these ratings. KEY RATING DRIVERS As of the July 2023 collection period, the 61+ day delinquency rate was 2.43% (2.53% at July 2022). Cumulative gross defaults (CGDs) are currently at 16.24% (6.87% at July 2022) and cumulative net losses are at 13.71% (5.92% at July 2022). This transaction is tracking above the initial base case of 24.00%. To account for recent performance, Fitch revised the lifetime CGD proxy up to 27.00% from 24.00%. The updated base case default proxy was conservatively derived using extrapolations based on performance to date. The servicer has the right, but not the obligation, to repurchase defaulted loans, which would result in lower losses on the transaction. Fitch's analysis does not give any explicit credit to previously repurchased defaults. When accounting for the previously repurchased defaults, lifetime CGDs are lower than the CGD proxy. As such, Fitch believes the CGD proxy is appropriately conservative and accounts for the performance to date. Under Fitch's stressed cash flow assumptions, loss coverage for the notes are able to support multiples in excess of 3.00x, 2.25x. 1.50x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the projected base case default proxy and impact available loss coverage and multiples levels for the transactions. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact CE levels. Fitch ran a down sensitivity for this transaction that would raise the CGD proxy by 2x the current proxy. This is extremely stressful to the transactions and could result in downgrades by up to three categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch applied an up sensitivity, by reducing the base case proxy by 20%. The impact of reducing the proxy by 20% from the recommended proxy could result in upgrades of up to two categories or affirmations of ratings with stronger multiples. 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. AMERICREDIT AUTOMOBILE 2023-2: Moody's Assigns (P)Ba1 to E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by AmeriCredit Automobile Receivables Trust 2023-2 (AMCAR 2023-2). This is the second AMCAR auto loan transaction of the year for AmeriCredit Financial Services, Inc. (AFS; unrated), wholly owned subsidiary of General Motors Financial Company, Inc. (Baa2, stable). The notes will be backed by a pool of retail automobile loan contracts originated by AFS, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: AmeriCredit Automobile Receivables Trust 2023-2 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2-A Notes, Assigned (P)Aaa (sf) Class A-2-B Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aaa (sf) Class C Notes, Assigned (P)Aa2 (sf) Class D Notes, Assigned (P)Baa1 (sf) Class E Notes, Assigned (P)Ba1 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of AFS as the servicer and administrator. Moody's median cumulative net loss expectation for the 2023-2 pool is 9.0% and the loss at a Aaa stress is 33.0%. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of AFS to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D, and Class E notes are expected to benefit from 33.10%, 26.60%, 18.45%, 10.60%, and 7.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and subordination, except for Class E notes which do not benefit from subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinate notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. ANGEL OAK 2023-6: Fitch Gives 'B(EXP)sf' Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2023-6 (AOMT 2023-6). Entity/Debt Rating ----------- ------ AOMT 2023-6 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the RMBS to be issued by Angel Oak Mortgage Trust 2023-6, Series 2023-6 (AOMT 2023-6), as indicated above. The certificates are supported by 480 loans with a balance of $246.23 million as of the cutoff date. This represents the 32nd Fitch-rated AOMT transaction and the sixth Fitch-rated AOMT transaction in 2023. The certificates are secured by mortgage loans mainly originated by Angel Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC (AOHL). All other originators each contribute less than 10% of the loans to the pool. Of the loans, 65.2% are designated as nonqualified mortgage (non-QM) loans, and 34.8% are investment properties not subject to the Ability to Repay (ATR) Rule. There is no Libor exposure in this transaction, as the ARM loan in the pool does not reference Libor and the certificates do not have Libor exposure. Class A-1, A-2 and A-3 certificates are fixed rate, are capped at the net weighted average coupon (WAC) and have a step-up feature. Class M-1, B-1 and B-3 certificates are based on the net WAC; class B-2 certificates are based on the net WAC but have a stepdown feature, whereby the class becomes a principal-only bond at the point the class A-1, A-2 and A-3 certificate coupons step up. Additionally, on any distribution date where the aggregate unpaid cap carryover amount for the class A certificates is greater than zero, payments to the class A step-up cap carryover reserve account will be prioritized over the payment of interest/unpaid interest payable to the class B-3 certificates. 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 7.6% above a long-term sustainable level, compared with 7.6% on a national level as of 1Q23, down 0.2% since last quarter. The rapid gain in home prices through the pandemic shows signs of moderating, with a decline observed in 3Q22. Home prices decreased 0.2% yoy nationally as of April 2023, driven by the strong gains in 1H22. Non-QM Credit Quality (Mixed): The collateral consists of 480 loans totaling $246.23 million and seasoned at approximately 14 months in aggregate, according to Fitch, and 12 months per the transaction documents. The borrowers have a relatively strong credit profile (735 nonzero FICO and 41.0% debt-to-income (DTI) ratio along with relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 73.5%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 77.1%. Per the transaction documents and Fitch's analysis, 65.2% represents loans whereby the borrower maintains a primary or secondary residence, while the remaining 34.8% comprises investor properties. Fitch determined that 24.9% of the loans were originated through a retail channel. Additionally, 65.2% are designated as non-QM, while the remaining 34.8% are exempt from QM status, as they are investor loans. The pool contains 49 loans over $1.0 million, with the largest amounting to $2.56 million. Loans on investor properties (9.9% underwritten to the borrower's credit profile and 24.9% comprising investor cash flow loans) represent 34.8% of the pool, as determined by Fitch. There are no second lien loans, and 2.3% of the borrowers were viewed by Fitch as having a prior credit event in the past seven years. Per the transaction documents, none of the loans have subordinate financing. In Fitch's analysis, Fitch also considered loans with deferred balances to have subordinate financing. In this transaction, there were no loans with deferred balances; therefore, Fitch performed its analysis considering none of the loans to have subordinate financing. Fitch viewed the lack of subordinate financing as a positive aspect of the transaction. Fitch determined that four of the loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as no documentation, for employment and income documentation and removed the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for these borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2022 and 2021, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's nonprime model. The largest concentration of loans is in California (26.1%), followed by Florida and Texas. The largest MSA is Los Angeles (13.8%), followed by Miami (10.1%) and Dallas (4.7%). The top three MSAs account for 28.6% of the pool. As a result, there was no penalty was applied for geographic concentration. Loan Documentation (Negative): Fitch determined that 93.0% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 92.4% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and the transaction documents. Of the loans underwritten to borrowers with less than full documentation, Fitch determined that 63.8% were underwritten to a 12-month or 24-month business or personal bank statement program for verifying income, which is not consistent with the previously applicable Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 24.9% comprise a debt service coverage ratio (DSCR) product and 3.4% are an asset qualifier product. None of the loans in the pool are no-ratio DSCR loans, which Fitch viewed as a positive aspect compared with other Fitch rated NQM transactions that include no ratio loans in limited quantities. For no-ratio loans, employment and income are considered to be no documentation in Fitch's analysis and Fitch assumes a DTI ratio of 100%. This is in addition to the loans being treated as investor occupied. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies (DQs). Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the mezzanine and subordinate certificates from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. There is limited excess spread in the transaction available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after the distribution date in September 2027, since the class A certificates have a step-up coupon feature whereby the coupon rate will be the lesser of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. To offset the impact of the class A certificates' step-up coupon feature, class B-2 has a stepdown coupon feature that will become effective in September 2027, which will change the B-2 coupon to 0.0%. Additionally, on any distribution date where the aggregate unpaid cap carryover amount for the class A certificates is greater than zero, payments to the class A step-up cap carryover reserve account will be prioritized over the payment of interest/unpaid interest payable to the class B-3 certificates. These features are supportive of classes A-1 and A-2 being paid timely interest at the step-up coupon rate and class A-3 being paid ultimate interest at the step-up coupon rate. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.0% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Canopy, Consolidated Analytics, Covius, Incenter, Infinity, IngletBlair, Recovco and Selene to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS 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. ARBOR REALTY 2022-FL1: DBRS Confirms B(low) Rating on G Notes ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of notes issued by Arbor Realty Commercial Real Estate Notes 2022-FL1, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance as the trust continues to be solely secured by the multifamily collateral. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. The initial collateral consisted of 44 floating-rate mortgages secured by 59 transitional multifamily properties with a cut-off date balance totaling $1.61 billion. Most loans were in a period of transition with plans to stabilize performance and improve the asset value. The trust reached its maximum funded balance of $2.05 billion in June 2022. The transaction is a managed vehicle with a 30-month reinvestment period scheduled to expire with the August 2024 Payment Date. As of the August 2023 remittance, the pool comprises 58 loans secured by 75 properties with a cumulative trust balance of $2.03 billion. The cash balance of the Reinvestment Account is $16.8 million. Forty-seven of the original loans in the transaction at closing, representing 86.5% of the current trust balance, remain in the trust. Since issuance, 11 loans with a former cumulative trust balance of $273.4 million have been successfully repaid from the pool, including 10 loans totaling $253.0 million since the previous DBRS Morningstar rating action in November 2022. One of these loans, The Redford, which had a former balance of $68.8 million was purchased from the trust at par by the collateral managers as the asset was identified as a credit risk asset. An additional seven loans, totaling $244.3 million, have been added to the trust since the previous DBRS Morningstar rating action. The transaction is concentrated by property type, as all loans are secured by multifamily properties. The loans are primarily secured by properties in suburban markets as 52 loans, representing 91.3% of the pool, are secured by properties in suburban markets, as defined by DBRS Morningstar, with a DBRS Morningstar Market Rank of 3, 4, or 5. An additional five loans, representing 7.4% of the pool, are secured by properties with a DBRS Morningstar Market Rank of 1 and 2, denoting rural and tertiary markets, while one loan, representing 1.3% of the pool, is secured by a property with a DBRS Morningstar Market Rank of 6, denoting an urban market. In comparison at transaction issuance, properties in suburban markets represented 89.5% of the collateral, properties in tertiary and rural markets represented 8.3% of the collateral, and properties in urban markets represented 2.2% of the collateral. Leverage across the pool has increased slightly as of August 2023 reporting when compares with issuance metrics as the current weighted-average (WA) as-is appraised value loan-to-value (LTV) ratio is 69.9%, with a current WA stabilized LTV ratio of 69.7%. In comparison, these figures were 78.5% and 72.3%, respectively, at issuance. DBRS Morningstar recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. Through March 2023, the lender had advanced cumulative loan future funding of $72.9 million to 51 of the 58 outstanding individual borrowers to aid in property stabilization efforts. The largest advance has been made to the borrower of the Georgia Portfolio 2 ($8.4 million) loan. The loan is secured by a portfolio of six garden-style apartment properties throughout metro Atlanta area, totaling 1,187 units built between 1969 and 1985. The advanced funds have been used to fund the borrower's extensive $16.8 million planned capital expenditure (capex) plan across the portfolio, which contemplated upgrades to all unit interiors, property exteriors, and the correction of deferred maintenance at loan closing. According to the Q1 2023 update from the collateral manager, the portfolio was 81.0% occupied with an average rental rate of $1,192/unit, which represented a 31.4% increase over in-place rental rates at loan closing. The loan was also modified in June 2022 to allow borrower a $1.0 million rolling advance to continually access loan future funding to complete upgrades. There remains an additional $8.4 million of available loan funding. An additional $128.8 million of loan future funding allocated to 52 of the outstanding individual borrowers remains available. Available loan proceeds for each respective borrower are for planned capex improvements with the largest portion of available funds, $9.5 million, allocated to the borrower of the Solace on Peachtree loan. The loan is secured by a 538-unit, high-rise multifamily property in the Midtown neighborhood of Atlanta. As of March 2023, the loan had a funded balance of $81.3 million with a $23.8 million pari passu piece in the subject transaction and a $57.5 million pari passu piece in the Arbor Realty Commercial Real Estate Notes 2022-FL2, LLC transaction (also rated by DBRS Morningstar). The loan future funding is available to the borrower to complete a planned $10.6 million capex program. According to the Q1 2023 collateral manager update, the renovation program had yet to begin; however, the borrower was provided a $1.1 million advance as working capital at loan closing. As of the August 2023 remittance, there is one delinquent loan, The Graham, representing 1.8% of the current trust balance. According to the collateral manager, the borrower was expected to remit the delinquent July payment in mid-August; however, no update was provided regarding the August debt service payment. The collateral manager also noted the borrower was also expected to deposit $1.0 million into a debt service reserve, though confirmation of receipt has yet to be received. The value of the property has likely fallen, and as such, DBRS Morningstar assumed a current LTV ratio in excess of 100.0% in its current analysis. There are no loans on the servicer's watchlist. According to the collateral manager, four loans, representing 2.8% of the current cumulative trust loan balance, have been modified. The modified loans include Riverwalk Vista, Black Hawk Apartments, Idlewild 45, and The Fields One Center as the collateral manager does not consider the Georgia Portfolio 2 loan to be modified. In general, the modifications have allowed a reallocation of existing reserves or uses for future funding dollars, maturity extensions, and changes in property management. Six loans, representing 9.5% of the current cumulative trust balance, have a loan maturity date in the next six months. The largest of these loans, Cantera Residences ($85.0 million), matures at month-end August 2023 and is secured by a multifamily property in Warrenville, Illinois. The borrower's business plan was to complete the initial lease-up phase of the property as it was built in 2020 and suffered as a result of the Coronavirus Disease (COVID-19) pandemic. According to the collateral manager, the borrower and the lender were actively working to close a refinance loan; however, no further details are available at this time. The loan is structured with one 12-month extension option available to the borrower and based on the current operating performance, the loan qualifies for the extension. Notes: All figures are in U.S. dollars unless otherwise noted. AREIT 2022-CRE6: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of notes issued by AREIT 2022-CRE6 Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which remains in line with DBRS Morningstar expectations as individual borrowers are generally progressing through their stated business plans. The pool composition remains relatively similar to issuance with multifamily representing majority of the pool. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. As of the July 2023 remittance, the trust reported an outstanding balance of $859.9 million with 29 loans remaining in the trust. The transaction is a static vehicle, with no delayed-close assets or reinvestment period (with no right to acquire unidentified assets other than the funded future funding companion participations). All future loan repayments will pay down the notes sequentially. Since the previous DBRS Morningstar rating action in November 2022, five loans successfully repaid from the trust. The remaining loans in the transaction are heavily concentrated, with 20 loans secured by multifamily properties (74.0% of the current trust balance) and only two loans (6.1% of the current trust balance) secured by office properties and two loans (5.8% of the current trust balance) secured by lodging properties. The remaining loans are secured primarily by properties located in suburban markets. Twenty-three loans, representing 83.1% of the pool, are secured by properties in suburban markets, as defined by DBRS Morningstar, with a DBRS Morningstar Market Rank of 3, 4, or 5. Four loans, representing 10.4% of the pool, are secured by properties with a DBRS Morningstar Market Rank of 6, 7, or 8, denoting an urban market. In comparison with the pool composition at issuance, properties in suburban markets represented 88.0% of the collateral and properties in urban markets represented 8.9% of the collateral. Leverage across the pool has remained relatively unchanged since issuance as the current weighted-average (WA) as-is appraised value loan-to-value (LTV) ratio is 72.0% with a current WA stabilized LTV ratio of 64.3%. In comparison, these figures were 71.7% and 64.5%, respectively, at issuance. DBRS Morningstar recognizes these values may be inflated as the individual property appraisals were completed in 2021 and do not reflect the current rising interest rate or widening capitalization rate environments. Through June 2023, the lender had advanced $46.2 million in loan future funding to 21 of the individual borrowers to aid in property stabilization efforts. The largest loan advances included $3.7 million toward the Eagles Landing loan and $3.6 million toward the Alexander at the District loan. The future funding for both of these loans will be used for capital improvement plans to improve the properties' position in the submarket and increase revenues. An additional $61.9 million of loan future funding allocated to 16 individual borrowers remains available. The largest individual allocation, $31.6 million, is allocated to the borrower of the Balboa Retail Portfolio loan for capital improvements and leasing costs. As of the July 2023 reporting, no loans are delinquent or in special servicing but seven loans, representing 22.8% of the current trust balance, are on the servicer's watchlist. These loans were flagged primarily for performance issues with low occupancy rates and below breakeven debt service coverage ratios (DSCRs); however, this was anticipated as borrowers progress through its business plans. The largest watchlisted loan is the Alexander at the District (Prospectus ID#2; 7.2% of the pool), which was added in April 2023 for a DSCR below 1.0 times. Six loans, representing 19.7% of the current pool balance, have upcoming loan maturity dates in 2023. Each loan has at least one remaining 12-month extension option, and DBRS Morningstar expects the majority of loans to be extended. No loans to date have been modified or have had forbearances granted. Notes: All figures are in U.S. dollars unless otherwise noted. ATLAS SENIOR IX: S&P Affirms B- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings raised its ratings on the class B and C notes from Atlas Senior Loan Fund IX Ltd. S&P also removed the rating on the class B notes from CreditWatch, where it was placed with positive implications on June 30, 2023. At the same time, S&P affirmed its ratings on the class D and E notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the July 11, 2023, trustee report. The transaction has paid down $150.97 million in collective paydowns to the class A and B notes since our November 2021 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios to all classes except the class E notes since the Sept. 9, 2023, trustee report, which we used for our previous rating actions: -- The class A/B O/C ratio improved to 201.39% from 139.38%. -- The class C O/C ratio improved to 146.98% from 123.40%. -- The class D O/C ratio improved to 118.75% from 112.10%. -- The class E O/C ratio declined to 103.01% from 104.49%. The improvement in coverage test values for the class A/B, C, and D notes indicate an increase in credit support. While senior O/C ratios improved, the class E O/C ratio declined. This is primarily due to an increase of assets in the 'CCC' category that the transaction incurred since our last rating action. While the O/C ratios improved for the class A/B, C, and D, the credit quality of the portfolio's collateral has slightly deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $31.24 million reported as of the July 2023 trustee report, compared with $27.33 million reported as of the September 2021 trustee report. However, despite the slightly larger concentrations in the 'CCC' category, the transaction has benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 2.08 years reported as of the July 2023 trustee report, compared with 3.29 years reported as of the September 2021 report. The upgraded ratings reflect the improved credit support available to the notes at the 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 notes could result in changes to the ratings. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D and E notes. However, because the transaction currently has some concentration to loans from obligors rated 'CCC+ (sf)' and below, S&P affirmed the ratings on the class D and E notes to offset future potential credit migration in the remaining underlying collateral. 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." Atlas Senior Loan Fund IX 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 said, "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 And Removed From CreditWatch Positive Atlas Senior Loan Fund IX Ltd. Class B to 'AAA (sf)' from 'AA+ (sf)/Watch Pos' Rating Raised Atlas Senior Loan Fund IX Ltd. Class C to 'AAA (sf)' from 'AA- (sf)' Ratings Affirmed Atlas Senior Loan Fund IX Ltd. Class D: BBB- (sf) Class E: B- (sf) BANC OF AMERICA 2015-UBS7: DBRS Confirms B Rating on X-E Certs -------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by Banc of America Merrill Lynch Commercial Mortgage Trust 2015-UBS7: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (low) (sf) -- Class D at BB (high) (sf) -- Class X-E at B (sf) -- Class E at B (low) (sf) -- Class F at C (sf) -- Class G at C (sf) All trends are Stable. The ratings confirmation reflects the overall healthy financial performance of the pool, as exhibited by the weighted-average debt service coverage ratio (DSCR) as of the most recent reporting, which was above 2.0 times (x). The C (sf) ratings on Classes F and G are reflective of the low credit support given the significant erosion of the unrated first loss piece, the Class H certificate, which had a balance of $21.8 million at issuance and as of the July 2023 remittance, has been reduced to a balance of $2.3 million due to realized losses incurred to date. The most notable loss was realized with the liquidation of the WPC Department Store Portfolio loan (Prospectus ID#12) in August 2022 with a loss of $19.5 million. The defeasance adjusted credit support for the Class F and G certificates is now 1.7% and 0.4%, respectively. As of the July 2023 remittance, 38 of the original 42 loans remain in the pool, representing a collateral reduction of 20.0% since issuance. There are six loans, representing 4.8% of the pool, that are fully defeased. One loan is in special servicing and six loans are on the servicer's watchlist, representing 0.9% and 29.6% of the pool balance, respectively. The Aviare Place Apartments (Prospectus ID#28; 0.9% of the pool) loan is a pari passu loan, with the other piece of the whole loan held in the Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 transaction (rated by DBRS Morningstar). The collateral is a multifamily property in Midland, Texas, and the loan transferred to special servicing in December 2021. The most recent appraisal on file is dated February 2022, showing an as-is value of $19.1 million, down from the issuance value of $34.0 million. Based on this updated valuation, a stressed scenario was analyzed for this review, with the resulting expected loss that was more than triple the pool average. The pool is concentrated by property type with office loans representing 27.6% of the pool balance, while retail and hotel loans represent 19.7% and 18.0% of the pool balance, respectively. In general, the office sector has been challenged, given the low investor appetite for the property type and high vacancy rates in many submarkets as a result of the shift in workplace dynamics. In the analysis for this review, loans backed by office and other properties that were showing performance declines from issuance or otherwise exhibiting increased risks from issuance were analyzed with stressed scenarios to increase expected losses as applicable. As a result of this approach, loans backed by office properties exhibited a weighted-average expected loss that was nearly double the pool average. The third-largest office loan in the pool is 651 Brannan Street (Prospectus ID#6; 5.8% of the pool), collateralized by a low-rise office property in San Francisco. The property is primarily occupied by Pinterest, with 89.0% of the net rentable area (NRA) on a lease that runs through May 2029. Pinterest has recently been reported to be subleasing other leased space in the San Francisco area, but the subject property serves as the company's headquarters and appears to continue as the firm's core business footprint. In addition to the longer term lease, the loan benefits from the low going-in loan-to-value ratio (LTV) at issuance of 46.0%, with the amortization since suggesting an LTV of 36.1% on the issuance value. Although the current challenges for office properties, particularly within San Francisco, likely mean the as-is value has declined from issuance, there is significant cushion to insulate the trust from loss should a default occur in the term or at maturity. The pool's office exposure is all in the top 10, with three loans backed by office properties in New York, Boston, and San Francisco. The largest of these loans, 261 Fifth Avenue (Prospectus ID#2; 11.6% of the pool), is secured by a Class B office building in Midtown Manhattan. The loan is on the servicer's watchlist for occupancy declines from issuance, but the most recently reported figures show signs of improvement with the occupancy rate improving to 85.0% as of March 2023, up from a low of approximately 78.0% in late 2022. The property was fully occupied at closing in 2015 but has consistently hovered around the current occupancy rate for several years. Cash flows have been depressed from issuance, with the YE2022 DSCR at 1.24x, but the Q1 2023 figures showed improvement to a coverage of 1.42x, likely a factor of leasing activity in 2022. Given the cash flow declines, a stressed LTV was analyzed for this review to increase the expected loss. The Mall of New Hampshire loan (Prospectus ID#5; 8.3% of the pool) is also a pari passu structure, with the other portions of debt held within the CSAIL 2015-C3 Commercial Mortgage Trust transaction (rated by DBRS Morningstar). The loan is secured by approximately 406,000 square feet (sf) of in-line space in an 812,000-sf enclosed regional mall in Manchester, New Hampshire. The mall, which is jointly owned by Simon Property Group and the Canadian Pension Plan Investment Board, is anchored by Macy's, JCPenney, and Dick's Sporting Goods—none of which serve as collateral for the loan. Because of the business interruptions amid the Coronavirus Disease (COVID-19) pandemic, the loan transferred to special servicing, and a cash trap was activated in December 2020. The cash trap remains active as of May 2023 and, according to the May 2023 reserve report, $1.4 million of lockbox receipts have been collected, in addition to $213,000 outstanding in a leasing reserve. The loan returned to the master servicer in May 2021 after a forbearance was executed to defer interest payments from May 2020 through December 2020. As of March 2023, the property was approximately 81.0% occupied. The largest collateral tenants include Best Buy, Old Navy, and Ulta, collectively representing more than 15.0% of the net rentable area (NRA). According to the most recent information on file with DBRS Morningstar, Old Navy's lease expired in January 2022; the mall website shows the store remains open and a leasing update has been requested from the servicer. According to the December 2022 tenant sales report, the mall reported in-line sales (excluding Apple) of $437 per square foot (psf), which are up from the in-line sale of $396 psf as of August 2021. As of the Q1 2023 financials, the loan reported an annualized net cash flow of $10.6 million, equating to a DSCR of 1.70x, compared with the YE2022 DSCR of 1.80x, and the DBRS Morningstar DSCR of 2.30x. Although the loan's in-place coverage remains healthy, cash flow continues to lag DBRS Morningstar's expectations. To account for these increased risks, a stressed scenario was analyzed that resulted in an expected loss more than double the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2018-BNK10: DBRS Confirms B Rating on Class X-F Certs ---------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-BNK10 issued by BANK 2018-BNK10 as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction and generally healthy financial performance. The pool has a strong weighted-average (WA) debt service coverage ratio (DSCR) of 2.28 times (x); however, DBRS Morningstar notes that the transaction's high concentration of loans collateralized by office properties, representing 25.4% of the pool balance, poses increased credit risk as there is an element of uncertainty around future demand for the property type. In general, the office sector's performance has been strained, given the low investor appetite for the property type and high vacancy rates in many submarkets as a result of the shift in workplace dynamics. In the analysis for this review, loans backed by office properties and other properties that were showing performance declines from issuance or exhibiting increased risks from issuance were analyzed with stressed scenarios to increase the expected losses as applicable. The resulting WA expected loss for the stressed office loans is approximately 20.0% higher than the pool's average expected loss. As of the July 2023 remittance, 65 of the original 68 loans remain in the trust, with an outstanding trust balance of $1.2 billion resulting in a collateral reduction of 4.1% since issuance because of loan repayments/liquidation and scheduled amortization. Two loans, representing 7.4% of the current pool balance, are fully defeased. Five loans, representing 9.8% of the current pool balance, are on the servicer's watchlist, primarily because of low DSCRs, occupancy concerns, and/or recent transfers back to the master servicer from the special servicer. One loan, representing 0.8% of the balance at issuance, liquidated from the pool in September 2021 with a loss of approximately $1.3 million contained to the nonrated Class G. There are currently no loans in special servicing. The largest loan on the servicer's watchlist, Wisconsin Hotel Portfolio (Prospectus ID#4, 5.4% of the pool balance), is secured by the borrower's fee-simple interests in a portfolio of 11 hotel properties with a combined 1,255 keys located across five submarkets in Wisconsin. The loan was added to the servicer's watchlist in November 2020 for a low DSCR, reported at -0.24x at YE2020. Based on the financials for the trailing 12 month (T-12) period ended March 31, 2023, the loan reported a DSCR of 0.53x, an improvement from the YE2020 figure and relatively unchanged from the YE2022 figure of 0.55x, but still well below breakeven. Occupancy has not improved since the onset of the Coronavirus Disease (COVID-19) pandemic, hovering around 40% to 50%, while the pre-pandemic occupancy rate was reported at 63.7% as of YE2019. However, average daily rate and revenue per available room (RevPAR) has improved with the T-12 March 31, 2023, figures at $144.50 and $57.55, respectively, compared with the YE2020 figures of $84.57 and $33.12, respectively, but ultimately still below the YE2019 figures of $101.76 and $64.65, respectively. Despite the year-over-year RevPAR growth, performance continues to be well below DBRS Morningstar expectations. As such, DBRS Morningstar applied a probability of default penalty in its analysis, resulting in an expected loss that was nearly triple the pool's WA expected loss. At issuance, DBRS Morningstar shadow-rated two loans, Apple Campus 3 (Prospectus ID#1, 7.6% of the pool balance) and Moffett Towers II (Prospectus ID#10, 3.3% of the pool balance), as investment grade. With this review, DBRS Morningstar maintained the shadow ratings of the loans as they continue to perform in line with the investment-grade characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2018-BNK13: DBRS Confirms B Rating on Class X-F Certs ---------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-BNK13 issued by BANK 2018-BNK13 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect DBRS Morningstar's stable outlook and loss expectations for the transaction, which remain relatively unchanged from the last rating action in November 2022. As of the July 2023 remittance report, 60 of the original 62 loans remain in the pool, representing a collateral reduction of 12.0% since issuance. One loan, representing 0.4% of the pool, is fully defeased. In addition, four loans, representing 5.9% of the pool, are on the servicer's watchlist and two loans, representing 5.5% of the pool, are in special servicing. The pool is concentrated by property type, where loans secured by retail and office properties each represent more than 35.0% of the current pool balance. In general, the office sector has been challenged, given the low investor appetite for the property type and high vacancy rates in many submarkets. However, of the nine office loans (39.7% of the pool), only two exhibited performances that suggested increased credit risk since issuance and both were stressed in the analysis for this review, resulting in a weighted-average (WA) expected loss that was nearly triple the pool average. In spite of the large office concentration, the majority of the loans in the pool exhibit healthy credit metrics, with the 10 largest loans (60.7% of the pool) reporting a WA debt service coverage ratio (DSCR) of 1.24 times (x) based on the most recent year-end financials. The largest specially serviced loan, Fair Oaks Mall – Trust (Prospectus ID#12; 3.8% of the pool), is secured by a portion of approximately 780,000 square feet (sf) of a 1.5 million-sf regional mall in Fairfax, Virginia, and is sponsored by Taubman Realty Group Limited Partnership and Morton Olshan. The loan is pari passu with the BBCMS Mortgage Trust 2018-C2 transaction, which is also rated by DBRS Morningstar. At issuance, the mall was anchored by a collateral Macy's (27.6% of the net rentable area (NRA), lease expiration in February 2026) and the non-collateral anchors, Macy's Furniture Gallery, Sears, JC Penney, and Lord & Taylor. While the space previously occupied by Sears has been backfilled by Dick's Sporting Goods and Golf Galaxy, the Lord & Taylor box has remained vacant since the tenant filed for bankruptcy in 2020. The loan transferred to special servicing in February 2023 for imminent monetary default as the loan was not expected to repay at its May 2023 maturity. The borrower has requested an extension and the terms are currently being finalized. As part of the request, the borrower noted excess funds would be available for tenant improvements and capital expenditures, although the borrower has indicated its current limitations in contributing additional capital to the subject property. According to the March 2023 rent roll, the property was 88.7% occupied, in comparison with being 89.3% occupied at YE2021 and 91.6% occupied at issuance. Additionally, tenants occupying more than 40.0% of the NRA have leases that have expired or are scheduled to expire in the next 12 months. However, tenants occupying approximately 17.4% of the NRA that had lease expirations between January and August 2023 remain in the property's online directory, including the second-largest tenant, Forever 21 (6.7% of the NRA). While occupancy has remained relatively stable over the past few years, the property's net cash flow (NCF) has declined year over year. According to the most recent financials, the annualized NCF for the trailing nine months ended September 30, 2022, was $19.6 million (reflecting a DSCR of 1.13x), slightly below the YE2021 NCF of $20.1 million (reflecting a DSCR of 1.16x) and still less than the DBRS Morningstar NCF $22.7 million (DSCR of 1.62x). There is also concern about competition, which includes Tysons Corner Center and Tysons Galleria malls, both of which offer luxury brands that cater to the higher-income demographics. According to the June 2023 sales report, the total mall sales for the YE2022 period was approximately $432 per square foot (psf), inclusive of Apple sales, in comparison with the competitive set's figure of $469 psf. Without Apple, annual sales was approximately $325 psf. At issuance, the loan was shadow rated investment grade primarily because of the low A-note loan-to-value ratio (LTV) of 32.1% and high DBRS Morningstar Term DSCR. Considering that the loan was unable to repay at maturity, performance is below DBRS Morningstar expectations, significant competition in the area, and the borrower's limitations in contributing additional capital to the subject, DBRS Morningstar removed the loan's investment-grade shadow rating and increased the probability of default. This resulted in a loan-level expected loss that was more than double the pool's average. The Regal Cinemas Lincolnshire loan (Prospectus ID#17; 1.8% of the pool) is secured by a 75,372-sf movie theatre complex in Lincolnshire, Illinois. The property was previously occupied by single tenant, Regal Cinemas, that vacated the property in February 2023 after filing for bankruptcy, which ultimately led to the loan's transfer to special servicing in May 2023 for imminent monetary default. The last loan payment received was in March 2023 and, according to the servicer, discussions with various brokers to evaluate the property are ongoing, with foreclosure stated as the likely workout strategy. For this review, DBRS Morningstar analyzed this loan with a liquidation scenario, resulting in a loss severity in excess of 25%. The largest loan on the servicer's watchlist, Ditson Building (Prospectus ID#11; 4.5% of the pool), is secured by a Class B office property in Midtown New York, a block from the Empire State Building. The loan has been monitored on the servicer's watchlist since January 2021 for low DSCRs driven by the precipitous decline in occupancy after several tenants vacated the property at their lease expirations, including the former largest tenant, TTC USA Consulting (47.2% of the NRA), which vacated in June 2022. As a result of the departures, the occupancy rate dropped to 43.4% per the February 2023 rent roll and the borrower is working to backfill the vacant space. The current largest tenant is Research Foundation of CUNY (18.9% of NRA), which has a lease scheduled to expire in September 2026. Based on the financials for the trailing six months ended June 30, 2022, the DSCR remains below breakeven at 0.30x, compared with the YE2021 DSCR of 0.73x and DBRS Morningstar DSCR of 1.16x. Given the performance challenges, DBRS Morningstar increased the probability of default and applied an elevated stress to the loan's LTV in its analysis, resulting in an expected loss that was more than triple the pool average. Along with the Fair Oaks Mall loan, DBRS Morningstar also shadow-rated three other loans at issuance as investment grade—1745 Broadway (Prospectus ID#1; 11.3% of the pool), Pfizer Building (Prospectus ID#3; 1.7% of the pool), and 181 Fremont Street (Prospectus ID#14; 2.6% of the pool). This assessment was supported by the loans' strong credit metrics, strong sponsorship strength, and the historically stable performance. With this review, DBRS Morningstar confirms that the characteristics of these loans remain consistent with the investment-grade shadow rating. Notes: All figures are in U.S. dollars unless otherwise noted. BARCLAYS MORTGAGE 2023-NQM2: Fitch Finalizes B- Rating on B-2 Certs ------------------------------------------------------------------- Fitch Ratings assigns final ratings the residential mortgage-backed certificates to be issued by Barclays Mortgage Loan Trust 2023-NQM2 (BARC 2023-NQM2). Entity/Debt Rating ----------- ------ BARC 2023-NQM2 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT Asf New Rating M-1 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT B-sf New Rating B-3 LT NRsf New Rating XS LT NRsf New Rating SA LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating TRANSACTION SUMMARY The certificates are supported by 792 nonprime loans with a total balance of approximately $252.2 million as of the cutoff date. 100% of the pool was originated and serviced by Carrington Mortgage Services LLC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch Ratings' updated view on sustainable home prices, Fitch views the home price values of this pool as 8.4% 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 decreased 0.5% yoy nationally as of May. Non-QM Credit Quality (Negative): The collateral consists of 792 loans, totaling $252.2 million and seasoned approximately nine months in aggregate. The borrowers have a significantly weak credit profile (701 Fitch model FICO and 49.2% model debt to income [DTI] ratio), which takes into account Fitch's converted debt service coverage ratio (DSCR) values. The borrowers also have moderate leverage — 74.4% sustainable loan to value (sLTV) ratio and 69.3% original combined LTV (cLTV). The pool consists of 61.4% of loans where the borrower maintains a primary residence, while 36.3% comprise an investor property and the remaining 2.3% are second home. Additionally, 1.3% are safe-harbor qualified mortgages (SHQMs), 1.6% are rebuttable presumption and 61.1% are non-qualified mortgages (non-QMs/NQMs); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 28.25%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Weaker FICO (Negative): Compared with prior Barclays transactions and other NQM deals, the FICO for this deal is considerably weaker, with a weighted average (WA) FICO of 701. Fitch's treatment of FICO increased the 'AAAsf' expected loss by 400bps relative to the nonprime/NQM average issuance FICO. Loan Documentation (Negative): Approximately 99.9% of the loans in the pool were underwritten to less than full documentation, and 44.1% 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 that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay Rule (ATR Rule, or the Rule), which reduces the 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 the borrower's ability to repay. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 700bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 344 DSCR products in the pool (43.4% by loan count). These business-purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than 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 them as low documentation. Fitch's expected loss for these loans is 35.5% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 34.9% WA concentration. 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. BARC 2023-NQM2 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC. The unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes. As 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 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 40.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. DATA ADEQUACY Fitch 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. BARROW HANLEY II: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Barrow Hanley CLO II Ltd./Barrow Hanley CLO II LLC's fixed- and floating-rate debt. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BH Credit Management LLC. The preliminary ratings are based on information as of Sept. 1, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Barrow Hanley CLO II Ltd./Barrow Hanley CLO II LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $23.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB- (sf) Class D-2 (deferrable), $3.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $39.60 million: Not rated BBCMS MORTGAGE 2017-C1: DBRS Confirms B Rating on Class X-G Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C1 issued by BBCMS Mortgage Trust 2017-C1: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (high) (sf) -- Class E at BB (sf) -- Class X-F at BB (low) (sf) -- Class F at B (high) (sf) -- Class X-G at B (sf) -- Class G at B (low) (sf) The trends on Classes X-D, D, X-E, E, X-F, F, X-G, and G have been changed to Negative from Stable. All other trends are Stable. The rating confirmations and Stable trends reflect DBRS Morningstar's current outlook and loss expectations for the transaction, which remain relatively unchanged from the November 2022 rating action. However, there are some challenges for the pool, primarily stemming from two loans in special servicing and the high concentration of loans secured by office properties, some of which are exhibiting performance declines given the general challenges faced in that sector. Because of these loan-specific challenges, and the downward ratings pressure implied by the CMBS Insight Model results on the six lowest-rated classes that are most exposed to loss, the Negative trends are warranted. Mitigating factors include the execution of a reinstatement agreement for the largest loan in special servicing and structural features for the three largest loans in the pool, which are secured by office properties, including low to moderate going-in loan-to-value (LTV) ratios and established leasing reserves or cash management provisions. The transaction also benefits from five years of amortization since issuance, as well loan repayments and defeasance, as further described below. As of the July 2023 reporting, 52 of the original 58 loans remain in the pool with an aggregate principal balance of $751.7 million, representing collateral reduction of 12.2% since issuance, as a result of loan amortization, loan repayments, and the liquidation of one loan from the trust. Five loans, representing 3.0% of the pool, have been fully defeased. There are 14 loans, representing 37.9% of the pool, on the servicer's watchlist, and two loans, representing 6.1% of the pool in special servicing. The pool is concentrated by property type with loans secured by office, retail, and hotel properties representing 41.5%, 22.9%, and 15.9% of the pool balance, respectively. In general, the office sector continues to face challenges as uncertainty surrounding end-user demand places upward pressure on vacancy rates, challenging landlords' efforts to backfill vacant space, and, in certain instances, contributing to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. While the majority of office loans in the transaction continue to perform as expected, several of these loans are exhibiting increased risk, having seen deteriorations in operating performance as evidenced by the historical occupancy rate and/or cash flow trends demonstrated over the last few reporting periods. Where applicable, DBRS Morningstar increased the probability of default (POD) penalties, and, in certain cases, applied stressed LTV ratios for these loans, with the resulting weighted-average (WA) expected loss (EL) approximately 30.0% greater than pool average. The largest loan, Alhambra Towers (Prospectus ID#1; 8.1% of the pool), is secured by a Class A office property in Coral Gables, Florida. The loan was added to the servicer's watchlist in January 2023 for a low debt service coverage ratio (DSCR), which fell to 1.1 times (x) as of YE2022. The decline in the loan's DSCR was driven by increased vacancy after two large tenant departures, including AerSale, Inc. (formerly 15.7% of net rentable area (NRA)) and Becker & Poliakoff (formerly 12.9% of NRA) in November 2021 and December 2022, respectively. As a result, occupancy fell to 78.0% at YE2022 from 94.4% at YE2020, causing a reduction in net cash flow (NCF). An additional four tenants, representing 14.4% of NRA, have scheduled lease expirations during the next 12 months; however, there has been positive leasing momentum at the property, with Quest Workspaces signing a 22,522-square-foot (sf) lease to occupy the entire tenth floor. The flexible workspace provider has a targeted opening date in Q3 2023. Per the July 2023 reporting, there was approximately $0.6 million held across three reserves. Although occupancy and cash flow at the property have declined, the loan's sponsor, The Allen Morris Company (Allen Morris), is an experienced real estate owner, operator, and developer, with more than 60 years of experience in the U.S. real estate market across various asset classes. Furthermore, Allen Morris remains committed to the asset as evidenced by the recent renovation program, which began in the third quarter of 2022 and focused on refinishing the common areas, introducing a new 8,000-sf fine-dining restaurant concept and creating the Alhambra Towers Collector Car Storage, a hurricane-safe private parking garage. According to Reis, the Coral Gables submarket reported a Q2 2023 vacancy rate of 14.1% with an average asking rental rate of $44.7 per sf (psf), compared with the subject's in-place rate of $50.23 psf. Given the submarket's soft fundamentals and the elevated vacancy rate at the property, DBRS Morningstar applied an elevated POD penalty in its analysis to reflect the current risk profile and increase the EL for this loan. The resulting EL was approximately 30.0% greater than the pool average. The second largest loan, 1166 Avenue of the Americas (Prospectus ID#2; 7.5% of the pool), is secured by the first five floors of a Class A office property in Midtown Manhattan. The loan was added to the servicer's watchlist in July 2023 because the largest tenant, The D.E. Shaw Group (D.E. Shaw; 43.6% of NRA) confirmed they will be vacating their space upon lease expiration in June 2024 (although they may extend the lease an additional three to six months beyond their scheduled expiration date). The second largest tenant, Arcesium (20.0% of NRA), has a lease guaranteed by D.E. Shaw and also has a lease expiration in June 2024. Arcesium is reportedly looking for space elsewhere; although, final decisions have not been confirmed. While the servicer has reported that a 10-year lease is currently being negotiated with a prospective tenant that could occupy most of the third floor (between 15.0% and 20.0% of NRA), occupancy will likely experience volatility over the near to moderate term. The property generated NCF of $9.8 million in 2022 resulting in a DSCR of 2.2x, which compares favorably with the issuance figures of $8.2 million and 1.8x, respectively. The loan is also structured with a cash sweep that was triggered when D.E. Shaw and Arcesium failed to provide notice of renewal 18 months prior to their June 2024 lease expirations. The cash sweep, which will aid the borrower in its releasing efforts, is structured to trap all excess cash until an amount equal to $75.0 psf is collected. According to the July 2023 reporting, a disbursement of $2.1 million was made from an "other" reserve account, leaving $0.9 million in a tenant reserve. While the upcoming roll-over is noteworthy, the loan benefits from structural mitigants, namely, the low going-in LTV ratio of 48.9% (based on the whole-loan balance of $110.0 million and the issuance appraised value of $225.0 million) and the cash sweep provisions, which are designed to help mitigate rollover risk by offsetting leasing costs. Moreover, the loan's maturity date in 2027, will provide the sponsor time to backfill vacant space and work toward stabilization once tenants begin rolling in 2024. Furthermore, the property benefits from its excellent location in Manhattan and a strong loan sponsor, Edward J. Minskoff Equities, Inc. (EJME), a privately held real estate investment and development firm based out of Manhattan, which has ownership interests, leases, and/or manages more than 4.0 million sf of commercial real estate space, which includes other prominent New York properties such as 51 Astor Place and 590 Madison Avenue. In its analysis, DBRS Morningstar increased the POD penalty and LTV ratio for this loan, resulting in an EL approximately 30.0% greater than the pool average. The third largest loan, 1000 Denny Way (Prospectus ID#3; 7.4% of the pool), is secured by a Class B office building totaling 262,565 sf in Seattle. The loan was added to the servicer's watchlist in August 2021 after the property's former largest tenant, The Seattle Times (59.7% of NRA), downsized its space by 108,561 sf as part of a January 2021 lease renewal, driving occupancy down to 63.0%. However, as part of The Seattle Times five-year renewal, the tenant significantly increased its base rental rate from approximately $20.88 psf to $45.00 psf, helping to offset a reduction in rental revenue. A portion of the space formerly occupied by The Seattle Times, was backfilled by Best Buy, which previously subleased 32,500 sf (12.4% of NRA) of space. Best Buy executed a direct lease through 2026 at a rate of $47.90 psf. According to Reis, office properties in the Central Seattle submarket reported a Q2 2023 vacancy rate of 19.0% with an average asking rental rate of $45.81 psf. Despite the significant reduction in occupancy, coverage remains healthy at 1.83x. No updated appraisal has been provided since issuance, when the property was valued at $108.0 million; however, given the low occupancy rate and general challenges for office properties in today's environment, DBRS Morningstar notes that the collateral's as-is value has likely declined significantly, elevating the credit risk to the trust. As such, DBRS Morningstar increased the POD for this loan and derived a stressed value based on the property's in-place cash flow, using the high end of DBRS Morningstar's capitalization rate range for office properties, resulting in an LTV ratio assumption of more than 100.0%. The resulting EL was approximately 30% greater than the pool average. As noted above, the borrower for the largest specially serviced loan, Marriott Anaheim Suites (Prospectus ID#9; 3.9% of the pool), has entered into a reinstatement agreement and brought the loan current as of the July 2023 reporting. Despite the workout resolution, the loan is still underperforming expectations. In its analysis for this review, DBRS Morningstar elevated the loan's POD penalty, resulting in an EL loss that was more than double the pools WA EL. At issuance, DBRS Morningstar shadow-rated the State Farm Data Center (Prospectus ID#11; 3.3% of the pool) loan as investment grade. This assessment was supported by the loans' strong credit metrics, strong sponsorship strength, and historically stable collateral performance. With this review, DBRS Morningstar confirms that the characteristics of these loans remain consistent with the investment-grade shadow rating. Notes: All figures are in U.S. dollars unless otherwise noted. BCR PINEWOOD: Case Summary & Three Unsecured Creditors ------------------------------------------------------ Debtor: BCR Pinewood Realty LLC 301 South Livingston Avenue Livingston NJ 08735 Business Description: BCR Pinewood Realty is a real estate lessor in New Jersey. Chapter 11 Petition Date: September 7, 2023 Court: United States Bankruptcy Court Southern District of New York Case No.: 23-22655 Debtor's Counsel: Andrew K. Glenn, Esq. GLENN AGRE BERGMAN & FUENTES LLP 1185 Avenue of the Americas, 22nd Floor New York, NY 10035 Tel: 212-970-1601 Email: aglenn@glennagre.com Estimated Assets: $10 million to $50 million Estimated Liabilities: $10 million to $50 million The petition was signed by Benjamin Ringel as co-managing member of the Debtor. A full-text copy of the petition is available for free at PacerMonitor.com at: https://www.pacermonitor.com/view/FYZ7KIQ/BCR_Pinewood_Realty_LLC__nysbke-23-22655__0001.0.pdf?mcid=tGE4TAMA List of Debtor's Three Unsecured Creditors: Entity Nature of Claim Claim Amount 1. Atalaya Asset Management Judgment $4,300,000 One Rockefeller Center 32nd floor New York, NY 10020 Ivan Zinn Tel: (212) 201-1910 2. Cohen Tauber Spievack & Professional $425,000 Wagner PC Services 420 Lexington Ave. Suite 2400 New York, NY 10170 Stephen Wagners Tel: (212) 381-8732 Email: wagner@ctswlaw.com 3. Ladder Capital Corp. Judgment $9,000,000 320 Park Avenue 15th Floor New York, NY 10022 Brian Harris Tel: (212) 715-3170 Email: Brian.harris@laddercapital.com BDS 2021-FL7: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------- DBRS, Inc. upgraded its ratings on two classes of notes issued by BDS 2021-FL7 Ltd. as follows: -- Class B to AA (high) (sf) from AA (low) (sf) -- Class C to A (high) (sf) from A (low) (sf) DBRS Morningstar also confirmed its ratings on the remaining classes of notes in the transaction as follows: -- Class A at AAA (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating upgrades reflect the increased credit support to the bonds as a result of successful loan repayment since the transaction became static following the May 2023 payment date as well as the overall stable performance of the remaining collateral in the transaction, which is primarily composed of multifamily properties. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. At issuance, the pool consisted of 22 floating-rate mortgage loans secured by 22 mostly transitional real estate properties. The majority of the collateral was in a period of transition, with plans to stabilize and improve asset value. As of the July 2023 remittance, the pool comprises 22 loans secured by 22 properties with a cumulative trust balance of $493.0 million, representing collateral reduction of 17.8%. Since issuance, 10 loans with a former cumulative trust balance of $293.5 million have been successfully repaid from the pool, including five loans totaling $184.8 million since the previous DBRS Morningstar rating action in November 2022 and two loans totaling $107.0 million since the transaction became static. An additional two loans, with a current trust balance of $74.0 million, were added to the trust between the previous DBRS Morningstar rating action and when the 24-month reinvestment period ended in May 2023. The transaction is concentrated by property type, as 19 loans, representing 92.2% of the trust balance, are secured by multifamily properties. The remaining collateral includes two industrial properties (4.0% of the current trust balance) and one manufactured housing community (3.8% of the current trust balance). In comparison with the transaction in April 2022 when DBRS Morningstar published its Surveillance Performance Update rating report for the transaction, multifamily properties represented 94.0% of the collateral, industrial properties represented 2.9% of the collateral, and the same manufactured housing community represented 3.1% of the collateral. The loans are primarily secured by properties in suburban markets as 20 loans, representing 92.8% of the pool, are secured by properties in a DBRS Morningstar Market Rank of 3, 4, or 5, which are suburban in nature. The remaining two loans, representing 7.2% of the pool, are secured by properties with a DBRS Morningstar Market Rank of 2, denoting a tertiary market. In comparison, in April 2022, properties in suburban markets represented 96.9% of the collateral, and properties in tertiary markets represented 3.1% of the collateral. Leverage across the pool has remained stable. As of the July 2023 reporting, the weighted-average (WA) as-is appraised value loan-to-value (LTV) ratio is 73.3%, with a WA stabilized LTV ratio of 62.3%. In comparison, these figures were 71.1% and 65.1%, respectively, as of April 2022. DBRS Morningstar recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. Through June 2023, the lender had advanced cumulative loan future funding of $41.2 million to 18 of the 28 outstanding individual borrowers to aid in property stabilization efforts. The largest advances have been made to the borrowers of the Mailwell Drive ($6.6 million) and Seventh Apartments ($5.8 million) loans. The Mailwell Drive loan is secured by an industrial property in Milwaukie, Oregon. The advanced funds have been used to complete the borrower's capital expenditure (capex) plan to modernize the property and to fund accretive leasing costs. According to the Q1 2023 collateral manager update, the property is 100% leased and the borrower is completing both tenants' respective build-outs. The tenants were scheduled to take occupancy in Q2 2023, at which time, the borrower would begin to pursue its exit strategy on the loan. The Seventh Apartments loan is secured by a multifamily property in Phoenix. The advanced funds were used to complete the borrower's capex plan across the property including upgrades to unit interiors, amenities, common areas, and building exteriors. There remains $0.4 million of available future funding to the borrower. An additional $32.8 million of loan future funding allocated to 17 individual borrowers remains available. The largest portion of available funds, $15.1 million, is allocated to the borrower of the 40th Avenue Industrial loan, which is secured by an industrial property in Denver. The borrower's business plan entails a complete modernization of the existing collateral budgeted at $13.1 million with an additional $5.7 million of leasing costs budgeted. According to the Q1 2023 update from the collateral manager, site improvement work was ongoing and additional permits necessary to begin building core and shell work were expected to be received in Q2 2023. The property was 19% occupied. As of the July 2023 remittance, there are no delinquent loans or loans in special servicing, and there are four loans on the servicer's watchlist, representing 15.9% of the current trust balance. The loans were flagged for below breakeven debt service coverage ratios, deferred maintenance items, or upcoming maturity dates. Regarding upcoming loan maturity, only two loans, representing 7.5% of the current trust balance, have scheduled maturity dates within the next six months and both borrowers have loan extension options available. According to the collateral manager, four loans, representing 18.8% of the current cumulative trust loan balance, have been modified. In general, the modifications have allowed a reallocation of existing reserves or uses for future funding dollars, property management changes, and a debt yield performance waiver to obtain future funding dollars. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2018-B4: DBRS Confirms B(high) Rating on G-RR Certs ------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-B4 issued by Benchmark 2018-B4 Mortgage Trust as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-M at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class X-D at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction. Despite the generally healthy performance of the transaction's underlying collateral, one loan (2.7% of the pool) was recently transferred to special servicing, and DBRS Morningstar is monitoring another three loans (15.8% of the pool) secured by office properties, which have exhibited performance that suggests increased credit risk to the trust from issuance, as discussed in more detail below. Since the last review, four loans have been repaid from the trust, contributing to a collateral reduction of 5.7%, while the collateral for one loan (0.6% of the pool) was fully defeased. Per the August 2023 reporting, 39 of the original 44 loans remain in the trust with an aggregate principal balance of $1.05 billion, reflecting a collateral reduction of 9.5% since issuance as a result of loan repayment and scheduled loan amortization. Three loans, representing 3.2% of the pool, are fully defeased. There are four loans, representing 12.1% of the pool, on the servicer's watchlist, and one loan, representing 2.7% of the pool, in special servicing. The specially serviced loan, JAGR Hotel Portfolio (Prospectus ID#14, 2.7% of the pool), is secured by a portfolio of three hotel properties in Mississippi, Michigan, and Maryland. The loan was transferred to special servicing for a second time in March 2023 because of payment default subsequent to receiving a loan modification in November 2021, which extended the loan's maturity to May 2024. While discussions regarding another loan modification are ongoing, the loan is delinquent and the servicer is dual-tracking foreclosure. The most recent appraisal from May 2023 valued the property at $51.6 million, an improvement from $44.7 million in October 2020 but well below the issuance appraised value of $73.5 million. In its analysis for this review, DBRS Morningstar liquidated the loan from the trust with an implied loss greater than $5.0 million or a loss severity of nearly 20.0%. The pool is concentrated by property type, with office and retail properties comprising 31.9% and 28.4% of the pool, respectively. In general, the office sector has been challenged, given the low investor appetite for the property type and high vacancy rates in many submarkets as a result of the shift in workplace dynamics. In the analysis for this review, DBRS Morningstar analyzed three loans, 181 Fremont Street (Prospectus ID#2, 7.6% of the pool), Aon Center (Prospectus ID#6, 4.8% of the pool), and Westbrook Corporate Center (Prospectus ID#11, 3.5% of the pool), with stressed loan-to-value (LTV) scenarios, resulting in a weighted-average (WA) expected loss that was nearly triple the pool's WA figure. Although the office sector has seen significant challenges in the current economic environment, the majority of office properties secured in this transaction continue to perform as expected. The Aon Center is a pari passu loan secured by a 2.8 million-square-foot (sf) office tower in Chicago's central business district. While the trust's reporting indicates that the loan is on the servicer's watchlist, the lead note secured in the JPMCC 2018-AON transaction reports that the loan has been in special servicing since February 2023 for an event of default following the borrower's decision to enter into a lease with Blue Cross Blue Shield Association (BCBS; 4.5% of net rentable area (NRA)) without lender consent. In addition, the loan was being monitored ahead of its July 2023 maturity, which has now passed. According to servicer commentary, a modification agreement has been executed, including a three-year loan extension through July 2026, a lease extension for Aon Corporation (Aon; 39.6% of NRA) through December 2028, and a cure of the mezzanine loan defaults by the mezzanine debtholder. Furthermore, the sponsor has cured the BCBS lease consent default through a cash deposit and personal guaranty for tenant improvements and leasing commissions above reserve requirements. Given the recent development, the lead note is expected to be returned to the master servicer in the near term. As of December 2022, occupancy had fallen to 76.0% from 89.7% at issuance, largely driven by the departures of Integrys Business Support, LLC (6.9% of NRA) and Daniel J. Edelman, Inc. (6.6% of NRA). Despite the increased vacancy, however, effective gross income has remained relatively consistent when compared with the DBRS Morningstar issuance figure, while operating expenses have displayed a significant increase, namely driven by an approximately 40% increase in real estate taxes. As of the YE2022 financial reporting, the loan's net cash flow had fallen to $38.8 million (reflecting a debt service coverage ratio (DSCR) of 1.10 times (x)) as of YE2022, reflecting a 19.5% decline from the DBRS Morningstar figure of $48.2 million (reflecting a DSCR of 2.93x) at issuance. Despite the increased vacancy levels from issuance, however, the borrower recently had some leasing success; Aon re-signed and the second-largest tenant, KPMG LLP, recently expanded its footprint at the property to approximately 11.0% of NRA on a lease expiring in August 2029. During the next 12 months, rollover is rather moderate with tenants representing less than 5.0% of the NRA having lease expirations. The property has an in-place rental rate of $23 per sf (psf) when compared with the East Loop submarket, which reported an effective rate of $26 psf, an asking rate of $35 psf, and a vacancy rate of 13.5%. As a result of decreased cash flows and concerns with the office sector in general, however, DBRS Morningstar removed the shadow rating for the loan and subsequently applied a stressed LTV scenario to account for these risks. At issuance, DBRS Morningstar assigned investment-grade shadow ratings on six loans. With this review, DBRS Morningstar confirms that the performance of four loans, Aventura Mall (10.9% of the current pool balance), Marina Heights State Farm (5.7%), The Gateway (4.8%), and 65 Bay Street (3.8%), remains consistent with investment-grade characteristics, and as such, DBRS Morningstar has maintained the associated shadow ratings on these loans. DBRS Morningstar also removed the shadow ratings on two loans, Aon Center and 181 Fremont Street, as the underlying credit features no longer remain consistent with investment-grade characteristics. The second-largest loan in the pool and the largest loan on the servicer's watchlist, 181 Fremont Street, was added to the servicer's watchlist in July 2023 following the property's sole tenant, Meta Platforms, Inc., listing its entire space for sublease. Given downtown San Francisco's soft submarket fundamentals and the borrower's inability to find tenants for sublease over the past seven months, DBRS Morningstar removed the shadow rating and applied a stressed LTV scenario in its analysis. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2018-B4: Fitch Affirms B- Rating on Class G-RR Debt ------------------------------------------------------------- Fitch Ratings has affirmed the ratings for Benchmark 2018-B4 Mortgage Trust. The Rating Outlooks for classes E-RR and F-RR have been revised to Negative from Stable. The Rating Outlook for class G-RR remains Negative. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B4 A-2 08161HAB6 LT AAAsf Affirmed AAAsf A-3 08161HAC4 LT AAAsf Affirmed AAAsf A-4 08161HAE0 LT AAAsf Affirmed AAAsf A-5 08161HAF7 LT AAAsf Affirmed AAAsf A-M 08161HAH3 LT AAAsf Affirmed AAAsf A-SB 08161HAD2 LT AAAsf Affirmed AAAsf B 08161HAJ9 LT AA-sf Affirmed AA-sf C 08161HAK6 LT A-sf Affirmed A-sf D 08161HAQ3 LT BBBsf Affirmed BBBsf E-RR 08161HAS9 LT BBB-sf Affirmed BBB-sf F-RR 08161HAU4 LT BB-sf Affirmed BB-sf G-RR 08161HAW0 LT B-sf Affirmed B-sf X-A 08161HAG5 LT AAAsf Affirmed AAAsf X-B 08161HAL4 LT AA-sf Affirmed AA-sf X-D 08161HAN0 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The affirmations reflect the impact of the criteria and generally stable performance of the pool. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.39%. Six loans are Fitch Loans of Concern (FLOCs; 17.7% of the pool), with one loan (2.7%) currently in special servicing. The Negative Outlooks account for performance concerns related to The Gateway (4.8%) in San Francisco and office properties within the pool. The Gateway has exhibited a decline in performance with deteriorated NOI and slowing rental growth amidst a soft submarket. Occupancy for office properties in the pool, which include the AON Center (4.8%), Meridian Corporate Center (4.3%), and Westbrook Corporate Center (3.5%), continue to decline. Additionally, tenants for several single-tenant office loans in the pool including 181 Fremont Street (7.6%), Marina Heights State Farm (5.7%) and 636 11th Avenue (4.8%), have vacated or sublet portions of their space. However, the dark or sublet space is mitigated by credit tenancy and long-term leases. Fitch Loans of Concern: The largest FLOC is the AON Center (4.8%) loan, which is secured by a 2.8 million-sf office tower located in downtown Chicago, IL. The 83-story LEED Silver certified building serves as a headquarters location for several Chicago based companies. The property's overall performance has deteriorated as YE 2022 occupancy declined to 76% from 85% at YE 2021. This has resulted in a 24% decline in NOI over the same period and is 21% below the originator's underwritten NOI from issuance. The third largest tenant, JLL (7.2% of total NRA), with lease expiration in 2032, has listed two floors (61,281 sf) for sublease, which represents 30% of the JLL space and 2.2% of the total building square footage. The loan defaulted at maturity in July 2023. According to the servicer a three-year extension of the maturity date was approved and was scheduled to close at the end of July. Near-term rollover includes 4% of leases expiring in 2023, 1% in 2024, and an additional 6% in 2025. Fitch's 'Bsf' rating case loss of 15% (prior to concentration adjustments) is based on a 9.25% cap rate and 10% stress to YE 2022 NOI. The loan received a credit opinion of 'BBB-sf'* at issuance, but given the deterioration in performance is no longer consistent with an investment-grade rating. The next largest contributor to loss is The JAGR Hotel Portfolio loan (2.7%), which is secured by a portfolio of three full-service hotels totaling 721 rooms. All three hotels carry the Hilton brand flag and are located in Jackson, MS, Annapolis, MD and Grand Rapids, MI. The portfolio has exhibited a slow recovery from 2020, reporting an NOI DSCR of 0.59x as of the T12 June 2023 reporting period, below the YE 2022 NOI DSCR of 0.81x. As of TTM April 2023, the weighted-average occupancy, ADR, and RevPAR for the portfolio was 55.4%, $125, and $70, respectively, which compares with TTM December 2021 weighted-average occupancy, ADR, and RevPAR of 49.9%, $111, and $56, and issuance metrics of 63.6%, $124, and $79, respectively. The loan transferred to special servicing in March 2023 due to imminent monetary default with the last payment received in January 2023. The loan had previously transferred to special servicing in August 2020, was modified and subsequently returned to the master servicer in February 2022. The 226-unit DoubleTree Grand Rapids was built in 1979 and renovated in 2015. As of TTM April 2023, STR reported occupancy, ADR, and RevPAR of 53.3%, $108, and $58, respectively. The 276-unit Hilton Jackson was built in 1984 and renovated in 2014. As of TTM April 2023, STR reported occupancy, ADR, and RevPAR of 62.4%, $144, and $90, respectively. The 219-unit Doubletree Annapolis was built in 1963 and renovated in 2014. As of TTM April 2023, STR reported occupancy, ADR, and RevPAR of 48.6%, $117, and $57, respectively. Fitch's 'Bsf' rating case loss of 18% (prior to concentration adjustments) is based on a stress to recent appraisal values equating to a weighted-average stressed value of $57,000 per key. The third largest contributor to loss is the 808 Olive Retail & Parking loan (2.6%), which is secured by a 277,502 sf mixed-use building consisting of 19,935 sf of ground floor commercial space and a seven-story, 759-stall, parking facility in Downtown Los Angeles. Performance of the collateral declined in 2020 with NOI DSCR falling to 1.00x from 1.28x at YE 2019. Since then, cash flow has recovered with NOI DSCR improving to 1.30x as of March 2023. YE 2022 NOI has improved 6% from YE 2021 and is within 1% of YE 2019, but remains 21% below the originator's underwritten NOI from issuance, primarily due to higher expenses. The loan had previously transferred to special servicing in May 2020 due to the effects of the pandemic, but has since returned to the master servicer in June 2021 and has remained current. Fitch's 'Bsf' rating case loss of 17% (prior to concentration adjustments) is based on an 11.0% cap rate and 7.5% stress to YE 2022 NOI. Credit Opinion Loans: Five loans, representing 31.8% of the pool, had credit opinions at issuance. Aventura Mall (10.9% of the pool); 65 Bay Street (3.8% of the pool) and The Gateway remain credit opinion loans. 181 Fremont Street (7.6% of the pool) and the AON Center (4.8% of the pool) are no longer considered credit opinion loans. Change in Credit Enhancement (CE): The CE has increased since issuance due to amortization, with 9.2% of the original pool balance repaid. No losses have been realized losses to date and three loans (3.2%) within the pool are defeased. Interest shortfalls are currently affecting the non-rated class H-RR. Fifteen loans (55.0%) are full-term IO, one loan (1.8%) in its partial IO period and the remaining 23 loans (43.2%) are amortizing. Single-Tenant Concentration: Six loans representing 21.9% of the pool are secured by single-tenant properties including three office (18.1%) and three retail properties (3.8%) Undercollateralization: The transaction is undercollateralized by approximately $160,000 due to a workout delayed reimbursement of advances (WODRA) on the JAGR Hotel Portfolio loan, which was reflected in the January 2022 remittance report. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AA-sf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur should interest shortfalls affect the classes; Downgrades to the 'BBBsf' and A-sf' category would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'Bsf', 'BB-sf', and 'BBB-sf' categories would occur should loss expectations increase and if performance of the FLOCs fail to stabilize, or loans default and/or transfer to the special servicer. Fitch Loans of Concern with potential for further deterioration which would drive potential downgrades include The Gateway and office loans Aon Center, Meridian Corporate Center and Westbrook Corporate Center. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades to the 'BBBsf' category 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 'BBB-sf', and 'BB-sf' and 'B-sf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2018-B6: DBRS Confirms B Rating on Class J-RR Certs ------------------------------------------------------------- DBRS Limited confirmed the ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-B6 issued by Benchmark 2018-B6 Mortgage Trust as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at BB (sf) -- Class J-RR at B (sf) In addition, DBRS Morningstar changed the trends on Classes D, E, X-D, F-RR, G-RR, and J-RR to Negative from Stable. All other trends remain Stable. The rating confirmations and Stable trends reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations since the last rating action. However, there are some challenges for the pool in that three loans are in special servicing and a high concentration of loans are secured by office properties. DBRS Morningstar notes mitigating factors for four shadow-rated loans that remain in line with investment-grade characteristics, a sizable unrated first loss piece totaling $33.5 million with no losses incurred to the trust to date, and relatively minor loss projections for the loans in special servicing. However, given the loan-specific challenges for some of the office loans and the downward pressure implied by the results of DBRS Morningstar's application of its Commercial Mortgage-Backed Securities (CMBS) Insight Model, the Negative trends for the five lowest-rated classes most exposed to loss were warranted. As of the August 2023 remittance, 52 of the original 55 loans remain in the pool, with an aggregate principal balance of $1.1 billion, reflecting a collateral reduction of 6.6% since issuance as a result of loan repayments and scheduled amortization. Eleven loans (14.2% of the pool) are on the servicer's watchlist; 10 loans (11.4% of the pool) are being monitored for performance-related concerns while one loan was flagged for its upcoming maturity. In addition, the three loans (7.4% of the pool) currently in special servicing were not in special servicing at the time of the last rating action in November 2022. The largest specially serviced loan, Workspace – Trust (Prospectus ID#8; 3.7% of the pool) is secured by a portfolio of 147 properties, consisting of nearly 9.9 million square feet (sf) of office and flex space. The subject loan amount of $40.0 million is part of a whole loan of $1.3 billion secured across four other transactions. Three of these transactions are rated by DBRS Morningstar: JPMCC 2018-WPT (lead securitization), BMARK 2018-B5, and BMARK 2018-B7 are rated. The loan transferred to special servicing in April 2023 in advance of its July 2023 maturity date as the loan was not expected to repay. The loan was modified with a two-year extension, resulting in a new maturity date of July 2025. Additional details regarding the terms of the modification were requested from the servicer. Per an online news article dated July 2023, it was reported that a significant equity participation was provided as part of the extension. Built between 1972 and 2013, the portfolio includes 88 office properties (6.5 million sf) and 59 flex buildings (3.4 million sf). Located across four states (Pennsylvania, Florida, Minnesota, and Arizona), the collateral encompasses five distinct metropolitan statistical areas (MSAs) and more than 15 submarkets. The largest concentration of properties is in the Philadelphia MSA, with 69 properties totaling 40.3% of the allocated loan balance (ALB) at issuance, followed by the Tampa MSA (34 properties; 16.5% of the ALB), the Minneapolis MSA (19 properties; 13.0% of the ALB), the Phoenix MSA (14 properties; 12.9% of the ALB), and the Southern Florida MSA (11 properties; 17.3% of the ALB). These properties are generally in dense suburban markets that benefit from favorable accessibility and proximity to their respective central business districts. The most recent reporting for the subject transaction noted a YE2022 net cash flow (NCF) of $92.0 million while the reporting for JPMCC 2018-WPT noted a NCF of $97.4 million. Despite the discrepancy, this is below the YE2021 figure of $101.1 million (a debt service coverage ratio of 1.57 times) and the DBRS Morningstar NCF of $104.7 million derived in 2020 during the North American Single-Asset/Single-Borrower Ratings Methodology update for the JPMCC 2018-WPT transaction. The cash flow decline was predominantly the result of decreases in base rent and expense reimbursements following a drop in occupancy in recent years. The servicer reporting reflects an occupancy rate of 80.4% at December 2022, down from 84.1% at YE2021 and 88.6% at issuance. At issuance, the loan was shadow-rated investment grade, however, given the challenges in refinancing this loan and the decline in performance from DBRS Morningstar's expectations, the shadow rating was removed with this review. The loan was analyzed with a stressed loan-to-value ratio (LTV) based on the DBRS Morningstar value derived with the May 2023 review of JPMCC 2018-WPT, resulting in an expected loss that is more than three times the pool average. The specially serviced loan, JAGR Hotel Portfolio (Prospectus ID#18; 1.8% of the pool), is secured by a portfolio of three hotel properties in Mississippi, Michigan, and Maryland. The loan was transferred to special servicing for a second time in March 2023 because of payment default subsequent to receiving a loan modification in November 2021, which extended the loan's maturity to May 2024. While discussions regarding another loan modification are ongoing, the loan is delinquent and the servicer is dual-tracking foreclosure. The most recent appraisal in May 2023 valued the property at $51.6 million, an improvement from the October 2020 value of $44.7 million, but well below the issuance appraised value of $73.5 million. In its analysis for this review, DBRS Morningstar liquidated the loan from the trust with an implied loss greater than $5.0 million or a loss severity in excess of 20.0%. At issuance, the transaction featured six shadow-rated loans including 636 11th Avenue (Prospectus ID#6; 4.7% of the pool), which is secured by a Class A office property in the Hell's Kitchen neighborhood in Manhattan. At issuance, the subject property was fully leased to The Ogilvy Group (lease expiry in June 2029); however, the tenant vacated in 2021. Although the lease is fully guaranteed by the parent company and the tenant continues to make its rental payments, the entirety of the space remains available for sublease. Given the challenged office market and lack of subleasing traction at the subject, DBRS Morningstar removed the shadow rating and applied a stressed LTV and probability of default in its analysis. This results in an expected loss that is more than double the pool average. The other four shadow-rated loans, Aventura Mall (Prospectus ID#1; 10.3% of the pool), Moffett Towers II (Prospectus ID#2; 7.1% of the pool), West Coast Albertsons Portfolio (Prospectus ID#5; 6.0% of the pool), and TriBeCa House Conduit (Prospectus ID#11; 2.8% of the pool), continue to exhibit investment-grade loan characteristics. As such, DBRS Morningstar has maintained the shadow ratings for this review. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF IX 2019-G: DBRS Confirms B Rating on Class W Notes ---------------------------------------------------------------- DBRS, Inc. confirmed the following ratings on the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes (together, the Secured Notes) issued by BlackRock DLF IX 2019-G CLO, LLC (the Issuer) and also confirmed the rating on the Issuer's Class W Notes (together with the Secured Notes, the Notes) pursuant to the Amended and Restated Note Purchase and Security Agreement (the NPSA) dated as of December 23, 2020, as amended by the Amendment Agreement (the Amendment), dated as of August 18, 2023, among the Issuer; U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent, Collateral Administrator, Information Agent, and Note Agent; U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as Custodian and Document Custodian and the Purchasers referred to therein: -- Class A-1 Notes: AAA (sf) -- Class A-2 Notes: AA (sf) -- Class B Notes: A (high) (sf) -- Class C Notes: A (sf) -- Class D Notes: BBB (sf) -- Class E Notes: BB (sf) -- Class W Notes: B (sf) The ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of October 16, 2031. The ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of October 16, 2031. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA to be an acceptable collateralized loan obligation (CLO) manager. CREDIT RATING RATIONALE/DESCRIPTION The rating actions are a result of the execution of the Amendment. The Amendment transitions the transaction's Benchmark to SOFR from Libor, makes changes to the Collateral Quality Matrix, and extends the Reinvestment Period, the Stated Maturity, and the Weighted-Average Life (WAL) test by two years, among other changes. The Reinvestment Period ends on October 16, 2025. The Stated Maturity is October 16, 2031. In its analysis, DBRS Morningstar considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BCIA. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance" methodology (the Legal Criteria). The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule G of the NPSA). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: DBRS Morningstar Risk Score, Advance Rate, Weighted-Average Recovery Rate (WARR), and Weighted-Average Spread (WAS) Level. DBRS Morningstar analyzed each structural configuration as a unique transaction, and all configurations (rows) passed the applicable DBRS Morningstar rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that DBRS Morningstar utilized in its base case analysis are presented below. (1) Class A-2 overcollateralization (OC): 143.97% (2) Class B OC: 132.18% (3) Class C OC: 125.71% (4) Class D OC: 119.01% (5) Class E OC: 110.28% (6) WAS: 5.75% (7) DBRS Morningstar Risk Score: 39.00% (8) WARR: 47.50% (9) DScore: 25 (10) WAL: 6.5 years The transaction is performing according to the parameters set in the amended NPSA. As of July 17, 2023, the Borrower is in compliance with all coverage and collateral quality tests and there were $3,155,137 defaulted obligations registered in the portfolio. The current credit quality of the portfolio is reflected in the actual DBRS Morningstar Risk Score of 37.99. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans, (2) the adequate diversification of the portfolio of collateral obligations (DScore currently at 41 versus test level of 25), and (3) the Collateral Manager's expertise in CLOs and overall approach to the selection of Collateral Obligations. Some challenges were identified in that (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM) and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. DBRS Morningstar analyzed the amended transaction using the DBRS Morningstar CLO Asset Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, amount of interest generated, default timings, and recovery rates, among other credit considerations referenced in the DBRS Morningstar rating methodology "Cash Flow Assumptions for Corporate Credit Securitizations." Model-based analysis produced satisfactory results, which supported the confirmation of the ratings on the Secured Notes. To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. BMO MORTGAGE 2023-C6: Fitch Assigns B-sf Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to BMO 2023-C6 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2023-C6. - $6,508,000 class A-1 'AAAsf'; Outlook Stable; - $54,300,000 class A-2 'AAAsf'; Outlook Stable; - $137,250,000a class A-4 'AAAsf'; Outlook Stable; - $214,845,000a class A-5 'AAAsf'; Outlook Stable; - $10,192,000 class A-SB 'AAAsf'; Outlook Stable; - $423,095,000b class X-A 'AAAsf'; Outlook Stable; - $80,086,000b class A-S 'AAAsf'; Outlook Stable; - $25,688,000 class B 'AA-sf'; Outlook Stable; - $16,623,000 class C 'A-sf'; Outlook Stable; - $122,397,000be class X-B 'AA-sf'; Outlook Stable; - $12,814,000cd class D-RR 'BBBsf'; Outlook Stable; - $12,814,000bcd class XDRR 'BBBsf'; Outlook Stable; - $6,074,000cd class E-RR 'BBB-sf'; Outlook Stable; - $6,074,000bcd class XERR 'BBB-sf'; Outlook Stable; - $10,578,000cd class F-RR 'BB-sf'; Outlook Stable; - $10,578,000bcd class XFRR 'BB-sf'; Outlook Stable; - $6,799,000cd class G-RR 'B-sf'; Outlook Stable; - $6,799,000bcd class XGRR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $22,666,958cd class J-RR; - $22,666,958bcd class XJRR. a) Since Fitch published its expected ratings on Aug. 7, 2023, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $312,830,000 in aggregate, subject to a 5% variance. The classes above reflect the final ratings and deal structure. b) Notional amount and interest-only. c) Privately placed and pursuant to Rule 144A. d) Represents the "eligible horizontal interest" comprising at least 5.0% of the pool. Additionally, at the time the presale was issued, class X-B (which is tied to the classes A-S, B and C) was rated 'A-(EXP)sf', reflecting class C, the lowest rated tranche. Since Fitch published its expected ratings, the class C pass-through rate was finalized and will be variable rate (WAC), equal to the weighted average of the net mortgage interest rates on the mortgage loan, and therefore its payable interest will not have an impact on the IO payments for class X-B. Fitch updated class X-B to 'AA-sf' (from 'A-(EXP)sf' at the time of the presale) reflecting the lowest tranche (class B) whose payable interest has an impact on the IO payments. This is consistent with Appendix 4 of Fitch's "Global Structured Finance Rating Criteria." TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 32 loans secured by 138 commercial properties having an aggregate principal balance of $604,423,959 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, KeyBank National Association, Argentic Real Estate Finance 2 LLC, LMF Commercial, LLC, Wells Fargo Bank, National Association, Zions Bancorporation, N.A., Goldman Sachs Mortgage Company, UBS AG, German American Capital Corporation and Starwood Mortgage Capital LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is expected to be Rialto Capital Advisors, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.3% of the properties by balance, cash flow analyses of 94.7% of the pool and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Lower Leverage Compared with Recent Transactions: The pool has lower leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 86.8% is lower than the YTD 2023 and 2022 averages of 89.1% and 99.3%, respectively. The pool's Fitch NCF debt yield (DY) of 10.8% is higher than the YTD 2023 and 2022 averages of 10.7% and 9.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 93.9% and 10.3%, respectively, in line with the equivalent conduit YTD 2023 LTV and DY averages of 95.2% and 10.3%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 20.1% of the pool received an investment-grade credit opinion. Fashion Valley Mall (8.3% of the pool) received a standalone credit opinion of 'AAAsf', CX - 250 Water Street (7.6%) received a standalone credit opinion of 'BBBsf' and Back Bay Office (4.1%) received a standalone credit opinion of 'AAAsf'. The pool's total credit opinion percentage is in between the YTD 2023 and 2022 averages of 20.9% and 14.4%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 61.5% of the pool, which is slightly lower than the 2023 YTD average of 63.8% and above the 2022 average of 55.2%. The pool's effective loan count of 21.6 is higher than the 2023 YTD average of 20.3 and below the 2022 average of 25.9. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 3.1%, which is above the 2023 YTD average of 2.0% and below the 2022 average of 3.3%. The pool has 18 interest-only loans, or 70.3% of the pool by balance, which is below the 2023 YTD and 2022 averages of 79.3% and 77.5%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA+sf'/'A+sf'/'A-sf'/'BBB-sf'/'BB+sf'/'B+sf'/'CCC+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'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. 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. BRAVO RESIDENTIAL 2023-NQM6: Fitch Gives B(EXP) Rating on B-2 Notes ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by BRAVO Residential Funding Trust 2023-NQM6 (BRAVO 2023-NQM6). Entity/Debt Rating ----------- ------ BRAVO 2023-NQM6 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 605 loans with a total interest-bearing balance of approximately $284 million as of the cutoff date. The loans in the pool were primarily originated by Acra Lending (Acra). 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 7.6% above a long-term sustainable level (vs. 7.6% on a national level as of 1Q23, down 0.2% since last quarter). The rapid gain in home prices through the pandemic moderated in the second half of 2022 but has resumed increasing in 2023. Driven by the declines in H2 2022, home prices decreased 0.2% YoY nationally as of April 2023. Nonqualified Mortgage Credit Quality (Negative): The collateral consists of 605 loans totaling $284 million and seasoned at approximately three months in aggregate, calculated as the difference between the origination date and the cutoff date. The borrowers have a moderate credit profile - a 716 model FICO and a 41% debt-to-income (DTI) ratio, which includes mapping for debt service coverage ratio (DSCR) loans — and leverage, as evidenced by a 75% sustainable loan-to-value (sLTV) ratio. Of the pool, 55.2% of loans are treated as owner-occupied, while 44.8% are treated as an investor property or second home, which includes loans to foreign nationals or loans where the residency status was not confirmed. Additionally, 4.8% of the loans were originated through a retail channel. Of the loans, 56.6% are nonqualified mortgages (non-QM) while the Ability to Repay Rule is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 98.6% of the pool loans were underwritten to less than full documentation as determined by Fitch, and 53.3% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay/Qualified Mortgage Rule (ATR), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of the borrower's ability to repay. Additionally, 31.8% of the loans is a DSCR product while the remainder comprises a mix of asset depletion, collateral principal amount (CPA), P&L and written verification of employment (WVOE) products. Separately, eight loans were originated to foreign nationals or were unable to confirm residency. 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 trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 notes until they are reduced to zero. There will be no servicer advancing of delinquent principal and interest. 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. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement to pay timely interest to senior notes during stressed delinquency and cash flow periods. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the Net WAC. The unrated class B-3 interest allocation goes toward the senior cap carryover amount on any date after the step up date for as long as there is unpaid cap carryover amount for any of the senior classes. This increases the P&I allocation for the senior classes as long as the B-3 is not written down. As additional analysis to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut, given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not, ultimately, default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.0% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. ESG CONSIDERATIONS BRAVO 2023-NQM6 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to increased operational risk considering R&W, transaction due diligence and originator and servicer results in an increase in expected losses, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BX TRUST 2018-GW: DBRS Confirms B(low) Rating on Class G Certs -------------------------------------------------------------- DBRS Limited confirmed ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-GW issued by BX Trust 2018-GW as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (high) (sf) -- Class X-EXT at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations and Stable trends are reflective of the sustained increases in cash flow and the excellent property quality bolstered by continued investments by the sponsor. The subject collateral is the Grand Wailea, a luxury resort hotel property in Wailea Beach, on the island of Maui, Hawaii. DBRS Morningstar notes the recent wildfires that devastated parts of Maui, while not directly impactful to the subject property, could depress traffic and overall demand as the affected areas recover. The Grand Wailea is a 776-key, Four-Diamond, oceanfront luxury resort, operated under the Waldorf Astoria flag. The resort includes 120 noncollateral villas, 62 of which are enrolled in the hotel's rental program. The $800.0 million whole loan consists of $510.5 million held within the trust in the form of a two-year floating-rate interest-only (IO) loan with five 12-month extension options, fully extending to May 2025. An additional $289.5 million in mezzanine debt is held outside of the trust, which is coterminous with the senior debt. The borrower exercised the maturity extension to May 2024 and will have one extension option remaining at that time. The loan was previously on the servicer's watchlist due to water damage at the Spa Grande in 2021. The damage resulted in a $25.0 million claim on the property insurance and as of the date of this press release, the area remains closed for renovations. A temporary spa has been opened for guests during the renovation. In addition to the spa improvements, the borrower is in the process of renovating all of the guest rooms, the Napua Tower, and the Humuhumunukunukuapua'a Restaurant, all of which is expected to be completed in 2023. As of the March 2023 STR report, the subject reported a trailing 12-month (T-12) occupancy, average daily rate (ADR), and revenue per available room (RevPAR) of 45.8%, $994.37, and $455.75, respectively for the period ending March 31, 2023. Average occupancy decreased from 52.2% when compared with the T-12 March 2022 STR report, while ADR and RevPAR increased over the same period. The RevPAR penetration rate as of March 2023 was 77.1%, down from 82.2% in the previous year. Despite the decrease in occupancy and RevPAR penetration in that period, the RevPAR improvements have resulted in significant cash flow growth over the issuance figures. As per the YE2022 financial reporting, the subject reported a net cash flow (NCF) of $59.0 million and a debt service coverage ratio (DSCR) of 1.97 times (x), compared with $53.3 million and 2.46x in YE2021. Cash flows continue to significantly exceed the DBRS Morningstar NCF of $47.0 million derived at issuance. The decrease in debt coverage year over year for 2022 is primarily due to the increased debt service payments from the floating-rate nature of the loan. In addition to the cash flow growth from issuance, the subject resort continues to benefit from brand affiliation with Waldorf Astoria, an irreplaceable beachfront location in a supply-constrained market and the strong sponsorship in Blackstone Real Estate Partners VIII-NQ L.P. (Blackstone). Furthermore, Blackstone's significant investment in improvements for the property to maintain the superior quality demonstrates strong commitment in investing back some of the increased returns since the 2018 acquisition of the property and subject transaction closing. Given the sustained cash flow improvements over issuance, DBRS Morningstar updated the Single Asset-Single Borrower Sizing for this review to reflect an updated DBRS Morningstar value of $606.7 million, which was based on the in-place cash flows at YE2022 and the cap rate utilized at issuance of 7.75%. This value implies a loan to value ratio (LTV) of 84.1% and compares with the issuance appraised value of $1.06 billion. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2021-ARIA: DBRS Confirms BB Rating on Class G Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-ARIA issued by BX Trust 2021-ARIA as follows: -- Class A at AAA (sf) -- Class A-1 at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class D at AA (low) (sf) -- Class E at A (low) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The rating confirmations reflect the collateral's overall stable performance in the two years since issuance, as revenue per available room (RevPAR) continues to surpass pre-pandemic levels as expected. The loan continues to benefit from strong sponsorship, the collateral's prime location, and high occupancy rates across the properties. This transaction is collateralized by the borrower's leased-fee interest in two high-profile Las Vegas resort hotel and casino properties, the Aria Resort & Casino (Aria) and Vdara Hotel & Spa. The properties together consist of more than 4,000 guest rooms in various configurations, more than 370,000 square feet (sf) of convention and meeting space, and more than 150,000 sf of casino space centrally located along the Las Vegas Strip. The complex is part of the larger CityCenter mixed-use development, which also includes the Shops at Crystals, a 392-key Waldorf Astoria hotel, and 670 condominium units in the Veer Towers. Both properties are LEED Gold-certified resorts. The loan sponsor is Blackstone Real Estate Partners IX L.P., an affiliate of The Blackstone Group, which used the subject financing to acquire the properties from MGM in a sale-leaseback transaction. An affiliate of MGM continues to manage the properties in accordance with a 30-year, triple-net master lease. While both hotels were closed between April 2020 and June 2020 because of government restrictions as a result of the Coronavirus Disease (COVID-19) pandemic, performance has rebounded sharply since issuance. According to a March 2023 operating statement, the combined occupancy, average daily rate, and RevPAR for the trailing 12-month period ended March 31, 2023, were 92.9%, $315, and $292, respectively, an increase over the prior year and issuance RevPAR figures of $235 and $125, respectively, while exceeding the pre-pandemic RevPAR of $232 as of YE2019. Despite the improvement in performance, the YE2022 net cash flow (NCF) was $225.8 million, compared with the DBRS Morningstar NCF of $371.0 million. This was primarily driven by a substantial increase in repairs and maintenance expense to $332.4 million, which may be a nonrecurring expense but DBRS Morningstar requested clarification from the servicer. Considering the transaction is relatively new in vintage, there is a lack of loan seasoning and full-year financial reporting available. At issuance, DBRS Morningstar concluded a NCF of $371.0 million and applied a 9.3% capitalization rate to derive a DBRS Morningstar value of $4.0 billion, which represents a 31.3% haircut to the appraiser's value of $5.8 billion. Additionally, DBRS Morningstar applied positive qualitative adjustments to its sizing, totaling 7.0%, to reflect the property's quality, cash flow volatility, and market fundamentals. The $3.2 billion whole loan represents a loan-to-value ratio of 79.1% based on the DBRS Morningstar value. At issuance, the sponsor contributed more than $763.4 million in cash equity as part of its acquisition of the properties. The two-year, floating-rate loan is interest-only and is scheduled to mature in October 2023, but the loan has three one-year extension options. These options are exercisable when certain requirements are met, including the loan achieves the minimum debt yield threshold and the existing interest rate cap agreement is extended or a new agreement is executed. As noted at issuance, two major new properties, Resorts World Las Vegas and the Drew (formerly the Fontainebleau), were expected to collectively deliver more than 7,300 new rooms to the Strip over the next several years. Resorts World Las Vegas opened in June 2021 and was the first new property to open on the Strip since the Cosmopolitan in 2010. The Drew has experienced significant construction delays and is not anticipated to open until 2025. Prior to the sponsor's acquisition, MGM had invested nearly $700 million into the properties since 2012. MGM is planning to invest several hundred million dollars across both properties over the next few years, including major room renovations at the Aria. Furthermore, under the terms of the master lease, MGM is required to invest a minimum of 4.0% of actual net revenue per year into the properties throughout the loan term and between 2.5% and 3.0% per year thereafter. According to online news articles, the Sky Suites and Sky Villas at the Aria were updated. DBRS Morningstar requested additional details from the servicer regarding any ongoing renovations. DBRS Morningstar believes the properties will remain staples on the Las Vegas Strip and continue to perform well despite new competition. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2021-LGCY: DBRS Confirms B(low) Rating on Class G Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-LGCY issued by BX Trust 2021-LGCY: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance in the two years since issuance, as the reported net cash flow (NCF) of $32.4 million for YE2022 remains in line with the DBRS Morningstar NCF of $28.8 million. Occupancy rates remain relatively stable across the portfolio as well, and there have been no property releases to date. The collateral consists of the borrower's fee-simple interest in 12 Class A/B multifamily properties consisting of 3,030 units across six states, with the largest concentrations in Texas, Florida, and North Carolina. The majority of the underlying properties, built between 1999 and 2014, are situated in highly desirable markets with strong growth potential based on historical occupancy and rental rate trends. No individual property accounts for more than 13.0% of the portfolio net operating income. The loan benefits from experienced sponsorship provided by an affiliate of Blackstone Group, Inc., a global real estate investment platform, which contributed $247.3 million in equity at closing as part of the subject transaction. The subject transaction totals $575.0 million and consists of three componentized, floating-rate promissory notes. Loan proceeds and sponsor equity were used to acquire the portfolio and fund closing costs. Individual properties can be released, subject to customary debt yield and loan-to-value (LTV) tests. Prepayment premiums for the release of individual assets is 105.0% of the allocated loan amount (ALA) for the first 30.0% of the original principal balance and 110.0% of the ALA thereafter. The transaction has a partial pro rata structure that allows for pro rata pay downs for the first 30.0% of the original principal balance. The floating-rate loan has an initial maturity date of October 9, 2023, with three 12-month extension options and is interest only throughout its five-year fully extended loan term. As a condition to exercising its extension options, the borrower is required to enter into an interest rate cap agreement with a strike rate equal to the greater of 3.5% or a rate that results in a debt service coverage ratio (DSCR) of at least 1.10 times (x). DBRS Morningstar inquired about the loan's upcoming maturity date; however, according to the servicer, the borrower has not yet given indication of its plans to execute its extension option. Based on recent performance trends as described below, DBRS Morningstar believes the loan is well positioned to execute on its first extension option. The loan continues to perform in line with DBRS Morningstar's expectations. The loan reported a YE2022 NCF of $32.4 million, representing a DSCR of 1.76x and a debt yield of 5.6%. This remains in line with the YE2021 NCF of $31.1 million and is slightly higher than the DBRS Morningstar NCF of $28.8 million. The loan reported an annualized NCF of $35.1 million for the trailing three-month period ended March 31, 2023. Although cash flow has improved year over year, DSCR declined to 1.0x as of Q1 2023 because of the loan's floating-rate coupon and an increase in debt service. According to the financials provided by the servicer, the loan's interest rate increased to 6.44% as of March 2023 from 1.82% as of March 2022, and debt service increased 78.0% from 2021 to 2022. DBRS Morningstar's ratings are based on a value analysis completed at issuance, resulting in a DBRS Morningstar value of $443.6 million and a whole loan LTV of 129.6%. Despite the increase in interest rates, DBRS Morningstar believes the value of the collateral has not materially declined since issuance, providing further support for the rating confirmations. Per the March 2023 rent roll, portfolio occupancy was 93.7%, in line with the YE2022 figure of 94.0%. Individual property occupancies range from 87.9% to 97.1%. The vacancy rate at issuance was 3.0%, while DBRS Morningstar concluded a blended vacancy rate of 6.1%. According to Reis, the Q2 2023 weighted-average market vacancy rate for the portfolio was 5.8%, an increase from 4.9% the prior year. Although more than 65.0% of the properties in the portfolio are in suburban markets, which have historically higher probabilities of default, the relatively low market vacancy rates and geographical diversity of the portfolio help to mitigate some of the market risk. In addition, there has been year-over-year rental rate growth, as evidence by the portfolio's weighted-average rental rate of $1,702.20 per unit, compared with $1,449.00 at issuance. Given the stable occupancy, improving cash flow, geographic diversity, and experienced sponsorship, DBRS Morningstar believes the portfolio will continue performing in line with issuance expectations. Notes: All figures are in U.S. dollars unless otherwise noted. CAMB 2021-CX2: DBRS Confirms BB(high) Rating on Class HRR Certs --------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates issued by CAMB 2021-CX2 as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. Although there has been relatively limited seasoning with minimal updates to the financial reporting since the transaction closed in November 2021, the underlying property remains fully occupied, with the servicer-reported financials for YE2022 remaining consistent with DBRS Morningstar's expectations at issuance. The loan is secured by the borrower's fee-simple interest in 350 and 450 Water Street, two newly constructed, Class A, LEED Gold certified, life-sciences office buildings totaling 916,233 square feet (sf) in Cambridge, Massachusetts. The subject properties are the newest component of the larger master-planned Cambridge Crossing Development (CX), which the sponsor, DivcoWest, is developing. Upon completion of the master plan, CX will include 17 buildings consisting of more than 2.1 million sf of science and technology space, approximately 2.4 million sf of residential space, and 100,000 sf of retail space. At issuance, the properties were still under construction but were delivered to market in Q2 2022. According to a November 2022 article published by Commercial Property Executive, approximately 1.9 million sf of office and laboratory space within the larger CX development was completed. The $1.2 billion whole loan consists of $814.0 million of senior debt and $411.0 million of junior debt. The entirety of the junior debt and $285.0 million of the senior debt are secured in the trust. The remaining $529.0 million of senior debt is secured in several commercial mortgage-backed securities transactions, including BANK 2022-BNK39, which is rated by DBRS Morningstar. The fixed rate interest-only (IO) loan features a 10-year term with an anticipated repayment date in November 2031 and final loan maturity date in November 2036. The transaction benefits from strong, experienced institutional sponsorship in the form of a joint venture partnership between DivcoWest, the California State Teachers Retirement System, and Teacher Retirement System of Texas. The sole tenant at the collateral buildings is Aventis, Inc. (Aventis), a subsidiary of the French healthcare conglomerate, Sanofi, which is rated investment-grade by Moody's and S&P Global Ratings. The subject properties serve as Aventis' North American research headquarters pursuant to two 15-year triple-net leases that are co-terminus with the loan's fully extended maturity date in November 2036. Aventis' leases, which are guaranteed by Sanofi, had a blended starting rental rate of $71.50 per square foot with 2.5% annual escalations and two 10-year renewal options at fair market value. Sanofi guarantees Aventis' leases. Aventis' laboratory space is at 350 Water Street, which can accommodate a mix of 60% laboratory and 40% office space, typical of other laboratory buildings in the market. The tenant's office space is located at 450 Water Street. Per Q1 2023 reporting from CB Richard Ellis, the Cambridge-East submarket recorded an office vacancy rate of 11.1%, higher than historical averages; however, the life-sciences market remains resilient, with a laboratory/research and development vacancy rate of only 1.9%. According to the YE2022 financial reporting, the property remains 100.0% occupied by Sanofi and generated net cash flow (NCF) of $71.4 million, resulting in a debt service coverage ratio of 2.06 times. At issuance, DBRS Morningstar derived a value of $1.2 billion based on a capitalization rate of 6.5% and DBRS Morningstar NCF of $77.6 million, resulting in a DBRS Morningstar loan-to-value ratio (LTV) of 102.6% compared with the LTV of 62.7% based on the appraised value at issuance of $2.0 billon. In its net cash flow analysis at issuance, DBRS Morningstar straight lined Aventis' rent steps over the loan term given its long-term credit tenant status. DBRS Morningstar expects that NCF will trend upward as rent steps are realized. Notes: All figures are in U.S. dollars unless otherwise noted. CAPITAL FOUR US II: Fitch Affirms 'BB-' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-1, A-2, B, C, D and E notes of Capital Four US CLO II Ltd. (CF II). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Capital Four US CLO II Ltd. A-1 14016CAA4 LT AAAsf Affirmed AAAsf A-2 14016CAJ5 LT AAAsf Affirmed AAAsf B 14016CAC0 LT AAsf Affirmed AAsf C 14016CAE6 LT Asf Affirmed Asf D 14016CAG1 LT BBB-sf Affirmed BBB-sf E 14016EAA0 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY CF II is an arbitrage collateralized loan obligation (CLO) managed by Capital Four US CLO Management LLC. CF II is a static CLO that closed in September 2022 and 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 its closing date. Approximately 6.7% of the original class A-1 note balance has amortized since closing, increasing credit enhancement levels. The credit quality of CF II as of the most recent trustee report is at the 'B'/'B-' rating level compared to a rating level of 'B' at closing. The Fitch weighted average rating factor (WARF) for the CLO is 25.4 compared to 24.3 at closing. The portfolio for CF II consists of 195 obligors, and the largest 10 obligors represent average 10.2% of the portfolio. There are no defaults in the portfolio. Exposure to issuers with a Negative Outlook and on Fitch's watchlist is 14.6% and 6.8%. First lien loans, cash and eligible investments comprised 100% of the portfolios, with 2.2% of the assets being fixed-rate. Fitch's weighted average recovery rate for the portfolio was 75.1%, compared to 74.8% at closing. Cash Flow Analysis Fitch conducted an updated cash flow analysis based on both the current portfolio and a stressed portfolio that incorporated a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. In addition, the stressed analysis extended the weighted average life (WAL) of the portfolio to the current maximum covenant of 5.7 years to reflect the issuers' ability to consent to maturity amendments. The rating actions for all classes of notes in CF II 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 four rating 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 rating notches, 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. CD 2017-CD5 MORTGAGE: Fitch Affirms B-sf Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed 13 classes of CD 2017-CD5 Mortgage Trust Series 2017-CD5. The Rating Outlooks for classes E, F and X-E have been revised to Negative from Stable. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- CD 2017-CD5 A-2 12515HAX3 LT AAAsf Affirmed AAAsf A-3 12515HAY1 LT AAAsf Affirmed AAAsf A-4 12515HAZ8 LT AAAsf Affirmed AAAsf A-AB 12515HBA2 LT AAAsf Affirmed AAAsf A-S 12515HBB0 LT AAAsf Affirmed AAAsf B 12515HBC8 LT AAsf Upgrade AA-sf C 12515HBD6 LT A-sf Affirmed A-sf D 12515HAA3 LT BBB-sf Affirmed BBB-sf E 12515HAC9 LT BB-sf Affirmed BB-sf F 12515HAE5 LT B-sf Affirmed B-sf X-A 12515HBJ3 LT AAAsf Affirmed AAAsf X-B 12515HBK0 LT A-sf Affirmed A-sf X-D 12515HAQ8 LT BBB-sf Affirmed BBB-sf X-E 12515HBM6 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Stable Performance and Loss Expectations: The upgrade of class B reflects overall pool performance and base case loss expectations that have remained relatively stable since Fitch's prior rating action. Fitch has identified five Loans of Concern (FLOCs; 18.8% of the pool balance). All loans are current and there are no loans in special servicing. Fitch's current ratings incorporate a 'Bsf' rating case loss of 3.2%. The Negative Outlooks incorporate an additional stress on two office FLOCs (444 Spear and Presidio Office) that factors in a heighted probability of default given performance and refinance concerns, in addition to the underperformance of larger office loans in the pool (notably Olympic Tower and 245 Park Avenue). The largest contributor to expected losses is the Gurnee Mills loan (2.3% of the pool), which is secured by a 1.7 million-sf portion of a 1.9 million-sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops, Kohl's and a vacant anchor box previously occupied by Sears. The loan previously transferred to the special servicer in June 2020 for imminent monetary default, returning to the master servicer in May 2021 after receiving forbearance. Occupancy declined to 76.4% from 80% at YE 2022, primarily due to Bed, Bath, and Beyond (3.3% of the NRA) vacating at their January 2023 lease expiration, remaining below the reported 88% occupancy at issuance. The collateral faces near-term rollover with 5.3% of the NRA expiring in 2023 and 8.2% in 2024. Fitch's 'Bsf' rating case loss (prior to concentration add on) is approximately 29%, which utilized a 12% cap rate and 15% stress to the YE 2022 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. The second largest contributor to losses is 501 Riverside Avenue (3.7% of the pool). The loan is secured by a 221,932 SF office property built in 2007 and located in Jacksonville, FL, approximately 1.5 miles from the central business district. The largest tenant at issuance (Everbank; 24.6% of NRA) vacated prior to lease expiration in March 2022. However, the sponsor signed a new 10-year lease with law firm Morgan and Morgan to backfill the Everbank space. BDO USA (previously 11.5%) did not renew its lease in April 2023. As of June 2023, the subject occupancy and DSCR were reported to be 74% and 1.04x. The loan has been designated as a FLOC due to collateral type, low coverage and concerns with refinanceability. Increasing Credit Enhancement: As of the July 2023 distribution date, the pool's aggregate balance has been reduced by 12.5% to $815.7 million from $931.6 million at issuance. Six loans (6.3% of current pool) are fully defeased. At issuance, based on the scheduled balance at maturity, the pool is expected to pay down by 9.3% of the initial pool balance. Thirteen loans (47.6%) are full-term interest-only (IO). High Concentration of Pari Passu Loans: Seven loans (41.6%) are pari passu. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool level losses from underperforming loans. Downgrades to the classes rated 'AAAsf' and 'AAsf' are not considered likely due to sufficient CE and expected continued amortization but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur. Downgrades to classes C, X-B, D and X-D are possible should loss expectations increase significantly and/or one or more large FLOCs have an outsized loss. Downgrades to classes E, X-E and F are possible should performance of the FLOCs fail to stabilize or decline further. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades would occur with stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to classes B, X-B, C, D and X-D would occur with increased paydown and/or defeasance, combined with performance stabilization and may be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades to classes E, X-E and F are not likely unless performance of the FLOCs stabilize and if the performance of the remaining pool is stable and would not likely occur until later years in the transaction assuming losses were minimal and there is sufficient 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. CHNGE MORTGAGE 2023-4: DBRS Gives Prov. B(high) Rating on B2 Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2023-4 (the Certificates) to be issued by CHNGE Mortgage Trust 2023-4 (CHNGE 2023-4 or the Trust): -- $197.5 million Class A-1 at AAA (sf) -- $24.5 million Class A-2 at AA (sf) -- $20.9 million Class A-3 at A (sf) -- $242.9 million Class A-4 at A (sf) -- $14.8 million Class M-1 at BBB (sf) -- $8.8 million Class B-1 at BB (high) (sf) -- $6.5 million Class B-2 at B (high) (sf) Class A-4 is an exchangeable certificate. This class can be exchanged for a combination of the initial exchangeable certificates as specified in the offering documents. The AAA (sf) rating on the Class A-1 Certificates reflects 31.40% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (high) (sf), and B (high) (sf) ratings reflect 22.90%, 15.65%, 10.50%, 7.45%, and 5.20% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of a portfolio of fixed and adjustable-rate expanded prime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 527 mortgage loans with a total principal balance of $287,948,962 as of the Cut-Off Date (August 1, 2023). CHNGE 2023-4 represents the ninth securitization issued by the Sponsor, Change Lending, LLC (Change), entirely consisting of loans from its Community Mortgage program (or a mix of Community and EZ-Prime programs), and Change's 10th securitization overall. All of the loans in the pool were originated by Change, which is certified by the U.S. Department of the Treasury as a Community Development Financial Institution (CDFI). As a CDFI, Change is required to lend at least 60% of its production to its target markets, which include African Americans, Hispanics, low-income individuals, and certain low-income communities (as disclosed by Change). In addition to the above-mentioned transactions, DBRS Morningstar has rated other transactions mostly comprising, as well as in lesser amounts of, Change- and other CDFI-originated mortgage loans. While loans originated by a CDFI are exempt from the Consumer Financial Protection Bureau's Qualified Mortgage (QM) and Ability-to-Repay rules, the mortgages included in this pool were made to generally creditworthy borrowers with near-prime credit scores, low loan-to-value ratios, and robust reserves. The loans in the pool were underwritten through Change's Community Mortgage program, which is considered weaker than other origination programs because income documentation verification is not required (prior transactions also included small amounts of E-Z Prime, which also does not require income documentation verification). Generally, underwriting practices of these programs focus on borrower credit, borrower equity contribution, housing payment history, and liquid reserves relative to monthly mortgage payments. Although post-2008 crisis historical performance is still relatively limited on these products compared with long-standing sectors such as prime securitizations, DBRS Morningstar notes the increasing number of rated transactions backed by CDFI-originated mortgage loans and their performance history. For these transactions, delinquencies have so far remained acceptable (with no significant/material liquidations or losses to date) while prepayments have also been acceptable. These rated transactions show general performance trends in line with non-QM transactions of similar vintages. DBRS Morningstar considered this while determining the expected losses for the loans in its analysis. On or after the earlier of (1) the distribution date occurring in August 2026 and (2) the date on which the aggregate stated principal balance of the loans falls to 30% or less of the Cut-Off Date balance, at its option, Change Depositor, LLC, as Depositor, may redeem all of the outstanding certificates at the redemption price (par plus interest). Such optional redemption may be followed by a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent (not related to a Coronavirus Disease (COVID-19) forbearance) under the Mortgage Bankers Association method at par plus interest, provided that such purchases in aggregate do not exceed 7.5% of the total principal balance as of the Cut-Off Date. Change is the Servicer for the transaction. NewRez LLC (Newrez) doing business as Shellpoint Mortgage Servicing is the Subservicer. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent, contingent upon recoverability determination. The Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. This transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Class A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (a Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on Class A-1 and then A-2 before being applied sequentially to amortize the balances of the certificates (IIPP). For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full. This structure is similar to that of Change 2023-3 and other recent non-QM transactions. The initial six Change core shelf transactions used pure sequential payment structures with a single senior class. The Class A-1, A-2, and A-3 fixed rates step up by 100 basis points after the payment date in August 2027, and P&I otherwise payable to Class B-3 as accrued and unpaid interest may also be used to pay related cap carryover amounts. Furthermore, excess spread can be used to cover realized losses and prior-period bond writedown amounts first before being allocated to unpaid cap carryover amounts to Class A-1, A-2, and A-3. Class A-1, A-2, and A-3 may be exchanged for all or a portion of Class A-4 (or vice versa) as detailed in the offering documents. In such cases, Class A-4 will receive a proportionate share of P&I funds and/or allocations of writedowns/writeups otherwise allocable to Class A-1, A-2, and A-3, as specified by the offering documents. Under the U.S. Risk Retention Rules, CDFI loans fall within the definition of "community-focused residential mortgages." A securitization transaction containing only community-focused residential mortgages is exempt under the U.S. Risk Retention Rules and, accordingly, the Sponsor will not be required to retain any credit risk under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Notwithstanding the exemption, Change has elected to initially retain Classes B-3, A-IO-S, and XS Certificates. The ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition, -- Satisfactory third-party due-diligence review, and -- 100% current loans. The transaction also includes the following challenges: -- CDFI no-ratio loans, -- Representations and warranties framework, -- Three-month advances of delinquent P&I, and -- Servicers' financial capability. The full description of the strengths, challenges, and mitigating factors is detailed in the related presale report. DBRS Morningstar's credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related interest distribution amount, any interest carryforward amount, and the related class balances. DBRS Morningstar's credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, in this transaction, DBRS Morningstar's ratings do not address the payment of any cap carryover amounts. DBRS Morningstar's credit ratings on Classes A-1, A-2, and A-3 also address the credit risk associated with the increased rate of interest applicable to these Certificates if they remain outstanding on the step-up date (August 2027) in accordance with the applicable transaction documents. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP COMMERCIAL 2015-GC27: DBRS Confirms C Rating on G Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC27 issued by Citigroup Commercial Mortgage Trust 2015-GC27 as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (high) (sf) -- Class PEZ at A (high) (sf) -- Class D at BBB (low) (sf) -- Class X-E at B (high) (sf) -- Class E at B (sf) -- Class F at CCC (sf) -- Class G at C (sf) All classes have Stable trends, with the exception of Classes F and G, which have ratings that generally do not carry trends in commercial mortgaged-backed securities (CMBS) ratings. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations since its last review. At the last rating action in November 2022, DBRS Morningstar upgraded Classes C, X-B, and PEZ as a result of substantial collateral paydown and defeasance. The trends on Classes D, E, and X-E were changed to Stable from Negative because of the improved performance of some specially serviced loans that returned to the master servicer. The CCC (sf) and C (sf) ratings on Classes F and G, respectively, were maintained primarily because of loss projection suggested by the March 2022 appraisal for the specially serviced loan, Centralia Outlets (Prospectus ID#8), secured by a retail mall property in Centralia, Washington. Since that time, the loan was liquidated from the transaction in the January 2023 remittance, resulting in an actual loss to the pool of $6.4 million and proceeds of $22.0 million; the realized loss compares with DBRS Morningstar's analyzed loss of $16.3 million at the November 2022 review. Although the better-than-expected outcome for the Centralia Outlets loan and some additional defeasance since the November 2022 review have increased the upgrade pressure for some classes, DBRS Morningstar maintained a conservative approach with this review given the proximity to maturity for the remaining loans in the pool and the general disruptions to the commercial real estate market amid rising interest rates and lower investor demand for some property types. Approximately 39.4% of the pool has upcoming maturity dates in 2024 and 13.0% of the pool balance is made up of loans secured by office properties. As of the August 2023 reporting, 89 of the original 100 loans remain in the pool, with a trust balance of $924.9 million, representing a collateral reduction of 22.5% since issuance. The transaction benefits from significant defeasance, with 34 loans representing 37.0% of the pool balance. Three loans are on the servicer's watchlist, representing 3.4% of the pool balance, one of which was flagged for a low debt service coverage ratio (DSCR) and the other two were flagged for occupancy and rollover-related issues. The pool has a high concentration of loans secured by retail property types, at 34.0% of the pool; however, in general, these loans are performing as expected with the largest retail loan, Twin Cities Premium Outlets (Prospectus ID#4, 5.4% of the pool), reporting cash flow growth from issuance as of the most recent reporting. As noted above, office loans represent a relatively small portion of the overall pool balance but notably include the largest loan in the pool, 393-401 Fifth Avenue (Prospectus ID#2, 10.3% of the pool balance), which is secured by two adjacent eight-story office buildings on Fifth Avenue in Midtown Manhattan, New York. The 10-year loan is interest-only (IO) with a maturity in January 2025. Per the March 2023 rent roll, the property was 92.2% occupied, which remains in line with occupancy rates reported over the last few years. The largest tenants include AEO Management Co. (88.2% of the net rentable area (NRA), lease expiry in May 2026) and Dorfman Pacific Inc. (2.3% of the NRA, lease expiry in December 2023). A DSCR of 1.97 times (x) was reported for YE2022, in line with the past few years. The property's exposure to nearly single-tenant risk, with a lease expiration within 18 months of the scheduled loan maturity, significantly increases the refinance risk for this loan. The submarket dynamics are softening, with Reis reporting that the overall vacancy rate increased to 12.2% as of Q2 2023, up from 11.7% and 9.8% for the same quarter in 2022 and 2021, respectively. Given these factors, a stressed scenario was analyzed to increase the expected loss for this review. There is one small loan in special servicing, representing 0.8% of the pool balance. Kohl's Westerville (Prospectus ID#53, 0.8% of the pool balance) is secured by a 99,380-square-foot retail property in Westerville, Ohio. The loan transferred to special servicing in April 2023 for imminent default, with the loan reporting delinquent for that month. As of the August 2023 servicer commentary, the borrower and special servicer are working on a potential settlement and reinstatement of the loan. The loan was previously brought current with the June 2023 payment; however, it is once again showing 30 to 59 days delinquent with the August 2023 reporting. The property is occupied by a single tenant, Kohl's, which has a lease expiration in October 2026 and is open according to internet searches as of August 2023. Despite the single-tenant lease, cash flows have recently declined, with the DSCR reported at 0.95x for YE2022 as compared with the YE2021 and YE2020 figures of 1.22x and 1.37x, respectively. Given the delinquency and declining cash flows, the loan was analyzed with a stressed scenario to increase the expected loss for this review. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-CCRE23: DBRS Confirms B Rating on Class X-D Certs ----------------------------------------------------------- DBRS Limited downgraded the rating on one class of the Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE23 issued by COMM 2015-CCRE23 Mortgage Trust as follows: -- Class F to C (sf) from CCC (sf) DBRS Morningstar also confirmed the ratings on the remaining classes as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-C at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at B (high) (sf) -- Class X-D at B (sf) DBRS Morningstar changed the trends on Classes E and X-D to Negative from Stable. All other trends are Stable, with the exception of Class F, which has a rating that does not typically carry a trend in commercial mortgage backed securities (CMBS) ratings. The downgrade and Negative trends are reflective of the DBRS Morningstar's loss projections for the loans in special servicing. The most significant contributors are the Holiday Inn Manhattan View (Prospectus ID#19; 1.7% of the pool balance) and the DoubleTree Norwalk (Prospectus ID #20; 1.6% of the pool balance) loans. In addition, DBRS Morningstar notes additional downward pressure on the classes carrying Negative trends because of increased risks for the Sherman Plaza loan (Prospectus ID#6; 4.2% of the pool balance), as further discussed below. At the last review, DBRS Morningstar confirmed the CCC (sf) rating on Class F, based on the liquidated loss projections for the four specially serviced loans (currently 5.5% of the pool balance) that, based on the most recent valuations obtained by the special servicer at that time, were expected to be contained to the unrated Class G, which has a current balance of $38.4 million. However, updated appraisals for some loans obtained since that review have shown value declines, pushing DBRS Morningstar's liquidated loss projections into Class F, supporting the downgrade with this review. The rating confirmations and Stable trends reflect the otherwise stable performance of the underlying loans, as well as an additional $44.6 million in defeasance since the last rating action in November 2022. As of the August 2023 remittance, 74 of the original 84 loans remain in the pool, with a trust balance of $1.1 billion, representing a collateral reduction of 23.0% since issuance. The pool benefits from 22 loans that are fully defeased, representing 37.0% of the pool balance. As noted above, four loans are in special servicing and 15 loans are on the servicer's watchlist, representing 31.4% of the pool balance. The watchlisted loans are generally being monitored for performance issues related to declining cash flows or occupancy declines and rollover. The pool is exposed to a relatively high concentration of loans backed by office properties that represent 26.7% of the transaction. Three office loans in the pool reported a debt service coverage ratio (DSCR) below 1.0 times (x) as of the YE2022 reporting, including one top 10 loan in Sherman Plaza. The collateral property is a 267,648 square foot (sf) Class A office complex in Van Nuys, California. The loan has been on the servicer's watchlist since December 2020 as a result of a low DSCR and low occupancy following the departure of the previously largest tenants, Brightwood College (16.2% of the net rentable area (NRA)) and U.S. GSA (10.0% of the NRA) in 2019. Occupancy has yet to recover and was most recently reported at 59.2% as of the March 2023 rent roll, in line with the past few years. Although the loan was structured with a provision allowing for a cash sweep in the event Brightwood College did not renew or vacated the property, the in-place cash flows are below breakeven and there is no excess cash to trap. The YE2022 DSCR was reported at 0.62x, up slightly from 0.57x at YE2021, but ultimately well below the DBRS Morningstar DSCR of 1.25x. The largest tenants as of March 2023 include Loan Mart (8.7% of the NRA, lease expiry in June 2024), State of California Employment Development Department (8.1% of the NRA, lease expiry in June 2027), and Interviewing Service of America (7.0% of the NRA, lease expiry in January 2025). Rollover risk is relatively moderate with leases representing approximately 10.7% of the NRA rolling within the next year; however, this figure is more significant given the already low in-place occupancy rate. The servicer commentary notes that the borrower has cited significant difficulty garnering interest in the vacant space given deteriorating market conditions and the general uncertainty with regard to demand for office space in the current environment. According to Reis, the San Fernando Valley-Central reported a Q2 2023 vacancy rate of 17.1%, compared with the 17.9% vacancy rate for Q2 2022. The loan has remained current throughout the period of low in-place cash flows, but the sponsor's commitment will likely become weaker as the loan approaches the 2025 maturity date and a significant out-of-pocket investment will likely be required to secure a replacement loan, barring significant changes in the property finances. Given these circumstances, this and other similarly challenged office loans in the pool were analyzed with a stressed scenario to increase the expected losses (ELs). For those office loans subject to a stressed scenario, the resulting EL was approximately 1.5x the pool average EL. The largest loan in special servicing, Holiday Inn Manhattan View, is secured by the leasehold interest in a 136-key limited-service hotel in Long Island City, New York. The loan transferred to special servicing in February 2020 for a default at loan maturity in January 2020. As a result of the Coronavirus Diseases (COVID-19) pandemic, the property was closed in March 2020 and has never reopened. The hotel lost its affiliation with Holiday Inn in June 2021, which triggered full recourse provisions. Since then, a foreclosure procedure was initiated, and a receiver was appointed in August 2022. According to the latest servicer's commentary, a motion for summary judgement was granted by court in February 2023, expediting the foreclosure process and leading to the note's auction. Negotiation between the lender and a potential buyer for the note are currently in progress. The hotel was re-appraised in November 2022 for $8.5 million, down from the July 2021 appraised value of $11.5 million and the $29.5 million appraised value at issuance. Based on this value and projected expenses at liquidation, DBRS Morningstar analyzed the loan with a liquidation scenario that results in a loss severity in excess of 100%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2016-CCRE28: DBRS Confirms B Rating on Class X-E Certs ----------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-CCRE28 issued by COMM 2016-CCRE28 Mortgage Trust as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-HR at AAA (sf) -- Class A-M at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-HR at AAA (sf) -- Class XP-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class X-C at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-D at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (low) (sf) -- Class X-E at B (sf) -- Class H at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance since DBRS Morningstar's last review, with a small concentration of loans on the servicer's watchlist and no loans in special servicing or delinquent as of the most recent remittance. Cash flows are overall stable, with the largest 15 loans in the pool generally reporting cash flows in line with the issuance figures. Based on the most recent year-end financials, the pool reported a healthy debt service coverage ratio (DSCR) of 2.05 times (x). As per the August 2023 remittance, 43 of the original 49 loans remain in the pool, with an aggregate principal balance of $865.5 million, representing a collateral reduction of 15.7% since issuance. There are nine loans, representing 18.5% of the pool, secured by collateral that are fully defeased. Five loans, representing 18.3% of the trust balance, are on the servicer's watchlist, primarily because of low DSCRs, recent or upcoming lease expirations, and/or deferred maintenance items. To date, four loans have been liquidated from the pool, resulting in realized losses to the trust of $9.3 million, which have been contained to the nonrated Class J certificate, which had an issuance balance of $29.5 million. The losses have generally been offset by continued amortization of loans and defeasance held in the trust, with the defeasance-adjusted credit enhancement for the lowest-rated certificate increasing slightly since issuance. The pool is concentrated by property type, with loans backed by office and retail properties comprising 31.9% and 23.5% of the pool, respectively. The majority of loans secured by office properties in this transaction continue to exhibit healthy credit metrics, reflecting a weighted-average debt yield of 10.6% based on the most recent financials available. However, DBRS Morningstar has a cautious outlook for this asset type as sustained upward pressure on vacancy rates in the broader office market may challenge landlords' efforts to backfill vacant space, and, in certain instances, contribute to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. DBRS Morningstar identified four office loans other than the one noted below, representing 17.6% of the pool, that are exhibiting increased credit risks from issuance and applied stressed loan-to-value (LTV) ratios and, where applicable, increased the probability of default (POD) penalties for these loans to increase the expected loss in the analysis. The largest loan on the servicer's watchlist, 32 Avenue of the Americas (Prospectus ID#4; 7.7% of the pool balance), is secured by a 1.2 million-square-foot (sf) dual office and data center property in Manhattan's Tribeca district. The 10-year interest-only (IO) loan is scheduled to mature in November 2025 and is one of five pari passu pieces of a $425.0 million whole loan. The loan was added to the servicer's watchlist in April 2023 because of a decline in the occupancy rate. As of the February 2023 rent roll, the property was 61.8% occupied. Occupancy has been falling precipitously over the last several years, ending 2021 at 75.6% and 2022 at 70.0%, down from 95.0% at issuance. The largest tenants remaining at the subject property include Telx, LLC (12.4% of the net rentable area (NRA); lease expiry in July 2033), Dentsu Holdings USA Inc. (5.9% of the NRA; lease expiry in August 2025), and CenturyLink Communications, LLC (5.8% of the NRA; lease expiry in August 2040). Near-term rollover risk is minimal, with leases representing only 1.0% of the NRA scheduled to expire over the next 12 months. Approximately 3.0% of sublease space is listed as available on Optimal Space as two current tenants that had previously expanded have since condensed their footprints at the property. The YE2022 DSCR was reported to be 1.78x, down from 1.96x at YE2021 and 2.01x at YE2020. The loan is equipped with a cash management account that will be activated at a DSCR trigger of 1.15x for two consecutive quarters. The sponsor, Rudin Management (Rudin), acquired the subject property in 1999 and has reportedly spent $10.0 million on upgrading the building interiors, exteriors, and systems, indicative of strong sponsor commitment to the property. Rudin is currently advertising 38.8% of the vacant space as available for leasing at an average rental rate of $73.40 per sf (psf), which is higher than the current average in-place rental rate of $63.70 psf. As per Reis, office properties in the South Broadway submarket reported a Q2 2023 vacancy rate of 14.2% with an average asking rent of $72.56 psf, compared with the Q1 2022 vacancy rate of 9.0% and average asking rent of $69.82 psf. Given the unfavorable conditions of the current office property market, with several companies downsizing and year-over-year declines in occupancy since the onset of the Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar expects the stabilization period for the property could be longer than originally anticipated. Given these factors, in the analysis for this review, DBRS Morningstar applied both an LTV and a POD stress to increase the expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. CORE CONSTRUCTION: Case Summary & 20 Largest Unsecured Creditors ---------------------------------------------------------------- Debtor: Core Construction & Development, Inc. 4511 West Melrose Ave. Tampa, FL 33629 Business Description: Core is a site construction company incorporated in Florida with offices in Colorado Springs, CO. and licensed in many states. Chapter 11 Petition Date: September 7, 2023 Court: United States Bankruptcy Court Middle District of Florida Case No.: 23-03935 Debtor's Counsel: Buddy D. Ford, Esq. BUDDY D. FORD, P.A. 9301 West Hillsborough Avenue Tampa, FL 33615-3008 Tel: (813) 877-4669 Fax: (813) 877-5543 Email: All@tampaesq.com Total Assets: $2,856,992 Total Liabilities: $5,387,421 The petition was signed by Gregory Lee as president. A full-text copy of the petition containing, among other items, a list of the Debtor's 20 largest unsecured creditors is available for free at PacerMonitor.com at: https://www.pacermonitor.com/view/33MZ4YA/Core_Construction__Development__flmbke-23-03935__0001.0.pdf?mcid=tGE4TAMA CSAIL 2016-C6: DBRS Confirms B Rating on Class X-F Certs -------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-C6 issued by CSAIL 2016-C6 Commercial Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) DBRS Morningstar changed the trends on the Class F and Class X-F certificates to Stable from Negative. All other trends are Stable. The rating confirmations and Stable trends reflect the generally improved performance of loans on the servicer's watchlist since DBRS Morningstar's last review of this transaction in November 2022. The loans on the servicer's watchlist currently represent just more than 18% of the pool, and there are no loans in special servicing or reporting delinquent as of the July 2023 remittance. Of the original 50 loans, 31 remain in the pool, with an aggregate principal balance of $530.8 million, representing a collateral reduction of 30.8% since issuance. There are 12 loans, representing 15.8% of the pool, which are fully defeased. DBRS Morningstar does note that the pool is concentrated by property type, with office and retail properties representing 43.0% and 23.6% of the pool, respectively. In the case of loans backed by these and other property types that were showing performance declines from issuance, DBRS Morningstar analyzed a stressed scenario to account for the increased risks to the pool. The office concentration for this transaction is particularly noteworthy given the challenges for that property type in the current environment. However, DBRS Morningstar notes that, overall, the office loans in this pool are generally performing as expected, with the exceptions generally contained to smaller loans outside of the top 15. There are four office-backed loans in the top 10, representing the bulk of the office exposure, at 35.9% of the pool. The largest of these is 200 Forest Street (Prospectus ID#2, 16.4% of the pool), which is secured by an office building in Marlborough, Massachusetts. The largest two tenants represent just more than 90% of the net rentable area (NRA) and have leases through 2029 and 2030. The loan most recently reported a Q1 2023 debt service coverage ratio (DSCR) of 2.12 times (x). The second-largest office loan, Laurel Corporate Center (Prospectus ID#4, 8.4% of the pool), is secured by a Class B office complex within the Philadelphia area. The total occupancy rate across the six buildings has dipped from issuance (87% at YE2022 compared with 97% in 2016), but the DSCR remains healthy at 2.07x and the granular rent roll across the portfolio suggests limited exposure to significant occupancy swings over the near to moderate term. The largest loan on the servicer's watchlist is Jay Scutti Plaza (Prospectus ID#8, 4.4% of the pool), which is secured by a shadow-anchored retail property in Rochester, New York. The DSCR has lagged issuance expectations for several years, with the servicer most recently reporting a Q1 2023 DSCR of 1.08x, down from 1.25x at issuance. Occupancy has fallen by approximately 10% from the issuer's underwritten figure of 96%, but the remaining tenant mix includes many national chains including Burlington, HomeGoods, Petco, and Value City Furniture. The shadow anchor is Wegmans, a popular grocery chain in the Northeastern United States. The desirable tenant mix is a mitigating factor for the cash flow declines since issuance, but if sustained, they could increase the risks at maturity in 2026. The second-largest loan in the pool, Quaker Bridge Mall (Prospectus ID#3, 12.6% of the current pool balance), is secured by the in-line and outparcel space of a 1.1 million-square-foot two-story regional mall in the Trenton, New Jersey, suburb of Lawrenceville. The mall's owner and operator is Simon Property Group. The loan was previously in special servicing because of performance challenges amid the Coronavirus Disease (COVID-19) pandemic, but it was ultimately returned to the master servicer in late 2021. The mall has exhibited performance declines since issuance, as two of the non-collateral anchors in place at issuance closed (Lord & Taylor and Sears), leaving Macy's and JCPenney. The servicer most recently reported a collateral occupancy rate of 93% as of YE2022, which is in line with the past few years and up compared with the issuance occupancy rate of 84%. Despite the stable occupancy rate over the past several years, the in-place cash flows continue to decline from the issuance figures. According to the most recent financials, the loan reported a YE2022 net cash flow of $12.1 million, an 11.0% decrease from the YE2021 figure of $13.6 million and 17.1% decline from $14.6 million at issuance. The decline in cash flows was a result of a year-over-year increase in operating expenses, which pushed the operating expense ratio to 44% at YE2022 from 41% at YE2021. The DSCR remains generally healthy, at 1.48x for YE2022, compared with the issuer's issuance DSCR of 1.78x. The March 2023 rent roll showed 14 leases representing 15% of the collateral NRA scheduled to roll in the next 12 months; none of these individually represent more than 3% of the collateral NRA. Victoria's Secret, Forever 21, and Old Navy have all signed lease extensions in the last year or so, but all three notably only extended for shorter terms, ranging between two and three years each, suggesting the long-term commitment to the property could be in question. Sales are generally unimpressive. The tenant sales report for the trailing 12 months ended November 30, 2022, showed in-line sales of $442 per square foot (psf), with that figure dropping to $360 psf when excluding Apple. Given the cash flow trends and the dark anchor spaces, the overall risks for this loan have increased significantly from issuance, supporting the stressed approach to increase the expected loss in the analysis for this review. Notes: All figures are in U.S. dollars unless otherwise noted. DBJPM 2016-C1: Fitch Affirms CCsf Rating on Class F Certs --------------------------------------------------------- Fitch Ratings has affirmed 14 classes of DBJPM 2016-C1 Mortgage Trust commercial pass-through certificates, series 2016-C1 (DBJPM 2016-C1). The Rating Outlooks on classes B, C and X-B have been revised to Negative from Stable in addition to maintaining the Negative Outlooks on classes D and X-C. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- DBJPM 2016-C1 A-3A 23312LAR9 LT AAAsf Affirmed AAAsf A-3B 23312LAA6 LT AAAsf Affirmed AAAsf A-4 23312LAS7 LT AAAsf Affirmed AAAsf A-M 23312LAT5 LT AAAsf Affirmed AAAsf A-SB 23312LAQ1 LT AAAsf Affirmed AAAsf B 23312LAU2 LT AA-sf Affirmed AA-sf C 23312LAV0 LT A-sf Affirmed A-sf D 23312LAG3 LT Bsf Affirmed Bsf E 23312LAH1 LT CCCsf Affirmed CCCsf F 23312LAJ7 LT CCsf Affirmed CCsf X-A 23312LAW8 LT AAAsf Affirmed AAAsf X-B 23312LAB4 LT A-sf Affirmed A-sf X-C 23312LAC2 LT Bsf Affirmed Bsf X-D 23312LAD0 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The affirmations reflect the impact of the updated criteria and generally stable performance since Fitch's last rating action. The Negative Outlooks reflect performance concerns with the Fitch Loans of Concern (FLOCs) in the pool, including the special serviced loan Sheraton Houston North (5.1% of the pool), Columbus Park Crossing (3.9%) and Hagerstown Premium Outlets (3.9%). Fitch's current ratings incorporate a base case loss of 6.3%. Fitch identified seven loans (27.0% of the pool) as FLOCs, which includes one loan (5.1%) in special servicing. Largest Contributors to Loss Expectations: The largest contributor to loss expectations is the specially serviced Sheraton Houston North (5.1% of the pool), which is secured by a 419-key full-service hotel located in Houston, TX. The loan transferred to special servicing in November for payment default as a result of the pandemic. After the borrower indicated that they were unwilling to fund cash flow shortfalls, GF Hotels was appointed as the receiver in April 2021. According to the most recent STR report, the hotel reported occupancy, ADR and RevPAR of 59.6%, $92, $55 as of the TTMs ending in June 2023 which compares with 40.4%, $90, and $36 in the year prior and 78.2%, $126, and $99, respectively as the TTMs ending October 2015 at issuance. The hotel was ranked fifth out of eight hotels in its competitive set with respect to RevPAR. The borrower reported YTD June 2023 and YE 2022 NOI DSCR of 0.31x and -0.45x, respectively. The loan was identified as a FLOC prior to the pandemic after United Airlines relocated their pilot training program to Denver, resulting in lost contract revenue. Fitch's loss expectation of 33% (prior to concentration add-ons) is based on a stress to a recent appraisal value, which equates to an 11.3% cap rate on YE 2019 NOI. Columbus Park Crossing (3.9%) is secured by a 638,028-sf anchored retail center located in Columbus, GA. The loan has experienced occupancy and cash flow declines since issuance. The previous largest tenant, Sears (22.2% of the NRA) vacated in 2017 causing occupancy to decline to 78%. Per the March 2023 rent roll, occupancy remains lower at about 76% with upcoming rollover consisting of 21.6% of the NRA with lease expirations in 2023. Fitch requested a leasing update on AMC Theaters (13.2%), which has a lease expiration in September 2023. The remaining largest tenants include Haverty Furniture Company (5.2% of the NRA; through December 2025), Ross Dress for Less (4.7%; January 2028), and Burlington Coat Factory (4.4%; February 2033). Fitch's 'Bsf' rating case loss of about 35% (prior to concentration add-ons) reflects a 15% cap rate to a stabilized cash flow and a higher probability of default to reflect refinance concerns at maturity. The Hagerstown Premium Outlets (3.9%) is sponsored by Simon Property Group and is secured by a 484,994-sf, open-air outlet mall, located in a tertiary market in Hagerstown, MD. Occupancy remains lower at 40.4% as of March 2023 compared to 44% at YE 2022, 51% at YE 2021, 71% at YE 2019 and 90% at issuance. According to media reports, a Tim's Furniture Mart is set to occupy the former the Wolf's Furniture space, which is approximately 67,000-sf (13.8% of the NRA). While the tenancy will improve occupancy to 53%, vacancy is expected to remain elevated. Per the June 2023 sales report, YTD June 2023 sales psf were lower at $239 psf compared to $271 at YE 2018, and $251 at YE 2017. The declining occupancy has caused the NOI DSCR to decline to a 1.00x at YE 2022 from 1.06x at YE 2021 and 1.37x at YE 2020. Fitch's 'Bsf' rating loss incorporates an 18% cap rate to the YE 2022 NOI to reflect loss expectations of 37% (prior to concentration add-ons). Changes in Credit Enhancement: As of the July 2023 distribution date, the pool's aggregate balance has been reduced by 14.2% to $702.1 million from $818.0 million at issuance. There are six loans (13.5%) of the pool that have fully defeased. There are five loans (34.4% of the pool) that are full-term, interest-only (IO) and 26 loans (65.6%) that are currently amortizing. Realized losses of about $5.3 million and interest shortfalls of $914,956 are currently impacting the non-rated class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of classes rated in the 'AAAsf and 'AAsf' categories are not likely due to sufficient CE and the expected receipt of continued amortization but could occur if interest shortfalls affect these classes. Class B may be downgraded should FLOCs in the Top 15 experience further performance declines or more loans transfer to special servicing. Classes C and X-B may be downgraded further if pool loss expectations increase significantly from additional loans becoming FLOCs and/or one or more of the FLOCs have an outsized loss, which would erode CE. Classes D, E, F, X-C and X-D would be downgraded as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes B, C and X-B would only occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades of classes D and X-C may occur in the later years of a transaction if performance of the remaining pool is stable and with sufficient CE to these classes, 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 likelihood for interest shortfalls. Upgrades of classes E, F and X-D are unlikely to be upgraded absent significant performance improvement on the FLOCs and higher recoveries than expected on the specially serviced loans. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DC COMMERCIAL 2023-DC: DBRS Gives Prov. BB Rating on HRR Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2023-DC (the Certificates) to be issued by DC Commercial Mortgage Trust 2023-DC (DC 2023-DC): -- Class A at AAA (sf) -- Class X at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class HRR at BB (sf) All trends are Stable. DC 2023-DC is a single asset/single-borrower transaction collateralized by the borrower's fee-simple interest in two data center properties totaling three buildings in Ashburn, Virginia. DBRS Morningstar generally takes a positive view of the credit profile of the overall transaction based on the portfolio's favorable market position, affordable power rates, desirable efficiency metrics, and strong tenancy profile. The loan is unclosed by expected to close on or before August 30, 2023 and terms of the loan are subject to change. Data centers, while having existed in one form or another for many years, have become a key component in the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence applications has increased the need for these facilities over the last 10 years in order to manage, store, and transmit data globally. While previous incarnations of data centers were often constructed in existing buildings that were converted, the needs of the market require purpose-built facilities that are engineered for this single use. From the standpoint of the physical plants, the data center assets are heavily powered with more than 104 megawatts (MW) of critical IT load and feature N+2 redundancy for all building systems. DBRS Morningstar views the data center collateral as strong assets with strong critical infrastructure, including power and redundancy, built to accommodate the technology needs not only of today, but also well into the future. Digital Realty, 20% owner and the operator of the portfolio, currently owns and operates more than 300 data center properties across 28 countries. Data center operators have historically benefited from high barriers to entry because of the complexity of their operations along with the specialized knowledge required to operate the facilities to extraordinarily demanding uptime and reliability standards. Furthermore, the high upfront capital costs and necessary power infrastructure also make speculative development more difficult than with other property types. Moreover, local power provider Dominion Energy announced in July 2022 that it cannot allocate additional power to new data center developments in Northern Virginia, essentially delaying new data center development through 2026. The portfolio's Issuer underwritten (UW) rent for data center space is approximately 17.9% below the sponsor's market rent estimates and recent leasing data. This represents an opportunity for the sponsor to push rolling and expiring leases to a higher rental rate that is closer to the market rent. Leases signed since Q4 2022 at both the subject property and in Digital Realty's Northern Virginia portfolio exhibit an average rent of $150 per kilowatt (kW) per month, which is significantly higher than the Issuer UW rent of $95.88 per kW per month. According to market data listed in the term sheet, the Ashburn submarket generally commands rents between 10% and 15% above the remaining Northern Virginia market. Data center operators benefit from strong clustering and network effects attributable to the complex IT environments of their tenants. For various reasons, larger tenants strongly prefer to scale within existing environments rather than add capacity at a facility with a different provider. The assets are in Ashburn, Virginia, which is part of the greater Northern Virginia market known as Data Center Alley. Northern Virginia is the largest data center market in the world and is supported by some of the most favorable wholesale power costs and tax rates in the country. Ashburn's wholesale power costs are approximately $0.05 per kilowatt hour (kWh), which compares favorably with other nearby markets where power costs can be higher, such as Pennsylvania, New Jersey, and Manhattan, which exhibit power costs of $0.0771/kWh, $0.1105/kWh, and $0.13/kWh, respectively. The properties within the portfolio—named ACC5, ACC6, and ACC7—exhibit power utilization efficiency (PUE) ratios of 1.48, 1.47, and 1.20, respectively, which indicates a relatively efficient delivery of power to critical IT infrastructure. However, the properties have design PUE ratios of 1.28, 1.28, and 1.15, respectively. Typical PUE ratios range from 1.2 to 3.0 and, according to a third-party market report outlined in the Term Sheet, average annual PUE across all data centers in the United States is 1.80. The cross-collateralized portfolio benefits from relatively granular tenancy and favorable industry diversification. The portfolio also benefits from the tenancy of numerous cloud and IT tenants and hosts service provider tenants whose significant power consumption and complex needs are projected to only grow over time. Additionally, approximately 58.7% of the DBRS Morningstar in-place base rent is attributable to investment-grade tenants across the portfolio, which is a highly favorable ratio. The $990.0 million mortgage loan represents an 84.33% loan-to-value ratio on the DBRS Morningstar value of $1.174 billion, which is relatively modest compared with more fully leveraged single-asset/single-borrower transactions. Digital Realty is an experienced data center operator with a portfolio of more than 300 data centers in 28 countries on six continents. The company has established relationships with significant power users across various industries. Furthermore, the company has committed to improving the sustainability of their operation with approximately 62% of their global power provided through a renewable source. The sponsor on the transaction is a joint venture between Digital Realty and TPG, a global private equity firm founded in 2009 with approximately $139.0 billion in assets under management (AUM) as of the end of 2022. The experienced institutional sponsorship of TPG complements Digital Realty's experience in operating the data center assets. TPG has a dedicated team focused on real estate with more than $19 billion in AUM. ACC5 and ACC7 are LEED Gold certified and exhibit strong design PUE ratios of 1.28 and 1.15, respectively, while ACC6 is LEED Silver certified and exhibits a design PUE ratio of 1.28. All the data center buildings in the portfolio were constructed with N+2 redundancy, which will allow for two failures of any system. N+2 redundancy also allows for more flexibility for repair and maintenance of the various mechanical systems at the property. Data center properties require specialized operational knowledge and expertise in order to operate to extremely high uptime and reliability standards set forth in various service-level agreements with tenants. Therefore, the pool of potential buyers may be more limited than for other asset types, such as warehouse or distribution properties. Furthermore, a substantial component of the portfolio's value is dependent on Digital Realty's tenant roster and extensive industry relationships and technical expertise. However, Digital Realty has significant experience in the operation and management of data centers, especially in Northern Virginia where it has significant experience and manages 16 data center properties. The loan documents require that any replacement manager meet certain qualifications, including, but not limited to, at least five years' experience in the management of at least five data centers totaling 1.0 million square feet (sf), or be one of the pre-approved managers outlined in the offering documents. DBRS Morningstar views data center properties as significantly more capital intensive beyond the identifiable shell building repairs captured by a typical engineering report. Data center properties typically have dedicated on-site utility substations, complex closed loop and evaporative cooling systems, and substantial uninterruptible power supply and backup generator systems that must be proactively maintained and replaced to ensure the highest level of uptime and reliability. The property condition report estimated $1.24 per sf (psf) in ongoing capital expenditure (capex) needs across the portfolio. DBRS Morningstar assumed higher ongoing capex requirements of $4.00 per kW per month in its concluded cash flow to reflect the higher capital-intensive needs of the properties. The loan agreement permits the borrower to release individual properties across the portfolio pursuant to a release premium of 110% of the allocated loan amount. DBRS Morningstar considers 110% to be weaker than a generally credit-neutral standard of 115%. As a result, DBRS Morningstar applied a penalty to the sizing hurdles to account for this release structure. As it relates to the release of individual properties, ACC5 and ACC6 are on the same tax parcel and must be released together. ACC7 is on its own tax parcel and can be released on its own. DBRS Morningstar's credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this Press Release. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations (for example, Yield Maintenance Premium). DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. EXETER AUTOMOBILE 2023-4: Fitch Assigns Final BB Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Outlooks to Exeter Automobile Receivables Trust (EART) 2023-4. Entity/Debt Rating Prior ----------- ------ ----- Exeter Auto Receivables Trust 2023-4 A1 30166TAA1 ST F1+sf New Rating F1+(EXP)sf A2 30166TAB9 LT AAAsf New Rating AAA(EXP)sf A3 30166TAC7 LT AAAsf New Rating AAA(EXP)sf B 30166TAD5 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance — Subprime Credit Quality: EART 2023-4 is backed by collateral with subprime credit attributes, including a weighted average (WA) FICO score of 577, a WA loan-to-value (LTV) ratio of 113.41% and WA APR of 21.77%. In addition, 97.30% of the loans are backed by used vehicles and the WA payment-to-income (PTI) ratio is 12.06%. Forward-Looking Approach to Derive Base Case Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions to derive the series loss proxy. Although recessionary performance data from Exeter is not available, the initial base case cumulative net loss (CNL) proxy was derived utilizing 2006-2009 data from Santander Consumer — as proxy recessionary static-managed portfolio data — and 2016-2017 vintage data from Exeter to arrive at a forward-looking base case CNL proxy of 20.00%. Payment Structure — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) totals 61.90%, 48.20%, 34.75%, 21.55% and 9.35% for classes A, B, C, D and E, respectively. The class B, C, and D CE levels are up from 2023-3, while the class A and E and CE levels are lower than or consistent with 2023-3. CE for each class is up from those of transactions prior to 2022-5. Excess spread is expected to be 11.29% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base case CNL proxy of 20%. Seller/Servicer Operational Review — Adequate Origination/Underwriting/Servicing: Exeter demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch does not rate Exeter but deems the company as capable to service this transaction. In addition, Citibank, N.A., which Fitch rates 'A+'/Stable/'F1', has been contracted as backup servicer for this transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses, respectively. Additionally, Fitch evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected subordinate note ratings could be upgraded by up to one category. ESG CONSIDERATIONS The concentration of electric and hybrid vehicles in the pool is low and did not have an impact on Fitch's ratings analysis or conclusion of this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FLAGSHIP CREDIT 2023-3: DBRS Finalizes BB(high) Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Flagship Credit Auto Trust 2023-3 (FCAT 2023-3 or the Issuer): -- $35,800,000 Class A-1 Notes at R-1 (high) (sf) -- $145,000,000 Class A-2 Notes at AAA (sf) -- $46,260,000 Class A-3 Notes at AAA (sf) -- $31,130,000 Class B Notes at AA (high) (sf) -- $41,330,000 Class C Notes at A (high) (sf) -- $31,480,000 Class D Notes at BBB (high) (sf) -- $19,000,000 Class E Notes at BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The DBRS Morningstar CNL assumption is 10.50%, based on the expected Cut-Off Date pool composition. (3) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - June 2023 Update, published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (4) The consistent operational history of Flagship Credit Acceptance, LLC (Flagship or the Company) and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Flagship with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Flagship and considers the entity an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) The Company indicated it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Flagship could take the form of class-action complaints by consumers; however, the Company indicated there is no material pending or threatened litigation. (7) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Flagship is an independent, full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms to purchase late-model vehicles and (2) refinancing of existing automotive financing. This transaction is structured as a Rule 144A transaction of the Securities Act of 1933. There are seven classes of Notes—Class A-1, Class A-2, Class A-3, Class B, Class C, Class D, and Class E—included in FCAT 2023-3. Initial credit enhancement for the Class A-1, Class A-2, and Class A-3 Notes is 36.45% and includes a 1.00% reserve account (funded at inception and nondeclining), initial overcollateralization (OC) of 0.50%, and subordination of 34.95% of the initial pool balance. Initial Class B enhancement is 27.60% and includes a 1.00% reserve account (funded at inception and nondeclining), initial OC of 0.50%, and subordination of 26.10% of the initial pool balance. Initial Class C enhancement is 15.85% and includes a 1.00% reserve account (funded at inception and nondeclining), initial OC of 0.50%, and subordination of 14.35% of the initial pool balance. Initial Class D enhancement is 6.90% and includes a 1.00% reserve account (funded at inception and nondeclining), initial OC of 0.50%, and subordination of 5.40% of the initial pool balance. Initial Class E enhancement is 1.50% and includes a 1.00% reserve account (funded at inception and nondeclining) and initial OC of 0.50%. DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Accrued Note Interest and the related Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the interest on unpaid Accrued Note Interest for each of the rated notes. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. FORTRESS CREDIT XVI: Fitch Affirms 'BB-sf' Rating on Cl. E Notes ---------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class B, C-1, C-2 and D notes of Fortress Credit BSL XV Limited (Fortress XV) and the class A-1L, A-1N, B, C, D-1, D-2 and E notes of Fortress Credit BSL XVI Limited (Fortress XVI). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Fortress Credit BSL XVI Limited A-1L LT AAAsf Affirmed AAAsf A-1N 349927AA1 LT AAAsf Affirmed AAAsf B 349927AE3 LT AAsf Affirmed AAsf C 349927AG8 LT Asf Affirmed Asf D-1 349927AJ2 LT BBB+sf Affirmed BBB+sf D-2 349927AL7 LT BBB-sf Affirmed BBB-sf E 34964QAA3 LT BB-sf Affirmed BB-sf Fortress Credit BSL XV Limited B 34964WAE2 LT AA+sf Affirmed AA+sf C-1 34964WAG7 LT Asf Affirmed Asf C-2 34964WAJ1 LT Asf Affirmed Asf D 34964WAL6 LT BBB-sf Affirmed BBB-sf TRANSACTION SUMMARY Fortress XV and Fortress XVI are arbitrage collateralized loan obligations (CLOs) managed by Fortress Credit CLO Manager LLC and Fortress Credit CLO Manager II LLC, respectively. Fortress XV closed in October 2022 and will exit its reinvestment period in October 2025. Fortress XVI closed in October 2022 and will exit its reinvestment period in October 2026. 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 for Fortress XV and Fortress XVI portfolios were 28.47 and 28.53 respectively, compared to 27.8 and 28.5 respectively, at closing. The portfolio for Fortress XV consists of 150 obligors, and the largest 10 obligors represent 15.2% of the portfolio. Fortress XVI has 153 obligors, with the largest 10 obligors comprising 15.4% of the portfolio. Defaulted assets comprised 0.9% and 1.1% of the portfolios for Fortress XV and Fortress XVI, respectively. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 20.2% and 15.2%, respectively, for Fortress XV and 18.4% and 16.2%, respectively, for Fortress XVI. On average, first lien loans, cash and eligible investments comprise 99.0% of the portfolio with fixed rate concentrations of 0.7% for Fortress XV and 0.5% for Fortress XVI. Fitch's weighted average recovery rate of the portfolios was 74.9% on average, compared to average 74.9% at closing. Other than the S&P 'CCC' limitation for both transactions, all other coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since both transactions are still in their reinvestment periods. The FSP analysis stressed the current portfolios from the latest trustee reports to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average lives of 6.0 years and 6.3 years for Fortress XV and Fortress XVI, respectively. Fixed rate assets were also assumed at 5.0% of the portfolio for both transactions. The FSP analysis assumed 4.20% weighted average spread (WAS) for Fortress XV and 4.00% WAS for Fortress XVI and actual 'CCC' exposure based on Fitch issuer default rating equivalent, at 17.18% for Fortress XV and 18.08% for Fortress XVI. Other assumptions for both transactions include 7.5% non-senior secured assets. The ratings are in line with their respective model-implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to three rating notches for both Fortress XV and Fortress XVI, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five rating notches for both Fortress XV and Fortress XVI, 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. GALLATIN CLO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Gallatin CLO X 2023-1 Ltd./Gallatin CLO X 2023-1 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Aquarian Credit Partners LLC. The preliminary ratings are based on information as of Sept. 5, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Gallatin CLO X 2023-1 Ltd./Gallatin CLO X 2023-1 LLC Class A-1, $240.00 million: AAA (sf) Class A-J, $8.00 million: AAA (sf) Class B, 56.00 million: AA (sf) Class C-1 (deferrable), $20.50 million: A (sf) Class C-F (deferrable), $2.50 million: A (sf) Class D (deferrable), $22.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $32.50 million: Not rated GOODLEAP SUSTAINABLE 2023-3: Fitch Gives 'BB-sf' Rating on C Debts ------------------------------------------------------------------ Fitch Ratings has assigned GoodLeap Sustainable Home Solutions Trust 2023-3 (GoodLeap 2023-3) final ratings. Entity/Debt Rating Prior ----------- ------ ----- GoodLeap Sustainable Home Solutions Trust 2023-3 A LT Asf New Rating A(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BB-sf New Rating BB-(EXP)sf TRANSACTION SUMMARY The transaction is a securitization of 20-to-25-year consumer loans primarily backed by solar equipment. KEY RATING DRIVERS Asset Performance Assumptions: Informed in particular by the 2018 and 2019 default vintages, Fitch used an annualized default rate (ADR) of 1.2% and certain prepayment assumptions to develop its base case default expectation. Fitch used a higher default assumption for interest-only (IO loans, 9.4%) than for standard amortizing and principal-only assets (9%), and a lower assumption for home-efficiency assets (8.5%). The overall base case default rate is 9.0%, and Fitch also assumed a 25% base case recovery rate for the IO/deferred and standard assets while not giving credit to recoveries for the home-efficiency sub-pool. At 'Asf', the aggregate default and recovery assumptions are 30.4% and 14.4%, respectively. Rating Sensitivity: Small changes in performance assumptions can have a material rating impact, particularly in certain model scenarios. To ensure robust ratings, its analysis considers the notes' ability to repay under severe stresses, sensitivities, and the effectiveness of amortization triggers. Fitch's driving model scenario has back-loaded defaults and a high level of prepayments. Standard, Reputable Counterparties; No Swap: The transaction account is with Wilmington Trust (A/F1/Negative), and the servicer's lockbox account is with KeyBank (A-/F1/Stable). Commingling risk is mitigated by the daily transfer of collections, high ACH share at closing and the ratings of KeyBank. Established Lender but New Assets: GoodLeap has grown to be one of the largest U.S. solar loan lenders. Underwriting is mostly automated and in line with those of other U.S. ABS originators. Other than the solar lending business, GoodLeap also originates home efficiency loans and mortgages. Some loan servicing is outsourced to Genpact (UK) Limited, the sub-servicer, while GoodLeap has increased its role in direct servicing over time. Servicing disruption risk is further mitigated by the appointment of Vervent, Inc. as the backup servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Additional performance data that imply ADRs in excess of 1.2% or show lower-than-expected prepayment rates may contribute to an Outlook revision to Negative or a downgrade. Material adverse changes in policy support, the economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also affect the ratings negatively. Increase of defaults (Class A / B / C) +10%: 'A-sf' / 'BBB-sf' / 'B+sf' +25%: 'BBB+sf' / 'BB+sf' / 'Bsf' +50%: 'BBBsf' / 'BBsf' / 'B-sf' Decrease of recoveries (Class A / B / C) -10%: 'Asf' / 'BBBsf' / 'BB-sf' -25%: 'A-sf' / 'BBB-sf' / 'BB-sf' -50%: 'A-sf' / 'BBB-sf' / 'B+sf' Increase of defaults/decrease of recoveries (Class A / B / C) +10% / -10%: 'A-sf'/ 'BBB-sf' / 'B+sf' +25% / -25%: 'BBB+sf' / 'BB+sf' / 'Bsf' +50% / -50%: 'BBB-sf' / 'BB-sf' / 'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch does not rate solar transactions 'AAAsf' due to limited data history. The rating cap may be lifted should more robust performance data is provided. Positive rating actions may also result from data specific to the level of default after the investment tax credit due date, more data on recoveries, and the performance of IO loans. Subject to those conditions, good transaction performance, credit enhancement at the target OC levels and ADRs materially below 1.2% would support an upgrade. Decrease of defaults (Class A / B / C) -10%: 'A+sf' / 'BBBsf' / 'BBsf' -25%: 'AA-sf' / 'BBB+sf' / 'BB+sf' -50%: 'AA+sf' / 'BBB+sf' / 'BBBsf' Increase of recoveries (Class A / B / C) +10%: 'Asf' / 'BBBsf' / 'BB-sf' +25%: 'Asf' / 'BBBsf' / 'BB-sf' +50%: 'Asf' / 'BBBsf' / 'BBsf' Decrease of defaults/increase of recoveries (Class A / B / C) -10% / +10%: 'A+sf' / 'BBB+sf' / 'BBsf' -25% / +25%: 'AA-sf' / 'A-sf' / 'BB+sf' -50% / +50%: 'AA+sf' / 'BBB+sf' / 'BBB+sf' DATA ADEQUACY Similar to other solar ABS originators, GoodLeap can provide historical information only covering a small share of the whole up to 25-year loan tenor. Fitch applied default and recovery stresses at the high or median-high level of the criteria range. The amortizing nature of the assets and the application of an annual default rate to the static portfolio allowed us to determine lifetime default assumptions. In addition, Fitch considered proxy data from other originators and borrower characteristics (including demographics and fairly high FICO scores) to derive asset assumptions, as envisaged under the Consumer ABS Rating Criteria. Taking into account this analytical approach, the rating committee decided to cap the rating in the 'AAsf' rating category, in line with other solar ABS transactions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2015-GC34: Fitch Lowers Rating on Two Tranches to B-sf ------------------------------------------------------------------ Fitch Ratings has downgraded eight and affirmed five classes of GS Mortgage Securities Trust (GSMS), commercial mortgage pass-through certificates, series 2015-GC34. In addition, Fitch has assigned Negative Rating Outlooks to six classes following their downgrades. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2015-GC34 A-3 36250VAC6 LT AAAsf Affirmed AAAsf A-4 36250VAD4 LT AAAsf Affirmed AAAsf A-AB 36250VAE2 LT AAAsf Affirmed AAAsf A-S 36250VAH5 LT AAAsf Affirmed AAAsf B 36250VAJ1 LT A+sf Downgrade AA-sf C 36250VAL6 LT BBBsf Downgrade A-sf D 36250VAM4 LT B-sf Downgrade BBsf E 36250VAP7 LT CCsf Downgrade CCCsf F 36250VAR3 LT CCsf Downgrade CCCsf PEZ 36250VAK8 LT BBBsf Downgrade A-sf X-A 36250VAF9 LT AAAsf Affirmed AAAsf X-B 36250VAG7 LT A+sf Downgrade AA-sf X-D 36250VAN2 LT B-sf Downgrade BBsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 10.2%. Ten loans (41.9% of the pool) are considered Fitch Loans of Concern (FLOCs), including one (3.0%) of which is in special servicing. The downgrades and Negative Outlooks reflect the impact of the updated criteria, significantly higher loss expectations on the two largest loans, Illinois Center and 750 Lexington (combined, 24% of the pool) due to sustained performance deterioration, as well as an anticipated prolonged workout on the REO Woodlands Corporate Center and 7049 Williams Road Portfolio assets (2.9%). Fitch Loans of Concern: The largest contributor to overall loss expectations is the Illinois Center loan (13% of the pool), which is secured by two adjoining 32-story office towers totaling 2.09 million-sf, located in the East Loop submarket of the Chicago CBD. As of March 2023, the property was 63% occupied, down from 67% in December 2020, 73.8% in December 2019 and 72.3% at issuance. According to the master servicer, the largest tenant, Department of Health & Human Services (8.1% of NRA), will be vacating at their November 2023 lease expiration to relocate to government owned space. The second largest tenant, Bankers Life and Casualty (6.5%), is also expected to vacate at their lease expiration in August 2023 to relocate to a nearby office property. The departure of the two largest tenants will reduce occupancy to approximately 48%. Fitch's 'Bsf' rating case loss of 26% (prior to a concentration ad-ons) is based on a 10% cap rate to the YE 2022 NOI. Additionally, Fitch increased the probability of default to 100% given refinancing concerns. The second largest contributor to loss is the 750 Lexington Avenue loan (11% of the pool), which is a 358,580-sf office property with ground floor retail located in Manhattan's Plaza District, NY. Property occupancy declined to 66% at YE 2022 from 71% as of September 2021, 86% as of September 2020 and 100% at issuance. The largest tenant WeWork's lease consists of two portions and includes a total of 32 months of free rent spread over its lease term. The first portion of the lease (23% of NRA, March 2033 lease expiry) commenced in March 2018, which helped to drive occupancy up to 89.2% in June 2018 from 66% in June 2017. The second portion of the lease, which includes an additional 8.6% of the NRA on the 10th and 11th floors, was expected to commence in February 2020; however, WeWork is not in occupancy of the additional space, but is obligated to pay rent until March 2035. This portion is being remedied with the security deposit, which is held in a $6 million letter of credit. Fitch's 'Bsf' rating case loss of 24% (prior to a concentration ad-ons) is based on an 8.75% cap rate to a Fitch sustainable NCF that is in line with YE 2021 NOI which assumes a lease up to 75% occupancy at a discounted market rate of $65 psf. The third largest contributor to loss is the REO Woodlands Corporate Center and 7049 Williams Road Portfolio assets (2.9% of the pool), a portfolio of eight office/flex properties located in suburban Buffalo, NY. The loan transferred to special servicing in December 2019 for imminent default and the assets became REO in October 2022. According to the special servicer, the vacant spaces across the portfolio are being marketed for lease. As of June 2023, the assets are not listed for sale as the servicer is continuing to address leasing and capex needs at the properties. Portfolio cash flow has declined since issuance, partially attributed to the rent reduction of the largest tenant, Silipos (16.6% of portfolio NRA leased through April 2028), by nearly 47% as part of its 10-year lease renewal. The YE 2022 NOI debt service coverage ratio (DSCR) was 0.71x. Portfolio occupancy was 80% as of March 2023, compared to 80% in December 2022, 72.2% in April 2022, 74.8% in May 2021 and 86.3% in April 2020. The portfolio's current largest tenants include Calamar Construction Management, Inc. (14.3%; February 2029) and TDG Transit Design Group (8.4%; August 2029). Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 69% reflects a discount to the most recently available appraisal. Credit Enhancement: As of the August 2023 distribution date, the pool's aggregate principal balance has been reduced by 14.3% to $727.3 million from $848.4 million at issuance. Since Fitch's prior rating action, two previously specially serviced loans were disposed, one of which was repaid in full and the other reported a loss, which was contained to the non-rated class G. Fifteen loans (14.3%) have been fully defeased. Four loans (19.1%) are full-term IO and 28 loans (64.4%) had a partial IO component at issuance, all of which are now amortizing. The remaining loans in the pool are scheduled to mature in 2025. Cumulative interest shortfalls totaling $2.4 million are currently affecting class G. Alternative Loss Considerations: Due to the large concentration of loan maturities in 2025, Fitch performed a paydown analysis, which assumed the Illinois Center and 750 Lexington Avenue FLOCs remain in the pool; this supported the affirmation of classes A-3, A-4, A-AB, X-A, and A-S which are not reliant on proceeds from these two FLOCs. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes A-3, A-4, A-AB, A-S, and X-A are not expected due to expected continued paydowns and amortization, but may occur should interest shortfalls affect these classes. Further downgrades to classes B, X-B, C and PEZ may occur should the FLOCs, particularly Illinois Center, 750 Lexington Avenue, and Woodlands Corporate Center and 7049 Williams Road Portfolio experience continued performance deterioration and/or additional loans expected to refinance transfer to special servicing or defaults. Further downgrades to classes D, X-D, E and F would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes B, X-B, C and PEZ may occur with significant improvement in CE and/or defeasance, as well as with the stabilization of performance on the FLOCs, particularly Illinois Center, 750 Lexington Avenue, and Woodlands Corporate Center and 7049 Williams Road Portfolio. Upgrades to classes D and X-D are considered unlikely and would be limited based on concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if interest shortfalls were likely. Upgrades to the distressed classes E and F are not likely unless resolution of the specially serviced loan is better than expected and/or recoveries on the FLOCs are significantly better than expected, and there is sufficient CE to the classes. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2021-ARDN: DBRS Confirms B(low) Rating on G Certs ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-ARDN issued by GS Mortgage Securities Corporation Trust 2021-ARDN as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, as evidenced by the servicer-reported YE2022 portfolio net cash flow (NCF) of $30.5 million, which remains in line with the DBRS Morningstar NCF of $29.0 million concluded at issuance. Based on the March 2023 reported occupancy of 92.8%, performance is expected to remain in line with expectations. The floating-rate, interest-only loan is secured by the fee-simple interest in a portfolio of 140 flex, industrial buildings consisting of approximately 5.2 million square feet (sf) across 26 business parks and within the greater metro areas of eight cities: Atlanta; Indianapolis; Philadelphia; Tampa, Florida; Columbus, Ohio; Charlotte, North Carolina; Dallas; and San Antonio, Texas. The collateral benefits from institutional-quality sponsorship provided by a joint venture between Arden Group and Arcapita Group (Arcapita). The loan proceeds of $446.0 million, along with $155.0 million of sponsor equity, were used to finance the recapitalization of the underlying portfolio through a 49% acquisition by Arcapita. The transaction is structured with pro rata paydowns associated with property releases for the first 20% of the original principal balance, proceeds applied sequentially thereafter. As a condition of the property release provisions, the borrower is required to pay a release price of 110% of the allocated loan amount (ALA) until the outstanding pool balance is reduced to 90% of the original balance, 115% of the ALA until the outstanding balance is further reduced to 80%, and 125% of the ALA thereafter. In addition, the portfolio debt yield following such release must be equal to the greater of the debt yield at closing of 8.3% and the debt yield for the trailing 12 months. As of the July 2023 remittance, there have been no property releases since issuance. The mortgage loan is also structured to comply with Sharia law, and each property is subject to a master lease. The mortgage loan represents a 75.0% loan-to-value ratio (LTV) based on the issuance appraised value of $595.5 million. The March 2023 reported occupancy rate of 92.8% is in line with the portfolio's issuance occupancy rate of 91.6%, but down slightly from the March 2022 portfolio occupancy rate of 96.4%. The tenant roster is relatively granular with no single tenant occupying more than 2.0% of the total net rentable area. The DBRS Morningstar net cash flow (NCF) and debt service coverage ratio (DSCR) at issuance were $29.0 million and 2.14 times (x), respectively. Based on the YE2022 reporting, the NCF was at $30.5 million, but DSCR declined to 1.45x as a result of increased debt service stemming from the floating-rate coupon. The loan has an initial two-year term ending in November 2023, with three one-year extension options available for a fully extended maturity date in November 2026. DBRS Morningstar has reached out to the servicer to determine whether the borrower has notified of its intentions to execute its first extension option. Per the loan terms, the borrower may give notice of its intention to execute its extension option no less than 30 days prior to maturity. The borrower is also required to purchase an interest rate cap agreement with a strike rate that will result in a DSCR of no less than 1.2x. The servicer has advised that it is not aware of a replacement rate cap agreement at this time. Considering the stable performance of the underlying collateral, the loan is well positioned to be extended. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2023-PJ4: Fitch Gives Final 'B-sf' Rating on B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2023-PJ4 (GSMBS 2023-PJ4). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2023-PJ4 A-1 LT AA+sf New Rating AA+(EXP)sf A-1-X LT AA+sf New Rating AA+(EXP)sf A-2 LT AA+sf New Rating AA+(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-A LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-X 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-7-X 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-9-X 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-11-X 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-13-X 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-15-X 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-17-X 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-19-X 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-21-X LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AA+sf New Rating AA+(EXP)sf A-23-X LT AA+sf New Rating AA+(EXP)sf A-24 LT AA+sf New Rating AA+(EXP)sf A-X LT AA+sf New Rating AA+(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 BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf AR LT NRsf New Rating NR(EXP)sf A-3-L LT WDsf Withdrawn AAA(EXP)sf A-4-L LT WDsf Withdrawn AAA(EXP)sf A-16-L LT WDsf Withdrawn AAA(EXP)sf A-22-L LT WDsf Withdrawn AAA(EXP)sf TRANSACTION SUMMARY The certificates are supported by 287 prime-jumbo and agency conforming loans with a total balance of approximately $333.4 million, as of the cut-off date. The transaction is expected to close on Aug. 31, 2023. The A-3L, A-4L, A-16L and A-22L classes were withdrawn by the issuer and are now an expected rating that is no longer expected to convert to a final rating. Therefore, Fitch has withdrawn the ratings for those classes. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 7.8% above a long-term sustainable level (vs. 7.6% on a national level as of 1Q23, down 0.2% since last quarter). The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately six months in aggregate. The average loan balance is $1,161,797. The collateral comprises primarily prime-jumbo loans and 4% agency conforming loans. Borrowers in this pool have moderate credit profiles (a 756 model FICO) but lower than what Fitch has observed for other prime-jumbo securitizations. The sustainable loan-to-value ratio (sLTV) is 77.9% and the mark-to-market (MTM) combined LTV ratio (CLTV) is 71.4%. Fitch treated 100% of the loans as full documentation collateral, and all the loans are qualified mortgages (QMs). Of the pool, 81% are loans for which the borrower maintains a primary residence, while 19% are for second homes. Additionally, 54% of the loans were originated through a retail channel or a correspondent's retail channel. Expected losses in the 'AAA' stress amount to 9.0%, similar to those of prior issuances and other prime-jumbo shelves. Loan Concentration (Negative): Fitch adjusted the expected losses due concentration concerns due to small loan counts. Fitch increased the losses at the 'AAAsf' level by 108 bps, due to the low loan count. The loan count is 287, with a weighted average number (WAN) of 226. As a loan pool becomes more concentrated, there is a greater risk the pool will exhibit default characteristics. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 3.50% of the original balance will be maintained for the senior notes, and a subordination floor of 2.50% of the original balance will be maintained for the subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 40.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria". AMC and Consolidated Analytics Inc. were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2023-RPL2: DBRS Gives B(low) Rating on B-3 Notes ------------------------------------------------------------ DBRS, Inc. assigned ratings to the Mortgaged-Backed Securities, Series 2023-RPL2 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2023-RPL2 (GSMBS 2023-RPL2 or the Trust) as follows: -- $282.7 million Class A-1 at AAA (sf) -- $26.8 million Class A-2 at AA (high) (sf) -- $309.5 million Class A-3 at AA (high) (sf) -- $330.3 million Class A-4 at A (high) (sf) -- $346.1 million Class A-5 at BBB (high) (sf) -- $20.8 million Class M-1 at A (high) (sf) -- $15.8 million Class M-2 at BBB (high) (sf) -- $9.3 million Class B-1 at BB (high) (sf) -- $6.7 million Class B-2 at B (high) (sf) -- $7.7 million Class B-3 at B (low) (sf) The Class A-3, Class A-4, and Class A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) rating on the Notes reflects 26.65% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), B (high) (sf), and B (low) (sf) ratings reflect 19.70%, 14.30%, 10.20%, 7.80%, 6.05%, and 4.05% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and reperforming, primarily first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 2,299 loans with a total principal balance of $405,676,502 as of the Cut-Off Date (July 31, 2023). The portfolio is approximately 177 months seasoned and contains 75.8% modified loans. The modifications happened more than two years ago for 76.5% of the modified loans. Within the pool, 733 mortgages have non-interest-bearing deferred amounts, which equate to approximately 6.8% of the total principal balance. There are no Government-Sponsored Enterprise Home Affordable Modification Program or proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 96.3% of the loans in the pool are current. Approximately 0.5% are in bankruptcy. (All bankruptcy loans are performing.) Approximately 49.7% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method and 88.8% have been 0 x30 for at least the past 12 months under the MBA delinquency method. The majority of the pool (80.3%) is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated as investor property loans or were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as non-QM (19.7%). The Mortgage Loan Sellers—Goldman Sachs Mortgage Company (GSMC; 66.5%), MCLP Asset Company, Inc. (27.5%), and MTGLQ Investors, L.P. (6.0%)—acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. The Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. As of the Cut-Off Date, the mortgage loans will be serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (SMS; 89.2%) and Select Portfolio Servicing, Inc. (SPS; 10.8%). Similar to previous GSMBS RPL securitizations, the servicing fee payable to SMS for the GSMBS 2023-RPL2 mortgage loans will be calculated using a dollar servicing fee construct. The monthly servicing fee charged per loan will be determined based on the delinquency status of each mortgage loan with a maximum servicing fee of 0.35%. The servicing fee payable to SPS will be 0.07%. In its analysis, DBRS Morningstar assumed a fixed aggregate servicing fee rate. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement or judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicer deems such advances recoverable). When the aggregate pool balance of the mortgage loans is reduced to less than 25% of the Cut-Off Date balance, the Controlling Noteholder will have the option to purchase all remaining loans and other property of the Issuer at a specified minimum price. The Controlling Noteholder will be the beneficial owner of more than 50% the Class B-5 Notes (if no longer outstanding, the next most subordinate Class of Notes, other than Class X). As a loss-mitigation alternative, the Controlling Noteholder may direct the Servicer to sell mortgage loans that are in an early or advanced stage of default or for which foreclosure or default is imminent to unaffiliated third-party investors in the secondary whole loan market on arm's-length terms and at fair market value to maximize proceeds on such loans on a net present value basis. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class M-1 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the notes after paying transaction parties' fees, Net Weighted-Average Coupon (WAC) shortfalls, and making deposits on to the breach reserve account. The ratings reflect transactional strengths that include the following: -- Loan-to-value ratios, -- Current loan status, -- Seasoning, and -- Satisfactory third-party due-diligence review. The transaction also includes the following challenges: -- Representations and warranties standard, -- No servicer advances of delinquent principal and interest, and -- Assignments, endorsements, and missing documents. The full description of the strengths, challenges, and mitigating factors is detailed in the related report. DBRS Morningstar's credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related interest distribution amount, any interest shortfall amount, and the related class balances. DBRS Morningstar's credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, in this transaction, DBRS Morningstar's rating on the Class A-1 Notes does not address the payment of any Net WAC Shortfalls based on its position in the cash flow waterfall. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. HERTZ VEHICLE 2023-4: DBRS Finalizes BB Rating on Class D Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the notes issued by Hertz Vehicle Financing III LLC (HVF III) as follows: -- $337,500,000 Series 2023-3, Class A Notes at AAA (sf) -- $55,000,000 Series 2023-3, Class B Notes at A (sf) -- $67,500,000 Series 2023-3, Class C Notes at BBB (sf) -- $40,000,000 Series 2023-3, Class D Notes at BB (sf) -- $337,500,000 Series 2023-4, Class A Notes at AAA (sf) -- $55,000,000 Series 2023-4, Class B Notes at A (sf) -- $67,500,000 Series 2023-4, Class C Notes at BBB (sf) -- $40,000,000 Series 2023-4, Class D Notes at BB (sf) CREDIT RATING RATIONALE The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of subordination, overcollateralization, letters of credit (LOCs), and any amounts held in the reserve account support the DBRS Morningstar stress-case liquidation analysis with bankruptcy and liquidation period assumptions that vary by rating category and vehicle type (program versus non-program) as well as residual value stresses that vary by rating category for non-program vehicles and program vehicles from non-investment-grade-rated manufacturers. -- Liquid credit enhancement is provided in the form of a reserve account and/or an LOC sufficient to cover interest on the notes, consistent with DBRS Morningstar criteria for this asset class. (2) Credit enhancement in the transaction is dynamic, depending on the composition of the vehicles in the fleet and certain market value tests. -- The enhancement in the transaction depends on whether the vehicles are program or non-program, whether the manufacturer is investment grade or below investment grade, and if a vehicle is a medium-duty truck. -- For non-program vehicles, the enhancement levels may increase as a result of two market value tests: (A) a marked-to- market test that compares the market value of the vehicles with the net book value (NBV) of these vehicles and (B) a disposition proceeds test that compares the actual disposition proceeds of vehicles sold with the NBV of those vehicles. -- If the credit enhancement required in the transaction increases and HVF III is unable to meet the increased enhancement levels, then an Amortization Event may occur that will result in a Rapid Amortization of the notes. -- The required credit enhancement is subject to a floor of 11.05% of the assets. (3) Amortization Events include, but are not limited to, default in the payment of amounts due after five consecutive business days, default in the payments of amounts due by the expected final payment date, deficiency of amounts available in the liquidity reserve account, payment default under the master lease, the required asset amount exceeding the aggregate asset amount, servicer default, and administrator default. (4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the documents. The ratings address the timely payment of interest to the Class A, Class B, Class C, and Class D noteholders at their respective note rates as well as the ultimate payment of principal on the notes, in each case by the legal final payment date. (5) The intention of each party to the master lease to treat the lease as a single indivisible lease. (6) The transaction allows vehicles, for which the Collateral Agent has not yet been noted on the Certificates of Title as lienholder, to remain as eligible assets for up to 45 days for new vehicles and 60 days for used vehicles (Lien Holidays). All vehicles benefit from a negative pledge. (7) Inclusion of medium-duty trucks that are subject to a limit of 5% and a required credit enhancement of 35%. (8) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update," published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (9) The transaction parties' capabilities to effectively manage rental car operations and dispose of the fleet to the extent necessary. -- DBRS Morningstar has performed an operational review of Hertz and considers the entity to be a capable rental fleet operator and manager. -- Lord Securities Corporation is the backup administrator for this transaction, and defi AUTO, LLC is the backup disposition agent. (10) The legal structure and its consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance" methodology, the provision of legal opinions that address the treatment of the operating lease as a true lease, the non-consolidation of the special-purpose vehicles with Hertz and its affiliates, and that the trust has a valid first-priority security interest in the assets. DBRS Morningstar's credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes for each series are the related Monthly Interest Amount and the related Principal Amount. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes for each series is the related interest on any unpaid Monthly Interest Amount. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. ICG US CLO 2023-1: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to ICG US CLO 2023-1(i) Ltd./ICG US CLO 2023-1(i) LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ICG Debt Advisors LLC – Manager Series. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned ICG US CLO 2023-1(i) Ltd. /ICG US CLO 2023-1(i) LLC Class A, $213.50 million: AAA (sf) Class B, $52.50 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D (deferrable), $17.50 million: BBB- (sf) Class E (deferrable), $12.25 million: BB- (sf) Subordinated notes, $38.80 million: Not rated INVESCO CLO 2023-3: Fitch Affirms 'BB-sf' Rating on Cl. E Notes --------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-1, A-2, B, C, D and E notes of Invesco CLO 2022-3, Ltd. (Invesco 2022-3). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Invesco CLO 2022-3, Ltd. A-1 46146VAA7 LT AAAsf Affirmed AAAsf A-2 46146VAC3 LT AAAsf Affirmed AAAsf B 46146VAE9 LT AAsf Affirmed AAsf C 46146VAG4 LT Asf Affirmed Asf D 46146VAJ8 LT BBB-sf Affirmed BBB-sf E 46146WAA5 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Invesco 2022-3 is a broadly syndicated collateralized loan obligation (CLO) managed by Invesco CLO Equity Fund 3 L.P. Invesco 2022-3 closed in September 2022 and will exit its reinvestment period in October 2027. The CLO is secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The affirmations are driven by the portfolio's stable performance since closing. As of the August 2023 reporting, the Fitch weighted average rating factor increased to 24.4 (B/B-) compared with 23.3 (B+/B) at closing. The portfolio remains diversified across 289 obligors, with the largest 10 obligors comprising 8.6% of the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 17.2% and 6.9%, respectively. There have been no defaults in the portfolio. First lien loans, cash and eligible investments comprised 98.1% of the portfolio, and Fitch's weighted average recovery rate of the portfolio is 77.1%, compared with 76.7% at closing. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Cash Flow Analysis Fitch conducted updated cash flow analyses based on the newly run Fitch Stressed Portfolio (FSP) since this transaction is still in its reinvestment period. The FSP analysis stressed the current portfolio from the latest trustee report to account for permissible concentration and collateral quality tests limits. The FSP analysis assumed a weighted average life of 7.2 years, 7.5% second lien assets, and 5.0% fixed-rate assets. Fitch affirmed two tranches in line with the model implied ratings (MIRs) as defined in the criteria, except for the Class B, C, D and E notes, which are affirmed one notch below their MIRs as defined in Fitch's CLOs and Corporate CDOs Rating Criteria, as the breakeven default cushions to the higher MIRs were considered modest. The Stable Outlooks reflect Fitch's expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to no rating downgrades for the class A-1, A-2 and B notes, downgrades of one notch for the class C and D notes, and downgrades of four notches for the class D notes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for tranches already at the highest 'AAAsf', rating upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to an upgrade of two notches for the class B notes, four notches for the class C and class D notes, and three notches for the class E notes, 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. JP MORGAN 2021-NYAH: DBRS Confirms B(low) Rating on Class H Certs ----------------------------------------------------------------- DBRS Inc. confirmed its ratings on the following classes of JPMCC 2021-NYAH Commercial Mortgage Pass-Through Certificates issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X-CP at AA (sf) -- Class X-EXT at AA (sf) -- Class D at AA (low) (sf) -- Class E at A (low) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (low) (sf) -- Class H at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the underlying loan, which has remained in line with DBRS Morningstar's expectations since issuance. The transaction has experienced limited seasoning with minimal updates to the financial reporting since the transaction closed in November 2021. The transaction is secured by the fee-simple interest in 11 multifamily portfolios comprising 31 properties across the Bronx, Brooklyn, Queens, and Upper Manhattan boroughs of New York. The properties are generally older construction; however, at issuance, the sponsor had invested roughly $130.6 million in capital expenditures since its acquisition of the properties and was working to complete renovations on approximately 200 units at issuance, which were to be funded from the $20.0 million upfront replacement reserve. Approximately 86.9% of the collateral units are rent-stabilized, affordable housing, which DBRS Morningstar views as favorable because of the enhanced cash flow stability. In addition, four properties, representing 18.3% of the allocated loan amount (ALA), benefit from some form of tax abatement or exemption. The transaction benefits from experienced sponsorship in A&E Real Estate (A&E), a New York-based company that was founded in 2011. A&E is involved in direct asset management, property management, and construction management for its portfolio, which is primarily focused on moderate- and low-income housing in New York. According to an article by Real Estate Weekly published in November 2022, A&E had acquired more than 3,284 units over the past 12 months across 43 buildings in Brooklyn, Manhattan, and Queens, with ownership and management interests in more than 20,000 multifamily units throughout New York City. The $600.0 million whole loan consists of a mortgage loan of $506.3 million, which serves as collateral for the trust, and a mezzanine loan of $93.7 million, that is split into two subordinate notes that do not serve as collateral. Loan proceeds were used to refinance existing debt, return equity to the transaction sponsor, fund upfront reserves, and pay closing costs. While the sponsor is using proceeds from the mortgage loan to repatriate $15.2 million of equity, approximately $175.0 million of unencumbered market equity remains in the transaction based on the appraiser's as-is valuation of $775.0 million and $307.4 million of implied equity based on its cost basis of $907.4 million. The trust notes are evidenced by a three-year, floating-rate, interest-only (IO) loan, with an initial maturity date in June 2024, and two one-year extension options. The loan allows for pro rata paydowns for the first 22.5% of the original principal balance and has release provisions, allowing the release of individual assets at 105.0% of the ALA (aggregate prior releases must not exceed 25.0% of the original principal balance) and 110.0% of the ALA for the release of individual assets thereafter. As of March 2023, the portfolio was 87.5% occupied, relatively in line with the reporting since issuance when occupancy was 90.5%. Based on the financials for the trailing 12 months ended March 31, 2023, the loan reported a net cash flow (NCF) of $25.3 million, which was greater than the YE2022 figure of $24.8 million, but below the DBRS Morningstar NCF of $29.3 million derived at issuance. While the servicer-reported financials reflect consistent growth in revenue, operating expenses have grown by almost 8.0% over the DBRS Morningstar figure, primarily driven by increased utilities, management fees, and professional fees. Given the increased expenses coupled with the rising interest rates, the loan's debt service coverage ratio has fallen below breakeven to 0.73 times as of Q1 2023; however, the loan has been kept current to date, with a highly committed and incentivized sponsor. At issuance, DBRS Morningstar derived a value of $468.6 million based on a capitalization rate of 6.25% and DBRS Morningstar NCF of $29.3 million, resulting in a DBRS Morningstar loan-to-value ratio (LTV) of 108.05% compared with the LTV of 65.3% based on the appraised value at issuance. The properties benefit from tax abatements, reduced cash flow volatility because of desirable rent-stabilized units in the New York City market, and considerable sponsorship investment. DBRS Morningstar made positive qualitative adjustments to the final LTV sizing benchmarks, totaling 4.5% to account for the cash flow volatility, properties' quality, and market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2023-DSC2: DBRS Gives Prov. B(low) Rating on B-2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2023-DSC2 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2023-DSC2 (JPMMT 2023-DSC2): -- $201.2 million Class A-1 at AAA (sf) -- $201.2 million Class A-1-A at AAA (sf) -- $201.2 million Class A-1-A-X at AAA (sf) -- $201.2 million Class A-1-B at AAA (sf) -- $201.2 million Class A-1-B-X at AAA (sf) -- $201.2 million Class A-1-C at AAA (sf) -- $201.2 million Class A-1-C-X at AAA (sf) -- $32.0 million Class A-2 at AA (high) (sf) -- $32.0 million Class A-2-A at AA (high) (sf) -- $32.0 million Class A-2-A-X at AA (high) (sf) -- $32.0 million Class A-2-B at AA (high) (sf) -- $32.0 million Class A-2-B-X at AA (high) (sf) -- $32.0 million Class A-2-C at AA (high) (sf) -- $32.0 million Class A-2-C-X at AA (high) (sf) -- $34.5 million Class A-3 at A (sf) -- $34.5 million Class A-3-A at A (sf) -- $34.5 million Class A-3-A-X at A (sf) -- $34.5 million Class A-3-B at A (sf) -- $34.5 million Class A-3-B-X at A (sf) -- $34.5 million Class A-3-C at A (sf) -- $34.5 million Class A-3-C-X at A (sf) -- $14.8 million Class M-1 at BBB (low) (sf) -- $10.8 million Class B-1 at BB (low) (sf) -- $7.9 million Class B-2 at B (low) (sf) Classes A-1-A-X, A-1-B-X, A-1-C-X, A-2-A-X, A-2-B-X, A-2-C-X, A-3-A-X, A-3-B-X, and A-3-C-X are interest-only (IO) exchangeable certificates. The class balances represent notional amounts. Classes A-1-A, A-1-B, A-1-C, A-2-A, A-2-B, A-2-C, A-3-A, A-3-B, and A-3-C are also exchangeable certificates. The exchangeable classes can be exchanged for combinations of depositable certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect 34.70% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 24.30%, 13.10%, 8.30%, 4.80%, and 2.25% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, investor debt service coverage ratio (DSCR) (92.0%) and conventional (8%), first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 950 mortgage loans (representing 1,546 properties) with a total principal balance of $308,148,236 as of the Cut-Off Date (August 1, 2023). JPMMT 2023-DSC2 represents the third securitization issued from the JPMMT-DSC shelf (the first of such rated by DBRS Morningstar), which is generally backed by business-purpose investment property loans primarily underwritten using DSCR. J.P. Morgan Mortgage Acquisition Corp. (JPMMAC) serves as the Sponsor of this transaction. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and predominantly the DSCR, where applicable. Since the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and the TILA/RESPA Integrated Disclosure rule. JPMMAC, acquired (or in advance of closing, will have acquired) the loans directly from originators, or in other cases certain third-party initial aggregators (B4 Residential Mortgage Trust, Series I, B4 Residential Mortgage Trust, Series IV, (together, B4), MAXEX Clearing LLC (MAXEX) ,and Oceanview Dispositions, LLC (Oceanview) that directly or indirectly acquired other mortgage loans. On the closing date, JPMMAC will sell all of its interest in the mortgage loans to the depositor. Various originators, each generally comprising less than 15% of the pool (except LendingOne LLC with 17.7%), originated the loans. As further detailed in this report, DBRS Morningstar did not perform individual originator reviews for the purpose of evaluating the mortgage pool. The Sponsor, or a majority-owned affiliate, will retain an eligible vertical interest representing at least 5% of the aggregate fair value of the Certificates, other than the Class A-R Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On any date following the date on which the aggregate unpaid principal balance (UPB) of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Clean-Up Call Holder will have the option to terminate the transaction by directing the Master Servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. Of note, the representations and warranty (R&W) framework of this transaction, while still containing certain weaknesses, does utilize certain features more closely aligned with post-crisis prime transactions, such as automatic reviews at 120-day delinquency and the use of an independent third party R&W reviewer. For this, and other reasons as further detailed in Representations and Warranties section of the presale report, this framework is perceived as stronger than that of a typical Non-QM/DSCR transaction.. NewRez LLC d/b/a Shellpoint Mortgage Servicing will act as the Servicer for all of the loans following the servicing transfer date. Shellpoint currently services 44.9% of the pool. Prior to the servicing transfer date, Fay and Selene service 44.6% and 10.5% of the pool, respectively, as Interim Servicers. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) will act as the Paying Agent, Certificate Registrar, and Custodian. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until loans become 120 days delinquent or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). If the Servicer fails in its obligation to advance, the Master Servicer is obligated to make such advance to the extent it deems the advance recoverable. If the Master Servicer fails in its obligation to advance, the Securities Administrator is obligated to make such advance to the extent it deems the advance recoverable. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Classes A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). Prior to a Trigger Event, principal proceeds can be used to cover interest shortfalls on Classes A-1, A-2, and A-3 before being applied to amortize the balances of the certificates. After a Trigger Event, principal proceeds can be used to cover interest shortfalls on Classes A-1 and A-2 sequentially (IIPP). For the more subordinate Certificates, principal proceeds can be used to cover interest shortfalls as the more senior Certificates are paid in full. Excess spread, if available, can be used to cover (1) realized losses and (2) cumulative applied realized loss amounts preceding the allocation of funds to unpaid Cap Carryover Amounts due to Classes A-1 down to A-3. Interest and principal otherwise payable to Class B-3 interest and principal may be used to pay the Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2016-C1: Fitch Hikes Rating on F Certs to 'B-sf' ----------------------------------------------------------------- Fitch Ratings has upgraded three classes and affirmed 11 classes of JPMBB Commercial Mortgage Securities Trust 2016-C1 commercial mortgage pass-through certificates. Class F has received a Stable Rating Outlook, following the rating upgrade. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2016-C1 A-3 46645LAW7 LT AAAsf Affirmed AAAsf A-4 46645LAX5 LT AAAsf Affirmed AAAsf A-5 46645LAY3 LT AAAsf Affirmed AAAsf A-S 46645LBD8 LT AAAsf Affirmed AAAsf A-SB 46645LAZ0 LT AAAsf Affirmed AAAsf B 46645LBE6 LT AA+sf Upgrade AA-sf C 46645LBF3 LT Asf Upgrade A-sf D 46645LAG2 LT BBB-sf Affirmed BBB-sf D-1 46645LAC1 LT BBBsf Affirmed BBBsf D-2 46645LAE7 LT BBB-sf Affirmed BBB-sf E 46645LAJ6 LT BB-sf Affirmed BB-sf F 46645LAL1 LT B-sf Upgrade CCCsf X-A 46645LBA4 LT AAAsf Affirmed AAAsf X-D 46645LAA5 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. Low Loss Expectations: Fitch's loss expectations for the pool are low. The upgrades reflect continued performance stabilization of loans that had been affected by the pandemic and higher recoveries on Marriott - Troy, MI. Fitch has identified four loans (15.7% of the pool) as Fitch Loans of Concern (FLOCs), including one loan in special servicing (0.4%). Fitch's current ratings reflect a 'Bsf' rating case loss of 2.2%. The largest contributor to modeled losses and third largest loan, 32 Avenue of the Americas (9.4%), is secured by a 1.2 million-sf office property/data center in New York City (NYC). It was flagged as a FLOC due to low occupancy which declined to 76% in 2021 from 100% at YE 2019 primarily due to the two largest tenants downsizing. Dentsu Holdings USA and CenturyLink Communications reducing their spaces by 8.5% and 8.2% respectively. Occupancy continued to decline to a reported 62% as of March 2023 after AMFM Operating, Inc. (approximately 14.4% NRA and 14.5% income) vacated at its September 2022 lease expiration. Servicer reported NOI DSCR was 1.90x as of YE 2022, slightly down from 2.08x at YE 2021 Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 3.1% is based on an 9.5% cap rate and a 10% stress to YE 2022 NOI. The second largest contributor to overall loss expectations and second largest loan, 5 Penn Plaza (10.1% of the pool), is secured by a 650,329-sf office property located in NYC. The two largest tenants, Sirius XM Radio, Inc. (14.3%; expires November 2029) and Thomas Publishing Company (13.7%; expires December 2025), representing a combined 28% of NRA, utilize the property as their corporate headquarters. Occupancy declined to 83.6% at YE 2022 from 93% at YE 2021 due to the loss of several smaller tenants: Covenant House (5.8%) and Remedy Partners, Inc. (4.2%) vacated upon their 2022 lease expiration dates. Additionally, Visiting Nurse Services of NY downsized its space to 6.7% from 8.6%. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 2.6% is based on an 8.25% cap rate and a 10% stress to YE 2022 NOI. The third largest contributor to modeled losses and largest loan, 215 Park Avenue South (12.3%), is secured by a 324,422-sf office building located in NYC. Largest three tenants are Industrious NYC 215 (16%; expires June 2032), Rakuten Marketing (10.6%; expires December 2027) and The Stellar Health G (10%; expires Dec. 2030). Occupancy has fluctuated over the past several years: 88% (June 2023); 78% (YE 2022 and YE 2021) and 96% (YE 2020). Servicer reported NOI DSCR was 3.11x as of YE 2022, slightly down from 3.55x at YE 2021. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 1.3% is based on an 9.25% cap rate and a 15% stress to YE 2022 NOI to account for co-working exposure from the largest tenant. Specially Serviced Loan: Lubbock Southwest Shopping Center, a 30,000- sf retail property located in Lubbock, TX. The loan transferred to special servicing in April 2023 due to imminent payment default, and it is in foreclosure. A receiver was appointed in May 2023. Debt service coverage ratio remained below 1.0x since YE 2020. Fitch's 'Bsf' rating case loss of 1%, prior to concentration add-ons, reflects a 20% stress to the most recent appraisal. Additional Sensitivity: The ratings incorporate an increase probability of default assumption for 32 Avenue of the Americas and The 9 loans due to performance concerns. Increased Credit Enhancement (CE): As of the July 2023 remittance, the pool's aggregate balance has been reduced by 24.8% to $768.8 million from $1 billion at issuance. Since Fitch's prior rating action, one loan paid off post maturity; recoveries were higher than expected on Marriott - Troy, MI. Nine loans (6.4%) are defeased. Six loans, representing 46.6% of the pool, are full-term interest only. The remaining loans are amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' and 'AA+sf' rated classes are not likely due to increasing CE and expected continued amortization and paydowns but could occur if interest shortfalls affect these classes. Downgrades to 'Asf', 'BBBsf' and 'BBB-sf' rated classes may occur should expected losses for the pool increase substantially and with outsized losses on larger FLOCs. Downgrades to the 'BB-sf' and 'B-sf' rated class may occur if FLOCs fail to stabilize and/or additional loans transfer to special servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AA+sf' and 'Asf' classes may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse. Upgrades to and 'BBBsf' and 'BBB-sf' 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 the 'BB-sf' and 'B-sf' rated classes are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JPMCC COMMERCIAL 2017-JP7: DBRS Confirms BB Rating on F-RR Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2017-JP7 issued by JPMCC Commercial Mortgage Securities Trust 2017-JP7 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (low) (sf) -- Class F-RR at BB (sf) -- Class G-RR at B (high) (sf) In addition, DBRS Morningstar changed the trends on Classes D, E-RR, F-RR, and G-RR to Negative from Stable. All other trends remain Stable. The rating confirmations and Stable trends reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations since the last rating action. However, there are some challenges for the pool in two loans in special servicing and a high concentration of loans secured by office properties, with sizable exposure to more challenged markets in Stamford, Connecticut, and San Francisco. DBRS Morningstar notes mitigating factors in the relatively low loss severity expected for the largest loan in special servicing and the overall stable performance as of the most recent reporting for most of the office loans in the pool. The transaction also benefits from the five years of amortization since issuance, as well as some defeasance and loan repayments, as further described below. However, given the loan-specific challenges for some of the office loans and the downward pressure implied by the CMBS Insight Model results, the Negative trends for the four lowest-rated classes most exposed to loss were warranted. As of the July 2023 remittance, 35 of the original 37 loans remain in the pool, with an aggregate principal balance of $736.2 million, reflecting a collateral reduction of 9.2% since issuance as a result of loan repayments and scheduled amortization. Since the last rating action in November 2022, one additional loan has fully defeased, bringing the total defeased collateral to five loans or 5.7% of the pool. Six loans (26.9% of the pool) are on the servicer's watchlist; however, only three loans (5.5% of the pool) are being monitored for performance-related concerns. There are an additional two loans (4.4% of the pool) in special servicing, which were also in special servicing at the time of the last rating action. The largest specially serviced loan, Springhill Suites Newark Airport (Prospectus ID#13, 2.3% of the pool), is secured by a 200-key limited-service hotel in Newark, New Jersey. The loan initially transferred to special servicing in June 2020 for imminent monetary default and most recently became real estate owned in January 2023. The special servicer continues to work to stabilize property performance while finalizing a disposition strategy. As of the December 2022 STR report, the subject reported a trailing 12-month occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) of 72.1%, $133.78, and $96.43, respectively, while posting a RevPAR penetration figure of 110.1%. At issuance, the subject was appraised at $28.6 million and, since the loan's transfer to special servicing, has been re-appraised on an as-is basis three times, most recently in April 2023 when the value was estimated at $23.3 million. This figure is below the trust exposure of approximately $24.5 million, and a -18.5% delta to the issuance value, but represents a moderate improvement from the previous as-is appraisals of $20.8 million and $21.7 million in 2020 and 2021, respectively. DBRS Morningstar liquidated this loan from the pool based on a 10% haircut to the April 2023 value and projected future expenses, with the loss severity approaching 30%. The loss figure is contained to the unrated Class NRRR, which still had the full balance as of issuance ($32.4 million) as of the July 2023 remittance as no losses have been incurred by the trust to date. Excluding collateral that has been defeased, the pool is most concentrated by loans that are secured by office properties, which represent 39.1% of the pool balance. Most of those loans continue to perform in line with issuance expectations, but the concentration is noteworthy given the overall stress for the office market as a whole in recent years. To account for this risk, DBRS Morningstar conducted an analysis to determine office loans that could be exposed to value declines for the collateral properties based on the current performance or future challenges that could arise given rollover concentrations through the loan term. Where applicable, DBRS Morningstar increased the probability of default (POD) penalties, and, in certain cases, applied stressed loan-to-value ratios (LTVs) for those loans exhibiting increased risks, with the resulting weighted-average expected loss (EL) approximately 40% higher than the pool EL as a whole. The 211 Main Street loan (Prospectus ID#6, 6.1% of the pool) is secured by the borrower's fee-simple interest in a 417,000-square-foot (sf) office property in downtown San Francisco. Although the loan is not currently on the servicer's watchlist or in special servicing with this review, DBRS Morningstar remains cautious as recent online news articles have stated the single tenant, Charles Schwab (lease expiry in April 2028), will be downsizing its footprint at the subject, a particularly noteworthy development given the loan's April 2024 maturity date. In addition to San Francisco, Charles Schwab is reported to also be closing locations in Atlanta, San Antonio, San Diego, St. Louis, and Tampa with employees moving to remote work. DBRS Morningstar has requested specifics on the tenant's plans for the subject property from the servicer and the response remains outstanding as of the date of this press release. As noted at issuance, the tenant does not have any termination options but has the ability to sublet a portion or the entirety of the space. The in-place debt service coverage ratio (DSCR) is quite strong, above 2.0 times (x) and as noted, Charles Schwab is on the hook for the lease through 2028. Even before the information regarding the tenant's plans to downsize became known, DBRS Morningstar had a cautious outlook on the sponsor's ability to refinance the loan given its location and general lack of options for borrowers looking to refinance debt on office stock in that area. The loan does benefit from strong sponsorship in an affiliate of The Blackstone Group L.P., but the sponsor's commitment could be challenged if a replacement loan (or extension of the subject loan) requires a significant equity contribution. Given these challenges, the loan was significantly stressed in the analysis for this review, with the resulting EL more than double the pool average. The second-largest office loan in the pool is the First Stamford Place loan (Prospectus ID#5, 8.1% of the pool), which is secured by a Class A office complex in Stamford, Connecticut. The loan was added to the servicer's watchlist in June 2023 for low occupancy, which, as per the March 2023 rent roll, was reported at 72.9%, a significant drop from the issuance occupancy rate of 90.8%. At issuance, the largest tenant was Legg Mason & Co., LLC, which initially occupied 17.0% of net rentable area (NRA) on a lease expiring in September 2024. Franklin Templeton Companies acquired the company in 2020 and reduced its footprint at the subject to approximately 9.0% of NRA on a lease extending to September 2035. Other large tenants at the subject include Odyssey Reinsurance Company (11.0% of NRA, lease expires in September 2033) and Partner Reinsurance Company of the US (7.0% of NRA, lease expires in January 2029). In the next 12 months, there is nominal tenant rollover. According to a Q1 2023 Reis report, office properties in the Stamford submarket reported a vacancy rate of 28.5%, compared with the Q1 2022 vacancy rate of 25.9%. According to the YE2022 financials, the loan reported a DSCR of 1.57x, down from the YE2021 DSCR of 2.13x and the DBRS Morningstar DSCR of 2.38x derived at issuance. Given the decline in performance, paired with the soft market conditions, DBRS Morningstar analyzed this loan with a stressed LTV and POD, resulting in an EL over double the pool average. At issuance, DBRS Morningstar assigned investment-grade shadow ratings to the Gateway Net Lease Portfolio loan (Prospectus ID#2, 9.5% of the pool). DBRS Morningstar confirmed that the performance of this loans remains consistent with the investment-grade loan characteristics with this review. The loan reported a robust DSCR of 2.54x as of the YE2022 reporting, which remains in line with the YE2021 DSCR of 2.57x. Notes: All figures are in U.S. dollars unless otherwise noted. LCM E8 LTD: Fitch Gives 'B-(EXP)sf' Rating on Class F-R Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to LCM 38 LTD. Reset Transaction. Entity/Debt Rating ----------- ------ LCM 38 LTD. A-1A-R LT NR(EXP)sf Expected Rating A-1B-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-1-R LT AA(EXP)sf Expected Rating B-2-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating F-R LT B-(EXP)sf Expected Rating TRANSACTION SUMMARY LCM 38 LTD., is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by LCM Euro LLC that originally closed in August 2022. The CLO's secured notes are expected to be refinanced in whole on Sept. 7, 2023 from proceeds of the new secured and subordinated notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.28 versus a maximum covenant, in accordance with the initial expected matrix point of 26.20. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 75.5% versus a minimum covenant of 71.4%. Portfolio Composition (Positive): The largest three industries may constitute 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 required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by 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 its stress scenarios at the initial expected matrix point, the rated notes can withstand default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between 'less than B-sf' and 'BB+sf' for class D-R, between 'less than 'B-sf' and 'B+sf' for class E-R; and between 'less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes, as these notes are in the highest rating category of 'AAAsf(EXP)'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'A+sf' for class C-R, 'A-sf' for class D-R, 'BBB+sf' for class E-R; and 'BBB+sf' for class F-R. 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. M&T EQUIPMENT 2023-LEAF1: DBRS Finalizes BB Rating on E Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by M&T Equipment (2023-LEAF1), LLC (the Issuer): -- $115,620,000 Class A-1 Notes rated R-1 (high) (sf) -- $207,030,000 Class A-2 Notes rated AAA (sf) -- $175,790,000 Class A-3 Notes rated AAA (sf) -- $51,560,000 Class A-4 Notes rated AAA (sf) -- $26,641,000 Class B Notes rated AA (sf) -- $23,972,000 Class C Notes rated A (sf) -- $23,971,000 Class D Notes rated BBB (sf) -- $13,317,000 Class E Notes rated BB (sf) The ratings are based on the review by DBRS Morningstar of the following analytical considerations: (1) Subordination, OC, amounts held in the Reserve Fund, and excess spread create credit enhancement levels that can support DBRS Morningstar's expected cumulative net loss (CNL) of 1.75% under various stress scenarios using multiples of 5.40 times (x) of the expected CNL assumption with respect to the Class A Notes, 4.40x with respect to the Class B Notes, 3.50x with respect to the Class C Notes, 2.55x with respect to the Class D Notes, and 2.00x with respect to the Class E Notes. -- The structure includes credit enhancement in the form of subordination of junior classes of Notes. The principal payments on the Class A-2, A-3 and A-4 Notes are subordinated to the Class A-1 Notes. Consequently, the Class B, Class C, Class D, and Class E Notes are subordinated to the Class A Notes. Each subordinated class of the Notes will not receive principal payments until the more senior classes of Notes are paid in full. Payments of interest on subordinate classes of the Notes on any Payment Date will only be made to the extent that available funds remain after making all distributions of interest on the more senior classes of Notes and paying all fees, expenses, and reimbursements due to the Servicer, the Indenture Trustee, and the Custodian, as well as, in some cases, reducing the principal amount of the more senior classes of the Notes. Interest payments on the Class A Notes will be paid pro rata and pari passu. -- Sequential amortization of the Notes, subordination of junior classes, targeted build-up in OC and the non-declining reserve amount are expected to increase credit enhancement over time for the Notes. (2) Annual vintage static pool CNL to date for LEAF Commercial Capital's (LEAF) overall portfolio from 2013 to 2022 have ranged between 0.70% and 2.09%. In addition, DBRS Morningstar reviewed annual vintage static pool CNL for LEAF's portfolios by originating business unit, Small Business Scoring Service (SBSS) score, and original term. (3) LEAF maintains a strong and visible position in the small-ticket equipment leasing space, providing financing to vendors of commercial equipment to small- through large-sized businesses. Many of LEAF's management team members have been involved in the equipment leasing industry since the 1980s and have been working together for over 30 years. -- LEAF primarily originates loans and leases through program agreements with equipment vendors and dealers. LEAF maintains systems and infrastructure to effectively penetrate the highly diversified equipment leasing market. (4) LEAF and its predecessor entities have been sponsoring secured financing facilities since 2003 including twelve term ABS securitizations and multiple funding facilities. (5) DBRS Morningstar conducted operational review of LEAF, as a subsidiary of M&T Bank Corporation. As a result, LEAF continues to be an acceptable originator and servicer of equipment loans/leases. -- M&T Bank has entered into a servicing performance guarantee, for the benefit of the Issuer and the Trustee, whereby M&T Bank has guaranteed the performance and observance of all terms, covenants, conditions, agreements, obligations and undertakings on the part of the initial servicer under the servicing agreement. (6) The MTLRF 2023-1 transaction includes a more diverse set of collateral, compared to LEAF's previous transactions. The top three equipment types in the collateral pool are industrial equipment, office equipment, and software which make up 22.77%, 21.63%, and 14.76%, respectively, while approximately 47% of the Series 2017-1 transaction consisted of office equipment. (7) The Contract Assets do not contain any significant concentrations of obligors, industries or geographies and are similar to those included in other small-ticket lease and loan securitizations rated by DBRS Morningstar. Only 4.20% of the Contract Assets have the original term of 67 months or longer. The weighted average (WA) SBSS score is 202, and the average Statistical Discounted Pool Balance is $26,134. (8) While the transaction allows for a limited credit for booked residuals, the residual realization risk is mitigated by the following considerations: -- Booked residuals are given only a limited credit in DBRS Morningstar's cash flow modeling scenarios for investment grade rating categories, even though the historical residual realizations by LEAF have regularly exceeded 100%. Moreover, the transaction allows only 60% of the discounted balance of pledged residual payments to be included in the Aggregate Statistical Discounted Pool Balance. -- LEAF's generally conservative approach to residual setting has historically resulted in relatively high residual realizations from dispositions. (9) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns June 2023 Update, published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (10) The legal structure and presence of legal opinions that address the true sale of the assets to the issuing entity, the non-consolidation of the issuing entity, that the issuing entity has a valid first-priority security interest in the assets and the consistency with the DBRS Morningstar Legal Criteria for U.S. Structured Finance. DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Note Current Interest and the related Outstanding Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are interest on unpaid Note Interest for each of the rated notes and the related Optional Redemption Price. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. MAN US 2023-1: Fitch Assigns 'BB-sf' Rating on Class F Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Man US CLO 2023-1 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Man US CLO 2023-1 Ltd. A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY 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. METROPLEX RECOVERY: Case Summary & 19 Unsecured Creditors --------------------------------------------------------- Debtor: Metroplex Recovery, LLC 2003 W. Arkansas Lane Pantego, TX 76013 Business Description: The Debtor is a locally owned company that provides automotive locksmith services to the Ft Worth TX area. Chapter 11 Petition Date: September 7, 2023 Court: United States Bankruptcy Court Northern District of Texas Case No.: 23-42712 Debtor's Counsel: Jim Morrison, Esq. Christopher M. Lee, Esq. Eric A. Maskell, Esq. LEE LAW FIRM, PLLC 8701 Bedford Euless Rd 510 Hurst TX 76053 Tel: (469) 646-8995 Fax: (469) 694-1059 Email: jmorrison@leelawtx.com Total Assets as of August 28, 2023: $843,533 Total Liabilities as of August 28, 2023: $2,425,928 The petition was signed by Adrian Torres as managing member. A full-text copy of the petition containing, among other items, a list of the Debtor's 19 unsecured creditors is available for free at PacerMonitor.com at: https://www.pacermonitor.com/view/GU62UKA/Metroplex_Recovery_LLC__txnbke-23-42712__0001.0.pdf?mcid=tGE4TAMA MORGAN STANLEY 2016-C29: DBRS Confirms BB Rating on Class E Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C29 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class X-E at BB (high) (sf) -- Class E at BB (sf) -- Class X-F at BB (low) (sf) -- Class F at B (high) (sf) -- Class G at CCC (sf) All trends are Stable with the exception of Class G which has a rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) ratings. The rating confirmations reflect the stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations, given the relatively healthy net cash flows in addition to defeasance collateral in the transaction. The office concentration is relatively low at approximately 15% of the pool balance, a property type that has been generally challenged given the low investor appetite and increased vacancy rates in many submarkets because of the shift in workplace dynamics. Only one of the four office loans in this pool, 696 Centre (Prospectus ID#13, 2.1% of the pool), has demonstrated increased substantial risk from issuance and is discussed in detail below. As of the July 2023 remittance, 62 of the original 69 loans remain in the pool, with an aggregate principal balance of $697.9 million, reflecting a collateral reduction of 13.8% since issuance. Since the last rating action in November 2022, two additional loans were defeased, bringing the total defeased collateral to 16 loans or 19.3% of the pool. Eleven loans (20.6% of the pool) are on the servicer's watchlist; however, only seven of those loans (14.9% of the pool) are being monitored for performance-related concerns. There are two loans (2.7% of the pool) in special servicing, Wabash Landing Retail (Prospectus ID#22, 1.5% of the pool) and Crossings at Halls Ferry (Prospectus ID#28, 1.2% of the pool), both of which are real estate owned. These properties have reported declines in value based on the most recent appraisals and are expected to be disposed from the trust before YE2023. For this review, DBRS Morningstar analyzed these loans with a liquidation scenario, resulting in a loss severity in excess of 20.0% for the Wabash Landing Retail loan and 50.0% for the Crossings at Halls Ferry loan. The aggregate implied loss is expected to approach $7.0 million, eroding the nonrated Class H by almost 35.0%, thereby supporting the CCC (sf) rating on Class G. In terms of the pool composition, the trust primarily consists of loans secured by retail properties, representing almost 39.0% of the pool balance. The office concentration is quite small, representing about 15.0% of the pool balance. Considering the challenges that are impacting the office sector as previously mentioned, office loans and loans exhibiting increased risk from issuance were analyzed with stressed scenarios, resulting in a weighted-average expected loss that was approximately double the pool average. The Grove City Premium Outlets (Prospectus ID#1, 8.0% of the pool) is the largest loan in the pool and is currently on the servicer's watchlist because of declines in occupancy. The loan is secured by an outlet mall in Grove City, Pennsylvania, located approximately 54 miles north of Pittsburgh. The loan is sponsored and managed by Simon Property Group. As of the May 2023 rent roll, the subject was 73.9% occupied, which remains relatively unchanged in the last several years but is well below the issuance figure of 97.5%. The largest tenants include Lee Wrangler (5.0% of the net rentable area (NRA), lease expiry in February 2024), Old Navy (3.8% of the NRA, lease expiry in January 2026), and Nike Factory Store (3.1% of the NRA, lease expired in June 2023). Although the lease has expired for the Nike Factory Store, the tenant still remains open and listed on the mall online directory. Over the next 12 months, there is a tenant rollover risk of 18.2% of the NRA; however, according to the most recent servicer's commentary, the borrower expects many of these tenants to extend its lease. According to the most recent financials, the loan reported a YE2022 debt service coverage ratio (DSCR) of 2.05 times (x), compared with the YE2021, YE2020, and DBRS Morningstar figures of 2.20x, 2.13x, and 2.44x, respectively. Based on the February 2023 tenant sales report, the trailing 12-month sales figures for the property was reported slightly below issuance expectations. Although performance is below DBRS Morningstar expectations, the loan is performing well above breakeven with sales nearing issuance and pre-Coronavirus Disease (COVID-19) pandemic levels. However, as the loan approaches its maturity date in December 2025, the lack of meaningful uptick in performance since issuance could pose some concern as the borrower seeks takeout financing. The 696 Centre loan is secured by a Class B, suburban office property in Farmington Hills, Michigan, located approximately 20 miles outside of Detroit. The loan is watchlisted because of the departure of the former largest tenant, Google (41.4% of the NRA), which vacated at its November 2022 lease expiration. This was considered a major tenant trigger event, and the borrower is working on setting up the cash management account. The property had previously lost another major tenant, Botsford (24.9% of the NRA), which appears to have exercised its one-time termination option in November 2021, which is subject to a termination fee of approximately $715,000. Based online leasing reports, both of the former Google and Botsford spaces remain available for lease with an asking rental rate of $16.50 per square foot (psf). Per a Reis report, the Farmington Hills submarket reported Q2 2023 vacancy rate of 21.8% and an effective rent of $15.16 psf. The YE2022 financials reported an occupancy rate of 75.0%, which is likely not reflective of the departure of Google and the occupancy may be as low as 33.0%. The YE2022 DSCR was reported at 1.21x, a major decline from the YE2021 figure of 2.83x, and DBRS Morningstar expects this figure to drop well below breakeven when accounting for Googles departure. As such, considering cash management is being established, the effectiveness of the lockbox will be minimal. As of the July 2023 reserve report, the loan has approximately $100,000 across all of its reserve accounts. Given the lack of reserves, significant drop in occupancy, and soft submarket, the value of this property has likely declined from issuance. As such, DBRS Morningstar analyzed this loan with a stressed loan-to-value ratio and a probability of default penalty, resulting in an expected loss that is more than double the pool average. The Penn Square Mall (Prospectus ID#3, 6.7% of the pool) loan was shadow-rated investment grade at issuance. With this review, DBRS Morningstar notes that the loan continues to exhibit investment-grade loan characteristics as demonstrated by the stable cash flow and occupancy rate. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-C32: DBRS Confirms BB(low) Rating on F Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-C32 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class C at AA (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall healthy financial performance of the pool, as exhibited by the weighted-average debt service coverage ratio (DSCR), which was well above 2.0 times (x), as of the most recent reporting. The pool is concentrated by property type with loans backed by retail and office properties representing 41.3% and 16.9% of the current pool balance, respectively. One of those loans, Wolfchase Galleria (Prospectus ID#3; 6.2% of the pool), which is secured by a regional mall in Memphis, Tennessee, has seen deteriorations in operating performance as evidenced by the sustained decline in net cash flow (NCF) since issuance, details of which are further discussed below. In addition, the office sector continues to face challenges given limited investor appetite and uncertainty surrounding end-user demand, which is placing upward pressure on vacancy rates, challenging landlords' efforts to backfill vacant space, and, in certain instances, contributing to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. Where applicable, DBRS Morningstar increased the probability of default (POD) and, in certain cases, applied stressed loan-to-value ratios (LTVs) for loans that are secured by office properties and/or loans that are showing increased risk from issuance. As of the July 2023 remittance, 52 of the original 56 loans remain in the pool with a trust balance of $836.1 million, reflecting collateral reduction of 7.2% since issuance. Four loans are fully defeased, representing 3.9% of the pool. There are no specially serviced loans; however, nine loans are on the servicer's watchlist, representing 17.5% of the pool. These loans are being monitored for declines in NCF, tenant rollover risk, and/or deferred maintenance items. The largest loan on the servicer's watchlist, Wolfchase Galleria, is secured by an approximately 392,000-square-foot (sf) portion of a 1.3 million-sf super-regional mall in Memphis. The loan sponsor is an affiliate of Simon Property Group who contributed approximately $62.0 million of equity at closing. The property is anchored by noncollateral tenants Macy's, Dillard's, and JC Penney. The noncollateral tenant Sears closed in 2018, with the space remaining dark. The loan transferred to special servicing in June 2020 for imminent monetary default because of the bankruptcies and store closures of several tenants. A forbearance agreement was executed in January 2021 and the loan subsequently transferred back to the master servicer a few months later. Operating performance at the property was stressed prior to the pandemic, with NCFs consistently reported well below the DBRS Morningstar figure at issuance. As of YE2022, NCF was reported at $10.3 million (reflective of a DSCR of 1.07x), a slight improvement from the YE2021 figure of $10.1 million (reflective of a DSCR of 1.13x) but well below the DBRS Morningstar NCF of $14.1 million (reflective of a DSCR of 1.46x). According to the April 2023 rent roll, the collateral's occupancy rate was 80.4%, a marginal increase from the prior year's occupancy rate of 77.5%, but well below the issuance rate of 89.3%. The property has exposure to Bed Bath & Beyond, which filed for bankruptcy earlier this year and is in the process of closing all 360 of its stores in addition to 120 Buy Baby locations. The largest collateral tenant, Malco Theatres (7.9% of collateral net rentable area (NRA); 2.4% of total NRA), recently extended its lease for five years through to December 2027, but tenant rollover risk remains elevated as leases representing approximately 17.5% of the collateral's NRA have expired or are scheduled to expire within the next 12 months. Strong sponsorship and equity contribution at issuance are noteworthy mitigating factors, but the sponsor's commitment to the asset may come under pressure, especially if stabilization is not realized prior to loan maturity in November 2026. Given the sustained decline in performance, the subject's as-is value has likely declined from the issuance value, elevating the credit risk to the trust. In its analysis, DBRS Morningstar increased the POD penalty and LTV ratio for this loan, resulting in an expected loss that is approximately double the pool average. The 191 Peachtree loan (Prospectus ID#2; 6.6% of the pool) is secured by a 1.2 million-sf office property in Atlanta's central business district. According to recent news articles, the largest tenant, Deloitte & Touche (Deloitte; 21.3% of NRA), will not be renewing its lease, which currently expires in May 2024. Deloitte is reportedly moving to the Promenade Tower and will be reducing its footprint in Atlanta's business district by approximately 50.0%. With this departure, occupancy is expected to drop to approximately 65.0% from the current occupancy rate of 86.0%. The loan is structured with a cash flow sweep that triggers two years before Deloitte's lease expiration until the balance reaches approximately $11.8 million (or $50.0 per sf on Deloitte's intended vacant space). DBRS Morningstar has reached out to the servicer to request an update on the cash flow sweep. Overall, performance has been strong with the YE2022 DSCR reported at 2.91x, compared with the YE2021 DSCR of 2.87x. According to Reis, office properties in the Downtown submarket reported a Q2 2023 vacancy rate of 13.8%, compared with the Q2 2022 vacancy rate of 20.5%. Although there are mitigating factors with the improvement in the submarket fundamentals and cash management provisions, the refinance risk is elevated considering Deloitte's lease expires two years prior to loan maturity in November 2026. For this review, DBRS Morningstar applied a stressed LTV in its analysis, resulting in an expected loss that is more than double the pool average. At issuance, DBRS Morningstar shadow-rated the Hilton Hawaiian Village loan (Prospectus ID#1; 9.0% of the pool) and the Potomac Mills loan (Prospectus ID#4; 6.2% of the pool) as investment grade. This assessment was supported by the loans' strong credit metrics, strong sponsorship strength, and historically stable collateral performance. With this review, DBRS Morningstar confirms that the characteristics of these loans remain consistent with the investment-grade shadow rating. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-UBS12: Fitch Lowers Rating on 4 Tranches to CC ------------------------------------------------------------------ Fitch Ratings has downgraded 10 classes of Morgan Stanley Capital I Trust 2016-UBS12 and affirmed four classes. Fitch has also assigned a Negative Rating Outlook on one class following the downgrade. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- MSC 2016-UBS12 A-3 61691EAZ8 LT AAAsf Affirmed AAAsf A-4 61691EBA2 LT AAAsf Affirmed AAAsf A-S 61691EBD6 LT AAsf Downgrade AAAsf A-SB 61691EAY1 LT AAAsf Affirmed AAAsf B 61691EBE4 LT A-sf Downgrade AA-sf C 61691EBF1 LT BBB-sf Downgrade A-sf D 61691EAJ4 LT CCCsf Downgrade Bsf E 61691EAL9 LT CCsf Downgrade CCCsf F 61691EAN5 LT CCsf Downgrade CCCsf X-A 61691EBB0 LT AAAsf Affirmed AAAsf X-B 61691EBC8 LT A-sf Downgrade AA-sf X-D 61691EAA3 LT CCCsf Downgrade Bsf X-E 61691EAC9 LT CCsf Downgrade CCCsf X-F 61691EAE5 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Increased Loss Expectations: The downgrades primarily reflect an increase in expected losses as well as the impact of the criteria. Loss expectations have increased since the prior rating action, most of which is driven by the largest loan in the transaction, 681 Fifth Avenue (11.3% of the pool), which is now 30 days delinquent. In addition, high losses are expected on regional mall Wolfchase Galleria (9.3%). Fitch's current ratings incorporate a 'Bsf' rating case loss of 10.7%. The Negative Outlook assignment on class C reflects performance and refinancing concerns for 681 Fitch Avenue and Wolfchase Galleria, high concentration of Fitch Loans of Concern (FLOCS; 41%) and overall exposure to retail properties (53.6%). One loan (2.3%) is in special servicing, down from four at the last review as three loans were returned to the master servicer. Largest Contributor to Loss: The largest contributor to loss is the 681 Fifth Avenue loan, which is secured by a mixed-use retail and office property located in the Manhattan Plaza District in New York, NY. As of the August 2023 remittance, the loan became 30 days delinquent. The loan was identified as a Fitch Loan of Concern due to sustained occupancy and performance declines. The majority of rental income, 78% of total base rents, came from the dark retail tenant, Tommy Hilfiger (27.3% of the NRA), who vacated in April 2019, but continued to pay rent. The lease expired in May 2023.Occupancy declined to 51.5% as of May 2023 from 59% at YE 2022 after office tenant Apex (7.2% of the NRA) did not renew their lease and vacated at their March 2023 lease expiration. Office tenant Altum Capital Management (7.0%) extended their lease through March 2031. Per the servicer's most recent commentary, the borrower is attempting to release the vacant office and retail space. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 31% reflects a 9.50% cap rate and a 25% total stress to the YE 2022 NOI to account for the reduction in rental income due to the expiration of the Tommy Hilfiger lease, the largest contributor to rental revenue. It also reflects 100% probability of default as the loan is now delinquent. A transfer to special servicing is expected if the loan becomes 60 days delinquent. The next largest contributor to loss is the Wolfchase Galleria loan (9.3%), which is secured by a 391,862-sf interest in a regional mall located in Memphis, TN. The subject is anchored by Macy's (non-collateral), Dillard's (non-collateral), J.C. Penney (non-collateral) and Malco Theatres. The loan transferred to special servicing in June 2020 due to a monetary default, but was subsequently returned to the master servicer in May 2021. Occupancy has steadily declined yoy at the collateral. Per the April 2023 rent roll, occupancy was reported at 78%, which compares to 77.5% at YE 2021, 78.8% at YE 2020, 81.3% at YE 2019 and 84% at YE 2018. Leases represented 10.9% of the NRA roll in 2023, followed by 10.2% in 2024, 9.6% in 2025 and 18% in 2026. The servicer reported NOI debt service coverage ratio was 1.75x at YE 2022 compared to 1.24x at YE 2021, 1.17x at YE 2020, 1.29x at YE 2019 and 1.35x at YE 2018. While the subject is the dominant mall in its trade area, it is also located in a secondary market with fewer demand drivers. Fitch requested a recent sales report from the servicer, but has not received one to date. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 35% reflects a 15% cap rate and a 5% stress to YE 2021 NOI. Fitch's analysis also recognized the heightened probability of default due to sustained performance declines and risk of maturity default given expected refinance challenges. Increased Credit Enhancement (CE): As of the July 2023 distribution date, the pool's aggregate principal balance was reduced by 13.8% to $710.8 million from $824.4 million at issuance. There has been $1.4 million in realized losses to date and interest shortfalls are currently affecting the non-rated class G. Five loans (43.5%) are full-term interest-only (IO), and no loans remain in their partial IO periods. No loans are defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to super-senior 'AAAsf' rated classes are not expected due to their high CE and continued expected amortization and paydown but could occur if interest shortfalls affect these classes or if expected losses increase significantly. Classes rated in the 'Asf' and 'BBBsf' rating category would be downgraded should overall pool losses increase and/or one or more of the larger FLOCs have an outsized loss, which would erode CE. Downgrades to the distressed classes rated 'CCCsf' and 'CCsf' would occur with a greater certainty of losses and/or as losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes A-S, B, X-B, C, 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 D, X-D E, X-E, F and X-F are not likely until the later years of the transaction but could occur if performance of the FLOCs improves significantly and there is sufficient 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. MOUNTAIN VIEW XVII: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Mountain View CLO XVII Ltd./Mountain View CLO XVII LLC's floating-rate debt. The debt issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The preliminary ratings reflect S&P's assessment of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Mountain View CLO XVII Ltd./Mountain View CLO XVII LLC Class X notes, $2.00 million: AAA (sf) Class A notes, $180.00 million: AAA (sf) Class B notes, $48.00 million: AA (sf) Class C notes (deferrable), $18.00 million: A (sf) Class D notes (deferrable), $15.60 million: BBB- (sf) Class E notes (deferrable) $8.40 million: BB- (sf) Subordinated notes, $27.75 million: Not rated NELNET STUDENT 2023-A: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the classes of notes to be issued by Nelnet Student Loan Trust 2023-A (NSLT 2023-A) as follows: -- $155,925,000 Floating Rate Class A-FL Notes at AAA (sf) -- $155,925,000 Fixed Rate Class A-FX Notes at AAA (sf) -- $12,700,000 Fixed Rate Class B Notes at AA (sf) -- $12,750,000 Fixed Rate Class C Notes at A (sf) -- $12,700,000 Fixed Rate Class D Notes at BBB (sf) -- $8,910,000 Fixed Rate Class E Notes at BB (sf) CREDIT RATING RATIONALE The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: -- The transaction's form and sufficiency of available credit enhancement. -- Overcollateralization (OC), note subordination, reserve account amounts, and excess spread create credit enhancement levels that are commensurate with the proposed ratings. -- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) stress scenarios in accordance with the terms of the Nelnet 2023-A transaction documents. -- The quality and credit characteristics of the student loan borrowers. -- The ability of the Servicer to perform collections on the collateral pool and other required activities. -- DBRS Morningstar has performed an operational review of Pennsylvania Higher Education Assistance Agency (PHEAA) and considers the entity an acceptable servicer of private student loans. -- The legal structure and expected legal opinions that will address the true sale of the student loans, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar Legal Criteria for U.S. Structured Finance. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update," published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. DBRS Morningstar's credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Interest Distribution Amount and the related Outstanding Principal Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any unpaid Noteholders' Interest Distribution Amount. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. NMEF FUNDING 2023-A: Moody's Assigns (P)Ba3 Rating to Cl. D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by NMEF Funding 2023-A, LLC (NMEF 2023-A). North Mill Equipment Finance LLC (NMEF) will sponsor the transaction and will be the servicer of the loan pool to be securitized. The notes will be backed by a pool of loans and leases secured by mainly new and used trucking and transportation equipment such as vocational trucks, trailers, heavy duty trucks, as well as medical and construction equipment. NMEF Funding 2023-A, LLC will be NMEF's 7th ABS transaction and the second transaction rated by Moody's The complete rating actions are as follows: Issuer: NMEF Funding 2023-A, LLC Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa3 (sf) Class C Notes, Assigned (P)Baa2 (sf) Class D Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The provisional ratings for the notes are based on the credit quality of the equipment loan and lease pool to be securitized and its expected performance, the historical performance of NMEF's managed portfolio and that of its prior securitizations, the experience and expertise of NMEF as the originator and servicer of the underlying pool, the back-up servicing arrangement with GreatAmerica Portfolio Services Group LLC, the transaction structure including the level of credit enhancement supporting the notes, and the legal aspects of the transaction. Moody's cumulative net loss expectation for the NMEF 2023-A collateral pool is 5.5% and loss at a Aaa stress is 32.0%. Moody's cumulative net loss expectation and loss at a Aaa stress is based on its analysis of the credit quality of the underlying collateral pool and the historical performance of similar collateral, including NMEF's managed portfolio and transaction performance, the track-record, ability and expertise of NMEF to perform the servicing functions, and current expectations for the macroeconomic environment during the life of the transaction including the current inflationary environment, increased fuel costs, and decreasing consumer spending leading to weakening freight demand which is pressuring the margins of operators in the transportation sector. The classes of notes will be paid sequentially. At transaction closing, the Class A, Class B, Class C, and Class D notes will benefit from approximately 35.30%, 23.75%, 16.70%, and 12.25% of hard credit enhancement, respectively. Initial hard credit enhancement for the notes will consist of (1) subordination, (2) over-collateralization (OC) of 11.25% of the initial adjusted discounted pool balance with the transaction utilizing excess spread to build to an OC target of 18.25% of the outstanding adjusted discounted pool balance subject to a 0.50% OC floor, and (3) a fully funded, non-declining reserve account of 1.00% of the initial adjusted discounted pool balance. Excess spread may be available as additional credit protection for the notes. The sequential-pay structure and non-declining reserve account will result in a build-up of credit enhancement supporting the rated notes. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations Methodology" published in September 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the Class B, Class C, and Class D notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or slower depreciation in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. This transaction has a sequential pay structure and therefore credit enhancement will grow as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build-up of enhancement. Down Moody's could downgrade the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the equipment that secure the obligor's promise of payment. Portfolio losses also depend on the health of the trucking and transportation industries. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. NPC FUNDING IX: DBRS Confirms BB(low) Rating on 2 Classes --------------------------------------------------------- DBRS, Inc. confirmed the following ratings on the Funded Class B-1 Loans, the Funded Class B-2 Loans, and the Funded Class C Loans (together, the Loans) issued by NPC Funding IX Ltd. pursuant to the Revolving Loan Agreement dated as of July 30, 2021, as amended pursuant to the First Amendment to the Revolving Loan Agreement, dated as of September 30, 2021, the Second Amendment to the Revolving Loan Agreement, dated as of March 18, 2022, and the Third Amendment to the Revolving Loan Agreement, dated as of August 17, 2023, by and among NPC Funding IX Ltd. as Borrower; First Eagle Alternative Credit, LLC (First Eagle) as Collateral Manager; U.S. Bank, N.A. as Collateral Custodian; Royal Bank of Canada as Administrative Agent and Revolving Lender; the Lenders and the collateralized loan obligation (CLO) Subsidiary from time to time thereto: -- Funded Class B-1 Loans at BBB (low) (sf) -- Funded Class B-2 Loans at BB (low) (sf) -- Funded Class C Loans at BB (low) (sf) The above ratings address the ultimate payment of interest (excluding the Subordinated Loan Interest Amount as defined in the amended Revolving Loan Agreement) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the amended Revolving Loan Agreement). For the avoidance of doubt, the ratings do not address the repayment of the Cure Amounts (as defined in the amended Revolving Loan Agreement). CREDIT RATING RATIONALE The rating actions are a result of the execution of the Third Amendment to the Revolving Loan Agreement (the Amendment), dated as of August 17, 2023. The Amendment extends the Aggregation Period to June 17, 2024, from June 17, 2023, and extends the Call Date of the transaction. The Stated Maturity Date of the transaction is December 25, 2031. The rating rationale for the confirmation of the ratings on the Loans is that the current transaction performance is within DBRS Morningstar's expectations, incorporating the changes pursuant to the Amendment. The Loans are collateralized primarily by a portfolio of U.S. broadly syndicated corporate loans. First Eagle is the Collateral Manager for this transaction. DBRS Morningstar considers First Eagle to be an acceptable CLO collateral manager. In its analysis, DBRS Morningstar considered the following aspects of the transaction: -- The Revolving Loan Agreement, as amended by the Amendment. -- The integrity of the transaction structure. -- DBRS Morningstar's assessment of the portfolio quality. -- Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. -- DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of First Eagle. Some particular strengths of the transaction include (1) the par subordination at each point in the DBRS matrix (CQM) is sufficient to withstand the respective rating analysis, (2) the portfolio is predominately invested in first-lien loans, and (3) the Borrower is a bankruptcy-remote entity and is limited in its permitted activities. Some challenges identified include (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the CQM) and (2) the underlying collateral portfolio may be insufficient to redeem the Loans in an event of default. The transaction has a dynamic structural configuration which permits variations of certain asset metrics via a selection of an applicable row from the CQM. The following metrics will be selected accordingly from the applicable row of the CQM (as defined in Schedule XII of the Revolving Loan Agreement): Minimum DBRS Diversity Score, Maximum DBRS Morningstar Risk Score, DBRS Morningstar WA Spread (WAS), WA Life, General Advance Rate, Required Senior Class B Investment Level, and Required Class C Investment Level. DBRS Morningstar analyzed each structural configuration in the CQM as a unique transaction and all rows passed the applicable DBRS Morningstar rating stress levels. The collateral quality tests as well as the coverage tests and triggers that DBRS Morningstar utilized during its analysis are presented below: Coverage Tests: Senior Overcollateralization (OC) Test: 120.00% Junior OC Test: 105.00% Interest Coverage Test: 110.00% Collateral Quality Tests: Maximum Risk Score Test: 23.60% to 30.00% Minimum Diversity Score Test: 10 to 50 Minimum WAS Test: 3.00% to 3.90% Minimum WA Life Test: 5.14 years since the Third Amendment date Minimum WA DBRS Morningstar Recovery Rate: Class B-1 Loan: 65% to 66%; Class B-2 Loan: 72.85% to 74%; Class C Loan: 72.85% to 74% DBRS Morningstar utilized the following concentration limitations as defined in the Revolving Loan Agreement: Fixed Rate Obligations: Maximum 5.0% Single-Obligor Exposure: Maximum 1.5%; five exceptions at 2.0% DBRS Morningstar Industry: Maximum 8.0% DBRS Morningstar analyzed the transaction using the DBRS Morningstar CLO Asset model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, amount of interest generated, default timings, and recovery rates, among other credit considerations referenced in the DBRS Morningstar rating methodology "Cash Flow Assumptions for Corporate Credit Securitizations." Model-based analysis produced satisfactory results that support the confirmation of the rating on the Loans. Notes: All figures are in U.S. dollars unless otherwise noted. OCTAGON LTD 60: Fitch Affirms 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-1, A-2, B, C, D-1, D-2, and E notes of Octagon 60, Ltd. (Octagon 60) and the class A-1, A-2A, A-2B, B-1, B-2, C, D and E notes of Octagon 62, Ltd. (Octagon 62). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Octagon 60, Ltd. A-1 675935AA8 LT AAAsf Affirmed AAAsf A-2 675935AC4 LT AAAsf Affirmed AAAsf B 675935AE0 LT AAsf Affirmed AAsf C 675935AG5 LT Asf Affirmed Asf D-1 675935AJ9 LT BBB-sf Affirmed BBB-sf D-2 675935AL4 LT BBB-sf Affirmed BBB-sf E 675936AA6 LT BB-sf Affirmed BB-sf Octagon 62, Ltd. A-1 675937AC0 LT AAAsf Affirmed AAAsf A-2A 675937AN6 LT AAAsf Affirmed AAAsf A-2B 675937AS5 LT AAAsf Affirmed AAAsf B-1 675937AQ9 LT AAsf Affirmed AAsf B-2 675937AU0 LT AAsf Affirmed AAsf C 675937AJ5 LT Asf Affirmed Asf D 675937AL0 LT BBB-sf Affirmed BBB-sf E 675938AA2 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Octagon 60 and Octagon 62 are broadly syndicated collateralized loan obligations (CLOs) managed by Octagon Credit Investors, LLC. Octagon 60 closed in October 2022 and will exit its reinvestment period in October 2027. Octagon 62 closed in December 2022 and will exit its reinvestment period in January 2028. 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. As of August 2023 reporting, the credit quality of the Octagon 60 portfolio was at the 'B' rating level, compared with a 'B' rating level at closing. The credit quality of the Octagon 62 portfolio was at the 'B'/'B-' rating level, compared with a 'B' rating level at closing. The Fitch weighted average rating factors (WARF) for the Octagon 60 and Octagon 62 portfolios were 23.7 and 24.4, respectively, compared with 23.4 and 23.3 at closing. The portfolio for Octagon 60 consists of 268 obligors, and the largest 10 obligors represent 11.7% of the portfolio. Octagon 62 has 310 obligors, with the largest 10 obligors comprising 10.4% of the portfolio. There are no defaults in either portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 19.6% and 2.5%, respectively, for Octagon 60 and 18.9% and 3.7%, respectively, for Octagon 62. On average, first lien loans, cash and eligible investments comprise 95.3% of the portfolio and fixed-rate assets comprise 3.4% of the portfolio. Fitch's weighted average recovery rate (WARR) of the Octagon 60 portfolio was 74.4% and 74.8% for Octagon 62, approximately the same as at closing for each deal. As of August 2023, all coverage tests, collateral quality tests and concentration limitations are in compliance for both transactions. Cash Flow Analysis Fitch conducted updated cash flow analyses based on the newly run Fitch Stressed Portfolio (FSP) since both transactions are still in their reinvestment periods. The FSP analysis stressed the current portfolios from the latest trustee reports to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average lives of 7.25 years and 7.37 years for Octagon 60 and Octagon 62, respectively. Fixed-rate assets were also assumed at 5.0% for both Octagon 60 and Octagon 62. The weighted average spread (WAS), WARR and WARF were stressed to the current Fitch test matrix points for both Octagon 60 and Octagon 62. The ratings are in line with their respective model-implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to two rating notches for Octagon 60 and four rating notches for Octagon 62, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five rating notches for Octagon 60 and Octagon 62, based on the MIRs, except for the 'AAAsf'-rated debt, which is 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. OPORTUN FUNDING XIV 2021-A: DBRS Confirms BB (high) on D Series --------------------------------------------------------------- DBRS, Inc. confirmed its ratings on four classes of Oportun Funding XIV, LLC, Series 2021-A as follows: -- Class A at AA (low) (sf) -- Class B at A (low) (sf) -- Class C at BBB (low) (sf) -- Class D at BB (high) (sf) The rating confirmations are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - June 2023 Update, published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The rating actions are the result of performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement. -- The transaction's capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings. RCMF 2023-FL11: Fitch Corrects Feb. 7 Ratings Release ----------------------------------------------------- Fitch Ratings issued a correction of a ratings release on RCMF 2023-FL11 originally published Feb. 7, 2023. It describes a variation from Fitch's criteria that was omitted from the original release. The amended ratings release is as follows: Fitch Ratings has assigned final ratings and Rating Outlooks to RCMF 2023-FL11, notes as follows: - $316,457,000 class A 'AAAsf'; Outlook Stable; - $60,801,000 class A-S 'AAAsf'; Outlook Stable; - $41,022,000 class B 'AA-sf'; Outlook Stable; - $33,697,000 class C 'A-sf'; Outlook Stable; - $20,511,000 class D; 'BBBsf'; Outlook Stable; - $10,988,000 class E; 'BBB-sf'; Outlook Stable; - $21,243,000 class F; 'BB-sf'; Outlook Stable; - $13,919,000 class G; 'B-sf'; Outlook Stable. The approximate aggregate balance of the mortgage loans as of the cutoff date is $586,031,864 and does not include future funding. TRANSACTION SUMMARY The notes represent the beneficial ownership interest in the issuer, the primary assets of which are 38 loans secured by 65 commercial properties with an aggregate principal balance of $586,031,864 as of the cut-off date. The loans were contributed to the issuer by an affiliate of Ready Capital Corporation. The servicer and special servicer are expected to be KeyBank National Association (A-/Stable). KEY RATING DRIVERS Collateral Attributes: In general, the pool is secured by properties that have not yet completely stabilized or will undergo renovation. The associated risks, including cash flow interruption during renovation, lease-up and completion, are mitigated by experienced sponsorship, credible business plans and loan structural features that include guaranties, reserves, cash management and performance triggers, and additional funding mechanisms. See the individual loan discussions for specific details. Higher Leverage Compared with Recent Transactions: The pool has higher leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 225.7% is higher than the 2022 average of 99.3% and higher than the 2021 average of 103.3%. Additionally, the pool's Fitch debt service coverage ratio (DSCR) of 0.46x is lower than the 2022 and 2021 averages of 1.31x and 1.38x, respectively. Mortgage Coupons: The pool's WA mortgage coupon is 4.094%, in-line the 2022 and 2021 averages of 4.29% and 3.48%, respectively. All of the loans in the pool are floating rate with rate caps in place, except for four loans: Garden View Apartments, Willow Bend Apartments, Robin Hood Apartments, and Country Home Mobile Village. Business Plan Risk: The pool features 35 loans that have future fundings amounting to what would be 12.6% of the pool balance. These future fundings are to complete sponsor business plans that include capital expenditures. Fitch assessed each business plan and graded low, medium, or high risk and modeled accordingly. Pool Concentration: The pool concentration is in-line with the recently rated Fitch transactions. The top 10 loans in the pool make up 49.0% of the pool, is lower than the 2022 and 2021 levels of 55.2% and 51.2%, respectively. The pool's Loan Concentration Index (LCI) is 370, lower than the 2022 and 2021 averages of 422 and 381, respectively. Loan Structure: The loans in the pool are typically structured with initial terms ranging from two to four years. Most loans have extension options that make their fully extended loan terms four or five years. Fitch's historical loan performance analysis shows loans with terms less than 10 years have modestly lower default risk, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. 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-calculated net cash flow (NCF): Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; 10% NCF Decline: 'AA+sf'/'AA+sf'/'A+sf'/ 'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'/'CCCsf'; 20% NCF Decline: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBsf'; 30% NCF Decline: 'AA+sf'/'AA+sf'/Asf'/'BBB-sf'/'B+sf'/'CCCsf'/'CCCsf'/'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improved cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch-calculated NCF: Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBsf'. CRITERIA VARIATION Fitch's analysis includes cash flow modeling of the transaction's structure. Fitch used the cash flow modeling referenced in the Fitch criteria "CLOs and Corporate CDOs Rating Criteria (Sept. 8, 2022) including using the modeling of asset default timing distributions and recovery timing assumptions. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on CMBS analytical insight in combination with the CMBS multi-borrower model results. The cash flow model results showed no meaningful shortfalls to the notes given the credit enhancement available. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. REALT 2021-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-1 issued by Real Estate Asset Liquidity Trust (REALT), Series 2021-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D-1 at BBB (sf) -- Class D-2 at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains relatively in line with DBRS Morningstar's expectations at the last rating action in November 2022. There are no delinquent or specially serviced loans and only three loans, representing 5.6% of the pool, on the servicer's watchlist that are being monitored for low debt service coverage ratios (DSCRs). The office exposure also remains relatively low, with only 8.4% of the current pool backed by office properties. The majority of the pooled loans continue to perform in line with expectations. As of the July 2023 remittance, all 79 of the original loans remain in the trust, with an aggregate balance of approximately $525.0 million. There is minimal collateral reduction of 3.5% since issuance given the deal's recent vintage and limited seasoning. There is one loan that is fully defeased, representing 0.8% of the pool balance. The pool is concentrated by property type with 31.6% of the total balance backed by multifamily properties, followed by retail and industrial properties with 24.1% and 16.8% of the pool, respectively. The largest loan on the servicer's watchlist, Tamarack Gardens Multifamily Edmonton (Prospectus ID#8, 2.8% of the current pool balance), is secured by a 126-unit multifamily complex located in Edmonton. The loan was recently added to the servicer's watchlist in July 2023 because of a low DSCR. The most recent net cash flow (NCF) figure per the trailing 12-month report ended September 30, 2022, was $873,436, reflective of a DSCR of 1.02 times (x). In comparison, the DBRS Morningstar NCF and DSCR at issuance were $980,961 and 1.14x, respectively. According to the most recent reporting, there has been a 23.3% increase in total operating expenses, primarily attributable to Repairs & Maintenance, which have jumped 114.4% from the issuer's underwritten figure. According to the servicer commentary, the increase from the issuance budget stems from new maintenance and cleaning staff hired at the subject property. Overall, operating expenses are up approximately 15.4% from the DBRS Morningstar issuance amount. As per the January 2023 rent roll, the collateral reported an occupancy rate of 91.3% with an average rental rate of $1,372.10 per unit, compared with an occupancy rate of 95.2% and an average rental rate of $1,259.59 at issuance. DBRS Morningstar's concluded vacancy rate at issuance was 5.5%. The increase in expenses, coupled with the slight decline in occupancy, are the primary drivers of the low DSCR. Given the higher contractual rates with the new staffing company, expenses are likely to remain elevated and the DSCR will remain lower than expected, unless there is sufficient growth in occupancy and/or rental rates. In its analysis, DBRS Morningstar applied an elevated probability of default adjustment for this loan, resulting in an expected loss that is almost double the weighted-average, pool-level expected loss. Notes: All figures are in Canadian dollars unless otherwise noted. STONY POINT: Voluntary Chapter 11 Case Summary ---------------------------------------------- Debtor: Stony Point Ambulance Corps, Inc. 47 Liberty Drive Stony Point, NY 10980 Business Description: The Debtor is the official ambulance service for the Town of Stony Point, NY. Chapter 11 Petition Date: September 7, 2023 Court: United States Bankruptcy Court Southern District of New York Case No.: 23-22654 Judge: Hon. Sean H Lane Debtor's Counsel: Dawn Kirby, Esq. KIBY AISNER & CURLEY LLP 700 Post Road Suite 237 Scarsdale, NY 10583 Tel: (914) 401-9500 Email: dkirby@kacllp.com Estimated Assets: $1 million to $10 million Estimated Liabilities: $1 million to $10 million The petition was signed by John Waite as chief operating officer. The Debtor failed to include in the petition a list of its 20 largest unsecured creditors. A full-text copy of the petition is available for free at PacerMonitor.com at: https://www.pacermonitor.com/view/EU3NTVY/Stony_Point_Ambulance_Corps_Inc__nysbke-23-22654__0001.0.pdf?mcid=tGE4TAMA SYCAMORE TREE 2023-4: S&P Assigns Prelim 'BB-' Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sycamore Tree CLO 2023-4 Ltd./Sycamore Tree CLO 2023-4 LLC's floating-rate debt. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sycamore Tree CLO Advisors L.P. The preliminary ratings are based on information as of Sept. 1, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Sycamore Tree 2023-4 Ltd./Sycamore Tree CLO 2023-4 LLC Class A-1, $240.000 million: AAA (sf) Class A-2, $10.000 million: AAA (sf) Class B, $50.000 million: AA (sf) Class C (deferrable), $24.000 million: A (sf) Class D (deferrable), $24.000 million: BBB- (sf) Class E (deferrable), $14.000 million: BB- (sf) Subordinated notes, $43.050 million: Not rated SYMPHONY CLO 35: Moody's Assigns B3 Rating to $500,000 F-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes (the "Refinancing Notes") issued by Symphony CLO 35, Ltd. (the "Issuer"). Moody's rating action is as follows: US$1,650,000 Class X Amortizing Senior Secured Floating Rate Notes due 2036, Assigned Aaa (sf) US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2036, Assigned Aaa (sf) US$500,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2036, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and non-loan assets. Symphony Alternative 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 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 the other four classes of secured 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 stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3055 Weighted Average Spread (WAS): 3.5% Weighted Average Coupon (WAC): 6.5% 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 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. TCP DLF VIII 2018: DBRS Places E Notes BB(low) Rating Under Review ------------------------------------------------------------------ DBRS, Inc. placed its ratings on the following notes (the Notes) issued by TCP DLF VIII 2018 CLO, LLC (the Issuer) Under Review with Developing Implications. The Notes were issued pursuant to the Note Purchase and Security Agreement dated as of February 28, 2018 (the NPSA), among the Issuer; U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as Collateral Agent, Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AA (high) (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BB (high) (sf) -- Class E Notes at BB (low) (sf) The ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the additional 1% of interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity (as defined in the NPSA). The ratings on the Class B Notes, Class C Notes, Class D Notes, and Class E Notes address the ultimate payment of interest (excluding the additional 1% of interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity (as defined in the NPSA). The Notes issued by the Issuer are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Series I of SVOF/MM, LLC (the Collateral Manager), a consolidated subsidiary of Tennenbaum Capital Partners, LLC, which is itself a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers Series I of SVOF/MM, LLC to be an acceptable collateralized loan obligation (CLO) manager. CREDIT RATING RATIONALE/DESCRIPTION The rating actions on the Notes are a result of a benchmark transition event that occurred as of July 3, 2023, pursuant to the NPSA referred to above. DBRS Morningstar's ratings on the Notes are being placed Under Review with Developing Implications until its review of the impact of the benchmark transition on the transaction is complete. The Reinvestment Period ended on February 28, 2022. The Stated Maturity is February 28, 2030. Notes: All figures are in U.S. dollars unless otherwise noted. TELOS CLO 2013-3: Moody's Cuts Rating on $24.1MM E-R Notes to Caa3 ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on the following notes issued by Telos CLO 2013-3, Ltd.: US$24,100,000 (current outstanding amount US$25,428,796.42) Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2026, Downgraded to Caa3 (sf); previously on January 27, 2023 Downgraded to Caa1 (sf) Telos CLO 2013-3, Ltd., originally issued in February 2013 and refinanced in August 2017, 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 July 2019. RATINGS RATIONALE The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's July 2023 report [1], the OC ratio for the Class E-R notes is reported at 76.90% versus the January 2023 trustee-reported level [2] of 93.55%. 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: $59,935,892 Defaulted par: $9,426,791 Diversity Score: 16 Weighted Average Rating Factor (WARF): 3493 Weighted Average Spread (WAS): (before accounting for reference rate floors): 3.91% Weighted Average Recovery Rate (WARR): 48.42% Weighted Average Life (WAL): 2.10 years In addition to the base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TRINITAS CLO V: S&P Affirms B (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings raised its ratings on the class C-RR and D-R notes from Trinitas CLO V Ltd. and removed the ratings from CreditWatch, where S&P placed them with positive implications in June 2023. At the same time, S&P affirmed its ratings on the class A-RR, B-RR, 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 31, 2023 trustee report. The transaction has paid down $62.30 million to the class A-RR notes since our June 2022 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the April 29, 2022, trustee report, which S&P used for its previous rating actions: -- The class B-RR O/C ratio improved to 235.66% from 169.75%. -- The class C-RR O/C ratio improved to 164.84% from 141.09%. -- The class D-R O/C ratio improved to 129.23% from 122.18%. While the O/C ratios improved at the senior levels, the junior O/C ratio reported some decline since our previous rating actions: -- The class E O/C ratio declined to 109.83% from 110.11%. -- The higher coverage tests for classes B-RR, C-RR, and D-R indicate an increase in their credit support. The decline in class E coverage test indicates a decrease in credit support. This is primarily due to some par loss and an increase in defaults that the CLO incurred since our last rating action. The credit quality of the pool was stressed slightly, as defaults increased while assets rated 'CCC' simultaneously decreased. The par amount of defaulted obligations increased, with no balance reported as of the April 29, 2022, trustee report, compared with $3.93 million reported as of the July 31, 2023, trustee report. Over the same period, the collateral obligations with ratings in the 'CCC' category have decreased to $5.05 million from $9.96 million. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could results in further ratings changes. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D-R notes. However, because the transaction has exposure to defaulted assets and higher risk industry assets, S&P's limited the upgrade on this class to offset future potential credit migration in the underlying collateral. Additionally, its rating actions reflect sensitivity runs that considered the exposure to lower quality assets and distressed prices it noticed 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 we will take rating actions as we deem necessary." Trinitas CLO V 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. Rating List Trinitas CLO V Ltd. Class C-RR to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class D-R to 'A+ (sf)' from 'BBB+ (sf)/Watch Pos' Ratings Affirmed Trinitas CLO V Ltd. Class A-RR: AAA (sf) Class B-RR: AAA (sf) Class E: B (sf) US AUTO 2020-1: Moody's Upgrades Rating on Class D Notes to B2 -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of six classes of notes, confirmed the ratings of three classes of notes, and upgraded one class of notes from three U.S. Auto Funding Trust (USAUT) asset-backed securitizations. The securitizations are backed by non-prime retail automobile loan contracts originated by U.S. Auto Sales, Inc. (US Auto), an affiliate of U.S. Auto Finance Inc. The complete rating actions are as follows: Issuer: U.S. Auto Funding Trust 2020-1 Class C Notes, Confirmed at Baa1 (sf); previously on Apr 28, 2023 Baa1 (sf) Placed Under Review for Possible Downgrade Class D Notes, Upgraded to B2 (sf); previously on Apr 28, 2023 B3 (sf) Placed Under Review for Possible Downgrade Issuer: U.S. Auto Funding Trust 2021-1 Class B Notes, Confirmed at Baa1 (sf); previously on Apr 28, 2023 Baa1 (sf) Placed Under Review for Possible Downgrade Class C Notes, Confirmed at Ba1 (sf); previously on Apr 28, 2023 Ba1 (sf) Placed Under Review for Possible Downgrade Class D Notes, Downgraded to Caa2 (sf); previously on Jun 23, 2023 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade Class E Notes, Downgraded to C (sf); previously on Jun 23, 2023 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade Issuer: U.S. Auto Funding Trust 2022-1 Class A Notes, Downgraded to Baa3 (sf); previously on Jun 23, 2023 Downgraded to Baa1 (sf) and Remained On Review for Possible Downgrade Class B Notes, Downgraded to Ba2 (sf); previously on Jun 23, 2023 Downgraded to Ba1 (sf) and Remained On Review for Possible Downgrade Class C Notes, Downgraded to Caa3 (sf); previously on Jun 23, 2023 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade Class D Notes, Downgraded to C (sf); previously on Jun 23, 2023 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade RATINGS RATIONALE The downgrade actions are primarily driven by the material declines in credit enhancement available for the affected notes as a result of weak pool performance and lower collections available to pay noteholders. For USAUT 2022-1, the material slowdown in collections and noteholder payments also increases the risk of the notes not fully paying down by their respective legal final maturity dates. The USAUT 2022-1 Class A and B legal final maturity dates are April 15, 2025 and December 15, 2025 respectively. The confirmation actions consider the credit enhancement available to the notes, and Moody's current loss expectations based on the recent performance trends on the underlying pools. The upgrade action reflects increasing credit enhancement for the Class D notes in USAUT 2020-1. Effective May 22, 2023, Westlake Portfolio Management (Westlake) was appointed as Successor Servicer for the transactions, replacing USASF Servicing LLC (USASF) following USASF's servicing default. Following the transfer, Westlake applied a one-time payment extension for most delinquent borrowers. As of the August servicer report, 30+ day delinquency rates have increased to 29%, 31%, and 33% of the pool balance for USAUT 2020-1, USAUT 2021-1, and USAUT 2022-1 respectively. Moody's anticipate pool charge-off rates to increase materially in upcoming periods as these borrowers remain unable to make payments. Additionally, between April 2023 and June 2023, shortfalls between the available funds and funds distributed to the noteholders reflected failure of US Auto Sales dealerships to reimburse the trusts for unearned portions of vehicle service contracts and GAP waiver agreements upon a loan default. The reported available funds have matched noteholder distributions beginning in July, but these failed reimbursements are continuing and will decrease available collections and recoveries experienced by the trusts in future periods. Reductions in collections have impacted note payments, with $1.6 million distributed for USAUT 2022-1 note principal paydown in August, compared to $5.9 million in March prior to the servicing transfer. Increased repossession activity may increase note paydown speed in upcoming months, though uncertainty for future collection rates is unusually high. Overcollateralization (OC) continues to decline for the USAUT 2021-1 and 2022-1 trusts. OC declined to 3.1% of the current pool balance in August from 18.5% at closing for USAUT 2022-1 and to 13.5% of the current pool balance in August from 16.0% at closing for USAUT 2021-1. OC has remained stable for USAUT 2020-1 at approximately 47.5%, which is relatively unchanged from the April 2023 level and is higher than the closing level of 20.6%. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. WELLS FARGO 2015-LC22: Fitch Affirms CCC Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Wells Fargo Commercial Mortgage Trust 2015-LC22 (WFCM 2015-LC22). The Rating Outlooks for classes D, E and X-E have been revised to Negative from Stable. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-LC22 A-3 94989TAY0 LT AAAsf Affirmed AAAsf A-4 94989TAZ7 LT AAAsf Affirmed AAAsf A-S 94989TBB9 LT AAAsf Affirmed AAAsf A-SB 94989TBA1 LT AAAsf Affirmed AAAsf B 94989TBE3 LT AA-sf Affirmed AA-sf C 94989TBF0 LT A-sf Affirmed A-sf D 94989TBH6 LT BBB-sf Affirmed BBB-sf E 94989TAL8 LT BB-sf Affirmed BB-sf F 94989TAN4 LT CCCsf Affirmed CCCsf PEX 94989TBG8 LT A-sf Affirmed A-sf X-A 94989TBC7 LT AAAsf Affirmed AAAsf X-E 94989TAA2 LT BB-sf Affirmed BB-sf X-F 94989TAC8 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The affirmations reflect the impact of the criteria and generally stable performance of the pool. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.3%. Seven loans are Fitch Loans of Concern (FLOCs; 12.1% of the pool). No loans are currently in special servicing. The Negative Outlooks incorporate an additional stress on the 40 Wall Street, The Meadows and San Diego Park N' Fly loans that factors a heighted probability of default given refinance concerns. The largest FLOC and largest contributor to loss expectations The Meadows (11.5%), which is secured by a 605,000 sf two-building suburban office property located in Rutherford, NJ, approximately 10 miles west of Manhattan. The tenancy is granular with about 65 tenants and no single tenant comprising more than 8.8% of NRA. The largest tenants include: Shiseido Americas Corp (8.8%, December 2026) and SGS North America (6.1%, March 2025). At issuance, Sony Music Entertainment had about 8.8% of NRA, but they have since downsized to 2.3% with a lease expiration in September 2025. Near term rollover includes: Seven tenants in 2023 (10.1% NRA); 11 tenants in 2024 (5.7% NRA) and 10 tenants in 2025 (17.3% NRA). As of YE 2022, the NOI debt service coverage ratio (DSCR) and occupancy were reported to be 1.65x and 89%, respectively. Given the collateral type and current interest rate environment, Fitch has concerns with the refinanceability of the loan. Fitch's 'Bsf' rating case loss of 20% (prior to concentration adjustments) is based on a 9.5% cap rate and 10% stress to YE 2022 NOI, and factors a higher probability of default to account for refinance risks. The second largest contributor to loss expectations is the 40 Wall Street loan (4.2% of the pool), which is secured by a 1.16 million-sf office property with approximately 45,000-sf of ground floor retail located in the Financial District of Manhattan. The largest tenants include Green Ivy (7.7% of NRA, expiry in November 2061), Country-Wide Insurance (7.3%, August 2036), Duane Reade (4.6%, March 2023 and 2.0%, January 2032), Thornton Tomasetti Inc. (5.2%, January 2033), Hadassah-The Women's Zionist (3.9%, September 2025) and Jay Suites (co-working space; 3.9%, November 2032). As of YE 2022, the NOI DSCR was reported to be 0.70x. According to the April 2023 rent roll, occupancy declined to 73.2% from 86% at YE 2021, 89% at YE 2019 and 94% at YE 2018. Per CoStar, the Financial District office submarket reported a 21.7% vacancy. The declining performance of this FLOC was largely attributed to pandemic-related concessions that were offered with a long-term goal of retaining tenants. However, Fitch is concerned with refinanceability given the collateral type and occupancy decline. Fitch's 'Bsf' rating case loss of 11% (prior to concentration adjustments) is based on a 9.5% cap rate and 10% stress to YE 2022 NOI to account for deteriorating occupancy and NOI amidst weak submarket fundamentals. Increasing Credit Enhancement: As of the July 2023 distribution date, the pool's aggregate balance has been reduced by 20.6% to $765 million from $963.7 million at issuance. Of the 100 loans in the transaction at issuance, 90 loans remain. There are 18 loans (21.5%) that have defeased compared with 13 loans (14.6%) at the prior review. Eleven loans (15.1%) are full-term IO loans. The transaction has experienced realized losses to date totaling $5.2 million (0.54% of the original pool) and cumulative interest shortfalls are affecting the non-rated class G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to the 'AA-sf' and 'AAAsf' categories are unlikely due to increasing CE and expected continued amortization, but may occur should interest shortfalls affect these classes. Downgrades to the 'BB-sf', 'BBB-sf' and 'A-sf' categories would likely occur if a high proportion of the pool defaults and/or transfers to special servicing and expected losses increase sizably, particularly for The Meadows and 40 Wall Street. A downgrade to the distressed class F would occur with greater certainty of losses or as losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories could occur with large improvement in CE and/or defeasance, and with the stabilization of performance amongst the FLOCs and specially serviced loans. Upgrades to the 'BB-sf' and 'BBB-sf' categories would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to class F is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the class. 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 2017-C39: Fitch Lowers Rating on Cl. F-RR Certs to B-sf ------------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 10 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2017-C39 commercial mortgage pass-through certificates. Fitch has also downgraded the MOA 2020-C39 E horizontal risk retention pass through certificate (2017 C39 III Trust). The Rating Outlooks on classes A-S, B, C and X-B have been revised to Negative from Stable. Classes D, E-RR and MOA 2020-WC39 class E class have been assigned Negative Outlooks following the downgrades. Entity/Debt Rating Prior ----------- ------ ----- MOA 2020-WC39 E E-RR 90214WAA0 LT BBsf Downgrade BBB-sf WFCM 2017-C39 A-2 95000XAB3 LT AAAsf Affirmed AAAsf A-3 95000XAC1 LT AAAsf Affirmed AAAsf A-4 95000XAE7 LT AAAsf Affirmed AAAsf A-5 95000XAF4 LT AAAsf Affirmed AAAsf A-S 95000XAG2 LT AAAsf Affirmed AAAsf A-SB 95000XAD9 LT AAAsf Affirmed AAAsf B 95000XAK3 LT AA-sf Affirmed AA-sf C 95000XAL1 LT A-sf Affirmed A-sf D 95000XAM9 LT BBBsf Downgrade BBB+sf E-RR 95000XAP2 LT BBsf Downgrade BBB-sf F-RR 95000XAR8 LT B-sf Downgrade BB-sf G-RR 95000XAT4 LT CCCsf Downgrade B-sf X-A 95000XAH0 LT AAAsf Affirmed AAAsf X-B 95000XAJ6 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 performance and/or credit enhancement (CE) since Fitch's prior rating action. Fitch's current ratings reflect a 'Bsf' rating case loss of 5.2%. Nine loans (31.1% of pool) were flagged as Fitch Loans of Concern (FLOCs), including four office loans in the top 15 with upcoming rollover concerns and/or declining performance. There are currently two loans in special servicing, Crowne Plaza JFK (1.8%) and River City Plaza (1.3%). The downgrades and Negative Outlooks reflect the impact of the updated criteria and increased pool loss expectations due to the deteriorating performance of several FLOCs, particularly, Cleveland East Office Portfolio, Columbia Park Shopping Center, Lincolnshire Commons, Crown Plaza Dallas, 245 Park Avenue and First Stamford Place. Classes with Negative Outlooks may be downgraded should performance trends of the FLOCs continue to deteriorate and if the properties do not stabilize. The largest contributor to loss expectations is the Cleveland East Office Portfolio (2.7%) loan, which is secured by two suburban office properties totaling 499,454-sf located in Ohio (Mayfield Heights and Highland Hills). The property's major tenants include: Park Place Technologies (22.2% of portfolio NRA, leased through April 2025); SPR Therapeutics, Inc (5.9%, September 2032) and Paragon Consulting, Inc (2.2%, December 2024). As of the July 2023 rent roll, the portfolio was 50.6% occupied after multiple major and smaller tenants vacated upon their lease expirations. Progressive Insurance (previously 22.9% of portfolio NRA) vacated upon lease expiry in January 2023. Victoria Fire & Casualty Co (previously 17.0% NRA) vacated upon its September 2020 lease expiration. The loan previously transferred to special servicing in May 2022 due to a maturity default. The loan was subsequently modified and returned to the master servicer in February 2023. The loan maturity date was extended to July 2024, with two one-year extension options. The interest rate on the loan changed to 2.750% from 5.217%, with rate changes occurring over time. Fitch's 'Bsf' case loss of 30.8% (prior to a concentration adjustment) is based on a 10.25% cap rate and 25% stress to the YE 2022 NOI to account for the Progressive Insurance vacancy. The second largest contributor to loss expectations is the Columbia Park Shopping Center (4.9%) loan, which is secured by a 345,703-sf retail center located in Union City, NJ. The property's largest tenants include: ShopRite (19.1% of NRA, leased through September 2024), Big Lots (9.4%, January 2025) Shoppers World (7.6%, November 2026) and Old Navy (7.3%, January 2025). The property's occupancy declined following the loss of the former largest tenant, Empire 12 Cineplex (previously 20.2% of NRA and 9% of base rental income), vacated in September 2019, which was prior to its April 30, 2029 lease expiration. The vacant space has yet to be backfilled, and the loan is currently hard cash managed and in a cash trap (which had a balance of $3.2 million as of the August 2023 report). Occupancy as of June 2023 was 62%, compared to 64% at YE 2022, 69.1% at YE 2021 and YE 2020, and 92% at YE 2019. Near-term lease rollover includes 26.1% of NRA in 2024 and 25.3% in 2025. 2024 lease rollover includes anchor tenant, Shop Rite. Per the servicer, the tenant is expected to remain in-place at the property. Fitch's 'Bsf' case loss of 12.8% (prior to a concentration adjustment) is based on a 9.0% cap rate and 7.5% stress to the YE 2022 NOI. The third largest contributor to loss expectations is the Lincolnshire Commons (4.2%) loan, which is secured by 133,024-sf mixed-use (office/retail; approx. sf 70% retail) property located in Lincolnshire, Illinois. The office portion is primarily occupied by NorthShore University Healthcare System, IL (26.2% of NRA, leased through 2031). The other major tenants include Cheesecake Factory (7.8%, January 2026) and OSI/Flerning's LLC (6.0%, December 2025). The property's performance has been declining since issuance. Occupancy declined due to multiple tenants vacating upon lease expiry including former major tenant, DSW (previously 10.8% of NRA), which vacated upon lease expiry in January 2023. The property's occupancy as of March 2023 was 70%, compared to 83% at YE 2022, 88% at YE 2021 and 86% at YE 2020. The property's cash flow has also declined with a reported NOI DSCR of 0.93x as of March 2023, compared to 1.34x at YE 2022, 1.28x at YE 2021, and 1.44x at YE 2020. Near-term lease rollover includes 6.0% of NRA in 2024 and 10.0% in 2025. Fitch's 'Bsf' case loss of 10.8% (prior to a concentration adjustment) is based on a 9.25% cap rate to the YE 2021 NOI. Increased CE: As of the August 2023 distribution date, the pool's aggregate principal balance has been reduced by 9.6% to $1.02 billion from $1.13 billion at issuance. Six loans in the pool (3.0% of the pool) are fully defeased and five loans has been paid off (5.9% of original pool balance). Fourteen loans, representing 53.0% of the pool, are full-term interest-only. Twenty-five loans, representing 33.0% of the pool, were structured with a partial interest-only component, all of which have commenced amortization. To date, the trust has incurred $3.4 million in realized losses, which has been absorbed by the non-rated class H-RR class. Credit Linked Note: Fitch downgraded the rating on class E of MOA 2020-C39 as it is credit-linked to the underlying class E-RR of the Wells Fargo Commercial Mortgage (WFCM) Trust 2017-C39 transaction. In addition, the Outlook was revised to Negative from Stable. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. - Downgrades to the classes rated in the 'AAsf' and 'AAAsf' categories are not likely due to increasing CE and expected continued amortization but may occur should interest shortfalls affect these classes; - Downgrades to the classes rated in the 'BBBsf' and 'Asf' categories may occur should expected losses for the pool increase substantially and/or all of the FLOCs suffer losses, which would erode CE; - Downgrades to classes rated in the 'Bsf' and 'BBsf' categories would occur should performance on the FLOCs, particularly Cleveland East Office Portfolio, Columbia Park Shopping Center, Lincolnshire Commons, Crown Plaza Dallas, 245 Park Avenue and First Stamford Place, deteriorate further and/or not stabilize; overall pool loss expectations increase; and/or additional loans default or transfer to special servicing. - Downgrades to distressed rated classes would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity factors that could lead to upgrades would include stable-to-improved asset performance, coupled with additional paydown and/or defeasance. - Upgrades to classes rated in the 'Asf' and 'AAsf' categories may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse; - Upgrades to classes rated in the 'BBBsf' category would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls; - Upgrades to classes rated in the 'Bsf' and 'BBsf' categories are not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE, which would likely occur when the nonrated class is not eroded and the senior classes pay off. - Upgrades to the distressed rated classes are not likely unless resolution of the specially serviced loans is better than expected and/or recoveries on the FLOCs are significantly better than expected, and there is sufficient CE to the classes. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2018-C48: Fitch Affirms B-sf Rating on Class G-RR Certs ------------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2018-C48 commercial mortgage pass-through certificates. Class A-3 has paid in full. Fitch has also affirmed the MOA 2020-WC48 E Argentic horizontal risk retention pass through certificate (2018 C48 III Trust). In addition, the Rating Outlooks on classes E-RR, F-RR, G-RR and the MOA 2020-WC48 E Argentic horizontal risk retention pass through certificate have been revised to Negative from Stable. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2018-C48 A-3 95001RAU3 LT PIFsf Paid In Full AAAsf A-4 95001RAW9 LT AAAsf Affirmed AAAsf A-5 95001RAX7 LT AAAsf Affirmed AAAsf A-S 95001RBA6 LT AAAsf Affirmed AAAsf A-SB 95001RAV1 LT AAAsf Affirmed AAAsf B 95001RBB4 LT AA-sf Affirmed AA-sf C 95001RBC2 LT A-sf Affirmed A-sf D 95001RAC3 LT BBB-sf Affirmed BBB-sf E-RR 95001RAE9 LT BBB-sf Affirmed BBB-sf F-RR 95001RAG4 LT BB-sf Affirmed BB-sf G-RR 95001RAJ8 LT B-sf Affirmed B-sf X-A 95001RAY5 LT AAAsf Affirmed AAAsf X-B 95001RAZ2 LT AA-sf Affirmed AA-sf X-D 95001RAA7 LT BBB-sf Affirmed BBB-sf MOA 2020-WC48 E E-RR 90216GAA3 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 criteria and the relatively stable to improving performance of the overall pool since Fitch's prior rating action. The Outlook revisions to Negative from Stable on classes E-RR, F-RR, G-RR and the MOA 2020-WC48 E Argentic horizontal risk retention pass through certificate reflect concerns with Fair Oaks Mall (1.2% of pool), which transferred to special servicing in 2023 for maturity default. The Negative Outlooks also reflect loans secured by office properties (20.6%) with occupancy, tenancy and rollover concerns, including three in the top 15 (Riverworks 5.1%, 1000 Winward Concourse 4.0% and 1600 Terrell Mill Road 3.3%). Eleven loans (25.6%) were designated Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.1%. Specially Serviced Loan: Fair Oaks Mall (1.2%), 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. Office Concentration/Concerns: Loans secured by office properties comprise 20.6% of the pool, including three (12.4%) in the top 15 and seven (18.6%) that were designated FLOCs. Fitch increased cap rates and stresses for several of these loans and remains concerned with occupancy, tenancy and rollover concerns. Per CoStar, several of these properties have high availability rates. Fitch's analysis also included a sensitivity scenario, which increased the probability of default on Riverworks (Watertown, MA; 5.1%), 1000 Winward Concourse (Alpharetta, GA; 4.0%), 1600 Terrell Mill Road (Marietta, GA; 3.3%) and Kaden Tower (Louisville, KY; 1.0%) to further stress these concerns. This scenario contributed to the Negative Outlooks. Increase in Credit Enhancement: As of the July 2023 distribution date, the pool's aggregate balance has been reduced by 9.5% to $754.9 million from $833.9 million at issuance. Cumulative interest shortfalls of $104,446 are currently impacting the non-rated H-RR class. Twenty loans (50.1%) are full-term, IO. Seventeen loans (25.9%) had a partial-term, IO component; 11 have begun to amortize. Three loans (4.5%) are fully defeased. Loan maturities are concentrated in 2028 (95.6%). Investment-Grade Credit Opinion Loans: Three loans representing 7.6% of the pool were assigned investment- grade credit opinions at issuance: Christiana Mall (3.7%), Aventura Mall (2.7%) and Fair Oaks Mall (1.2%). 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, C, D and X-D 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 E-RR, F-RR , G-RR and the MOA 2020-WC48 E Argentic horizontal risk retention pass through certificate would be downgraded if loss expectations increase or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes B, X-B, C, D and X-D 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 E-RR, F-RR, G-RR and the MOA 2020-WC46 E Argentic horizontal risk retention pass through certificate are not likely until the later years of the transaction and only if performance of the overall pool continues to remain stable and/or improve. 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. WESTLAKE AUTOMOBILE 2023-3: DBRS Finalizes BB Rating on E Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the classes of notes issued by Westlake Automobile Receivables Trust 2023-3 (Westlake 2023-3 or the Issuer) as follows: -- $350,000,000 Class A-1 Notes at R-1 (high) (sf) -- $374,370,000 Class A-2-A Notes at AAA (sf) -- $170,000,000 Class A-2-B Notes at AAA (sf) -- $198,230,000 Class A-3 Notes at AAA (sf) -- $117,900,000 Class B Notes at AA (sf) -- $192,600,000 Class C Notes at A (sf) -- $158,400,000 Class D Notes at BBB (sf) -- $90,000,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date for each class. (2) The DBRS Morningstar CNL assumption is 11.25% based on the pool composition. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update," published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (3) The Westlake 2023-3 Notes are exposed to interest risk because of the fixed-rate collateral and the floating interest rate borne by the Class A-2-B Notes. -- DBRS Morningstar ran interest rate stress scenarios to assess the effect on the transaction's performance, and its ability to pay noteholders per the transaction's legal documents. -- DBRS Morningstar assumed two stressed interest rate environments for each rating category, which consist of increasing and declining forward interest rate paths for a 30-day average Secured Overnight Financing Rate based on the DBRS Morningstar Unified Interest Rate Tool. (4) The consistent operational history of Westlake Services, LLC (Westlake or the Company) and the strength of the overall Company and its management team. -- The Westlake senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Westlake with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Westlake and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) DBRS Morningstar used the static pool approach exclusively because Westlake has enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis performed on the static pool data. (7) The Company indicated that it is subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Westlake could take the form of class action complaints by consumers; however, the Company believes that it has taken prudent steps to address and mitigate the litigation risks associated with its business activities. (8) Computershare Trust Company, N.A. (rated BBB and R-2 (middle) with Stable trends by DBRS Morningstar) has served as a backup servicer for Westlake. (9) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Westlake, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." The collateral securing the notes consists entirely of a pool of retail automobile contracts secured by predominantly used vehicles that typically have high mileage. The loans are primarily made to obligors who are categorized as subprime, largely because of their credit history and credit scores. Westlake is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The ratings on the Class A-1, A-2-A, A-2-B, and A-3 Notes reflect 40.30% of initial hard credit enhancement provided by subordinated notes in the pool (31.05%), the reserve account (1.00%), and OC (8.25%). The ratings on the Class B, Class C, Class D, and Class E Notes reflect 33.75%, 23.05%, 14.25%, and 9.25% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. DBRS Morningstar's credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Payment Amount and the related outstanding Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any unpaid Noteholders' Monthly Interest Payment Amount. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Confirms Rating on 12 Tranches From 3 Oportun Deals ------------------------------------------------------------ DBRS, Inc. confirmed its outstanding ratings on 12 tranches of notes from three Oportun Issuance Trust transactions. The Affected Ratings Are Available at https://bit.ly/3sxgSVP Here is the list of the Issuers: -- Oportun Issuance Trust 2022-A -- Oportun Issuance Trust 2021-B -- Oportun Issuance Trust 2021-C The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - June 2023 Update, published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The rating actions are the result of the transactions' performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement. -- The transactions' capital structures and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings. [*] DBRS Reviews 405 Classes From 34 US RMBS & ReREMIC Transactions ------------------------------------------------------------------- DBRS, Inc. reviewed 405 classes from 34 U.S. residential mortgage-backed securities (RMBS) and ReREMIC transactions. Of the 405 classes reviewed, DBRS Morningstar upgraded 13 ratings and confirmed 392 ratings. The Affected Ratings Are Available at https://bit.ly/45H5p4C Here is the list of the Issuers: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-HE1 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-WF1 Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3 Wells Fargo Home Equity Asset-Backed Securities 2007-1 Trust Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust Citigroup Mortgage Loan Trust 2008-3 New Century Home Equity Loan Trust 2005-4 New Century Home Equity Loan Trust, Series 2005-B Park Place Securities Inc., Series 2005-WHQ1 CIM Trust 2018-J1 RALI Series 2006-QS2 Trust RALI Series 2006-QH1 Trust Mello Mortgage Capital Acceptance 2018-MTG2 Citigroup Mortgage Loan Trust 2009-4 Securitized Asset Backed Receivables LLC Trust 2005-FR4 Securitized Asset Backed Receivables LLC Trust 2006-FR4 Securitized Asset Backed Receivables LLC Trust 2007-BR1 Securitized Asset Backed Receivables LLC Trust 2006-WM4 Securitized Asset Backed Receivables LLC Trust 2006-HE2 Securitized Asset Backed Receivables LLC Trust 2007-NC1 Securitized Asset Backed Receivables LLC Trust 2007-BR2 Securitized Asset Backed Receivables LLC Trust 2006-NC2 Securitized Asset Backed Receivables LLC Trust 2006-WM2 Securitized Asset Backed Receivables LLC Trust 2007-NC2 Securitized Asset Backed Receivables LLC Trust 2006-NC3 Securitized Asset Backed Receivables LLC Trust 2007-BR4 Securitized Asset Backed Receivables LLC Trust 2006-FR2 Securitized Asset Backed Receivables LLC Trust 2007-BR3 Securitized Asset Backed Receivables LLC Trust 2007-BR5 Securitized Asset Backed Receivables LLC Trust 2006-FR3 Securitized Asset Backed Receivables LLC Trust 2006-HE1 Securitized Asset Backed Receivables LLC Trust 2006-WM3 Residential Asset Securitization Trust 2005-A15 CSMC Series 2008-2R The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The pools backing the reviewed RMBS and ReREMIC transactions consist of prime, Alt-A, subprime, and option adjustable-rate mortgage collateral. Notes: The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498). [*] Moody's Takes Action on $17.8MM of US RMBS Issued 2003-2006 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two bonds and downgraded the rating of one bond from three US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-D Cl. M-1, Upgraded to Ba2 (sf); previously on Dec 7, 2022 Upgraded to B1 (sf) Issuer: GSAMP Trust 2003-SEA2 Cl. B-1, Downgraded to Caa1 (sf); previously on Jun 8, 2015 Downgraded to B3 (sf) Issuer: MASTR Specialized Loan Trust 2006-03 Cl. A, Upgraded to B1 (sf); previously on Dec 7, 2022 Upgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrade of Class B-1 issued by GSAMP Trust 2003-SEA2 is due to outstanding interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Ups $31MM of US Scratch & Dent RMBS Issued 2005-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two bonds from two US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. Issuer: RAAC Series 2005-RP3 Trust Cl. M-2, Upgraded to Baa3 (sf); previously on Mar 7, 2022 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corporation 2007-GEL2 Cl. A3, Upgraded to Baa3 (sf); previously on Mar 7, 2022 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Actions on 38 Classes From 14 Aircraft ABS Deals --------------------------------------------------------------- S&P Global Ratings raised 16 ratings and affirmed 22 ratings on 14 aircraft ABS transactions. The ratings on the notes were also removed from under criteria observation (UCO), where they were placed on March 10, 2023, following the publication of our revised criteria for rating aircraft and aircraft engine ABS transactions. Review Assumptions Collateral value S&P typically uses the lower of the mean and median (LMM) value of the half-life base and market values from three appraisers as the starting point in its analysis. To the extent half-life market values were not available for a commercial aircraft portfolio, S&P applied 50% of the base-case ('B') lease rate decline (LRD) stress to each of the available base values to arrive at a "calculated" half-life market value. S&P then used the LMM of these three calculated values, along with the three reported base values, as the starting value for each asset in its analysis. The application of 50% of its 'B' LRD stress to base values is intended to address residual market weakness since the onset of the pandemic. In each case, S&P excluded appraisals that are 25% above the average of the other valuations and applied its aircraft-specific depreciation assumptions from the appraisal date to the first payment date. Typically, S&P does not get appraisal values for component assets (parted out engines or airframe). In such cases it does not assume any cashflow credit. Time-on-ground (TOG) times Upon a lease termination or a lessee default under S&P's stress runs, it assumes the aircraft or aircraft engine will be grounded before it is re-leased. Table 1 shows the TOG assumptions applied for this review. Table 1 Time on ground (months) STRESS DOWNTURN DOWNTURN DOWNTURNS ENGINES ALL OUTSIDE 1 NB 1 WB 2 AND 3 DOWNTURNS DOWNTURN ALL AIRCRAFT AA 13 16 11 11 3 A 12 15 10 10 3 BBB 11 14 9 9 3 BB 10 13 8 8 3 B 9 12 7 7 3 NB--Narrow-body. WB--Wide-body. Useful life S&P said, "We generally assume a 25-year useful life for all commercial aircraft and a 30-year useful life for production freighters. For aircraft where our useful life assumption would result in a sale prior to the contracted end of lease, we extended the useful life to the lease term's expiration. In addition, to the extent we received a fleet plan from the lessor indicating their future strategy (re-lease or sale) upon the current lease expiration, we adjusted the useful life accordingly." Treatment of Russian leases Any aircraft previously on lease to a Russian airline is regarded as a total loss. S&P does not forecast any lease, sales, or potential insurance proceeds because the timing and amount of any such payment remains uncertain. Repossession, refurbishment, and remarketing (RRR) costs We assume RRR costs are incurred upon a lessee default or lease expiration. Table 2 shows the RRR costs assumed for this review. Table 2 Repossession, refurbishment, and remarketing costs AIRFRAME TYPE DURING DOWNTURN ($) OUTSIDE OF DOWNTURN ($) Narrowbody 750,000 500,000 Narrowbody Cargo 250,000 200,000 Regional Jet 750,000 500,000 Turboprop 750,000 500,000 Widebody 1,500,000 1,250,000 Widebody Cargo 500,000 400,000 Engines 100,000 100,000 Default pattern S&P said, "We applied defaults evenly over a four-year period during the first industry downturn and assumed defaults will occur in a 30%/40%/20%/10% pattern in the subsequent downturns. We apply defaults in descending order of the aircraft's value." Lease rate factor (LRF) S&P said, "The current LRF curve used in our analysis for all aircraft corresponds to a 1.82% interest rate, which is the five-year average of the five-year U.S. treasury rate for the period between January 2018 and December 2022. We use different lease rate factors for passenger (narrowbody, widebody, and regional jet) aircraft and freighters." Depreciation S&P said, "Our depreciation assumptions are specific to individual aircraft. We typically apply depreciation from the appraisal date to the end of the aircraft's useful life, at which point we assume the aircraft will be sold at its depreciated value. If the sale occurs during any of our modeled industry downturns, the depreciated value of the aircraft is further reduced by the LRD stress." The following sections provide transaction-specific details regarding the rating actions. In the liability tables below, negative paydown amounts indicate situations where a given tranche accrued and capitalized interest during the relevant period. Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 Table 3 Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1— portfolio characteristics No. of of aircraft 17 No. of aircraft currently off-lease 0 No. of aircraft off-lease + near-term lease expirations 2 LMM at appraisal (mil. $) 568.80 LMM as modeled (mil $) 495.43 DSCR (x) 0.73 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 4 Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1-- liabilities(i) CLASS AA CLASS A CLASS B Actual balance (mil. $) 32.37 339.63 41.63 Scheduled balance (mil. $) 33.07 296.88 32.99 Paydown 2022 (mil. $) 29.13 27.29 1.18 Paydown 2023 (YTD through Aug. 31) (mil. $) 15.59 7.45 0.00 LTV 6.5 75.1 83.5 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings affirmed its ratings on Blackbird Capital Aircraft Lease Securitization Ltd.'s series 2016-1 class AA, A, and B notes. The affirmations primarily reflect the continued strong performance of the underlying aircraft pool, despite the write-down of one Airbus A321-200 aircraft, vintage 2015, that was leased to a Russian airline at the start of the Russia-Ukraine conflict, and S&P's view that the credit enhancement is sufficient to support the ratings at the current level. The affirmations also reflect the gradual and ongoing paydown of the notes. Since June 2022, the transaction has paid down the class AA, A, and B notes by approximately $31.0 million, $24.0 million, and $1.0 million, respectively, supported by the proceeds from the sale of one Airbus A319-100 aircraft, vintage 2005, with the remaining cash flow coming from base rent and maintenance reserves. The portfolio is currently backed by 17 aircraft that were manufactured between 2006 and 2017. Based on the aggregate asset value as of August 2023, the aircraft have a weighted average age of 9.6 years, a remaining lease term of 3.3 years, and a weighted average lease rate factor of 1.03%. All of the aircraft are currently on lease, with two leases expiring in the next 12 months. Although S&P's cashflow results indicated a higher rating for the class B notes, it considered the minimal principal repayments and the subsequent increase in LTV since June 2022, to 83.5% from 81.6%, and that the notes are still behind on their scheduled principal payments. DCAL Aviation Finance Ltd. Table 5 DCAL Aviation Finance Ltd.--portfolio characteristics No. of of aircraft/engines/airframe 10/3/0 No. of of aircraft currently off-lease 4/3/0 No. of aircraft off-lease + near-term lease expirations 5/3/0 LMM at appraisal (mil. $) 221.61 LMM as modeled (mil $) 210.27 DSCR (x) 0.10 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 6 DCAL Aviation Finance Ltd.--liabilities(i) CLASS A-1 CLASS B-1 CLASS C-1 Actual balance (mil. $) 173.66 38.22 12.81 Scheduled balance (mil. $) n/a n/a n/a Paydown 2022 (mil. $) 19.83 0.00 0.00 Paydown 2023 YTD (through Aug. 31) (mil. $) 46.78 0.00 0.00 LTV (%) 82.59 100.77 106.86 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings affirmed its ratings on DCAL Aviation Finance Ltd.'s series 2015 class A-1, B-1, and C-1 notes. The affirmations reflect the transaction's stable performance since S&P's last review in September 2022, with amortization of $66.32 million for the class A-1 notes and stable LTV ratios across the capital structure. The portfolio is backed by 10 narrow-body aircraft and three engines. There are currently four aircraft and three engines off lease, with an additional aircraft coming off lease in September 2023. The weighted average remaining lease term of the portfolio is 2.13 years, based on the appraised LMM in table 5. While the class A-1 notes have received significant paydowns, the majority of which have come from aircraft dispositions, the LTV has not declined significantly. The class B-1 and C-1 notes have not received any principal payments since S&P's last review, and the class C-1 notes continue to defer interest. S&P said, "Under our cash flow runs, none of the classes passed our 'B' rating stress. The ratings reflect the application of our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. For the class A-1 notes, we considered its priority in the payment structure and the fact that the LTV ratio is under 100% despite our adjustment to the values due to the unavailability of half-life market values. Although interest is deferrable on the class B-1 notes while class A-1 is outstanding, the calculated LTV ratio for class B-1 is above 100% (after our value adjustments) and the class A-1 scheduled principal is significantly behind schedule. As a result, we believe that a default is unlikely in the near term and therefore affirmed its 'CCC+ (sf)' rating." ECAF I Ltd. Table 7 ECAF I Ltd.--portfolio characteristics No. of of aircraft/engines/airframe 17/6/4 No. of of aircraft currently off-lease 0/6/4 No. of aircraft off-lease + near-term lease expirations 3/6/4 LMM at appraisal (mil. $) 385.62 LMM as modeled (mil $) 356.13 DSCR (x) 0.22 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 8 ECAF I Ltd.--liabilities(i) CLASS A-1 CLASS A-2 CLASS B-1 Actual balance (mil. $) 51.35 385.20 80.13 Scheduled balance (mil. $) n/a n/a n/a Paydown 2022 (mil. $) 6.51 37.96 4.99 Paydown 2023 YTD (through Aug. 31) (mil. $) 3.33 24.54 0.00 LTV (%) 122.6 122.6 145.1 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings affirmed its ratings on ECAF I Ltd.'s class A-1, A-2, and B-1 notes. The affirmations reflect the significant levels of leverage in the transaction and the uncertainty associated with the cash flows from assets being parted out and proceeds associated with the settlement of insurance claims related to the Russia-Ukraine conflict. The ratings also reflect S&P's "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. Generally, issuers and issues that face at least a one-in-two likelihood of default are rated in the 'CCC' category. The class A-1 and A-2 notes are currently paying pro-rata. Since August 2022, the class A notes have collectively paid down by approximately $31.3 million. The class B-1 notes have not paid down during this period, and interest on the class B-1 notes is deferrable while the class A notes are outstanding. The transaction benefits from a credit facility that had approximately $19.1 million available as of July 31, 2023, and had no unreimbursed drawings. This amount represents approximately nine months' aggregate interest expense for the class A-1, A-2, and B notes. The transaction's performance has improved since 2022, with 17 aircraft now on lease and three leases expiring in the next 12 months. The transaction is also expected to receive cash flows from part-outs of an additional five aircraft, which are in various stages of disposal. Finally, the servicer is pursuing insurance claims related to the 2022 seizure of two B737-800 narrowbody aircraft in Russia due to the Russia-Ukraine conflict. The timing and amounts of the cash flows related to the part-outs and insurance claims are uncertain. The LTV values do not include any value that may be attributable to the Russian aircraft, but do include LMM values of the part-out assets. Despite its improved performance, the notes continue to be vulnerable to risk of default due to their high levels of leverage and the uncertainty related to the timing and amount of cash flows attributable to the part-out assets. Therefore S&P affirmed the ratings on all three classes. Falcon Aerospace Ltd. Table 9 Falcon Aerospace Ltd.--portfolio characteristics No. of of aircraft 8 No. of of aircraft currently off-lease 0 No. of aircraft off-lease + near-term lease expirations 1 LMM at appraisal (mil. $) 128.86 LMM as modeled (mil $) 127.93 DSCR (x) 2.27 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 10 Falcon Aerospace Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 46.02 19.39 10.19 Scheduled balance (mil. $) 69.75 14.28 2.83 Paydown 2022 (mil. $) 11.69 0.00 0.00 Paydown 2023 YTD (through Aug. 31) (mil. $) 34.66 1.84 0.00 LTV (%) 36.0 51.1 59.1 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings raised its ratings on Falcon Aerospace Ltd.'s class A and B notes and affirmed its rating on the class C notes. The upgrades primarily reflect the transaction's strong performance and improvement in credit enhancement. The affirmation reflects the relatively stable performance of the class C notes since S&P's last review. The class A and B notes have paid down by approximately $37.5 million and $1.8 million, respectively, since September 2022. The class C notes did not receive any principal and continued to defer and capitalize unpaid interest during this period. The portfolio is backed by eight aircraft that were manufactured between 2006 and 2010, with a weighted average age of approximately 15 years. All eight aircraft are currently on lease, with no lease expirations in the next 12 months. A ninth aircraft, a Boeing 737-800 manufactured in 2006, was disposed of in July 2023. The cash flows from this disposal were considered in its cash flow forecasts, and the value is included in its calculation of LMM as modeled and in our LTV calculations. The transaction's LTV has improved since September 2022 due to strong cash flows from rental collections and other payments. The class A LTV has dropped to 36% from 51%, the class B LTV has dropped to 51% from 64%, and the class C LTV has dropped to 59% from 70%. The transaction is expected to benefit from additional cash flows from consignment proceeds and cash flows from a settlement related to the resolution of previous delinquencies of leases to Garuda Indonesia, the portfolio's largest lessee. The portfolio is concentrated, with exposure to five lessees across the eight aircraft. Three aircraft are on lease to Garuda. Although Garuda is now current on its payments, historically it has exhibited significant delays in payments. S&P said, "Our cash flow results for all three tranches indicated a higher rating. However, we considered the risk associated with lessee concentration and in particular exposure to a lessee with a history of delinquency and the fact that credit profile of the lessees, in our view, is generally weaker relative to its peers in determining the ratings." Harbour Aircraft Investments Ltd. Table 11 Harbour Aircraft Investments Ltd.--portfolio characteristics No. of of aircraft/engines/airframe 15/4/1 No. of of aircraft currently off-lease 0/2/1 No. of aircraft off-lease + near-term lease expirations 1/2/1 LMM at appraisal (mil. $) 206.88 LMM as modeled (mil $) 201.99 DSCR (x) 0.32 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 12 Harbour Aircraft Investments Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 153.04 28.85 49.20 Scheduled balance (mil. $) n/a n/a n/a Paydown 2022 (mil. $) 50.08 5.02 (3.58) Paydown 2023 YTD (through Aug. 31) (mil. $) 18.96 0.95 (2.55) LTV (%) 75.8 90.1 114.4 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings raised its ratings on Harbour Aircraft Investments Ltd.'s series A loans and affirmed its ratings on the series B and C loans. The upgrade reflects the paydowns on the series A loans and subsequent reduction in LTV. The affirmations reflect the transaction's stable performance and the continuing challenges posed by the loans' high leverage. The rating for the series C loans also reflects S&P's "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. Generally, issuers and issues that face at least a one-in-two likelihood of default are rated in the 'CCC' category. The series A and B loans have paid down by approximately $23.8 million and $1.0 million, respectively, since October 2022. The series C loans continue to defer and capitalize their unpaid interest. The LTV of the series A loans has dropped to 76% from 82% in October 2022. The LTVs of the series B and C loans have remained relatively stable. The portfolio is backed by 15 narrowbody aircraft on lease to 11 lessees, one of which is set to expire in less than 12 months. In addition, the transaction holds two engines on lease to an engine lessor. The weighted average age of the assets on lease (including engines on lease) is approximately 18 years. The transaction is also in the process of parting out an additional two engines and one airframe. S&P did not give credit for any future cash flows for these part-out assets in S&P's forecasts. S&P's cash flow results indicated a higher rating for the series A and B loans. However, it considered the high levels of leverage relative to the age of the portfolio, the portfolio's exposure to lessees with historical delays or delinquencies in rental payments, and the replenishment of the maintenance reserve senior to the loans' turbo repayments in determining the ratings. JOL Air Ltd.'s Series 2019-1 Table 13 JOL Air Ltd. series 2019-1--portfolio characteristics No. of of aircraft/engines/airframe 15 No. of of aircraft currently off-lease 1 No. of aircraft off-lease + near-term lease expirations 3 LMM at appraisal (mil. $) 480.70 LMM as modeled (mil $) 474.53 DSCR (x) 1.35 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 14 JOL Air Ltd. series 2019-1 Ltd.--liabilities(i) CLASS A CLASS B Actual Balance (mil. $) 310.70 64.53 Scheduled Balance (mil. $) 314.91 50.94 Paydown 2022 (mil. $) 38.90 0.00 Paydown 2023 Year-to-Date (through Aug. 31) (mil. $) 28.07 2.41 LTV (%) 65.5 79.1 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings raised its ratings on JOL Air Ltd.'s series 2019-1 class A and B notes. The upgrades reflect consistent stable credit performance since our last review in October 2022, including steady monthly collections and improved LTV ratios. The portfolio had exposure to lessees with a history of delayed payments, but, as of June 2023, all the lessees are current their lease payments. The portfolio is backed by 15 aircraft that were manufactured between 2004 and 2017. Based on the aggregate asset value as of May 2023, the aircraft have a weighted average age of 8.3 years, a remaining lease term of 6.4 years, and a weighted average lease rate factor of 1.02%. The class A notes have amortized by $40.2 million since August 2022, and the class A notes are back on their principal payment schedule. However, the class B notes are not caught up to their principal payment target. The class B notes received principal payments of $1.0 million in June 2023 and $0.8 million in July 2023. These were the first principal payments to the class B notes since prior to the onset of the COVID-19 pandemic. The LTV ratios for the A and B notes have dropped by approximately 6% since September 2022. S&P's cash flow results indicated a higher rating for the class A and B notes. However, we considered that the LTV of the class A and B notes, despite the recent improvement, remains high, the portfolio is exposed to lessees with a history of delayed payments, and the structural subordination for the class B notes in determining the ratings. KDAC Aviation Finance (Cayman) Ltd. Table 15 KDAC Aviation Finance Ltd.--portfolio characteristics No. of of aircraft/engines/airframe 24/3/1 No. of of aircraft currently off-lease 2/2/1 No. of aircraft off-lease + near-term lease expirations 5/3/1 LMM at appraisal (mil. $) 423.29 LMM as modeled (mil $) 395.09 DSCR (x) 0.47 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 16 KDAC Aviation Finance Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 242.51 73.90 51.85 Scheduled balance (mil. $) 225.18 38.06 9.13 Paydown 2022 (mil. $) 106.05 0.00 0.00 Paydown 2023 YTD (through Aug. 31) (mil. $) 58.81 0.00 0.00 LTV (%) 61.4 80.1 93.2 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings raised its rating on KDAC Aviation Finance Ltd.'s series 2017-1 class A notes and affirmed its ratings on the class B and C notes. The upgrade reflects the transaction's sustained stable performance and the significant paydown since S&P's last review and resulting decline in the LTV ratio. Over the past year, the class A notes have paid down by approximately $121 million, primarily due to the disposition of several aircraft and lease revenues. The affirmations reflect the sufficient credit enhancements at the current rating levels. The portfolio is backed by 24 aircraft, three engines, and one airframe. The aircraft have a weighted average age and remaining lease term of approximately 16 years and 3.5 years, respectively, both based on the aggregate asset value as of August 2023. There are currently one aircraft, two engines, and one airframe off lease. One aircraft with Hainan has passed lease maturity and has not been redelivered but continues to make lease payments. The credit quality of the portfolio is relatively strong with a diverse mix of narrowbody and widebody aircraft. There have been no principal payments to the class B and C notes over the past 12 months, and the class C notes continue to defer interest. The LTV ratio across the capital structure is below 100%, dropping to 93% from 103% during S&P's last review in September 2022. All classes are currently behind on the scheduled principal payments, but class A has been able to significantly reduce the amount of unpaid principal amounts. S&P said, "Although the class A notes passed at a higher rating level, we considered the relatively older nature of the aircraft portfolio and the associated disposition-related risks in determining the rating. The class B and C notes did not pass under our 'B' rating stress. Neither class has received any principal payment since at least September 2020, and the class C notes continued to defer interest during this period. The class A notes continue to remain behind their scheduled principal payments despite the recent paydowns. Although the LTV for both class B and C notes have declined since our last review, we expect they will likely not receive any principal (or interest in the case of the class C notes) in the near term, which may impact the LTV ratio. The performance will also depend on how the disposition trend is sustained going forward as dispositions have contributed significantly to the recent paydown of the class A notes. Therefore, we affirmed our ratings on the class B and C notes." Labrador Aviation Finance Ltd. Table 17 Labrador Aviation Finance Ltd.--portfolio characteristics No. of of aircraft 20 No. of of aircraft currently off-lease 0 No. of aircraft off-lease + near-term lease expirations 0 LMM at appraisal (mil. $) 477.16 LMM as modeled (mil $) 455.37 DSCR (x) 0.54 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 18 Labrador Aviation Finance Ltd.--liabilities(i) CLASS A CLASS B Actual balance (mil. $) 360.16 81.76 Scheduled balance (mil. $) n/a n/a Paydown 2022 (mil. $) 33.72 0.00 Paydown 2023 YTD (through Aug. 31) (mil. $) 30.07 0.00 LTV (%) 79.1 97.0 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings affirmed its ratings on Labrador Aviation Finance Ltd.'s series 2016 class A and B notes. The affirmations mainly reflect the improved performance of the now fully leased portfolio, the passing cash flow runs, and improved LTV ratios. This is a primarily narrowbody portfolio with aircraft contracted to 15 different lessees across 14 different countries. It also benefits from a liquidity facility with an available amount equal to nine months' interest on the class A and B notes. The liquidity facility does not have an advance outstanding as of the August, 2023 payment date. As of the most recent servicer report, both the notes were behind on their scheduled principal payments. The transaction's maintenance support account has remained fully depleted since the November 2021 payment date. As per the payment structure, for the first seven years of the transaction, the maintenance support account is replenished after scheduled principal payments to the class A and B notes. Thus, any maintenance expenses that come due between now and December 2023 will need to be covered by the expense account, rental payments, disposition proceeds, or the liquidity facility, prior to the payment of note interest and principal. As of the August 2023 payment date report, the transaction is expected to incur approximately $43 million in maintenance modification expenses through July 2024. After the seventh anniversary (January 2024 payment date and onwards), the maintenance support account will be replenished to its required level before any scheduled principal repayments on the notes. Starting with the January 2024 payment date, the classes will also receive turbo payments sequentially after the scheduled principal payments to the extent funds are available. At this point, the transaction will also have to account for the $43 million in maintenance expenses in a phased manner, which may delay the amount available for principal payments on the notes. The expense account balance is available to pay expenses, including maintenance, and is sized with a three-month look-forward that is replenished at the top of the waterfall. The transaction continues to be in early amortization phase, as the DSCR remained below 1.15x. MAPS 2018-1 Ltd. Table 19 MAPS 2018-1 Ltd.--portfolio characteristics No. of of aircraft/engines 16/2 No. of of aircraft currently off-lease 0/0 No. of aircraft off-lease + near-term lease expirations 3/0 LMM at appraisal (mil. $) 312.10 LMM as modeled (mil $) 311.61 DSCR (x) 0.41 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 20 MAPS 2018-1 Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 184.92 34.84 32.27 Scheduled balance (mil. $) 192.13 25.46 6.82 Paydown 2022 (mil. $) 48.85 2.09 (1.92) Paydown 2023 YTD (through Aug. 31) (mil. $) 43.24 0.00 (1.35) LTV (%) 59.3 70.5 80.9 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings raised its ratings on MAPS 2018-1 Ltd.'s class A, B, and C notes. The upgrades primarily reflect the transaction's strong performance, robust cashflows from rental collections and sales, and the resultant paydowns and improvement in credit enhancement across the capital structure. The transaction has paid down the class A notes by approximately $75.1 million since August 2022, while the class B and C notes did not receive any principal payments during this period. The class C notes continue to defer and capitalize their unpaid interest. The portfolio is backed by 16 narrowbody aircraft and two engines. Only one of the aircraft has a lease expiring in the next 12 months without a follow-on lease at this time. The lessees are generally current on their payments. The weighted average age of the aircraft is approximately 13 years. The transaction's LTV has declined since August 2022 due to strong cashflows from rental collections, sales, and other payments. Sales proceeds have contributed to the transaction's deleveraging, with $44.6 million in proceeds coming in during the prior 12 months. The class A LTV dropped to 59% from 79%, the class B LTV dropped to 71% from 89%, and the class C LTV dropped to 81% from 99%. The Class A, B, and C leverage values are below their LTV at issuance of 69%, 78%, and 84%, respectively. This decline occurred despite the slowdown in collections and associated challenges during the pandemic. S&P said, "Our cash flow results indicated a higher rating for all three classes. However, we considered the still-high LTV relative to the age of the portfolio, the fact that the class B and C notes have not received any principal payments in at least the last 12 months, and the results of our stability run in determining the ratings." Merlin Aviation Holdings DAC Table 21 Merlin Aviation Holdings DAC--portfolio characteristics No. of of aircraft/engines/airframe 12 No. of of aircraft currently off-lease 4 No. of aircraft off-lease + near-term lease expirations 6 LMM at appraisal (mil. $) 150.32 LMM as modeled (mil $) 142.56 DSCR (x) 1.72 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 22 Merlin Aviation Holdings DAC--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 53.30 9.47 7.86 Scheduled balance (mil. $) 53.30 0.00 0.00 Paydown 2022 (mil. $) 29.95 (0.63) (0.60) Paydown 2023 YTD (through Aug. 31) (mil. $) 19.35 0.49 (0.43) LTV (%) 37.4 44.0 49.5 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings raised its ratings on Merlin Aviation Holdings DAC's class A, B, and C notes. The upgrades primarily reflect the transaction's significant paydown of the class A notes in the last 12 months and the resulting decline in the LTV ratios, supported by the strong cash flow from base rent, maintenance reserves, and a substantial legal settlement. Since September 2022, the transaction has paid down the class A notes by approximately $47.3 million, lowering the LTV ratio for the class A notes to 37.4% from 71.2%. The class B notes LTV dropped to 44.0% from 77.3%, and the class C notes LTV dropped to 49.5% from 81.5%. The portfolio is currently backed by 12 aircraft that were manufactured between 1999 and 2007. Based on the aggregate asset value as of November 2022, the aircraft have a weighted average age of 19.8 years, a remaining lease term of 1.6 years, and a weighted average lease rate factor of 0.81%. Four aircraft are currently off lease, with two additional leases expiring in the next 12 months. S&P said, "We received the half-life base values but not the market values. To estimate the market values, we applied 50% of our 'B' lease rate decline stress to each base value to generate the "calculated" market values. For each asset, we calculated the LMM of the provided base values and the calculated market values and used this LMM in our analysis. "Although our cash flow runs indicated a higher rating for all the classes, we considered the concentration of the lessees, the number of aircraft that are currently off lease, the number of leases that are expiring within the next year, the age of the aircraft, the relatively low lease pricing for a portfolio of this age, and the fact that the class B and C notes are still behind on their scheduled principal payments as they have not received any principal payments (or, in the case of the class C notes, any interest payments) in at least the past 12 months." Raptor Aircraft Finance I Ltd. Table 23 Raptor Aircraft Finance I Ltd.--portfolio characteristics No. of of aircraft 16 No. of of aircraft currently off-lease 0 No. of aircraft off-lease + near-term lease expirations 1 LMM at appraisal (mil. $) 472.11 LMM as modeled (mil $) 446.93 DSCR (x) 0.25 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 24 Raptor Aircraft Finance I Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 370.55 90.57 53.98 Scheduled balance (mil. $) 302.36 63.70 20.13 Paydown 2022 (mil. $) 22.80 0.00 (3.44) Paydown 2023 YTD (through July 31) (mil. $) 19.26 0.00 (2.12) LTV (%) 82.9 103.2 115.3 (i)As of the July 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings affirmed its ratings on Raptor Aircraft Finance I Ltd.'s series 2019 class A, B, and C notes. The affirmations mainly reflect the stable performance of the fully leased portfolio and stable LTV ratios since S&P's last review. The rating on the class B and C notes also reflect S&P's "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. Generally, issuers and issues that face at least a one-in-two likelihood of default are rated in the 'CCC' category. The transaction is backed by a portfolio of 16 aircraft on lease to 12 lessees across nine countries. One aircraft has a lease expiration in October 2023, and the lease has been extended. The transaction has paid down the class A notes by approximately $19 million so far this year, while the class B and C notes did not receive any principal payments during this period. The class C notes continue to defer and capitalize their unpaid interest. The class A, B, and C notes are significantly behind on their targeted scheduled principal payments, for a total of approximately $129 million, primarily due to the continued pressure on lease collections. S&P said, "The rating affirmations on the class B and C notes at 'CCC+(sf)' and 'CCC (sf)', respectively, reflects our view that there has been no significant change in performance for the notes since our last review. For the class B notes, we considered the current calculated LTV, which is greater than 100%, and the fact that the notes have not received any principal repayments since at least September 2020. This, combined with the significant shortfall on the class A and B notes' scheduled principal payments, will further stress the LTV going forward. Given that the class B notes can defer interest while the class A notes are outstanding, we believe that the notes, although currently vulnerable, are unlikely to default in the near term. We believe that the class C notes are more vulnerable to a default, given their subordinated position in the priority of payments, the calculated LTV being greater than 110%, and the capitalization of unpaid interest on the notes that will further stress the LTV." RASPRO Trust 2005 S&P Global Ratings affirmed its rating on the RASPRO Trust 2005 class B notes. The affirmation primarily reflects the portfolio's stable performance, the accumulation of significant cash reserves due to the lease cash flow and aircraft sales, and the rating of Wilmington Trust Co. (WTC; A-/Stable/A-2) Following the recent sale of 50 regional Bombardier aircraft, the notes are now backed by the remaining 15 Bombardier CRJ900 and five Bombardier Q400 regional aircraft, as well as various reserve accounts with a current balance of approximately $275.0 million, which exceeds the approximately $95.5 million outstanding principal balance of the notes as well as the related interest. The reserve accounts will be available to pay off the notes on their March 23, 2024, final legal maturity date, subject to certain conditions. S&P said, "We considered that WTC has been the bank account provider since the transaction's closing in 2005. The transaction documents have neither a minimum rating requirement for a bank account provider nor a replacement framework if the rating on the existing bank account provider is downgraded by S&P Global Ratings below a certain threshold. As per "Counterparty Risk Framework: Methodology and Assumptions," published on March 8, 2019, if the issuer or the counterparty does not commit to take any appropriate remedy actions upon a rating downgrade on the counterparty, the rating on the ABS notes can be no higher than the rating on the counterparty itself. The same provision also applies if the materiality of the counterparty risk is too great to be mitigated by typical downgrade remedies. All the trust accounts, including the collection and reserve accounts, are held with WTC. Therefore, it is a key counterparty for the repayment of the notes on their final legal maturity date." Sprite 2021-1 Ltd. Table 25 Sprite 2021-1 Ltd.--portfolio characteristics No. of of aircraft 33 No. of of aircraft currently off-lease 0 No. of aircraft off-lease + near-term lease expirations 5 LMM at appraisal (mil. $) 597.83 LMM as modeled (mil $) 570.61 DSCR (x) 1.51 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 26 Sprite 2021-1 Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 381.58 69.22 46.80 Scheduled balance (mil. $) n/a n/a n/a Paydown 2022 (mil. $) 44.09 8.00 8.57 Paydown 2023 YTD (through June 30) (mil. $) 55.66 10.12 3.91 LTV (%) 66.9 79.0 87.2 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings raised its ratings on Sprite 2021-1 Ltd.'s class A and B notes and affirmed its rating on the class C notes. The upgrades reflect the transaction's consistent stable credit performance and the significant paydown since closing. The affirmation on the class C notes primarily reflects S&P's view that the credit enhancement for these notes is sufficient to support the rating at the current level. As of Aug. 15, 2023, the debt service coverage ratio was 1.51x. Over the last 12 months, the transaction has paid down the class A, B, and C notes by approximately $70.4 million, $12.8 million, and $6.8 million, respectively, supported by the proceeds from the sale of one Airbus A320-200 aircraft, vintage 2008, and one Boeing 737-800 aircraft, vintage 2013, with the remaining cash flow coming from base rent and maintenance reserves. As a result, the LTV ratio for the class A notes has decreased to 66.9% from 70.2%, for the class B notes to 79.0% from 83.0%, and for the class C notes to 87.2% from 91.3%. The portfolio is currently backed by 33 aircraft that were manufactured between 2002 and 2012. Based on the aggregate asset value as of May 2023, the aircraft have a weighted average age of 14.9 years, a weighted average remaining lease term of 3.3 years, and a weighted average lease rate factor of 1.03%. All of the aircraft are currently on lease, with five leases expiring in the next 12 months. The portfolio is highly diverse across type of aircraft, lessees, and jurisdictions. While S&P's cash flow results for the class B notes indicated a higher rating, we considered the elevated LTV relative to the age of the portfolio for a subordinated class. Tailwind 2019-1 Ltd. Table 27 Tailwind 2019-1 Ltd.--portfolio characteristics No. of of aircraft 14 No. of of aircraft currently off-lease 0 No. of aircraft off-lease + near-term lease expirations 1 LMM at appraisal (mil. $) 381.40 LMM as modeled (mil $) 369.47 DSCR (x) 0.88 LMM--Lower of the mean and median. DSCR--Debt service coverage ratio. Table 28 Tailwind 2019-1 Ltd.--liabilities(i) CLASS A CLASS B CLASS C Actual balance (mil. $) 276.70 50.04 42.16 Scheduled balance (mil. $) 276.66 44.35 17.24 Paydown 2022 (mil. $) 31.32 2.36 -2.71 Paydown 2023 YTD (through Aug. 31) (mil. $) 20.84 7.30 -1.92 LTV (%) 74.9 88.4 99.8 (i)As of the August 2023 payment date. YTD--Year to date. LTV--Loan to value S&P Global Ratings raised its ratings on Tailwind 2019-1 Ltd.'s class A and B notes and affirmed its rating on the class C notes. The upgrades primarily reflect the continued strong performance of the underlying aircraft pool and the significant paydown of the notes. The affirmation of the class C notes primarily reflects our view that the credit enhancement for these notes is sufficient to support the rating at the current level. Over the last 12 months, the transaction has paid down the class A and B notes by approximately $31.3 million and $9.4 million, respectively, supported by the cash flow from base rent and maintenance reserves. As a result, the LTV ratio for the class A notes has decreased to 74.9% from 78.5%, for the class B notes to 88.4% from 93.6%, and for the class C notes to 99.8% from 103.6%. The portfolio is currently backed by 14 aircraft that were manufactured between 2009 and 2019. Based on the aggregate asset value as of June 2023, the aircraft have a weighted average age of 8.4 years, a weighted average remaining lease term of 5.7 years, and a weighted average lease rate factor of 1.04%. All of the aircraft are currently on lease, with one lease expiring in the next 12 months. S&P said, "Our cash flow results for the class B notes indicated a higher rating. We considered that the LTV has improved slightly and that the notes are still behind on their scheduled principal payments. "For the class C notes, we considered that the notes continue to defer and capitalize their unpaid interest, and that the LTV decreased to 99.8% in the last 12 months, which is still at an elevated level. "We considered the management of the portfolio throughout the COVID-19 pandemic. "We will continue to review whether the ratings assigned are consistent with the credit enhancement available to support the notes/loans." Appendix Depreciation assumptions AIRCRAFT ANNUAL COMPOUNDING DEPRECIATION (%) A220-100 93 A319 Neo 93.5 A319-100 93.5 A320 Neo 95 A320-200 94 A321 Neo 94.5 A321-100 92 A321-200 93.5 A321-200F 92 A330-200 93 A330-200F 93 A330-300 93 A350-900 93.5 ATR42 90 ATR72-600 91 B737 MAX 10 94.5 B737 MAX 7 93.5 B737 MAX 8 95 B737 MAX 9 94 B737-300 80 B737-300F 90 B737-400F 90 B737-700 93.5 B737-800 94.5 B737-800BCF 92 B737-900ER 93.5 B747-400F 90 B757-200 91 B777-200ER 92 B777-200F 93 B777-300 92 B777-300ER 93 B787-8 93.5 B787-9 94 CRJ900 93 ERJ-170 93 ERJ-175 93 ERJ-190 93 ERJ-195 93 Ratings list RATING ISSUER SERIES CLASS TO FROM Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 2016 AA AA (sf) AA (sf) Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 2016 A A (sf) A (sf) Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 2016 B BBB (sf) BBB (sf) DCAL Aviation Finance Ltd. 2015 A-1 B- (sf) B- (sf) DCAL Aviation Finance Ltd. 2015 B-1 CCC+ (sf) CCC+ (sf) DCAL Aviation Finance Ltd. 2015 C-1 CCC (sf) CCC (sf) ECAF I Ltd. 2015-1 A-1 CCC+ (sf) CCC+ (sf) ECAF I Ltd. 2015-1 A-2 CCC+ (sf) CCC+ (sf) ECAF I Ltd. 2015-1 B-1 CCC- (sf) CCC- (sf) Falcon Aerospace Ltd. A A (sf) A- (sf) Falcon Aerospace Ltd. B BBB (sf) BBB- (sf) Falcon Aerospace Ltd. C BB (sf) BB (sf) Harbour Aircraft Investments Ltd. 2017 A BB (sf) BB- (sf) Harbour Aircraft Investments Ltd. 2017 B B (sf) B (sf) Harbour Aircraft Investments Ltd. 2017 C CCC (sf) CCC (sf) JOL Air 2019-1 2019-1 A A- (sf) BBB+ (sf) JOL Air 2019-1 2019-1 B BBB+ (sf) BB+ (sf) KDAC Aviation Finance (Cayman) Ltd. 2017-1 A B+ (sf) B- (sf) KDAC Aviation Finance (Cayman) Ltd. 2017-1 B CCC+ (sf) CCC+ (sf) KDAC Aviation Finance (Cayman) Ltd. 2017-1 C CCC (sf) CCC (sf) Labrador Aviation Finance Ltd. 2016 A BB+ (sf) BB+ (sf) Labrador Aviation Finance Ltd. 2016 B B (sf) B (sf) MAPS 2018-1 Ltd. A A (sf) BBB+ (sf) MAPS 2018-1 Ltd. B BBB+ (sf) BB+ (sf) MAPS 2018-1 Ltd. C BB (sf) B+ (sf) Merlin Aviation Holdings DAC 2016-1 A BBB (sf) BB+ (sf) Merlin Aviation Holdings DAC 2016-1 B BB (sf) B+ (sf) Merlin Aviation Holdings DAC 2016-1 C B (sf) CCC+ (sf) Raptor Aircraft Finance I Ltd. A B+ (sf) B+ (sf) Raptor Aircraft Finance I Ltd. B CCC+ (sf) CCC+ (sf) Raptor Aircraft Finance I Ltd. C CCC (sf) CCC (sf) RASPRO Trust 2005 2005-1 B A- (sf) A- (sf) Sprite 2021-1 Ltd. 2021-1 A A (sf) A- (sf) Sprite 2021-1 Ltd. 2021-1 B BBB (sf) BBB- (sf) Sprite 2021-1 Ltd. 2021-1 C B+ (sf) B+ (sf) Tailwind 2019-1 Ltd. 2019 A BBB+ (sf) BBB (sf) Tailwind 2019-1 Ltd. 2019 B BB+ (sf) BB (sf) Tailwind 2019-1 Ltd. 2019 C B- (sf) B- (sf) [*] S&P Takes Various Actions on 82 Classes From 10 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of ratings on 82 classes from 10 U.S. RMBS transactions issued between 2003 and 2005. The review yielded two upgrades, three downgrades, 72 affirmations, and five withdrawals. A list of Affected Ratings can be viewed at: https://rb.gy/q0h4s Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical missed interest payments or interest shortfalls; -- Available subordination and/or overcollateralization; -- Expected duration; -- A small loan count; and -- The assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "In addition, we withdrew our ratings on five classes from two transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." [*] S&P Takes Various Actions on 84 Classes From 20 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 84 ratings from 20 U.S. RMBS transactions issued between 2002 and 2007. The review yielded 25 upgrades, 10 withdrawals, and 49 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/62kob Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- A small loan count; -- Historical and/or outstanding missed interest payments/interest shortfalls; and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on 10 classes from five transactions due to the small number of loans remaining in the related group. 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