/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/231008.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, October 8, 2023, Vol. 27, No. 280 Headlines 720 EAST CLO 2023-II: S&P Assigns BB- (sf) Rating on Class E Notes BANK5 2023-5YR3: Fitch Assigns 'B-sf' Rating on Two Tranches BENCHMARK 2018-B2: Fitch Lowers Rating on Class G-RR Debt to CCCsf BRAVO RESIDENTIAL 2023-RPL1: Fitch Assigns 'B' Rating on B-2 Notes BSPRT 2023-FL10: Fitch Gives B-sf Rating on Class H Certs CHASE HOME 2023-RPL2: Fitch Gives Final 'Bsf' Rating on B-2 Certs COLT 2023-3 MORTGAGE: Fitch Puts 'B(EXP)sf' Rating on Cl. B2 Certs COMM 2012-CCRE1: Moody's Lowers Rating on 3 Tranches to C COMM 2012-CCRE2: Moody's Lowers Rating on Cl. G Certs to C COMM 2012-CCRE3: Moody's Lowers Rating on Cl. E Certs to 'C' CONNECTICUT AVENUE 2023-R07: Moody's Assigns (P)Ba2 to 3 Tranches CQS US 2022-2: Fitch Hikes Rating on Class E-2 Notes to 'BB-sf' CSAIL 2017-CX10: Fitch Lowers Rating on 3 Tranches to 'Bsf' CSAIL COMMERCIAL 2017-C8: Fitch Affirms CCC Rating on Class F Debt ELLINGTON CLO III: Moody's Cuts Rating on $11MM Cl. F Notes to Ca ELMWOOD CLO 19: S&P Assigns B- (sf) Rating on Class F-R Notes ELMWOOD CLO 21: S&P Assigns B- (sf) Rating on Class F-R Notes GALAXY 32: S&P Assigns Prelim BB- (sf) Rating on Class E Notes GCAT 2023-NQM3: Fitch Gives 'Bsf' Final Rating on Class B-2 Certs GOLUB CAPITAL 64(B): Fitch Affirms 'BB-sf' Rating on Class E Notes GRANITE PARK 2023-1: Moody's Assigns (P)B3 Rating to Class F Notes GS MORTGAGE 2017-GS8: Fitch Affirms B- Rating on Class G-RR Debt GS MORTGAGE 2022-LTV1: Moody's Ups Rating on Cl. B-5 Certs to B2 JP MORGAN 2013-LC11: Moody's Lowers Rating on Class D Certs to 'C' JP MORGAN 2023-7: Fitch Gives Final 'B-sf' Rating on Cl. B-5 Certs JP MORGAN 2023-8: Fitch Gives Final 'B-5' Rating on Class B-5 Certs JP MORGAN 2023-HE2: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Certs JP MORGAN 2023-HE2: Fitch Gives Final 'Bsf' Rating on Cl. B-2 Certs JPMBB COMMERCIAL 2013-C14: Moody's Cuts Rating on Cl. F Certs to C JPMCC 2016-JP4: Fitch Lowers Rating on Class E Debt to CCC LEHMAN BROTHERS 2007-3: Moody's Cuts Cl. M1 Certs Rating to Caa3 MADISON PARK XIV: Moody's Lowers Rating on $9MM F-R Notes to Caa1 MARINER FINANCE 2023-A: S&P Assigns Prelim 'BB-' Rating on E Notes METAL LIMITED 2017-1: Fitch Affirms 'CCsf' Rating on Three Tranches METRONET INFRASTRUCTURE 2023-3: Fitch Rates Class C Notes 'BB-' MORGAN STANLEY 2013-C11: Moody's Cuts Rating on 2 Tranches to Caa3 MORGAN STANLEY 2014-C14: Fitch Affirms 'Bsf' Rating on Cl. G Certs MORGAN STANLEY 2015-C22: Fitch Cuts Rating on Cl. D Certs to BB-sf MORGAN STANLEY 2016-C32: Fitch Affirms CCC Rating on Class F Debt MORGAN STANLEY 2019-H7: Fitch Affirms B-sf Rating on G-RR Certs MORGAN STANLEY 2023-INV1: Fitch Puts B-sf Final Rating on B-5 Certs MOSAIC SOLAR 2023-4: Fitch Gives 'BB-sf' Rating on Class D Notes NASSAU LTD 2017-II: Moody's Cuts Rating on $18.5MM E Notes to Caa1 NEUBERGER BERMAN I: Moody's Gives (P)B3 Rating to $500,000 F Notes OCTAGON 70 ALTO: Fitch Gives Final 'BB-sf' Rating on Class E Notes PRPM TRUST 2023-NQM2: Fitch Gives 'B-(EXP)' Rating on Cl. B-2 Notes RATE NEW RESIDENTIAL 2023-NQM1: Fitch Puts B-(EXP) on B-2 Notes RR 27 LTD: Moody's Assigns (P)B3 Rating to $400,000 Class E Notes SIERRA TIMESHARE 2023-3: Fitch Gives 'BB-(EXP)sf' Rating on D Notes SIERRA TIMESHARE 2023-3: Moody's Assigns (P)Ba3 Rating to D Notes SILVER AIRCRAFT: Fitch Hikes Rating on Class C Notes to 'B-sf' SIXTH STREET XXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes TRICOLOR AUTO 2023-2: Moody's Assigns (P)B2 Rating to Cl. F Notes UBS COMMERCIAL 2017-C5: Fitch Affirms B-sf Rating on Cl. G-RR Certs US AUTO 2020-1: Moody's Puts 'B2' Rating on D Notes on Review WELLS FARGO 2016-LC24: Fitch Lowers Rating on Two Tranches to B+sf WELLS FARGO 2018-C47: Fitch Affirms 'B-sf' Rating on Cl. H-RR Certs WFRBS COMMERCIAL 2011-C4: Moody's Lowers Rating on 2 Tranches to C WFRBS COMMERCIAL 2014-C19: Fitch Lowers Rating on 2 Tranches to Bsf WFRBS COMMERCIAL 2014-C22: Fitch Cuts Rating on 2 Tranches to CCsf [*] Moody's Hikes 133 Bonds From 7 Deals by New Residential [*] S&P Discontinues Nine Ratings From Five U.S. CMBS Transactions [*] S&P Takes Various Actions on 130 Classes From 20 US RMBS Deals ********* 720 EAST CLO 2023-II: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to 720 East CLO 2023-II Ltd.'s floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Northwestern Mutual Investment Management Co. LLC, a subsidiary of The Northwestern Mutual Life Insurance Co. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 720 East CLO 2023-II Ltd./720 East CLO 2023-II LLC Class A-1, $288.00 million: AAA (sf) Class A-2, $27.00 million: AAA (sf) Class B, $27.00 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $13.50 million: BB- (sf) Subordinated notes, $42.55 million: Not rated BANK5 2023-5YR3: Fitch Assigns 'B-sf' Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to BANK5 2023-5YR3 commercial mortgage pass-through certificates, series 2023-5YR3 as follows: - $255,600,000a class A-2 'AAAsf'; Outlook Stable; - $0a class A-2-1 'AAAsf'; Outlook Stable; - $0ab class A-2-X1 'AAAsf'; Outlook Stable; - $0a class A-2-2 'AAAsf'; Outlook Stable; - $0ab class A-2-X2 'AAAsf'; Outlook Stable; - $333,634,000a class A-3 'AAAsf'; Outlook Stable; - $0a class A-3-1 'AAAsf'; Outlook Stable; - $0ab class A-3-X1 'AAAsf'; Outlook Stable; - $0a class A-3-2 'AAAsf'; Outlook Stable; - $0ab class A-3-X2 'AAAsf'; Outlook Stable; - $589,234,000b class X-A 'AAAsf'; Outlook Stable; - $99,959,000a class A-S 'AAAsf'; Outlook Stable; - $0a class A-S-1 'AAAsf'; Outlook Stable; - $0ab class A-S-X1 'AAAsf'; Outlook Stable; - $0a class A-S-2 'AAAsf'; Outlook Stable; - $0ab class A-S-X2 'AAAsf'; Outlook Stable; - $42,088,000a class B 'AA-sf'; Outlook Stable; - $0a class B-1 'AA-sf'; Outlook Stable; - $0ab class B-X1 'AA-sf'; Outlook Stable; - $0a class B-2 'AA-sf'; Outlook Stable; - $0ab class B-X2 'AA-sf'; Outlook Stable; - $31,566,000a class C 'A-sf'; Outlook Stable; - $0a class C-1 'A-sf'; Outlook Stable; - $0ab class C-X1 'A-sf'; Outlook Stable; - $0a class C-2 'A-sf'; Outlook Stable; - $0ab class C-X2 'A-sf'; Outlook Stable; - $14,731,000c class D 'BBBsf'; Outlook Stable; - $8,418,000c class E 'BBB-sf'; Outlook Stable; - $23,149,000bc class X-D 'BBB-sf'; Outlook Stable; - $15,783,000c class F 'BB-sf'; Outlook Stable; - $15,783,000bc class X-F 'BB-sf'; Outlook Stable; - $10,522,000c class G 'B-sf'; Outlook Stable; - $10,522,000bc class X-G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $29,462,243c class H; - $29,462,243bc class X-H; - $44,303,329d RR Interest. (a) Exchangeable Certificates. The class A-2, class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-2 may be surrendered (or received) for the received (or surrendered) classes A-2-1, A-2-X1, A-2-2 and A-2-X2. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Represents the "eligible vertical interest" comprising 5.0% of the pool. The ratings are based on information provided by the issuer as of Sept. 28, 2023. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 36 loans secured by 65 commercial properties having an aggregate principal balance of $886,066,573 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings, LLC, Bank of America, N.A., Wells Fargo Bank, N.A. and Citi Real Estate Funding Inc. The Master Servicer is Wells Fargo Bank, N.A. and the Special Servicer is Greystone Servicing Company LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 73.5% of the loans by balance, cash flow analysis of 97.8% of the pool and asset summary reviews on 100% of the pool Since Fitch published its expected ratings on Sept. 12, 2023, class X-B was removed from the transaction structure by the issuer. At the time the expected ratings were published, class X-B, which referenced class A-S and class B, had a notional balance of $142,047,000. Fitch has withdrawn the expected rating of 'AA-(EXP)sf' from class X-B because the class was removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Fitch Leverage: The pool has higher leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to value ratio (LTV) of 89.9% is worse than the 2023 YTD average of 88.4%, but better than the 2022 average of 99.3%. The pool's Fitch NCF debt yield (DY) of 10.7% is in-line with the 2023 YTD average of 10.8%, but better than the 2022 average of 9.9%. Excluding credit opinion loans, the pool's Fitch LTV and DY are 92.3% and 10.5%, respectively, compared with the equivalent conduit 2023 YTD LTV and DY averages of 95.2% and 10.5%, respectively. Investment Grade Credit Opinion Loans: Three loans representing 8.4% of the pool received an investment-grade credit opinion on a stand-alone basis. Miracle Mile Shops (4.4% of pool) received a standalone credit opinion of 'AA-sf*', Harborside 2-3 (2.3%) received a standalone credit opinion of 'BBBsf*' and Back Bay Office (1.7%) received a standalone credit opinion of 'AAAsf*'. The pool's total credit opinion percentage is lower than the 2023 YTD and 2022 averages of 20.3% and 14.4%, respectively. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 0.1%, which is worse than both the 2023 YTD and 2022 averages of 1.8% and 3.3%, respectively. The pool has 35 interest-only loans (98.0% of pool), which is worse than both the 2023 YTD and 2022 averages of 81.0% and 77.5%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 55.8% of the pool, which is lower than the 2023 YTD average of 63.2%, but slightly higher than the 2022 average of 55.2%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 23.1. Shorter Duration Loans: The pool is 100.0% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'Asf' / '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. BENCHMARK 2018-B2: Fitch Lowers Rating on Class G-RR Debt to CCCsf ------------------------------------------------------------------ Fitch Ratings has downgraded the ratings on three classes and affirmed 11 classes of Benchmark 2018-B2 Mortgage Trust commercial mortgage pass-through certificates, series 2018-B2 (BMARK 2018-B2). In addition, classes E-RR and F-RR were assigned Negative Rating Outlooks following their downgrades. The Outlooks on classes D and X-D have been revised to Negative from Stable. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B2 A-2 08161CAB7 LT AAAsf Affirmed AAAsf A-3 08161CAC5 LT AAAsf Affirmed AAAsf A-4 08161CAD3 LT AAAsf Affirmed AAAsf A-5 08161CAE1 LT AAAsf Affirmed AAAsf A-S 08161CAJ0 LT AAAsf Affirmed AAAsf A-SB 08161CAF8 LT AAAsf Affirmed AAAsf B 08161CAK7 LT AA-sf Affirmed AA-sf C 08161CAL5 LT A-sf Affirmed A-sf D 08161CAP6 LT BBB+sf Affirmed BBB+sf E-RR 08161CAR2 LT BBsf Downgrade BBB-sf F-RR 08161CAT8 LT B+sf Downgrade BBsf G-RR 08161CAV3 LT CCCsf Downgrade Bsf X-A 08161CAG6 LT AAAsf Affirmed AAAsf X-D 08161CAM3 LT BBB+sf Affirmed BBB+sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria", published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Increased Loss Expectations: Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.7%. The downgrades and Negative Outlook assignments primarily reflect performance and refinancing concerns for the specially serviced loan Central Park of Lisle (6.6% of the pool) and the high concentration of Fitch Loans of Concern (FLOC; 44.1%), particularly those secured by office properties (24.7%), as well as the impact of the criteria. The largest contributor to loss expectations, Central Park of Lisle, is secured by a 693,606-sf suburban office building located in Lisle, IL. The property consists of two connected buildings, which were built in 1991 and 2001, and renovated in 2015. The loan transferred to special servicing in September 2022 due to an imminent maturity default in advance of its January 2023 maturity date. Property occupancy continues to decline. Occupancy as of the March 2023 rent roll was 70.6%, compared with 77.7% at YE 2021 and 87.5% at issuance. The property's previous largest tenant, Armour-Eckrich Meats LLC, exercised an early termination option in February 2022 (one year before actual lease termination) for a significant portion of its space at the property (8.4% of NRA). The largest tenants include CA, Inc. (6.3% of the NRA; exp. August 2025), EMC Corporation (6.3% of the NRA; exp. December 2023), Kantar LLC (5.8% of the NRA; exp. January 2025), Armour-Eckrich Meats LLC (5.4% of the NRA; exp. November 2027), and Lifestart Chicago Northwest (5.4% of the NRA; exp. April 2027). Per the special servicer, EMC has vacated bringing the occupancy down to 64.4%. Kantar vacated its space earlier this year with the space available for sublease. Farmers Insurance (4.2% of NRA; exp. May 2024) is expected to renew only a portion of their space for 12 months reducing their footprint to 2.8% NRA. The remaining tenant lease expirations are staggered, with expirations of 12.2% in 2023, 5.6% in 2024, 16.6% in 2025 and 6.3% in 2026. According to CoStar, the property lies within the Western East Corridor Office submarket. As of the second quarter 2023, the average market rent was $29.65 psf for the market area and $22.18 psf for the submarket. Vacancy rates were 16.1% and 14.2%, respectively. Average rental rates and vacancy for the subject property was $14.53 psf and 29.4% per the March 2023 rent roll. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 31% reflects a 20% stress to the most recently reported appraised value. The second largest contributor to loss expectations, Rochester Hotel Portfolio (4.7%), remains a FLOC due to sustained portfolio declines as a result of the pandemic. The loan is secured by two full service, one select service, and one extended stay hotels totaling 1,222 keys in Rochester, MN. The four hotels all have direct access to the Mayo Clinic via a series of underground pedestrian walkways and are the only hotels connected to the clinic. Portfolio performance continues to remain lower with the portfolio TTM March 2023 occupancy lower at 45.7% compared to and 54.3% at YE 2019 and 61% at issuance levels. Due to the sustained performance declines, the NOI DSCR declined to 1.01x at TTM March 2023 and 0.87x at YE 2022 from 1.20x at YE 2021 and 2.47x at YE 2018. The loan was partial interest only (IO) for 36 months and began amortizing in December 2020. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 9% reflects the TTM March 2023 NOI with no additional stress given continued performance declines and an 11.25% cap rate. Increased Credit Enhancement (CE): As of the August 2023 distribution date, the pool's aggregate principal balance has paid down by 19.8% to $1.21 billion from $1.51 billion at issuance. Since Fitch's last review, three loans (one of which was already defeased) paid-off in Nov. 2022 with a balance of $112.9 million prior to disposition. One loan has been defeased (2.5% of the pool). The majority of the pool (14 loans; 48.3% of pool) are full-term IO; no loans have a partial IO component during their remaining loan term, compared with 17 loans (25.3%) at issuance. To date, the pool has not experienced any realized losses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would be triggered by an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes with a Negative Outlook are expected if expected losses on FLOCs increase. Downgrades to '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 'AAsf' to '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 classes in the 'BBsf' to 'CCCsf' rating categories 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 would occur with stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'AAsf' and 'BBB+sf' rating categories could occur with significant improvement in CE and/or defeasance and with the stabilization of properties currently designated as FLOCs. Upgrades to the 'BBsf' to 'CCCsf' rating categories are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic stabilize, 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. BRAVO RESIDENTIAL 2023-RPL1: Fitch Assigns 'B' Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2023-RPL1 (BRAVO 2023-RPL1). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2023-RPL1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes issued by BRAVO Residential Funding Trust 2023-RPL1 (BRAVO 2023-RPL1) as indicated. The notes are supported by one collateral group that consists of 7,781 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $498.58 million, which includes $37.7 million, or 7.6%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, the agency views the home price values of this pool as 10.1% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23). The rapid gain in home prices through the pandemic moderated in 2H22 but resumed increasing in 2023. Driven by the declines in 2H22, home prices had decreased 0.2% yoy nationally as of April 2023. Seasoned Performing and Reperforming Loan Credit Quality (Mixed): The collateral consists of 7,781 SPLs and RPLs secured by first liens on one- to four-family residential properties, condominiums, planned unit developments, townhouses, manufactured housing, mobile homes and unimproved land, seasoned at approximately 194 months in aggregate, as calculated by Fitch. The pool is 89.3% current and 10.7% delinquent (DQ). Approximately 48.8% of the loans have been delinquent one or more times in the past 24 months (defined by Fitch as "dirty current"). Fitch applies a probability of default (PD) penalty to dirty current loans with the highest penalty applied to those with recent delinquencies. Additionally, 69.8% of loans have a prior modification. The borrowers have a weak credit profile of 662 FICO and 45% debt-to-income ratio (DTI), and low leverage of 55% sustainable loan-to-value ratio (sLTV). The pool consists of 93.9% of loans where the borrower maintains a primary residence, while 6.1% are investment properties or second homes or indicated as other/unknown. No Advancing (Positive): The servicers will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class with no advancing. Additionally, the transaction includes a provision where interest amounts otherwise allocable to subordinate classes B-3, B-4 and B-5 will prioritize payment of any unpaid net weighted average coupon (WAC) shortfall amount for the senior class (A-1). 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 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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'. CRITERIA VARIATION The first variation is that a due diligence compliance and data integrity review was not completed on 100% of RPLs and SPLs from multiple unknown originators. Of the portion of the pool acquired from various unrelated third-party sellers, approximately 0.3% by loan count (0.1% by UPB) did not receive a due diligence compliance and data integrity review. In aggregate, 56.0% of the loans in the pool received due diligence review. To estimate full due diligence results and adjustments, Fitch applied extrapolated loss multiples based on the concentration of loans with due diligence review, which were then applied to the loans that did not receive due diligence review. The derived multiple (1.02x-1.06x) was applied to each rating category. This variation did not lead to a category-level rating change due to the loss adjustment and de minimus amount of loans affected. The second variation is that AVMs were provided as updated values for 51% of the loans that are either modified or have had multiple prior delinquencies in the past 24 months (defined by Fitch as RPL). Fitch does not incorporate AVM values for RPL loans. Since the loans have significant seasoning and have a material amount of equity build up since origination, Fitch deemed that ignoring the updated value completely mischaracterizes the credit profile of the pool and results in a month-to-month LTV north of 80, compared with the assigned value in the mid-40s (even after Fitch's maximum 20% haircut for AVMs). Further, given the small loan balances, providing updated BPOs on a large portion of the pool is cost prohibitive. This variation resulted in a category-level rating change due to its impact in the Month-to-month LTV profile of the pool. The third variation is that a tax and title review was not completed on 100% of seasoned first lien loans. Approximately 12% by loan count (940 loans) did not receive a tax and title review. These loans each have a UPB of less than $10,000 and, in aggregate, represent only 1% (by UPB) of the pool and have a weighted average LTV of 6%. This amount was deemed immaterial relative to the pool size. Additionally, the servicers are monitoring the tax and title status as part of standard practice and the servicer will advance where deemed necessary to keep the first lien position. With respect to the sample size, no adjustment was deemed necessary given the substantial equity of the loans, the low contribution amount and the very low likelihood any potential liens would materially affect recoveries. This variation did not lead to a category-level rating change. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Digital Risk, Opus Capital Markets Consultants and Clayton Services. A third-party due diligence review was completed on 56% (by loan count) of the pool. The scope, as described in Form 15E, focused on regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. Fitch considered this information along with the tax, title and lien (TTL) search results in its analysis and, as a result, Fitch adjusted its loss expectation at 'AAAsf' by approximately 325bps to reflect missing final HUD-1 files, tax and title issues, as well as to address outstanding liens and taxes that could take priority over the subject mortgage and other adjustments to estimate full diligence review findings. 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. BSPRT 2023-FL10: Fitch Gives B-sf Rating on Class H Certs --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to BSPRT 2023-FL10 Issuer, LLC, series 2023-FL10, as follows: - $461,725,000 class A 'AAAsf'; Outlook Stable; - $143,449,000 class A-S 'AAAsf'; Outlook Stable; - $61,638,000 class B 'AA-sf'; Outlook Stable; - $50,431,000 class C 'A-sf'; Outlook Stable; - $32,500,000 class D 'BBBsf'; Outlook Stable; - $16,811,000 class E 'BBB-sf'; Outlook Stable; - 12,327,000a class F 'BB+sf'; Outlook Stable; - $21,293,000a class G 'BB-sf'; Outlook Stable; - $21,294,000a class H 'B-sf'; Outlook Stable. Fitch does not expect to rate the following class: - $75,086,441a class J. a) Horizontal risk retention interest, estimated to be 14.5% of the certificates. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 29 loans secured by 48 commercial properties having an aggregate principal balance of $896,554,441 as of the cutoff date. This figure does not include an aggregate unfunded future funding commitment of approximately $58,304,994 as of the cutoff date. The loans were contributed to the trust by Benefit Street Partners Realty Operating Partnership, L.P. The servicer is expected to be Situs Asset Management LLC and the special servicer is expected to be BSP Special Servicer, LLC. KEY RATING DRIVERS Favorable Leverage Metrics Compared to Recent CLO Transactions: The pool's Fitch loan-to-value ratio (LTV) is 152.6%, lower than the weighted average (WA) Fitch LTV for recently reviewed CLO transactions of 182.0%. The pool's Fitch debt yield (DY) is 6.7%, higher than the WA Fitch DY for recently reviewed CLO transactions of 5.9%. Additionally, the pool's Fitch term debt service coverage ratio (DSCR) is 0.75x, higher than the WA Fitch debt service coverage ratio (DSCR) for recently reviewed CLO transactions of 0.68x. Higher Interest Rates Compared with Recent CLO Transactions: The pool's WA mortgage rate is 8.29%, higher than the WA mortgage rate for recently reviewed CLO transactions of 7.63%. All loans in the pool will be floating-rate loans with the exception of two loans (4.1% of the pool): Insulet Headquarters and Country Court Village MHP. All floating-rate loans in the pool (95.9%) have caps in place, except two loans (2.4%): Varsity Georgetown, 1000 29th Street Northwest and Varsity Georgetown, 1111 30th Street Northwest. Concentration In line with Recent CLO Transactions: The pool's concentration is in line with recently reviewed CLO transactions. The top 10 loans in the pool comprise 64.2% of the pool, with the top five loans accounting for 40.5% of the pool. The WA top 10 loan percentages for recently reviewed CLO transactions is 64.5%. Higher Amortization Compared to Recent CLO transactions: The pool will feature a 4.3% paydown from securitization to the fully extended loan maturity. This is significantly higher than the recently reviewed CLO transactions, which feature a WA paydown of 0.3%. Majority of those transactions were comprised entirely of full-term IO loans. Lower Multifamily Concentration Compared to Recent CLO transactions: The pool's multifamily concentration is 65.4%, lower than the WA multifamily concentration for recently reviewed CLO transactions of 71.1%. Loans secured by multifamily properties have a below-average probability of default (PD) in Fitch's multiborrower model. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BBsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'BB-sf'/'B-sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling - This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade note holders, if needed. The note protection tests comprise an interest coverage (IC) test and a par value test at the 'BBB-' level (Class E) in the capital structure. Should either of these metrics fall below a minimum requirement, interest payments to the retained notes would be diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria, "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. 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. CHASE HOME 2023-RPL2: Fitch Gives Final 'Bsf' Rating on B-2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2023-RPL2 (Chase 2023-RPL2). Entity/Debt Rating Prior ----------- ------ ----- Chase 2023-RPL2 A-1-A LT AAAsf New Rating AAA(EXP)sf A-1-B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf B-X LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed Certificates to be issued by Chase Home Lending Mortgage Trust 2023-RPL2 (Chase 2023-RPL2) as indicated above. The transaction is expected to close on Sept. 27, 2023. The certificates are supported by one collateral group that consists of 2,149 seasoned performing loans (SPLs) and re-performing loans (RPLs) with a total balance of approximately $495.81 million, which includes $58.4 million, or 11.8%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the statistical calculation date. The majority of the loans in the transaction were originated by J.P. Morgan Chase Bank or Washington Mutual Bank (one loan was originated by EMC Mortgage Corp.) and all loans have been held by J.P. Morgan Chase since origination or acquisition of Washington Mutual Bank and Bear Stearns/EMC Mortgage Corp. All the loans have been serviced by J.P. Morgan Chase Bank N.A. since origination or acquisition of Washington Mutual/EMC. Chase is considered an 'Above Average' originator by Fitch. JPMorgan Chase Bank, N.A., rated 'RPS1-' by Fitch, is the named servicer for the transaction. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated certificates until the most senior certificates outstanding are paid in full. The servicer will not be advancing delinquent monthly payments of P&I. There is no Libor exposure in the transaction. The collateral is 98% fixed rate and 2% step loans and the A-1 bonds are fixed rate and capped at the net weighted average coupon (WAC)/available fund cap and the subordinate bonds are based on the net WAC/available fund cap. 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 7.9% above a long-term sustainable level, versus 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. Driven by the strong gains seen in 1H22, home prices decreased -0.2% yoy nationally as of April 2023. Seasoned Performing and Reperforming Credit Quality (Mixed): The collateral consists of 2,149 seasoned performing fixed-rate fully amortizing, step and balloon mortgage loans secured by first liens on primarily one- to four-family residential properties, planned unit developments, condominiums, townhouses, manufactured homes, cooperatives and unimproved land, totaling $496 million, and seasoned approximately 209 months in aggregate according to Fitch (207 months per the transaction documents). The loans were originated mainly by Chase (33%) and Washington Mutual (67%) with one loan originated by EMC. The vast majority of the loans originated by EMC and Washington Mutual, were modified by Chase after they were acquired. All loans have been serviced by J.P. Morgan Chase Bank N.A. since origination or since the loans were acquired from Washington Mutual or EMC. The borrower profile is typical of recent seasoned RPL transactions that Fitch has seen recently. The borrowers have a moderate credit profile (695 FICO according to Fitch and 702 per the transaction documents) and low current leverage with an updated loan-to-value (LTV) of 45.5% as determined by Fitch (original LTV of 76.3% as determined by Fitch) and a sustainable LTV (sLTV) as determined by Fitch of 49.8%. Borrower DTIs were not provided so Fitch assumed each loan had a 45% DTI in its analysis. 99% of the pool has been modified, with 24% being borrower retention modifications. In Fitch's analysis, Fitch only considered 75% of the pool as having a modification, since these modifications were made due to credit issues (Fitch does not consider loans that have a borrower retention modification as having been modified in its analysis). As of the cut-off date the pool is 100% current. 77.0% of loans have been clean current with 22.3% being clean current for 24 months and 54.7% have been clean current for 36 months. Many of the prior delinquencies were related to COVID-19 and the borrowers that were impacted by COVID-19 have successfully completed their COVID-19 relief plan. The pool consists of 89.0% of loans where the borrower maintains a primary residence, while 11.0% are investment properties or second homes. Fitch viewed the high percentage of primary residences as a positive feature in its analysis. There are 14 loans in the pool that were affected by a natural disaster and incurred minor damage ranging from a max of $10,000 or $25,000. Since the damage rep carves out damage on these loans, Fitch reduced the updated property value by the amount of the estimated damage as determined by the property inspection. As a result, the sLTV was increased for these loans which in turn increased the loss severity (LS). Geographic Concentration (Negative): Approximately 34.6% of the pool is concentrated in California. The largest MSA concentration is in the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (17.3%), the Los Angeles-Long Beach-Santa Ana, CA MSA (14.1%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA (9.1%). The top three MSAs account for 40.5% of the pool. As a result, there was a 1.02x probability of default penalty for geographic concentration, which increased the 'AAA' loss by 0.12%. No Advancing (Positive): The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated Certificates prior to other principal distributions is highly supportive of timely interest payments to that class with no advancing. 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 40.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was performed on 20.6% of the loans in the transaction pool. The third-party due diligence described in Form 15E focused on compliance review, payment history review, servicing comment review, and title review. All loans in the compliance due diligence sample set that are in the final pool received a compliance grade of A or B with no material findings. AMC conducted a tax and title review on 565 of the loans (26.3%). The review found there are $939,865 in outstanding tax, municipal, HOA liens (0.19% of the total pool balance). The servicer confirmed they are monitoring for outstanding tax, municipal, HOA liens and will advance as needed to maintain the first lien position. The servicer confirmed that all liens are in first lien position and that lien status is being monitored and will be advanced on, as needed. All the loans are serviced by Chase, and Chase stated they follow standard servicing practices to monitor lien status, tax and title issues (including municipal and HOA liens) and advance as needed to maintain the first lien status of the loans. A custodial review was conducted on all loans. There are 766 missing or defective documents that impact 524 loans in the pool, which Chase is actively tracking down. Chase also consulted their foreclosure attorney who confirmed that the majority of the missing documents would not prevent a foreclosure. If Chase is not able to obtain the missing documents by the time the loan goes to foreclosure, and they are not able to foreclose, they will repurchase the loan. A pay history review was conducted on a sample set of loans by AMC. This review that confirmed the pay strings are accurate and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool had the payment history confirmed. Fitch considered the results of the due diligence in its analysis. Fitch did not make any adjustments to the expected losses due to the fact that the review resulted in no material findings and mitigating factors. The mitigating factors that Fitch took into consideration are that the outstanding tax and tile issues are insignificant and would not have a material impact on the losses, JPMorgan Chase is the servicer and is monitoring for tax/title issues in order to maintain the first lien position, the servicer confirmed the payment history on 100% of the loans, the custodian is actively tracking down missing documents and the missing documents would not prevent a foreclosure, and JPMorgan Chase is the R&W provider who holds an investment-grade rating from Fitch. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 20.6% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance grades. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale for more details. AMC also performed a serving comment review, payment history review, and data integrity review of the loans that had a compliance review. 565 had a tax and title review performed by AMC. For 100% of the loans in the pool, Fitch also received confirmation from the servicer on the payment history provided in the loan tape and confirmation that all liens are in the first lien position. JPMorgan Chase has a very robust process for confirming the data in loan tape is accurate based on the documentation they have in the loan files and servicing systems, which is a mitigating factor to the limited data integrity review by AMC in addition to the R&W being provided by JPMorgan Chase. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information; however, this information was not provided based on the American Securitization Forum's (ASF) data layout format. Despite this difference in data presentation, Fitch considered the data to be comprehensive. The data contained in the data tape were reviewed 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. COLT 2023-3 MORTGAGE: Fitch Puts 'B(EXP)sf' Rating on Cl. B2 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2023-3 Mortgage Loan Trust (COLT 2023-3). Entity/Debt Rating ----------- ------ COLT 2023-3 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by COLT 2023-3 Mortgage Loan Trust as indicated above. The certificates are supported by 684 nonprime loans with a total balance of approximately $348 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Change Lending, HomeXpress Mortgage Corp. and others. For details regarding Fitch's view of Change Lending, please see the presale. Loans were aggregated by Hudson Americas L.P. Loans are currently serviced by Select Portfolio Servicing, Inc. (SPS), Fay Servicing, or Northpointe Bank. 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% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23, down 0.2% since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices driving national overvaluation. Home prices have increased 1.0% YoY nationally as of August 2023, despite regional declines, but are still being supported by limited inventory. NQM Credit Quality (Negative): The collateral consists of 684 loans, totaling $348 million and seasoned approximately two months in aggregate. The borrowers have a moderate credit profile of a 737 model FICO and leverage with a 76.1% sustainable loan-to-value ratio (sLTV) and 70.8% combined original LTV (cLTV). The pool consists of 51.1% of loans where the borrower maintains a primary residence, while 41.0% comprise an investor property. Additionally, 30.7% are nonqualified mortgage (NQM), 1.0% are qualified mortgage (SHQM), and 0.0% are high-priced qualified mortgage (HPQM). The QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 20.75%. This is mainly driven by the NQM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Around 90.3% of loans in the pool were underwritten to less than full documentation and 52.7% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay Rule (ATR Rule), or the Rule. This reduces risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by 558 bps, compared with a deal of 100% fully documented loans. High Percentage of DSCR Loans (Negative): There are 348 debt service coverage ratio (DSCR) products in the pool (32.5% by UPB). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Its treatment for DSCR loans results in a higher Fitch reported non-zero DTI. Its average expected losses for DSCR loans is 35.9% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2023-3 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100 bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to the class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. As additional analysis to its rating stresses, Fitch considered a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 39.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, SitusAMC, Canopy, Clayton, Evolve, Selene, and Stonehill. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 43bps reduction to 'AAAsf' losses. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. 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. COMM 2012-CCRE1: Moody's Lowers Rating on 3 Tranches to C --------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class and downgraded the ratings on four classes in COMM 2012-CCRE1 Mortgage Trust ("COMM 2012-CCRE1"), Commercial Pass-Through Certificates, series 2012-CCRE1 as follows: Cl. D, Downgraded to Caa3 (sf); previously on Feb 22, 2023 Cl. E, Downgraded to C (sf); previously on Feb 22, 2023 Downgraded to Caa3 (sf) Cl. F, Downgraded to C (sf); previously on Feb 22, 2023 Downgraded to Caa3 (sf) Cl. G, Affirmed C (sf); previously on Feb 22, 2023 Downgraded to C (sf) Cl. X-B*, Downgraded to C (sf); previously on Feb 22, 2023 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes, Cl. D, Cl. E and Cl. F, were downgraded due to higher anticipated losses and increased risk of interest shortfalls from the specially serviced and troubled loans driven primarily by significant exposure to two specially serviced loans. The largest loan, RiverTown Crossings Mall (82% of the pool), is secured by a class B regional mall whose performance has declined since securitization. The other remaining loan is Philadelphia Square, a student housing property located in Indiana, Pennsylvania. The rating on one P&I class, Cl. G, was affirmed because the ratings are consistent with realized losses. Class G has realized 89% losses already. The rating on one IO class, Cl. X-B, was downgraded due to the credit quality of its reference classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 60.5% of the current pooled balance, compared to 49.2% at Moody's last review. Moody's base expected loss plus realized losses is now 8.0% of the original pooled balance, compared to 8.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the September 15, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $57 million from $933 million at securitization. The certificates are collateralized by two mortgage loans ranging in size from 18% to 82% of the pool. Both remaining loans are currently in special servicing. The largest specially serviced loan is the RiverTown Crossings Mall Loan ($46.8 million – 82.2% of the pool), which represents a pari-passu portion of a $130.5 million mortgage loan. The loan is secured by an approximately 635,800 SF portion of a 1.2 million SF regional mall located in Grandville, Michigan. The property was built in 2000 and is anchored by Macy's, Kohl's, J.C. Penney, Dick's Sporting Goods and Celebration Cinemas. The sponsor purchased a vacant, former non-collateral Younkers (closed 2018) anchor box (150,081 SF) in 2019 for $4.4 million. There was also a former non-collateral Sears which closed in January 2021. The only collateral anchors are Dick's Sporting Goods and Celebration Cinemas, and both tenants have renewed their leases in early 2020 for an additional five years. As of September 2022, the collateral and inline occupancy were 93% and 78%, respectively, compared to an in-line occupancy of 79% in September 2021 and 88% in March 2020. As of March 2022, comparable in-line sales (less than 10,000 SF) were $443 PSF, compared to $309 PSF in December 2020, and $382 PSF for the year ending December 2019. While property performance generally improved through 2016, it has since declined primarily due to lower rental revenues. The year-end 2022 net operating income (NOI) was lower than in 2019 and underwritten levels. The loan transferred to special servicing in October 2020 due to imminent monetary default and failed to pay off at its maturity date in June 2021. In August 2022, an updated appraisal indicated an As-Is market value of $68.9 million, a 73% decline in value since securitization. The second largest specially serviced loan is the Philadelphia Square Loan ($10.1 million – 17.8% of the pool), which is secured by a student housing property located in Indiana, Pennsylvania approximately 60 miles east of Pittsburgh. The property is located several blocks from the Indiana University of Pennsylvania campus. Indiana University's enrollment has dropped significantly over the last 10 years and the property has also faced competition from freshman dorm requirements and the development of four new on campus dorms. The loan transferred to special servicing in March 2022 due to anticipated default at loan maturity in May 2022. The loan has amortized by 19.5% since securitization. In May 2022, an updated appraisal indicated an As-Is market value of $6.3 million, a 57% decline in value since securitization. The borrower has been unable to refinance the loan, and reports continued occupancy issues due to decreased enrollment and increased designated student housing. COMM 2012-CCRE2: Moody's Lowers Rating on Cl. G Certs to C ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings on three classes and affirmed the rating on one class in in COMM 2012-CCRE2 Mortgage Trust ("COMM 2012-CCRE2"), Commercial Pass-Through Certificates, Series 2012-CCRE2 as follows: Cl. E, Affirmed B1 (sf); previously on Mar 29, 2023 Downgraded to B1 (sf) Cl. F, Downgraded to Caa2 (sf); previously on Mar 29, 2023 Downgraded to Caa1 (sf) Cl. G, Downgraded to C (sf); previously on Mar 29, 2023 Downgraded to Caa3 (sf) Cl. X-B*, Downgraded to Ca (sf); previously on Mar 29, 2023 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on one P&I class was affirmed because the rating is consistent with the expected recovery of principal from specially serviced loans. The ratings on two P&I classes were downgraded due to higher anticipated losses and increased risk of interest shortfalls from specially serviced loans. All of the remaining loans (100% of the pool) are in special servicing and have now passed their original maturity dates. The largest loan is the Chicago Ridge Mall (89% of the pool), which is secured by a super-regional mall and the other specially serviced loan is secured by a neighborhood retail center. The rating on one IO class was downgraded based on the credit quality of the referenced classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 46.5% of the current pooled balance, compared to 36.1% at Moody's last review. Moody's base expected loss plus realized losses is now 4.8% of the original pooled balance, compared to 4.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the September 15, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $85 million from $1.32 billion at securitization. The certificates are collateralized by two mortgage loans. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $23 million (for an average loss severity of 40%). Both remaining loans are currently in special servicing. The largest specially serviced loan is the Chicago Ridge Mall Loan ($76.1 million – 89.1% of the pool), which is secured by a 569,000 square foot (SF) portion of an 868,000 SF super-regional mall located approximately 15 miles southwest of the Chicago central business district (CBD). At securitization, the mall was anchored by a Sears, Kohl's, Carson Pirie Scott and an AMC Theatres. The Sears and Kohl's are non-collateral and Sears has since vacated. Carson Pirie Scott has also vacated the property in 2018 but a portion of the space has been replaced with a Dick's Sporting Goods. The collateral was 73% leased as of December 2022, compared to 82% as of December 2021 and 95% at securitization. An updated appraisal in April 2022 valued the property at $65.7 million, a 49% decline in value since securitization, though above the outstanding loan balance. This loan was modified in July 2022, and the maturity date was extended to July 2023, after which, the loan was subsequently returned to the master servicer in October 2022. The loan is now in special servicing and is non-performing and past its extended maturity date. The second largest specially serviced loan is the Green Crossroads Loan ($9.35 million – 10.9% of the pool), which is secured by a neighborhood center located in Houston, Texas. The property is anchored by a Burlington Coat Factory (54% of NRA) who extended their lease by five years to April 2027. The loan had transferred to special servicing in June 2020 due to monetary default in relation to the coronavirus pandemic, and subsequently received a modification extending the maturity date to March 2023 from July 2022. The loan returned to the master servicer in July 2021. Occupancy at the property was 80% in March 2022, compared to 84% in 2017 and 91% at securitization. In July 2022, the loan transferred back into special servicing due to the borrower's inability to pay off the loan at the anticipated maturity date in March 2023. An updated appraisal in May 2023 valued the property at $12.89 million, which is still above the outstanding loan balance. COMM 2012-CCRE3: Moody's Lowers Rating on Cl. E Certs to 'C' ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on five classes and downgrades the ratings on four classes in COMM 2012-CCRE3 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE3, as follows: Cl. A-M, Affirmed A3 (sf); previously on Apr 26, 2023 Downgraded to A3 (sf) Cl. B, Affirmed B1 (sf); previously on Apr 26, 2023 Downgraded to B1 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Apr 26, 2023 Downgraded to Caa1 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Apr 26, 2023 Downgraded to Caa2 (sf) Cl. E, Downgraded to C (sf); previously on Apr 26, 2023 Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Apr 26, 2023 Affirmed C (sf) Cl. PEZ, Downgraded to B3 (sf); previously on Apr 26, 2023 Downgraded to B1 (sf) Cl. X-A*, Affirmed A3 (sf); previously on Apr 26, 2023 Downgraded to A3 (sf) Cl. X-B*, Affirmed Ca (sf); previously on Apr 26, 2023 Downgraded to Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes were affirmed because the ratings are consistent with expected recovery of principal and interest from specially serviced loans. The ratings on three P&I classes were downgraded due to higher anticipated losses and increased risk of interest shortfalls from specially serviced loans. All of the remaining loans (100% of the pool) are in special servicing. The largest loan is the Solano Mall Loan (58% of the pool), which is secured by a super-regional mall that has had a decline in performance in the recent years and the loan is currently in foreclosure. The rating on one P&I class was affirmed because the rating is consistent with realized losses. Class F has already experienced an 89% realized loss as result of previously liquidated loans. The ratings on the IO classes were affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class, PEZ, was downgraded due to the credit quality of its referenced exchangeable classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 37.7% of the current pooled balance, compared to 39.1% at Moody's last review. Moody's base expected loss plus realized losses is now 12.0% of the original pooled balance, compared to 12.2% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the September 15, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 86% to $180 million from $1.25 billion at securitization. The certificates are collateralized by two mortgage loans. Four loans have been liquidated from the pool, resulting in an aggregate realized loss of $82 million (for an average loss severity of 54%). Both remaining loans are currently in special servicing. The largest specially serviced loan is the Solano Mall Loan ($105.0 million – 58.3% of the pool), which is secured by a 561,000 square feet (SF) portion of 1.1 million SF super regional mall located in Fairfield, California. The mall's non-collateral anchors include Macy's, J.C. Penney, and a now vacant Sears, though Dave and Buster's backfilled approximately 30,000 SF of the total former Sears space of 149,000 SF. The largest collateral tenant is Edwards Cinemas (11.2% of net rentable area (NRA), lease expiration December 2024). A junior anchor tenant, Forever 21, previously closed its space but has been backfilled by California Health MRC. As of December 2022, the property's inline space was 93% leased (including temporary tenants). The property's net operating income (NOI) was already declining prior to 2020 but was further significantly impacted by the coronavirus pandemic and performance has remained well below levels at securitization. The 2019 NOI was 33% lower than in 2012, and the 2022 NOI declined a further 17% from 2019 levels. The loan is interest only for its entire term with an interest rate of 4.5% and the 2022 NOI DSCR was 1.86X compared to 2.24X in 2019. The loan has been in special servicing since June 2020 and passed its original maturity date in July 2022. A February 2023 appraisal valued the property 54% below the securitization value and 16% below the outstanding loan balance. The second largest specially serviced loan is The Prince Building Loan ($75.0 million – 41.7% of the pool), which represents a pari passu portion of a $200 million whole loan. The loan is secured by a 354,600 SF mixed-use property located in the SoHo neighborhood of New York City. The ground floor portion is leased to retail tenants including Equinox, Forever 21 and Hugo Boss. The office portion is leased by tenants including Group 9 Media and ZocDoc, who combined, represent 49.9% of the property NRA. As of December 2022, the property was 93% occupied, with an average occupancy of 96% since securitization. The property's NOI peaked in 2016, and then fell sharply in 2018 before gradually recovering through 2021. The 2021 NOI remained below underwritten level, however, the 2022 NOI was essentially the same as the NOI at securitization. The loan transferred to the special servicer in September 2022 due to the loan not being able to refinance at its original maturity date in October 2022. The most recent appraisal value in 2022 was 11% below the value at securitization but well above the outstanding loan balance. The loan is fully interest only and was recently extended with a new maturity date in October 2023. As of the September 15, 2023 remittance statement cumulative interest shortfalls were $3.15 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. CONNECTICUT AVENUE 2023-R07: Moody's Assigns (P)Ba2 to 3 Tranches ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 62 classes of credit risk transfer (CRT) residential mortgage-backed securities (RMBS) to be issued by Connecticut Avenue Securities Trust 2023-R07, and sponsored by Federal National Mortgage Association (Fannie Mae). The securities reference a pool of mortgage loans acquired by Fannie Mae, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Connecticut Avenue Securities Trust 2023-R07 Cl. 2M-1, Assigned (P)A3 (sf) Cl. 2M-2A, Assigned (P)Baa1 (sf) Cl. 2M-2B, Assigned (P)Baa2 (sf) Cl. 2M-2C, Assigned (P)Baa3 (sf) Cl. 2M-2, Assigned (P)Baa2 (sf) Cl. 2B-1A, Assigned (P)Ba1 (sf) Cl. 2B-1B, Assigned (P)Ba3 (sf) Cl. 2B-1, Assigned (P)Ba2 (sf) Cl. 2E-A1, Assigned (P)Baa1 (sf) Cl. 2A-I1*, Assigned (P)Baa1 (sf) Cl. 2E-A2, Assigned (P)Baa1 (sf) Cl. 2A-I2*, Assigned (P)Baa1 (sf) Cl. 2E-A3, Assigned (P)Baa1 (sf) Cl. 2A-I3*, Assigned (P)Baa1 (sf) Cl. 2E-A4, Assigned (P)Baa1 (sf) Cl. 2A-I4*, Assigned (P)Baa1 (sf) Cl. 2E-B1, Assigned (P)Baa2 (sf) Cl. 2B-I1*, Assigned (P)Baa2 (sf) Cl. 2E-B2, Assigned (P)Baa2 (sf) Cl. 2B-I2*, Assigned (P)Baa2 (sf) Cl. 2E-B3, Assigned (P)Baa2 (sf) Cl. 2B-I3*, Assigned (P)Baa2 (sf) Cl. 2E-B4, Assigned (P)Baa2 (sf) Cl. 2B-I4*, Assigned (P)Baa2 (sf) Cl. 2E-C1, Assigned (P)Baa3 (sf) Cl. 2C-I1*, Assigned (P)Baa3 (sf) Cl. 2E-C2, Assigned (P)Baa3 (sf) Cl. 2C-I2*, Assigned (P)Baa3 (sf) Cl. 2E-C3, Assigned (P)Baa3 (sf) Cl. 2C-I3*, Assigned (P)Baa3 (sf) Cl. 2E-C4, Assigned (P)Baa3 (sf) Cl. 2C-I4*, Assigned (P)Baa3 (sf) Cl. 2E-D1, Assigned (P)Baa2 (sf) Cl. 2E-D2, Assigned (P)Baa2 (sf) Cl. 2E-D3, Assigned (P)Baa2 (sf) Cl. 2E-D4, Assigned (P)Baa2 (sf) Cl. 2E-D5, Assigned (P)Baa2 (sf) Cl. 2E-F1, Assigned (P)Baa3 (sf) Cl. 2E-F2, Assigned (P)Baa3 (sf) Cl. 2E-F3, Assigned (P)Baa3 (sf) Cl. 2E-F4, Assigned (P)Baa3 (sf) Cl. 2E-F5, Assigned (P)Baa3 (sf) Cl. 2-X1*, Assigned (P)Baa2 (sf) Cl. 2-X2*, Assigned (P)Baa2 (sf) Cl. 2-X3*, Assigned (P)Baa2 (sf) Cl. 2-X4*, Assigned (P)Baa2 (sf) Cl. 2-Y1*, Assigned (P)Baa3 (sf) Cl. 2-Y2*, Assigned (P)Baa3 (sf) Cl. 2-Y3*, Assigned (P)Baa3 (sf) Cl. 2-Y4*, Assigned (P)Baa3 (sf) Cl. 2-J1, Assigned (P)Baa3 (sf) Cl. 2-J2, Assigned (P)Baa3 (sf) Cl. 2-J3, Assigned (P)Baa3 (sf) Cl. 2-J4, Assigned (P)Baa3 (sf) Cl. 2-K1, Assigned (P)Baa3 (sf) Cl. 2-K2, Assigned (P)Baa3 (sf) Cl. 2-K3, Assigned (P)Baa3 (sf) Cl. 2-K4, Assigned (P)Baa3 (sf) Cl. 2M-2Y, Assigned (P)Baa2 (sf) Cl. 2M-2X*, Assigned (P)Baa2 (sf) Cl. 2B-1Y, Assigned (P)Ba2 (sf) Cl. 2B-1X*, Assigned (P)Ba2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the GSE's oversight of originators and servicers, and the third-party review. Moody's expected loss for this pool in a baseline scenario-mean is 1.16%, in a baseline scenario-median is 0.93% and reaches 5.32% at a stress level consistent with Moody's Aaa ratings. Moody's made a qualitative adjustment to the model output based on analysis on historical performance and benchmarking against comparable portfolios to arrive at the final EL. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CQS US 2022-2: Fitch Hikes Rating on Class E-2 Notes to 'BB-sf' ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CQS US CLO 2022-2, Ltd. refinancing notes. Fitch has also affirmed the ratings of the class C, D and E-1 notes, upgraded class E-2 notes, and revised the Rating Outlooks on the class C and D notes to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- CQS US CLO 2022-2, Ltd. A-1 12664BAA5 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 12664BAC1 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-1 12664BAE7 LT PIFsf Paid In Full AA+sf B-1-R LT AA+sf New Rating B-F 12664BAG2 LT PIFsf Paid In Full AA+sf B-F-R LT AA+sf New Rating C 12664BAJ6 LT A+sf Affirmed A+sf D 12664BAL1 LT BBB+sf Affirmed BBB+sf E-1 12664CAA3 LT BB+sf Affirmed BB+sf E-2 12664CAC9 LT BB-sf Upgrade B+sf TRANSACTION SUMMARY CQS US CLO 2022-2, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) managed by CQS (US), LLC., that originally closed in September 2022. The CLO's secured notes were partially refinanced on Sept. 28, 2023 (the first refinancing date) from the proceeds of new secured notes. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.9% first-lien senior secured loans and has a weighted average recovery assumption of 75.8%. Portfolio Composition (Positive): The largest three industries comprise 34.8% of the portfolio balance in aggregate, while the top five obligors represent 4.66% 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 does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life (WAL) of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio that includes a one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. 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. KEY PROVISION CHANGES The refinancing is being implemented via the refinancing supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The non-call period for the refinancing notes will end in September 2024. FITCH ANALYSIS CQS US CLO 2022-2, Ltd. is a static pool CLO. The issuer is not permitted to purchase any loans after the closing date (other than rescue financing assets). As such, there are no collateral quality tests or concentration limitations, and Fitch's analysis is based on the latest portfolio from the trustee. The portfolio presented to Fitch from the trustee report as of Sept. 7, 2023 includes 301 assets from 198 primarily high yield obligors. The portfolio balance including the amount of principal cash was approximately $380.4 million. As per the latest trustee report, the transaction passes all of its coverage tests. The weighted average rating factor of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 33.2% of the current portfolio par balance; ratings for 66.3% of the portfolio were derived from using Fitch's Issuer Default Rating equivalency map. Defaulted assets, assets without a public rating or a Fitch credit opinion represent 0.5% of the current portfolio par balance. As CQS US CLO 2022-2 is a static pool CLO, in lieu of a traditional stress portfolio, Fitch considered a one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor, as described in Fitch's CLO and Corporate CDOs Rating Criteria. In a static stress, Fitch also typically includes a maturity extension scenario on the current portfolio to account for the issuer's ability to extend the WAL of the portfolio as a result of maturity amendments. However, the current portfolio WAL equals the maximum WAL in then indenture, so the WAL from the current portfolio was maintained. Fitch generated projected default and recovery statistics of the FSP using its portfolio credit model (PCM). The PCM default and recovery rate outputs for the FSP at the 'AAAsf' rating stress were 51.9% and 40.6%, respectively. The PCM default and recovery rate outputs for the FSP at the 'AA+sf' rating stress were 50.9% and 49.71%, respectively. The PCM default and recovery rate outputs for the FSP at the 'A+sf' rating stress were 45.6% and 59.65%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB+sf' rating stress were 39.1% and 69.05%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BB-sf' rating stress were 29.9% and 74.58%, respectively. In the analysis of the current portfolio the class A-1-R, A-2-R, B-R, C, D, E-1 and E-2 notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BB+sf' and 'BB-sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 11.4%, 7.9%, 3.8%, 3.7%, 2.8% 5.7%, and 3.8%, respectively. In the analysis of the FSP, the class A-1-R, A-2-R and B-R notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BB+sf' and 'BB-sf' rating thresholds in all nine cash flow scenarios with a minimum cushion of 8.9%, 5.4%, 2.4%, 1.5%, 0.6%, 3.7% and 1.8%, respectively. The Stable Outlook on the class A-1-R, A-2-R, B-R, C, D, E-1 and E-2 notes reflects the expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio. 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 'Asf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'Bsf' and 'A-sf' for class C, between 'less than B-sf' and 'BBB-sf' for class D, between 'less than B-sf' and 'BBsf' for class E-1; and between 'less than B-sf' and 'B+sf' for class E-2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and A-2-R notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'A+sf' for class D, 'BBB+sf' for class E-1; and 'BBB+sf' for class E-2. 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. CSAIL 2017-CX10: Fitch Lowers Rating on 3 Tranches to 'Bsf' ------------------------------------------------------------ Fitch Ratings has downgraded six and affirmed 11 classes of CSAIL 2017-CX10 Commercial Mortgage Trust Pass-through Certificates, series 2017-CX10. In addition, Fitch assigned a Negative Rating Outlook to five classes following their downgrades, and the Outlook was revised to Negative from Stable for four of the affirmed classes. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2017-CX10 A-3 12595JAE4 LT AAAsf Affirmed AAAsf A-4 12595JAG9 LT AAAsf Affirmed AAAsf A-5 12595JAJ3 LT AAAsf Affirmed AAAsf A-S 12595JAS3 LT AAAsf Affirmed AAAsf A-SB 12595JAL8 LT AAAsf Affirmed AAAsf B 12595JAU8 LT AA-sf Affirmed AA-sf C 12595JAW4 LT A-sf Affirmed A-sf D 12595JBA1 LT BBsf Downgrade BBB-sf E 12595JBC7 LT Bsf Downgrade BB-sf F 12595JBE3 LT CCCsf Downgrade B-sf V1-A 12595JBL7 LT AAAsf Affirmed AAAsf V1-B 12595JBN3 LT A-sf Affirmed A-sf V1-D 12595JBQ6 LT BBsf Downgrade BBB-sf V1-E 12595JBS2 LT Bsf Downgrade BB-sf X-A 12595JAN4 LT AAAsf Affirmed AAAsf X-B 12595JAQ7 LT AA-sf Affirmed AA-sf X-E 12595JAY0 LT Bsf Downgrade 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. The downgrades and Negative Outlooks reflect the impact of the updated criteria and increased loss expectations since the prior rating action on the Fitch Loans of Concern (FLOCs), specifically 379 West Broadway (5.6%), 300 Montgomery (4.0%) and the specially serviced 600 Vine (4.6%) loans. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.4%. Seven loans (31.7% of the pool) have been designated as FLOCs, including two loans (10.6%) in special servicing. The transaction has a high concentration of loans backed by office properties, representing approximately 45% of the pool. FLOCs/Contributors to Loss: The largest contributor to overall loss expectations is the 379 West Broadway loan, which is secured by a 69,392-sf office property located in the Soho neighborhood of Manhattan. The three tenants at the property are WeWork (87.6% NRA through March 2024), Celine (6.2%; June 2024) and Ralph Lauren (6.2%; January 2027). The servicer-reported YE 2022 NOI DSCR was 1.98x compared with 1.88x at YE 2021 and 1.69x at YE 2020. While the property has remained 100% occupied since issuance, both WeWork and Celine, combined 93.8% of the NRA, have leases rolling in 2024. Approximately 65% of the total rental income comes from the five floors of office space leased to WeWork and the remaining 35% comes from the two retail tenants. Fitch's 'Bsf' rating case loss of 17% (prior to concentration add-ons) reflects an 8.50% cap rate and a 50% stress to the YE 2022 NOI, as well as a heighted probability of default to address the significant upcoming tenant rollover and large WeWork exposure. The second largest contributor to overall loss expectations is the specially serviced 600 Vine loan, which is secured by a 578,893-sf office property located in Cincinnati, OH. The loan transferred to special servicing in June 2023 for imminent default due to continued year-over-year performance declines. The largest tenants include FirstGroup America (10.6% NRA through March 2024), Bartlett & CO (3.7%; April 2029) and Cole + Russell Architects (3.7%; April 2025). According to the June 2023 rent roll, the property was 72.9% occupied, compared to 74% at YE 2021. Upcoming rollover consists of eight tenants, representing 17.5% of the NRA, including the largest tenant, in 2024. Fitch's 'Bsf' rating case loss of 20% (prior to concentration add-ons) was based on a haircut to a recent appraisal valuation, reflecting a stressed value of $69 psf. The third largest contributor to overall loss expectations is the 300 Montgomery loan, which is secured by a 192,574-sf office building located in the Financial District of San Francisco, CA. Major tenants include Delagnes Mitchell & Linder (8.1% NRA through August 2028), Smartly.io Solutions (6.4%; September 2024), Stantec Consulting Services (5.9%; December 2029), Consulate General of Brazil (downsized to 4.9%; May 2032). Occupancy was 59% as of the March 2023 rent roll, compared to 53% as of YE 2021, 57% at YE 2020 and 83% at YE 2019. The decline in occupancy since 2019 was attributed to Lyric Hospitality (30% NRA) vacating a significant portion of its space at the property during Q4 2020. The servicer-reported YE 2022 NOI DSCR has fallen to 1.67x from 3.70x at YE 2020. The borrower collected a $1.9 million termination fee, which contributed to the 31% higher NOI in 2020 relative to 2019. The leasing reserve is being used to re-lease the vacant spaces. Due to weakened market fundamentals, the borrower has observed slower leasing activity. Fitch's 'Bsf' rating case of 12% reflects a 9.50% cap rate and a 10% stress to the YE2022 NOI, which addresses occupancy concerns and the weak submarket fundamentals. The other specially serviced loan in the pool, The Standard Highline NYC (6.0%), is secured by a 338-key full-service hotel located in the heart of the Meatpacking District in Manhattan. The loan transferred to special servicing in June 2020 for payment default due to the effects of the pandemic. NOI was negative for fiscal year 2020, but has rebounded to pre-pandemic levels with an NOI of $22.5 million as of YE 2022. According to the TTM March 2023 STR report, occupancy and RevPAR were reported to be 87% and $385, respectively, compared with 91% and $345 at issuance. The servicer reported a NOI DSCR of 2.71x as of YE 2022, an improvement from 2.53x at YE 2021. According to the servicer, a reinstatement of the loan occurred in June 2023 and the loan is expected to return to the master servicer after a monitoring period. Fitch modeled a small loss on this loan in the 'Bsf' rating case to account for special servicing fees and expenses. Credit Opinion Loans: Three loans, representing 18.5% of the pool, had investment-grade credit opinions at issuance, including One California Plaza (6.2%), The Standard Highline NYC (5.6%) and Centre 425 Bellevue (5.6%). Given the declines in performance, One California Plaza and The Standard Highline are no longer considered as credit opinion loans. Based on the collateral quality and continued stable performance, the Centre 425 Bellevue loan remains consistent with an investment-grade credit opinion loan. Improved CE: As of the August 2023 distribution date, the pool's aggregate balance has been paid down by 27.9% to $803.3 million from $1.1 billion at issuance. Two loans (2.0% of the pool) were defeased. Eighteen loans (72%) are full-term IO and the remainder 28% of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not likely due to the expected continued amortization and increasing CE relative to loss expectations, but may occur should interest shortfalls affect these classes. Downgrades to the 'AA-sf' and 'A-sf' rated classes will occur if expected losses increase significantly for the FLOCs, specifically 600 Vine, 370 West Broadway, and 300 Montgomery loans; other FLOCs experience an large outsized loss and/or loans anticipated to pay off at maturity exhibit declines in performance. Further downgrades to the 'BBsf', 'Bsf' and CCCsf' rated classes will occur with a greater certainty of loss from continued performance decline of the FLOCs and/or realized losses are greater than anticipated. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AA-sf' and 'A-sf' rated classes may occur with significant improvement in CE and/or defeasance as well as with the stabilization of performance on the FLOCs, including 379 West Broadway and 300 Montgomery. Upgrades to the 'BBsf' and 'Bsf' rated classes 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. An upgrade to the 'CCCsf' rated class is considered unlikely 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. CSAIL COMMERCIAL 2017-C8: Fitch Affirms CCC Rating on Class F Debt ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of CSAIL Commercial Mortgage Trust 2017-C8, commercial mortgage pass-through certificates. The Rating Outlooks on classes C, D, V1-B, V1-D and X-B have been revised to Negative from Stable. The Outlook on class E remains Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2017-C8 A-3 12595BAC5 LT AAAsf Affirmed AAAsf A-4 12595BAD3 LT AAAsf Affirmed AAAsf A-S 12595BBF7 LT AAAsf Affirmed AAAsf A-SB 12595BAE1 LT AAAsf Affirmed AAAsf B 12595BAH4 LT AA-sf Affirmed AA-sf C 12595BAJ0 LT A-sf Affirmed A-sf D 12595BAK7 LT BBB-sf Affirmed BBB-sf E 12595BAM3 LT B-sf Affirmed B-sf F 12595BAP6 LT CCCsf Affirmed CCCsf V1-A 12595BBQ3 LT AAAsf Affirmed AAAsf V1-B 12595BBR1 LT A-sf Affirmed A-sf V1-D 12595BBS9 LT BBB-sf Affirmed BBB-sf X-A 12595BAF8 LT AAAsf Affirmed AAAsf X-B 12595BAG6 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. Stable Loss Expectations: Loss expectations for the pool remain stable since Fitch's prior rating action. Seven loans (46.0% of pool) were flagged as Fitch Loans of Concern (FLOCs), including three office loans in the top 15 with upcoming rollover concerns and/or declining performance. One loan, the Hilton Garden Inn - Fort Washington (2.5%) loan is currently in specially servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 4.2%. The Negative Outlooks reflect concerns regarding the performance of the 85 Broad Street (14.7%), Hotel Eastlund (6.3%) and Livingston Town Center (2.4%) loans. Additionally, the pool has a high overall exposure to office properties (41.1% of the pool). The largest contributor to loss expectations is the specially serviced, Hilton Garden Inn - Fort Washington (2.5%) loan, which is secured by a 144-key limited-service hotel located in Fort Washington, PA. The loan transferred to special servicing in July 2020 for delinquent payments as the borrower requested COVID-19 relief. The hotel underwent a $2.0MM PIP ($13,888-key), completed in 2020. However, the property was severely damaged from a hurricane in September 2021 and is currently closed. According to the servicer, a receiver is in place and the property is currently under contract for sale. Fitch's 'Bsf' case loss of 61.9% (prior to a concentration adjustment) is based on the most recent July 2023 appraisal report with additional stresses. The second largest contributor to loss expectations is the Hotel Eastlund (6.3%), which is secured by a 168-key full-service hotel located near downtown and the convention center in Portland, OR. The loan was returned to the master servicer in April 2022 after previously transferring to special servicing in July 2020 for payment default and the borrower's request for coronavirus relief. The property's performance has improved, but is yet to return to pre-pandemic levels. According to the most recent Smith Travel Research report for TTM ended June 2023, the property is outperforming its competitive set with occupancy, ADR and RevPAR of 66%, $172, and $113 compared to 53%, $164, $87; respectively. As of the TTM ended June 2023, the RevPAR penetration rate was 130.0%. Fitch's 'Bsf' case loss of 6.2% (prior to a concentration adjustment) is based on an 11.25% cap rate to the TTM ended June 2023 NOI. Increased Credit Enhancement (CE): As of the September 2023 distribution date, the pool's aggregate principal balance has been reduced by 22.2% to $686.6 million from $883.1 million at issuance. Six loans in the pool (9.8% of the pool) are fully defeased and four loans have been paid off (19.1% of original pool balance). Nine loans, representing 54.6% of the pool, are full-term interest-only. Ten loans, representing 29.3% of the pool, are structured with a partial interest-only component. The majority of the loans in the pool (91.3%) are scheduled to mature in the first half of 2027, the Broadway Portfolio (5.1%) loan is scheduled to mature in December 2026, and the 71 Fifth Ave (3.7%) loan is scheduled to mature in February 2032. To date, the trust has incurred $4,068 in realized losses. Under collateralization: The transaction is slightly undercollateralized by approximately $1,381,849.66 due to a workout delayed reimbursement advance which was first reflected in the July 2022 remittance. 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/assets. Downgrades to the super senior 'AAAsf' rated classes are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to the junior 'AAAsf' and 'AA-sf' rated classes are possible should expected losses for the pool increase significantly, and/or there are additional transfers to special servicing and the FLOCs fail to stabilize; - Downgrades to the 'A-sf' and 'BBBsf' rated classes are possible should loss expectations increase due to continued performance declines and/or lack of stabilization on the FLOCs, additional loans transfer to special servicing and/or the specially serviced loans experience higher than expected losses upon resolution. Further downgrades to the distressed rated classes D and E will occur with further certainty of losses and/or actual losses are incurred. 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, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs; however, adverse selection, increased concentrations and further underperformance of the larger FLOCs could cause this trend to reverse; - Upgrades to the 'BBBsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties impacted by the pandemic fully stabilize, and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. 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. ELLINGTON CLO III: Moody's Cuts Rating on $11MM Cl. F Notes to Ca ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Ellington CLO III, Ltd.: US$28,000,000 Class B Senior Secured Floating Rate Notes due July 2030 (the "Class B Notes"), Upgraded to Aaa (sf); previously on February 8, 2022 Upgraded to Aa1 (sf) Moody's has also downgraded the ratings on the following notes: US$35,500,000 Class D Secured Deferrable Floating Rate Notes due July 2030 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on February 8, 2022 Upgraded to Baa3 (sf) US$11,000,000 Class F Secured Deferrable Floating Rate Notes due July 2030 (the "Class F Notes"), Downgraded to Ca (sf); previously on February 8, 2022 Upgraded to Caa3 (sf) Ellington CLO III, Ltd., originally issued in July 2018 and partially refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2022. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes since the end of the reinvestment period in July 2022. Since then, the Class A-1 and Class A-2-R notes have each been paid down by approximately 24% (or $37.7 million and $10.3 million respectively). The senior notes have also benefited from a shortening of the portfolio's weighted average life since July 2022 as well. The downgrade rating action on the Class D and Class F 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 September 2023 report [1], the OC ratios for the Class C, Class D, and Class E notes are reported at 139.35%, 119.03%, and 101.69% versus September 2022 [2] levels of 146.12%, 127.95%, and 112.23% respectively, and are failing their respective OC trigger levels of 141.10%, 125.10%, and 111.00%. Moody's notes that the Class D, Class E, and Class F notes all have unpaid past due interest. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $286,515,790 Defaulted par: $61,460,126 Diversity Score: 37 Weighted Average Rating Factor (WARF): 4109 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.64% Weighted Average Coupon (WAC): 10.00% Weighted Average Recovery Rate (WARR): 45.21% Weighted Average Life (WAL): 3.3 years Par haircut in OC tests and interest diversion test: 3.6% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ELMWOOD CLO 19: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R replacement debt from Elmwood CLO 19 Ltd./Elmwood CLO 19 LLC, a CLO originally issued in 2022 that is managed by Elmwood Asset Management LLC. At the same time, S&P withdrew its ratings on the original class class A, B-1, B-2, C, D, E, and F debt following payment in full on the Oct. 4, 2023, refinancing date. The replacement debt were issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, C-R, D-R, E-R, and F-R debt were issued at a floating spread over three-month term SOFR, replacing the current floating spread over three-month term SOFR. -- The replacement class B-R debt were issued at a floating spread. They replacing the class B-1 debt, which were issued at a floating spread over three-month term SOFR, and the B-2 debt, which were issued at a fixed rate. -- The stated maturity and non-call period were extended by two years, and the reinvestment period was extended by three years. -- Of the identified underlying collateral obligations, 99.38% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 93.43% have recovery ratings assigned by S&P Global Ratings S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elmwood CLO 19 Ltd./Elmwood CLO 19 LLC Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $22.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Class F-R (deferrable), $6.00 million: B- (sf) Subordinated notes, $33.00 million: Not rated Ratings Withdrawn Elmwood CLO 19 Ltd./Elmwood CLO 19 LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Class F (deferrable) to NR from 'B- (sf)' NR--Not rated. ELMWOOD CLO 21: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R replacement debt from Elmwood CLO 21 Ltd./Elmwood CLO 21 LLC, a CLO originally issued in 2022 that is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of Oct. 2, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 20, 2023, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original debt and withdraw our preliminary ratings on the replacement debt. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Elmwood CLO 21 Ltd./Elmwood CLO 21 LLC Class A-R, $189.00 million: AAA (sf) Class B-R, $39.00 million: AA (sf) Class C-R (deferrable), $18.00 million: A (sf) Class D-R (deferrable), $18.00 million: BBB- (sf) Class E-R (deferrable), $10.50 million: BB- (sf) Class F-R (deferrable), $4.50 million: B- (sf) Subordinated notes, $25.00 million: Not rated GALAXY 32: S&P Assigns Prelim BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by PineBridge Investments LLC. The preliminary ratings are based on information as of Oct. 2, 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 Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC Class A-L, $150.00 million: AAA (sf) Class A-N, $102.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $23.60 million: BBB- (sf) Class E (deferrable), $12.40 million: BB- (sf) Subordinated notes, $40.70 million: Not rated GCAT 2023-NQM3: Fitch Gives 'Bsf' Final Rating on Class B-2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by GCAT 2023-NQM3 Trust (GCAT 2023-NQM3). Entity/Debt Rating Prior ----------- ------ ----- GCAT 2023-NQM3 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf R LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 869 loans with a total balance of approximately $406 million as of the cutoff date. A majority of the loans were originated by Arc Home LLC (Arc), United Wholesale Mortgage, PennyMac, AmWest, and Quontic Bank, with all other originators contributing less than 10%. All loans are currently or will be serviced by NewRez LLC, d/b/a Shellpoint Mortgage Servicing (SMS), PennyMac, and AmWest. 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 7.9% above a long-term sustainable level (versus 7.6% on a national level as of January 2023, down 0.2% since last quarter). The rapid gain in home prices through the pandemic has seen signs of moderating but has resumed increasing in 2023. Home prices declines 0.2% yoy nationally as of April 2023 due to declines seen in 2H22. Non-QM Credit Quality (Negative): The collateral consists of 869 loans, totaling $406 million, and seasoned approximately six months in aggregate, calculated as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile (747 FICO and 40% debt to income [DTI] ratio) and moderate leverage (80% sustainable loan-to-value [sLTV] ratio). The pool consists of 49.2% of loans where the borrower maintains a primary residence, while 50.8% comprise an investor property or second home including foreign nationals or borrowers with an unknown residency that are treated as investor loans. Additionally, 16.1% are designated as qualified mortgage (QM) loans, while 8.94% are higher-price QM (HPQM), 23.05% are Safe Harbor QM (SHQM) and 24.38% are non-QM. For the remaining loans, the Ability to Repay Rule (ATR Rule) does not apply, either due to the loan being an investor property or having been originated through a Community Development Financial Institution (CDFI). Loan Documentation (Negative): Approximately 60.7% of the pool according to Fitch's treatment were underwritten to less than full documentation. Of the pool, 33.04% were underwritten to a 12- 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 the pool loans adhere to underwriting and documentation standards required under the CFPB's ATR 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. Additionally, 0.23% of the pool are an asset depletion product, 9.1% are a CPA or PnL product, and 12.2% are a DSCR product. Limited Advancing (Mixed): The deal is structured to three months of servicer advances for delinquent P&I to the extent it is deemed recoverable. The limited advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. Modified Sequential-Payment Structure (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. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those class with limited advancing. 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 42.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 49 bps as a result of the diligence review. 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. GOLUB CAPITAL 64(B): Fitch Affirms 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class A-2, B, C, and D notes of Golub Capital Partners CLO 58(B), Ltd. (Golub 58) and the class B, C, D and E notes of Golub Capital Partners CLO 64(B), Ltd. (Golub 64). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 64(B), Ltd. B 381732AC0 LT AAsf Affirmed AAsf C 381732AE6 LT Asf Affirmed Asf D 381732AG1 LT BBB-sf Affirmed BBB-sf E 38179HAA5 LT BB-sf Affirmed BB-sf Golub Capital Partners CLO 58(B), Ltd. A-2 38178TAC6 LT AAAsf Affirmed AAAsf B 38178TAE2 LT AAsf Affirmed AAsf C 38178TAG7 LT Asf Affirmed Asf D 38178TAJ1 LT BBB-sf Affirmed BBB-sf TRANSACTION SUMMARY Golub 58 and Golub 64 are broadly syndicated collateralized loan obligations (CLOs) managed by OPAL BSL LLC. Golub 58 closed in December 2021 and will exit its reinvestment period in January 2027. Golub 64 closed in October 2022 and will exit its reinvestment period in October 2027. Both CLOs are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Stable Asset Performance The affirmations are due to the portfolios' stable performance since closing. As of August 2023 reporting, the credit quality of both portfolios is at the 'B'/'B-' rating level. The Fitch weighted average rating factors (WARFs) for Golub 58 and Golub 64 portfolios were 26.5 and 25.7, respectively, compared with 25.7 and 25.6, respectively, at last rating actions. The portfolio for Golub 58 consists of 220 obligors, and the largest 10 obligors represent 9.2% of the portfolio. Golub 64 has 199 obligors, with the largest 10 obligors comprising 9.7% of the portfolio. There are no defaults in either portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 17.8% and 7.8%, respectively, for Golub 58 and 12.6% and 4.1%, respectively, for Golub 64. On average, first lien loans, cash and eligible investments comprise 99.6% of the portfolios. Fitch's weighted average recovery rate (WARR) of the Golub 58 and Golub 64 portfolios was 76.5% and 77.2%, respectively, compared with 76.0% and 76.4%, respectively, at last rating actions. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance for both transactions. Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since both transactions are still in their reinvestment periods. The FSP analysis stressed the current portfolios from the latest trustee reports to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average lives of 6.5 years and 7.24 years for Golub 58 and Golub 64, respectively. Fixed-rate assets were also assumed at 1.0% and 5.0% for Golub 58 and Golub 64, respectively. The ratings are in line with their respective model-implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria, except for Class C and D notes of Golub 58. The aforementioned notes were affirmed one notch below their MIRs, due to limited positive cushions at their respective MIR rating levels amid an anticipated recessionary macroeconomic environment. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement does not compensate for the higher 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 both transactions, 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 transactions, 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. GRANITE PARK 2023-1: Moody's Assigns (P)B3 Rating to Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the Equipment Contract Backed Notes, Series 2023-1, Class A-1, Class A-2, Class A-3, Class B, Class C, Class D, Class E and Class F notes (Series 2023-1 notes or the notes) to be issued by Granite Park Equipment Leasing 2023-1 LLC (the Issuer). Stonebriar Commercial Finance LLC (Stonebriar) is the originator and will be the servicer of the assets backing this transaction. The Issuer is a Delaware limited liability company which makes investments with respect to certain loans, leases and other contracts originated by Stonebriar or its affiliates, and the securitization of such contracts. The underlying assets securitized will primarily consist of a pool of equipment loans and leases on manufacturing and assembly assets, corporate aircraft, marine vessels, and other equipment. Stonebriar was founded in 2015 and is led by a management team with an average of over 25 years of experience in equipment financing. The complete rating actions are as follows: Issuer: Granite Park Equipment Leasing 2023-1 LLC Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A1 (sf) Class D Notes, Assigned (P)Baa1 (sf) Class E Notes, Assigned (P)Ba3 (sf) Class F Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The provisional ratings are based on; (1) the experience of Stonebriar's management team as originator and servicer; (2) U.S. Bank National Association (long-term deposits Aa3/ long-term CR assessment A1(cr), short-term deposits P-1, BCA a2) as backup servicer for the contracts; (3) the weak credit quality and concentration of the obligors backing the contracts in the pool; (4) the assessed value of the collateral backing the contracts in the pool; (5) the inclusion of about 65% non-direct interests in the asset underlying the contract included in the pool; (6) the credit enhancement, including overcollateralization, subordination, excess spread and a non-declining reserve account and (7) the sequential pay structure. Moody's also considered sensitivities to various factors such as default rates and recovery rates in Moody's analysis. Additionally, Moody's base its (P)P-1 (sf) rating of the Class A-1 notes on the cash flows that Moody's expect the underlying receivables to generate during the collection periods prior to the Class A-1 notes' legal final maturity date. At closing the Class A, Class B, Class C, Class D, Class E and Class F notes benefit from 36.00%, 27.50%, 21.25%, 14.50%, 8.75%, and 5.50% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of initial overcollateralization of 2.00% which will build to a target of 5.00% of the outstanding pool balance with a floor of 2.50% of the initial pool balance, a 1.00% fully funded reserve account with a floor of 1.00%, and subordination. The notes will also benefit from excess spread. The equipment contracts that will back the notes were extended primarily to middle market obligors and are secured by various types of equipment including aircraft, marine vessels, and manufacturing and assembly equipment. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations methodology" published in September 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the subordinate notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default or improved credit quality of the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. Down Moody's could downgrade the notes if levels of credit protection 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, weaker credit quality of the obligors, or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, 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 reasons, high delinquencies or a servicer disruption that impacts obligor's payments. GS MORTGAGE 2017-GS8: Fitch Affirms B- Rating on Class G-RR Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of GS Mortgage Securities Trust series 2017-GS8. The Rating Outlook has been revised to Negative from Stable on classes E-RR, F-RR and G-RR. The criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2017-GS8 A-2 36254KAJ1 LT AAAsf Affirmed AAAsf A-3 36254KAK8 LT AAAsf Affirmed AAAsf A-4 36254KAL6 LT AAAsf Affirmed AAAsf A-AB 36254KAM4 LT AAAsf Affirmed AAAsf A-BP 36254KAN2 LT AAAsf Affirmed AAAsf A-S 36254KAS1 LT AAAsf Affirmed AAAsf B 36254KAT9 LT AA-sf Affirmed AA-sf C 36254KAU6 LT A-sf Affirmed A-sf D 36254KAA0 LT BBBsf Affirmed BBBsf E-RR 36254KAC6 LT BBB-sf Affirmed BBB-sf F-RR 36254KAD4 LT BB-sf Affirmed BB-sf G-RR 36254KAE2 LT B-sf Affirmed B-sf X-A 36254KAP7 LT AAAsf Affirmed AAAsf X-B 36254KAR3 LT AA-sf Affirmed AA-sf X-BP 36254KAQ5 LT AAAsf Affirmed AAAsf X-D 36254KAB8 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 Negative Outlooks are based on the potential for outsized losses on the Worldwide Plaza loan. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.5%. Four loans (20.2% of the pool) are considered Fitch Loans of Concern (FLOCs). The largest FLOC and largest loan, Worldwide Plaza (10.6%), is secured by 2 million sf office property located in Manhattan, NY. It was flagged as a FLOC due to upcoming rollover. Cravath Swaine & Moore (30%) has indicated that it will vacate upon lease expiration in 2024 to move to Hudson Yards. Additionally, media reports indicate that the largest tenant, Nomura Holding America Inc. (39.9%; expires September 2033), is looking to downsize its space and exercise various termination options. The ratings incorporate an increased probability of default assumption for the loan, which contributed to the Negative Rating Outlooks. The second largest FLOC, Spectrum Office Portfolio (7.4%), is secured by a portfolio of four suburban office properties located in Southern California totaling 446,000 sf. The rent roll is very granular with over 100 tenants; no tenant occupies more than 3.4% of portfolio NRA. The loan was flagged as a FLOC due to upcoming rollover: 15.7% (2023), 22.6% (2024) and 19.3% (2025). Servicer reported occupancy and NOI debt service coverage ratio (DSCR) were 86.2% and 2.20x, respectively, as of YE 2022. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 25.5% factors in increased probability of default, a 10% cap rate and a 20% stress to YE 2022 NOI to account for the near-term rollover risk. The third largest FLOC, Starwood Lodging Hotel Portfolio (1.4%), is secured by a portfolio of 138 hotel properties totaling 10,576 rooms across 27 states. The portfolio largely consists of limited service hotels with some extended stay properties, a few select service properties and a few full-service properties. The loan was flagged as a FLOC due to the recent loan modification prior to returning back to the master servicer in April 2023 and P&I payment delinquencies within the past 12 months. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 2% factors in an 11.5% cap rate and a 15% stress to YE 2022 NOI. Increasing Credit Enhancement (CE): As of the August 2023 distribution date, the pools' aggregate balance has been paid down by 7.9% to $940 million from $1.020 billion at issuance. One loan (1.5%) is defeased. There are 14 loans (51.4%) that are full term IO. 19 loans (45.5%) are structured with a partial IO period; all of which have begun to amortize. There have been no realized losses to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would be triggered by an increase in pool-level losses from underperforming loans. In addition, downgrades to classes with Negative Outlooks are expected to be downgraded if expected losses increase on FLOCs, most notably if Worldwide Plaza experiences sustained occupancy declines. Downgrades to classes rated 'AAAsf' and 'AA-sf' 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. Downgrades to classes rated 'A-sf', 'BBBsf' and 'BBB-sf' would occur should expected losses for the pool increase significantly, and/or performing loans begin to experience performance decline. Classes rated 'BB-sf' and 'Bsf' would be downgraded 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 to 'AA-sf' to 'A-sf' rated classes would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs. Upgrades to 'BBBsf' and 'BBB-sf' rated classes may occur as the number of FLOCs are reduced, and/or loss expectations improve. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to 'BB-sf' and 'B-sf' rated classes are not likely until the later years of the transaction and only if the performance of the remaining pool stabilizes 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 2022-LTV1: Moody's Ups Rating on Cl. B-5 Certs to B2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 22 bonds from two US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=jiMchr The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-INV1 Cl. B, Upgraded to A2 (sf); previously on Aug 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Aug 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Aug 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Aug 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-3-A, Upgraded to Baa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-3-X*, Upgraded to Baa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-X*, Upgraded to A3 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Baa1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-LTV1 Cl. A-3, Upgraded to Aaa (sf); previously on Feb 25, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Feb 25, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Feb 25, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Feb 25, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Feb 25, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Feb 25, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 25, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Feb 25, 2022 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Feb 25, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Feb 25, 2022 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Feb 25, 2022 Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. In Moody's analysis Moody's considered the additional risk of default on modified loans. Generally, Moody's apply a 7x multiple to the Probability of Default (PD) for private label modified mortgage loans and an 8x multiple to the PD for agency-eligible modified mortgage loans. However, Moody's may apply a lower multiple to the PD for loans that were granted short-term payment relief as long as there were no other changes to the loan terms, such as a reduced interest rate or an extended loan term, which can be used to lower the monthly payment on the loan. For loans granted short-term payment relief, servicers will generally defer the missed payments, which could be added as a non-interest-bearing balloon payment due at the end of the loan term. Alternatively, servicers could extend the maturity on the loan to match the number of missed payments. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2013-LC11: Moody's Lowers Rating on Class D Certs to 'C' ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on six classes and has affirmed the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11, Commercial Mortgage Pass-Through Certificates, series 2013-LC11 as follows: Cl. A-S, Downgraded to A1 (sf); previously on Apr 7, 2023 Downgraded to Aa2 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Apr 7, 2023 Downgraded to Baa1 (sf) Cl. C, Downgraded to B3 (sf); previously on Apr 7, 2023 Downgraded to Ba3 (sf) Cl. D, Downgraded to C (sf); previously on Apr 7, 2023 Downgraded to Caa2 (sf) Cl. E, Affirmed C (sf); previously on Apr 7, 2023 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Apr 7, 2023 Affirmed C (sf) Cl. X-A*, Downgraded to A1 (sf); previously on Apr 7, 2023 Downgraded to Aa1 (sf) Cl. X-B*, Downgraded to Ba3 (sf); previously on Apr 7, 2023 Downgraded to Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four P&I classes were downgraded due to potential for higher losses and increased risk of interest shortfalls driven primarily by the significant exposure to loans in special servicing. All the remaining loans (100% of the pool) are in special servicing, and have received appraisal reductions. The largest specially serviced loan in the pool, World Trade Center I & II loan (29% of the pool), is currently REO and the second largest specially serviced loan, Pecanland Mall loan (22% of the pool), is in foreclosure and has had a deterioration in net operating income (NOI) since 2020 due to a decline in occupancy. As of the September 2023 remittance, interest shortfalls have reached up to Cl. D, and may continue to increase. In this rating action Moody's also analyzed loss and recovery scenarios to reflect the recovery value of the remaining loans, the current cash flow at the properties and timing to ultimate resolution. The rating on two P&I classes, Cl. E and Cl. F were affirmed because the ratings are consistent with Moody's expected loss. The rating on one interest only (IO) class, Cl. X-A, was downgraded due to decline in the credit quality of its referenced classes. The rating on one interest only (IO) class, Cl. X-B, was downgraded due to a decline in the credit quality of its referenced classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 47.5% of the current pooled balance, compared to 26.2% at Moody's last review. Moody's base expected loss plus realized losses is now 11.6% of the original pooled balance, compared to 10.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the September 15, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 76% to $322 million from $1.32 billion at securitization. The certificates are collateralized by five mortgage loans, all of which are in special servicing. Loans representing 63% of the pool are in foreclosure or real estate owned (REO) and 21% were non-performing past maturity. The largest specially serviced loan is the World Trade Center I & II loan ($97.6 million – 30.3% of the pool), which is secured by two adjacent 28-story and 29-story Class A office buildings totaling 770,000 square feet (SF) and located in the CBD of Denver, Colorado. The property is also encumbered with $17.6 million of additional mezzanine financing held outside of the trust. The property's performance has declined significantly since securitization as a result of both lower revenue and higher operating expenses. The loan was transferred to special servicing in July 2020 after two major tenants vacated the property and was REO as of the September 2023 remittance statement. As of February 2022, the property was only 37% occupied, with several in-place tenants having near-term lease expiration dates. The most recent appraisal from December 2022 valued the property 53% below the value at securitization, and as of the September 2023 remittance, the master servicer has recognized a 34% appraisal reduction based on the current loan balance. The loan is last paid through its June 2022 payment date. The servicer commentary indicates that the property is currently being marketed for sale. The second largest specially serviced loan is the Pecanland Mall loan ($74.5 million – 23.1% of the pool), which is secured by a 433,200 SF component of a 965,238 SF super-regional mall in Monroe, Louisiana. Current non-collateral anchor tenants include Dillard's, J.C. Penney, and Belk. Property performance generally improved from securitization through 2017, but has since declined. The loan had previously transferred to special servicing in September 2020 due to payment delinquencies, however, the loan was reinstated to the master servicer effective in March 2022 as a corrected mortgage loan. This loan transferred back to special servicing in February 2023 due to imminent maturity default ahead of its March 2023 maturity date. The property's 2022 trailing NOI was 18% lower than the levels at securitization. As of September 2022, the property was 83% occupied, a slight decline from 84% in December 2021 and 95% at securitization. The loan has amortized by 17.2% since securitization and had an in-place NOI DSCR of 1.44X as of December 2022. Per the servicer commentary, the borrower failed to pay off the loan at its maturity date in September 2023, and the special servicer is evaluating workout options with the borrower. The third largest specially serviced loan is the Chandler Crossings Portfolio loan ($67.2 million – 20.9% of the pool), which is secured by three student housing properties totaling 852 units (2,772 beds) located in East Lansing, Michigan. The properties were built between 2001 and 2003 and are located approximately 2.5 miles from the Michigan State campus. The portfolio was collectively 62% leased as of June 2022, compared to 80% in December 2020 and 90% in December 2019. This loan transferred to special servicing in February 2023 due to maturity default. Property performance has declined, and the NOI DSCR as of June 2022 was only 0.59X compared to 0.86X in September 2021. The loan has amortized 21.0% since securitization. As of the September 2023 remittance, the loan was last paid through the February 2023 payment date but has passed its scheduled maturity date. The fourth largest specially serviced loan is the Dulles View loan ($50.9 million – 15.8% of the pool), which is secured by two eight-story, Class A, LEED Gold Certified office buildings located in Herndon, Virginia. The buildings are connected by a common two-story glass atrium across from the Washington-Dulles International Airport. The loan was previously transferred to special servicing in February 2018 due to imminent default associated with significant tenant turnover. Occupancy at the property had declined to 48% in December 2018 from 93% in December 2017. However, occupancy has consistently trended higher since 2019, with the most recent occupancy at 80% in December 2022. The loan was returned to the master servicer in February 2019 as a corrected loan but transferred back to special servicing in March 2023 due to imminent maturity default ahead of its April 2023 maturity date. While occupancy has improved since 2019, the property's 2022 NOI was 17% lower than securitization levels. As of the September 2023 remittance, the loan was current on P&I payments and has amortized by 15.2% since securitization. The fifth specially serviced loan is the Tysons Commerce Center Loan ($31. million – 9.9% of the pool), which is secured by an eight-story, multi-tenant office building totaling 181,542 SF located fifteen miles west of downtown Washington D.C. The property was 66% leased as of December 2022 compared to 68% in 2021, 75% in 2020, and 96% at securitization. Due to the decrease in occupancy, the property's revenue and NOI have declined since 2018; and year-end 2022 NOI was 20% below securitization levels. The loan transferred to special servicing in December 2022 because it failed to pay off at its scheduled maturity date and is in default. The most recent appraisal from June 2023 valued the property 84% below the value at securitization, and as of the September 2023 remittance, the master servicer has recognized a 51% appraisal reduction based on the current loan balance. The special servicer is currently undertaking foreclosure proceedings and the transfer of title to the collateral. JP MORGAN 2023-7: Fitch Gives Final 'B-sf' Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2023-7 (JPMMT 2023-7). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2023-7 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 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-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AA+sf New Rating AA+(EXP)sf A-6-A LT AA+sf New Rating AA+(EXP)sf A-6-X LT AA+sf New Rating AA+(EXP)sf A-X-1 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 TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2023-7 (JPMMT 2023-7) as indicated. The certificates are supported by 309 loans with a total balance of approximately $318.58 million as of the cutoff date. The pool consists of prime-quality fixed-rate mortgages (FRMs) from various mortgage originators. The pool consists of loans mainly originated by United Wholesale Mortgage, LLC (45.8%) and loanDepot.com, LLC (10.5%) with the remaining 43.7% of the loans originated by various originators, each contributing less than 10% to the pool. The loan-level representations and warranties (R&Ws) are provided by the various originators, MAXEX or Redwood (aggregators). NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint Mortgage Servicing (Shellpoint), will act as interim servicer for approximately 40.8% of the pool from the closing date until the servicing transfer date, which is expected to occur on or about Dec. 1, 2023. After the servicing transfer date, these mortgage loans will be serviced by JPMorgan Chase Bank, National Association (Chase). Since Chase will service these loans after the transfer date, Fitch performed its analysis assuming Chase is the servicer for these loans. The other main servicers in the transaction are United Wholesale Mortgage, LLC (servicing 45.8% of the loans) and loanDepot.com, LLC (servicing 10.5% of the loans); the remaining 3.0% of the loans are being serviced by PennyMac Loan Services and PennyMac Corp. Nationstar Mortgage LLC (Nationstar) will be the master servicer. Most of the loans (99.2%) qualify as safe-harbor qualified mortgage (SHQM) or SHQM average prime offer rate (APOR); the remaining 0.8% qualify as QM rebuttable presumption (APOR). There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 7.6% above a long-term sustainable level (versus 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. Driven by the strong gains seen in 1H22, home prices decrease -0.2% yoy nationally as of April 2023. High Quality Mortgage Pool (Positive): The pool consists of high-quality, fixed-rate, fully amortizing prime-quality loans with maturities of up to 30 years. Most of the loans (99.2%) qualify as SHQM or SHQM (APOR); the remaining 0.8% qualify as QM rebuttable presumption (APOR). The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of seven months, according to Fitch (five months per the transaction documents). The pool has a WA original FICO score of 759, as determined by Fitch, which is indicative of very high credit quality borrowers. Approximately 68.1% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 74.9%, translating to a sustainable loan-to-value (sLTV) ratio of 79.6%, represents moderate borrower equity in the property and reduced default risk compared with a borrower with a CLTV over 80%. Per the transaction documents, nonconforming loans comprise 90.7% of the pool, while the remaining 9.3% represents conforming loans. However, in Fitch's analysis, Fitch considered HPQM government-sponsored entity (GSE)-eligible loans to be nonconforming; as a result, Fitch viewed the pool as having 91.5% nonconforming loans and 8.5% conforming loans. All of the loans are designated as QM loans, with 56.2% of the pool originated by a retail and correspondent channel. Of the pool, 100.0% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, planned unit developments (PUDs), and single-family attached dwellings constitute 94.8% of the pool; condominiums and site condos make up 5.2%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (84.4%), cashout refinances (12.0%) and rate-term refinances (3.7%). Fitch views favorably that there are no loans to investment properties, and the majority of the mortgages are purchases. A total of 145 loans in the pool are over $1.0 million, and the largest loan is approximately $3.00 million. Of the pool, 35.3% is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (13.7%), followed by the San Diego-Carlsbad-San Marcos, CA MSA (8.4%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA (7.2%). The top three MSAs account for 29% of the pool. As a result, there was no probability of default (PD) penalty applied for geographic concentration. Loan Count Concentration (Negative): The loan count of this pool (309 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the weighted average (WA) number of loans is less than 300. The loan count concentration of this pool results in a 1.11x penalty, which increases loss expectations by 84 basis points (bps) at the 'AAAsf' rating category. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing until it is deemed nonrecoverable for the life of the transaction. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in fewer recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 3.50% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 2.10% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 39.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, and Covius were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS JPMMT 2023-7 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled in JPMMT 2023-7, including strong transaction due diligence, an 'Above Average' aggregator, a large portion of the pool being originated by an 'Above Average' originator and a large portion of the pool being serviced by a servicer rated 'RPS1-'. All of these attributes result in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. Although this transaction has loans purchased in connection with the sponsor's Elevate Diversity and Inclusion program or the sponsor's Clean Energy program, Fitch did not take these programs into consideration when assigning an ESG Relevance Score, as the programs did not directly affect the expected losses assigned or were not relevant to the rating, in Fitch's view. 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. JP MORGAN 2023-8: Fitch Gives Final 'B-5' Rating on Class B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2023-8 (JPMMT 2023-8). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2023-8 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 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-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AA+sf New Rating AA+(EXP)sf A-6-A LT AA+sf New Rating AA+(EXP)sf A-6-X LT AA+sf New Rating AA+(EXP)sf A-X-1 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 TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by JPMMT 2023-8 as indicated above. The certificates are supported by 472 loans with a total balance of approximately $518.43 million as of the cutoff date. The pool consists of prime-quality fixed-rate mortgages from various mortgage originators. The pool consists of loans mainly originated by United Wholesale Mortgage, LLC (44.2%) and Movement Mortgage, LLC (14.9%) with the remaining 40.9% of the loans originated by various originators, each contributing less than 10% to the pool. The loan-level representations and warranties are provided by the various originators, MAXEX, Oceanview, or Verus (aggregators). NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint Mortgage Servicing (Shellpoint), will act as interim servicer for approximately 49.0% of the pool from the closing date until the servicing transfer date, which is expected to occur on or about Dec. 1, 2023. After the servicing transfer date, these mortgage loans will be serviced by JPMorgan Chase Bank, National Association (Chase). Since Chase will service these loans after the transfer date, Fitch performed its analysis assuming Chase is the servicer for these loans. The other servicers in the transaction are United Wholesale Mortgage, LLC (servicing 44.2% of the loans) and loanDepot.com, LLC (servicing 6.8% of the loans). Nationstar Mortgage LLC (Nationstar) will be the master servicer. Most of the loans (99.9%) qualify as safe-harbor qualified mortgage (SHQM) or SHQM average prime offer rate (APOR); the remaining 0.1% qualify as QM rebuttable presumption (APOR). There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 7.3% above a long-term sustainable level (versus 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. Driven by the strong gains seen in 1H22, home prices decrease -0.2% yoy nationally as of April 2023. High Quality Mortgage Pool (Positive): The pool consists of high-quality, fixed-rate, fully amortizing prime-quality loans with maturities of up to 30 years. Most of the loans (99.9%) qualify as SHQM or SHQM (APOR); the remaining 0.1% qualify as QM rebuttable presumption (APOR). The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of seven months, according to Fitch (five months per the transaction documents). The pool has a WA original FICO score of 757, as determined by Fitch, which is indicative of very high credit quality borrowers. Approximately 64.0% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 76.0%, translating to a sustainable LTV (sLTV) ratio of 80.3%, represents moderate borrower equity in the property and reduced default risk compared to a borrower with a CLTV over 80%. Per the transaction documents, nonconforming loans comprise 93.2% of the pool, while the remaining 6.8% represents conforming loans. However, in Fitch's analysis, Fitch considered HPQM government-sponsored entity (GSE)-eligible loans to be nonconforming; as a result, Fitch viewed the pool as having 93.3% nonconforming loans and 6.7% conforming loans. All of the loans are designated as QM loans, with 58.6% of the pool originated by a retail and correspondent channel. Of the pool, 100.0% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, planned unit developments (PUDs), and single-family attached dwellings constitute 93.3% of the pool; condominiums and site condos make up 6.1%, and multifamily homes make up 0.7%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (86.5%), cashout refinances (10.6% per the transaction documents and 10.3% according to Fitch) and rate-term refinances (3.2%). Fitch only considers a loan a cashout loan if the cashout amount is greater than 3%, which explains the difference in the cashout amount percentages. Fitch views favorably that there are no loans to investment properties, and the majority of the mortgages are purchases. A total of 247 loans in the pool are over $1.0 million, and the largest loan is approximately $2.99 million. Of the pool, 29.4% is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (10.8%), followed by the Seattle-Tacoma-Bellevue, WA MSA (7.6%) and the Miami-Fort Lauderdale-Miami Beach, FL MSA (5.8%). The top three MSAs account for 24% of the pool. As a result, there was no probability of default (PD) penalty applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent P&I on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 1.90% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.10% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 39.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, Clayton, Digital Risk and Inglet Blair. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.32% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Consolidated Analytics, Clayton, Digital Risk, and Inglet Blair were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS JPMMT 2023-8 has an ESG Relevance Score of '4' [+] for Transaction Parties and Operational Risk. Operational risk is well controlled in JPMMT 2023-8, including strong transaction due diligence, an 'Above Average' aggregator, a large portion of the pool being originated by an 'Above Average' originator and a large portion of the pool being serviced by a servicer rated 'RPS1-'. All of these attributes result in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. Although this transaction has loans purchased in connection with the sponsor's Elevate Diversity and Inclusion program or the sponsor's Clean Energy program, Fitch did not take these programs into consideration when assigning an ESG Relevance Score, as the programs did not directly affect the expected losses assigned or were not relevant to the rating, in Fitch's view. 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. JP MORGAN 2023-HE2: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to JP Morgan Mortgage Trust 2023-HE2 (JPMMT 2023-HE2). Entity/Debt Rating ----------- ------ JPMMT 2023-HE2 A-1 LT AAA(EXP)sf Expected Rating M-1 LT AA(EXP)sf Expected Rating M-2 LT A(EXP)sf Expected Rating M-3 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating BX LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates backed by a second lien, prime, open home equity line of credit (HELOC) on residential properties to be issued by J.P. Morgan Mortgage Trust 2023-HE2 (JPMMT 2023-HE2) as indicated above. This is the second transaction rated by Fitch that includes prime-quality second lien HELOCs with open draws off the JPMMT shelf and the second, second lien HELOC transaction off the JPMMT shelf. The loans associated with the draws allocated to the participation certificate are 3,885 nonseasoned, performing, prime-quality second lien HELOC loans with a current outstanding balance (as of the cutoff date) of $281.35 million. The collateral balance based on the maximum draw amount is $352.67 million, as determined by Fitch. As of the cutoff date, 100% of the HELOC lines are open or on a temporary freeze, and may be opened in the future. The aggregate available credit line amount, as of the cutoff date, is expected to be $56.49 million, per transaction documents. As of the cutoff date, weighted average utilization of the HELOCs is 89.3%, per the transaction documents. The main originators in the transaction are loanDepot.com, LLC and United Wholesale Mortgage. All other originators make up less than 10% of the pool. The loans are serviced by Specialized Loan Servicing LLC and loanDepot.com, LLC. Distributions of principal are based on a modified sequential structure, subject to the transaction's performance triggers. Interest payments are made sequentially to all classes, except B-4, which is a principal-only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMMAC (JPMorgan Mortgage Acquisitions Corp.). This transaction will not use a variable funding note (VFN) structure, rather, it will use participation certificates. JPMMT 2023-HE2 is only entitled to cash flows based on the amount drawn as of the cutoff date. The remaining available draws will be allocated to the JPMorgan participation certificate (JPM PC) if they are drawn in the future. See the Highlights section of the presale for a description. In Fitch's analysis, Fitch assumes 100% of the HELOCs are 100% drawn on day one. As a result, all percentages are based off the maximum HELOC draw amount. The servicers, Specialized Loan Servicing LLC and loanDepot.com, LLC, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans, adjusted based on the prime rate, none of which reference Libor. The certificates are floating rate and use SOFR as the index; they are capped at the net weighted average coupon (WAC) or are entitled to principal only. There is no exposure to Libor in this transaction. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 7.9% above a long-term sustainable level (versus 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. Driven by the strong gains seen in 1H22, home prices decreased 0.2% YOY nationally as of April 2023. High-Quality Prime Mortgage Pool (Positive): The participation interest is in a fixed pool of draws related to 3,885 prime-quality, performing, adjustable-rate open-ended HELOCs that have three-, five- or 10-year interest-only periods and maturities of up to 30 years. The open-ended HELOCs are secured by second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, site condos and townhouses, totaling $353 million (includes maximum HELOC draw amount). The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of five months, according to Fitch, and two months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 748, as determined by Fitch, indicative of very high credit-quality borrowers. About 47.5%, as determined by Fitch, of the loans have a borrower with an original FICO score equal to or above 750. The original WA combined loan to value (CLTV) ratio, as determined by Fitch, of 67.6%, translates to a sustainable loan to value (sLTV) ratio of 73.7%. The transaction documents stated a WA drawn LTV of 15.2% and a WA drawn CLTV of 66.1%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV over 80%. Of the pool loans, 62% were originated by a retail or correspondent channel with the remaining 38% being originated by a broker channel. 100% of the loans are underwritten to full documentation. Based on Fitch's review of the documentation, it considered 98.5% of the loans to be fully documented. Of the pool, 99.1% comprise loans where the borrower maintains a primary or secondary residence; the remaining 0.9% are investor loans. Single-family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 96.2% of the pool (96.1% per the transaction documents). Condominiums and site condos make up 2.6%, while multifamily homes make up 1.2% of the pool. The pool consists of loans with the following loan purposes, according to Fitch: purchases (2.2%), cashout refinances (97.5%) and rate-term refinances (0.3%). None of the loans in the pool are over $1.0 million, and the maximum draw amount is $500,000. Of the pool loans, 35.2% are concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (13.6%), followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (5.3%) and Miami-Fort Lauderdale-Miami Beach, FL MSA (5.1%). The top three MSAs account for 24% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Second-Lien HELOC Collateral (Negative): The entirety of the collateral pool consists of second-lien HELOC loans originated by loanDepot.com LLC, United Wholesale Mortgage and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans, after controlling for credit attributes, no additional penalty was applied. Modified Sequential Structure with No Advancing of DQ P&I (Mixed): The proposed structure is a modified-sequential structure in which principal is distributed pro rata to the A-1, M-1, M-2 and M-3 classes to the extent the performance triggers are passing. To the extent triggers are failing, principal is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses, and cap carryover amounts. The transaction has a lockout feature benefitting more senior classes if performance deteriorates. If the applicable credit support percentage of the M-1, M-2 or M-3 class is less than the sum of (i) 150% of the original applicable credit support percentage for that class plus (ii) 50% of the non-performing loan percentage plus (iii) the charged-off loan percentage, then that class is locked out of receiving principal payments and the principal payments are redirected to the most senior class. To the extent any class of certificates is a locked-out class, each class of certificates subordinate to such locked-out class will also be a locked-out class. Due to this lockout feature, the M classes will be locked out, starting day one. Classes A-1, M, B-1, B-2 and B-3 are floating rate classes based on the SOFR index and are capped at the net WAC. Class B-4 is a principal-only class and is not entitled to receive interest. If no excess spread is available to absorb losses, losses will be allocated to all classes reverse sequentially, starting with class B-4. The servicer will not advance delinquent monthly payments of P&I. 180-Day Chargeoff Feature (Positive): Loans that become 180 days delinquent based on the MBA delinquency method, except for those in a forbearance plan, will be charged off. The 180-day chargeoff feature will result in losses being incurred sooner, while a larger amount of excess interest is available to protect against losses. This compares favorably to a delayed liquidation scenario where the loss occurs later in the life of the deal and less excess is available. 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 40.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.94% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. JP MORGAN 2023-HE2: Fitch Gives Final 'Bsf' Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2023-HE2 (JPMMT 2023-HE2). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2023-HE2 A-1 LT AAAsf New Rating AAA(EXP)sf M-1 LT AAsf New Rating AA(EXP)sf M-2 LT Asf New Rating A(EXP)sf M-3 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf BX LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates backed by a second lien, prime, open home equity line of credit (HELOC) on residential properties to be issued by J.P. Morgan Mortgage Trust 2023-HE2 (JPMMT 2023-HE2) as indicated above. This is the second transaction rated by Fitch that includes prime-quality second lien HELOCs with open draws off the JPMMT shelf and the second, second lien HELOC transaction off the JPMMT shelf. The loans associated with the draws allocated to the participation certificate are 3,885 nonseasoned, performing, prime-quality second lien HELOC loans with a current outstanding balance (as of the cutoff date) of $281.35 million. The collateral balance based on the maximum draw amount is $352.67 million, as determined by Fitch. As of the cutoff date, 100% of the HELOC lines are open or on a temporary freeze, and may be opened in the future. The aggregate available credit line amount, as of the cutoff date, is expected to be $56.49 million, per transaction documents. As of the cutoff date, weighted average utilization of the HELOCs is 89.3%, per the transaction documents. The main originators in the transaction are loanDepot.com, LLC and United Wholesale Mortgage. All other originators make up less than 10% of the pool. The loans are serviced by Specialized Loan Servicing LLC and loanDepot.com, LLC. Distributions of principal are based on a modified sequential structure, subject to the transaction's performance triggers. Interest payments are made sequentially to all classes, except B-4, which is a principal-only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMMAC (JPMorgan Mortgage Acquisitions Corp.). This transaction will not use a variable funding note (VFN) structure; rather, it will use participation certificates. JPMMT 2023-HE2 is only entitled to cash flows based on the amount drawn as of the cutoff date. The remaining available draws will be allocated to the JPMorgan participation certificate (JPM PC) if they are drawn in the future. See the Highlights section of the presale for a description. In Fitch's analysis, the agency assumes 100% of the HELOCs are 100% drawn on day one. As a result, all percentages are based off the maximum HELOC draw amount. The servicers, Specialized Loan Servicing LLC and loanDepot.com, LLC, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans, adjusted based on the prime rate, none of which reference Libor. The certificates are floating rate and use SOFR as the index; they are capped at the net weighted average coupon (WAC) or are entitled to principal only. There is no exposure to Libor in this transaction. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 7.9% above a long-term sustainable level (versus 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. Driven by the strong gains seen in 1H22, home prices decreased 0.2% yoy nationally as of April 2023. High-Quality Prime Mortgage Pool (Positive): The participation interest is in a fixed pool of draws related to 3,885 prime-quality, performing, adjustable-rate open-ended HELOCs that have three-, five- or 10-year interest-only periods and maturities of up to 30 years. The open-ended HELOCs are secured by second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, site condos and townhouses, totaling $353 million (includes maximum HELOC draw amount). The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of five months, according to Fitch, and two months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 748, as determined by Fitch, indicative of very high credit-quality borrowers. About 47.5%, as determined by Fitch, of the loans have a borrower with an original FICO score equal to or above 750. The original WA combined loan to value (CLTV) ratio, as determined by Fitch, of 67.6%, translates to a sustainable loan to value (sLTV) ratio of 73.7%. The transaction documents stated a WA drawn LTV of 15.2% and a WA drawn CLTV of 66.1%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV over 80%. Of the pool loans, 62% were originated by a retail or correspondent channel with the remaining 38% being originated by a broker channel. 100% of the loans are underwritten to full documentation. Based on Fitch's review of the documentation, it considered 98.5% of the loans to be fully documented. Of the pool, 99.1% comprise loans where the borrower maintains a primary or secondary residence; the remaining 0.9% are investor loans. Single-family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 96.2% of the pool (96.1% per the transaction documents). Condominiums and site condos make up 2.6%, while multifamily homes make up 1.2% of the pool. The pool consists of loans with the following loan purposes, according to Fitch: purchases (2.2%), cashout refinances (97.5%) and rate-term refinances (0.3%). None of the loans in the pool are over $1.0 million, and the maximum draw amount is $500,000. Of the pool loans, 35.2% are concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (13.6%), followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (5.3%) and Miami-Fort Lauderdale-Miami Beach, FL MSA (5.1%). The top three MSAs account for 24% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Second-Lien HELOC Collateral (Negative): The entirety of the collateral pool consists of second-lien HELOC loans originated by loanDepot.com LLC, United Wholesale Mortgage and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans, after controlling for credit attributes, no additional penalty was applied. Modified Sequential Structure with No Advancing of DQ P&I (Mixed): The proposed structure is a modified-sequential structure in which principal is distributed pro rata to the A-1, M-1, M-2 and M-3 classes to the extent the performance triggers are passing. To the extent triggers are failing, principal is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses, and cap carryover amounts. The transaction has a lockout feature benefitting more senior classes if performance deteriorates. If the applicable credit support percentage of the M-1, M-2 or M-3 class is less than the sum of (i) 150% of the original applicable credit support percentage for that class plus (ii) 50% of the non-performing loan percentage plus (iii) the charged-off loan percentage, then that class is locked out of receiving principal payments and the principal payments are redirected to the most senior class. To the extent any class of certificates is a locked-out class, each class of certificates subordinate to such locked-out class will also be a locked-out class. Due to this lockout feature, the M classes will be locked out, starting day one. Classes A-1, M, B-1, B-2 and B-3 are floating-rate classes based on the SOFR index and are capped at the net WAC. Class B-4 is a principal-only class and is not entitled to receive interest. If no excess spread is available to absorb losses, losses will be allocated to all classes reverse sequentially, starting with class B-4. The servicer will not advance delinquent monthly payments of P&I. 180-Day Chargeoff Feature (Positive): Loans that become 180 days delinquent based on the MBA delinquency method, except for those in a forbearance plan, will be charged off. The 180-day chargeoff feature will result in losses being incurred sooner, while a larger amount of excess interest is available to protect against losses. This compares favorably with a delayed liquidation scenario where the loss occurs later in the life of the deal and less excess is available. 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 40.2% 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 This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. JPMBB COMMERCIAL 2013-C14: Moody's Cuts Rating on Cl. F Certs to C ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on four classes in JPMBB Commercial Mortgage Securities Trust 2013-C14, Commercial Mortgage Pass-Through Certificates, series 2013-C14 as follows: Cl. B, Affirmed A2 (sf); previously on Nov 1, 2022 Downgraded to A2 (sf) Cl. C, Downgraded to B1 (sf); previously on Nov 1, 2022 Downgraded to Ba2 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Nov 1, 2022 Downgraded to Caa1 (sf) Cl. E, Downgraded to Ca (sf); previously on Nov 1, 2022 Downgraded to Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Nov 1, 2022 Affirmed Caa3 (sf) Cl. G, Affirmed C (sf); previously on Nov 1, 2022 Affirmed C (sf) RATINGS RATIONALE The rating on the P&I class, Cl. B, was affirmed because its significant credit support and the anticipated principal recoveries from the remaining loans. The class has already paid down 96% from its original balance due to principal paydowns from prior loan maturities. The ratings on four P&I classes were downgraded due to the potential for higher losses and increased risk of interest shortfalls driven primarily by the significant exposure to specially serviced loans. Four loans, representing 96% of the pool, are in special servicing and the two largest specially serviced loans (81% of the pool) are secured by regional malls that have been in special servicing since 2020 and have had declining performance in recent years. Furthermore, as of the September 2023 remittance report, all loans have now passed their original maturity dates. The rating on the P&I class, Cl. G, was affirmed because the rating is consistent with Moody's expected loss. In Moody's rating analysis Moody's also analyzed loss and recovery scenarios to reflect the recovery value, the current cash flow the property and timing to ultimate resolution on the remaining loans and properties in the pool. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 54.6% of the current pooled balance, compared to 17.8% at Moody's last review. Moody's base expected loss plus realized losses is now 9.8% of the original pooled balance, compared to 10.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 96% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the September 15, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 85% to $173.3 million from $1.15 billion at securitization. The certificates are collateralized by five mortgage loans, four of which are in special servicing. The largest specially serviced loan is the Meadows Mall Loan ($78.5 million – 45.3% of the pool), which represents a pari-passu portion of a $117.3 million mortgage loan. The loan is secured by an approximately 308,000 square feet (SF) portion of a 945,000 SF regional mall located five miles west of the Strip in Las Vegas, Nevada. At securitization, the mall was anchored by non-collateral anchors Dillard's, JC Penney, Sears and Macy's. Sears closed their stores at this location in February 2020 and the space was partially backfilled by Round1 Bowling and Amusement. The property's performance had deteriorated before the coronavirus outbreak and its reported net operating income (NOI) in 2019 was approximately 20% below the NOI in 2013 and 14% below the NOI in 2016. The property's NOI further declined in recent years and its reported 2022 and 2021 NOIs saw a decrease of 21% and 12%, respectively, from the 2019 NOI. The loan transferred to special servicing in October 2020 and a cash trap was implemented with rents being swept to the lockbox. Despite the declines in NOI, the DSCR has remained above 1.00X so the cash trap has been sufficient to keep the loan current. As of June 2023, the total mall was 95% leased and the inline space was 85% leased (including temporary tenants). For the trailing twelve-month (TTM) period ending May 2023, in-line sales for tenants less than 10,000 SF was $390 per square foot (PSF) compared to $401 PSF for 2022. An updated appraised value in July 2023 was 52% lower than the securitization value and 5% below the outstanding loan amount. As of the September 2023 remittance date, the loan has amortized 28.5% since securitization and remained current on its debt service payment being classified as "performing maturity balloon". The second largest specially serviced loan is the Southridge Mall Loan ($62.5 million – 36.1% of the pool), which represents a pari-passu portion of a $104.1 million mortgage loan. The loan is secured by a 554,000 SF portion of a 1.2 million SF regional mall in Greendale, Wisconsin, a suburb of Milwaukee. At securitization, the mall was anchored by non-collateral anchors Boston Store, Sears, J.C. Penney, and collateral anchors, Macy's and Kohl's. Sears and Boston Store vacated the property in 2017 and 2018, respectively. Subsequently Kohl's moved their store to a new retail development in late 2018. The former Sears space was partially backfilled by a Dick's Sporting Goods/Golf Galaxy, Round1 Bowling and Amusement, and T.J. Maxx, all of which opened for business between 2018 and 2019. The loan was transferred to special servicing in July 2020 for imminent monetary payment default. The mall's 2022 and 2021 NOIs saw a decrease of 36% and 40%, respectively, from the 2020 NOI, as a result of decreased revenues. The DSCR based on TTM NOI as of March 2023 was 1.09X, compared to 1.53X in 2020 and 1.50X in 2019. As of June 2023, the collateral was 79% leased and the inline space was 77% leased (including temporary tenants). A receiver was appointed in December 2020. An updated appraised value in September 2022 was 60% lower than the securitization value and 30% below the outstanding loan amount. As a result, an appraisal reduction of $48.0 million has been recognized on the whole loan. As of the September 2023 remittance date, the loan has amortized 16.7% since securitization and its debt service payment status changed to "current" from being classified as "non-performing maturity balloon". The third largest specially serviced loan is the 10 South Broadway Loan ($16.5 million –9.5% of the pool), which is secured by a 423,700 SF downtown office located in St. Louis, Missouri. The property's occupancy had deteriorated since 2017. As of June 2023, the property was 65% leased, compared to 69% as of June 2022 and 83% as of December 2018. The loan transferred to special servicing in May 2023 for imminent maturity default. The loan matured in August 2023 and the borrower has requested a 12-month extension until August 2024. The remaining specially serviced loan is secured by a 127-key limited service hotel located in Fort Worth, Texas. The loan transferred to special servicing in July 2023 as it failed to pay off at its July 2023 maturity date. Moody's has estimated an aggregate loss of $93.0 million (a 56% expected loss on average) for the specially serviced loans. The sole non-specially serviced loan is the Hyatt Place North Charleston Loan ($6.4 million – 3.7% of the pool), which is secured by a 113-key limited service hotel located in North Charleston, South Carolina. The loan did not pay off at its scheduled maturity date in August 2023, and is classified as "performing maturity balloon" as of the September 2023 remittance date. JPMCC 2016-JP4: Fitch Lowers Rating on Class E Debt to CCC ---------------------------------------------------------- Fitch Ratings has downgraded three and affirmed nine classes of JPMCC Commercial Mortgage Securities Trust 2016-JP4 commercial mortgage pass-through certificates. In addition, Fitch revised the Rating Outlook to Negative from Stable on three of the affirmed classes, and assigned Negative Rating Outlooks to two classes following their downgrades. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2016-JP4 A-2 46645UAR8 LT AAAsf Affirmed AAAsf A-3 46645UAS6 LT AAAsf Affirmed AAAsf A-4 46645UAT4 LT AAAsf Affirmed AAAsf A-S 46645UAX5 LT AAAsf Affirmed AAAsf A-SB 46645UAU1 LT AAAsf Affirmed AAAsf B 46645UAY3 LT AA-sf Affirmed AA-sf C 46645UAZ0 LT A-sf Affirmed A-sf D 46645UAC1 LT BB-sf Downgrade BBB-sf E 46645UAE7 LT CCCsf Downgrade B-sf X-A 46645UAV9 LT AAAsf Affirmed AAAsf X-B 46645UAW7 LT AA-sf Affirmed AA-sf X-C 46645UAA5 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 8.1%. Eight loans (27.2% of the pool) are considered Fitch Loans of Concern (FLOCs), two (8.8%) of which are in special servicing. The downgrades reflect the impact of the updated criteria and increased pool loss expectations since the prior rating action driven primarily by the two specially serviced loans, Riverway (6.8%) and Franklin Marketplace (2.0%). The Negative Outlooks incorporate an additional sensitivity analysis that factors a heightened probability of default on four loans, including Fresno Fashion Fair Mall (9.7%), 1140 Avenue of the Americas (2.9%), PGA Financial Plaza (2.3%) and Timbergrove Heights (1.1%). Fitch Loans of Concern: The largest contributor to overall loss expectations is the Riverway loan, which is secured by a four-building suburban office property totaling 869,120-sf located in Rosemont, IL, approximately 1.5 miles from O'Hare International Airport. The property consists of three office buildings and one 10,409-sf daycare center. The largest tenants include U.S. Foods, Inc. (34.2% of NRA; expiring February 2029), Culligan International Company (6.1%; December 2026), Appleton GRP LLC (4.4%; December 2026) and Public Buildings Service (3.9%; August 2037). The loan transferred to special servicing in May 2023 for imminent default due to occupancy/cash flow issues and the borrower stopped funding shortfalls. According to the servicer, foreclosure has been filed and the lender will continue to discuss workout alternatives with the borrower. As of September 2023, the loan was reported as 90+ days delinquent. Occupancy was 68% as of March 2023, compared to 58% at YE 2022, 65% at YE 2021, 67% at YE 2020 and 91% in June 2019; the steep decline in occupancy between 2019 and 2020 was due to Central States Pension Fund (21.9% NRA) vacating upon lease expiration in December 2019. Approximately 4% of the NRA is scheduled to roll in 2024. The servicer-reported NOI debts service coverage ratio (DSCR) was 0.80x as of March 2023, compared with 0.78x at YE 2022, 0.82x at YE 2021, 0.65x at YE 2020, and 1.60x at YE 2019. Cash management remains in place after Central States Pension Fund's lease expiration triggered a tenant cash flow sweep. Fitch's 'Bsf' rating case loss of 39% (prior to concentration add-ons) is based on a 10% cap rate to the YE 2021 NOI. The second largest contributor to loss is the Franklin Marketplace loan, which is secured by a 223,343-sf retail property located in Philadelphia, PA and immediately adjacent to Philadelphia Mills. The loan transferred to special servicing in September 2020 due to imminent default. The asset became REO as of June 2023; however, per the servicer, the property is currently not being marketed for sale. The property is anchored by Big Lots (14% NRA; January 2028), with a reported occupancy of 61% as of August 2023. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of approximately 85% reflects a discount to the most recently available appraisal and factors the higher loan exposure since the prior rating action. The third largest contributor to loss is the 1140 Avenue of Americas loan, which is secured by a 242,466-sf office building located on the north-eastern corner of West 44th Street and Avenue of the Americas in Midtown Manhattan. The loan has been designated as a FLOC due to performance declines and rollover concerns. Per the June 2023 rent roll, occupancy was 74%, which is a slight increase from 71% at YE 2022, but down from 84% at YE 2020. Upcoming rollover at the property includes 13.9% of the NRA in 2024, 5.2% in 2025 and 11% in 2026. The servicer-reported NOI DSCR was 0.76x at YE 2022 compared with 0.68x at YE 2021 and 1.19x at YE 2020. Fitch's 'Bsf' rating case loss of 28% (prior to concentration add-ons) factors an 8.50% cap with a 15% haircut to the YE 2022 NOI to reflect upcoming rollover concerns. The fourth largest contributor to modeled losses is the Fresno Fashion Fair loan, which is secured by a 561,989-sf portion of an 835,416-sf super-regional mall located in Fresno, CA. Non-collateral tenants include Macy's (Women's & Home, and Men's & Children's Stores), BJ's Restaurant and Brewhouse, Chick-fil-A and Fleming's. The largest collateral tenants include JCPenney (27.4% of NRA, lease expiry in March 2028), H&M (3.4%, January 2027), Victoria's Secret (2.6%, January 2027), Cheesecake Factory (1.8%, January 2026) and ULTA Beauty (1.8%, August 2027). Performance has continued its upward trend following the trough performance in 2020, with occupancy at 96.8% per the March 2023 rent roll and a NOI DSCR of 2.31x YE 2022. This compares to 93% and 2.20x for YE 2021, and 85% and 1.86x for YE 2020. Sales have declined slightly to $961 psf ($786 psf excluding Apple) for YE 2022, from $973 psf ($794 psf exluding Apple) for TTM June 2022, but remains well above $689 psf ($607 psf excluding Apple) for TTM June 2021. Fitch's 'Bsf' rating case loss of 7.5% (prior to concentration add-ons) reflects an 11% cap rate on the YE 2021 NOI. Increasing CE: As of the August 2023 distribution date, the pool's aggregate principal balance has paid down by 17.2% to $825.7 million from $997.6 million at issuance. Of the current pool, eight loans (40.2%) are full-term IO, and no loans have a partial-term IO period remaining. Since issuance, five loans (12.2% of original pool) prepaid and two loans (1.3%) are fully defeased. Cumulative interest shortfalls totaling $1.5 million are currently affecting class NR. The pool has experienced no realized losses since issuance. All the non-specially serviced loans in the pool are scheduled to mature in 2026 and 2027. Retail and Office Concentrations: Retail loans comprise 36.7% of the pool, followed by office (37.1%) and hotel (17.2%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes A-2, A-3, A-4, A-SB, A-S, and X-A are not expected due to the expected continued expected amortization and increasing CE relative to loss expectations, but may occur should interest shortfalls affect these classes. Downgrades to classes B, C, and X-B may occur should the FLOCs, particularly the specially serviced loans, Riverway and Franklin Marketplace, experience further performance deterioration and/or larger FLOCs, including Fresno Fashion Fair Mall, 1140 Avenue of the Americas, PGA Financial Plaza and Timbergrove Heights, experience outsized losses, transfer to special servicing or defaults at or prior to maturity. Further downgrades to classes D, X-C, and E 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, C, and X-B may occur with significant improvement in CE and/or defeasance, as well as with the stabilization of performance on the FLOCs, particularly the specially serviced loans, Riverway and Franklin Marketplace, and with greater certainty of refinanceability on the Fresno Fashion Fair Mall, 1140 Avenue of the Americas, PGA Financial Plaza and Timbergrove Heights loans. Upgrades to classes D and X-C 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 class E 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. LEHMAN BROTHERS 2007-3: Moody's Cuts Cl. M1 Certs Rating to Caa3 ---------------------------------------------------------------- Moody's Investors Service has downgraded rating of one class issued by Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2007-3 (Lehman 2007-3). The deal is a securitization of small balance commercial real estate loans and is serviced by PHH Mortgage Corporation. The complete rating actions are as follow: Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2007-3 Cl. M1, Downgraded to Caa3 (sf); previously on Aug 5, 2020 Downgraded to Caa2 (sf) RATINGS RATIONALE The downgrade rating actions reflect the unpaid credit-related basis risk interest shortfalls caused by the continued accrual of interest on the outstanding shortfalls. The interest accrued on the credit-related basis risk shortfall is expected to continue to accrue at a high rate due to the coupons on these bonds. These credit-related basis risk shortfalls are unlikely to be reimbursed because the transaction is currently undercollateralized and the reserve account is empty. Further, interest shortfalls owed on bonds are paid from the excess interest only after the reserve has built to a pre-specified target amount. PRINCIPAL METHODOLOGY The principal methodology used in this ratings was "SME Asset-Backed Securitizations methodology" published in July 2023. Factors that would lead to an upgrade or downgrade of the rating: Up Better than expected pool performance and levels of credit enhancement that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a decrease in seriously delinquent loans, lower loss severities than expected on liquidated loans, or fewer defaults than expected. Changes in servicer practices leading to reimbursement or increased likelihood of reimbursement of credit-related basis risk shortfalls could lead to rating upgrades. Down Levels of credit protection that are insufficient to protect investors against expected losses could drive the ratings down. Moody's expectation of pool losses could increase as a result of an increase in seriously delinquent loans and higher severities than expected on liquidated loans. Further occurrence of credit-related basis risk shortfalls or changes in servicer practices leading to higher likelihood of credit-related basis risk shortfalls could lead to rating downgrades. MADISON PARK XIV: Moody's Lowers Rating on $9MM F-R Notes to Caa1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Madison Park Funding XIV, Ltd.: US$98,500,000 Class B-RR Floating Rate Notes due 2030 (the "Class B-RR Notes"), Upgraded to Aa1 (sf); previously on October 22, 2018 Definitive Rating Assigned Aa2 (sf) US$50,000,000 Class C-RR Deferrable Floating Rate Notes due 2030 (the "Class C-RR Notes"), Upgraded to A1 (sf); previously on October 22, 2018 Definitive Rating Assigned A2 (sf) Moody's has also downgraded the rating on the following notes: US$9,000,000 Class F-R Deferrable Floating Rate Notes due 2030 (the "Class F-R Notes"), Downgraded to Caa1 (sf); previously on August 28, 2020 Confirmed at B3 (sf) Madison Park Funding XIV, Ltd., originally issued in August 2014, partially refinanced in April 2017 and refinanced in October 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2023. RATINGS RATIONALE These rating actions reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in October 2023. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF) and higher weighted average spread (WAS) compared to their respective covenant levels. Moody's modeled a WARF of 2948 and a WAS of 3.66% compared to its current covenant levels of 3139 and 3.47%, respectively. The downgrade rating action on the Class F-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 August 2023 [1] report, the OC ratio for the Class F-R notes is reported at 105.30% versus August 2022 [2] level of 106.03%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is currently 3087 compared to 2915 in August 2022. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $976,267,042 Defaulted par: $9,106,954 Diversity Score: 76 Weighted Average Rating Factor (WARF): 2948 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.66% Weighted Average Coupon (WAC): 8.22% Weighted Average Recovery Rate (WARR): 46.92% Weighted Average Life (WAL): 4.36 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. MARINER FINANCE 2023-A: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Mariner Finance Issuance Trust 2023-A's asset-backed notes. The note issuance is an ABS securitization backed by personal consumer loan receivables. The preliminary ratings are based on information as of Oct. 2, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 55.78%, 47.63%, 42.83%, 36.99%, and 30.99% credit support for the class A, B, C, D, and E notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the preliminary ratings assigned to the notes based on S&P's stressed cash flow scenarios. -- S&P's worst-case, weighted average, base-case default assumption for this transaction of 19.80%. Its default assumption is a function of the transaction-specific reinvestment criteria and historical Mariner Finance LLC (Mariner) portfolio loan performance. -- Mariner's long performance history as originator and servicer. -- Mariner has been profitable every year since 2002. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be consistent with the credit stability section of "S&P Global Ratings Definitions," published Nov. 9, 2021. -- The timely interest and full principal payments expected to be made by the final maturity date under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized and receivables expected to be purchased during the two-year revolving period, which considers the worst-case pool according to the transaction's concentration limits. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Mariner Finance Issuance Trust 2023-A Class A, $194.560 million: AAA (sf) Class B, $34.000 million: AA- (sf) Class C, $18.210 million: A- (sf) Class D, $21.290 million: BBB- (sf) Class E, $31.940 million: BB- (sf) METAL LIMITED 2017-1: Fitch Affirms 'CCsf' Rating on Three Tranches ------------------------------------------------------------------- Fitch Ratings has affirmed METAL 2017-1 Limited (METAL) series A, B, C-1, and C-2 notes. Entity/Debt Rating Prior ----------- ------ ----- METAL 2017-1 Limited A 59111RAA0 LT CCCsf Affirmed CCCsf B 59111RAB8 LT CCsf Affirmed CCsf C-1 59111RAC6 LT CCsf Affirmed CCsf C-2 59111RAD4 LT CCsf Affirmed CCsf TRANSACTION SUMMARY Fitch has affirmed the ratings of METAL 2017-1 Limited's class A notes at 'CCCsf' and the B, C-1, and C-2 notes at 'CCsf'. This transaction, along with the other aircraft operating lease ABS transactions rated by Fitch, was placed Under Criteria Observation (UCO) in June of 2023 following Fitch's publication of new Aircraft Operating Lease ABS Criteria: These ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structure to withstand stress scenarios commensurate with their respective ratings within the framework of Fitch's new criteria and related asset model. The rating actions also consider lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, which inform its modeled cash flows and coverage levels. Fitch's updated rating assumptions for airlines are based on a variety of performance metrics and airline characteristics. This transaction is concentrated with only 11 aircraft and one engine. A large proportion of aircraft are on lease to a single airline, Lion Air. The transaction has been in Rapid Amortization and Cash Trap due to the debt service coverage ratio (DSCR) dropping below thresholds (1.25x and 1.3x, respectively). As of September 2023, the DSCR of 0.72x remains below the threshold. The transaction is also in breach of the Enhanced RAE Trigger of 1.10x with a current enhanced DSCR of 0.53x. Overall Market Recovery: The global commercial aviation market continues to recover, posting a 47% increase in revenue passenger kilometers (RPKs) in the first half of 2023 compared to the same period last year with June global RPKs recovering to 94% of pre-COVID levels per IATA. Asia-Pacific airlines led the way with a 126% increase in first half 2023 traffic versus last year. Domestic RPKs globally rose 27% in June compared to the prior year and have surpassed pre-pandemic RPKs by 5.1%; June international RPKs climbed 34% compared to the prior year and are approximately 12% below pre-pandemic levels per IATA. International and domestic market performance differs across regions. APAC has seen significant growth in domestic markets, led by China returning to pre-pandemic levels with a 136% June YTD increase in RPKs versus last year. APAC has also enjoyed triple digit international RPK growth, however, there is still room for additional recovery as it has only reached 71% of pre-pandemic levels per IATA. North American and European traffic (domestic and international) continue to rebound with June RPKs marginally exceeding pre-pandemic levels in North America and reaching approximately 95% of pre-pandemic levels in Europe per IATA. Macro Risks: While the commercial aviation market is recovering, the industry faces certain unknowns and potential headwinds including workforce shortages, supply chain issues, geopolitical risks, inflation, and recessionary concerns and any associated reductions in passenger demand. Such events may lead to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cashflows needed to meet debt service. KEY RATING DRIVERS Asset Value & Quality: The pool is comprised of the following aircraft types: narrow body (58%), wide body (27%), freighter (10%), and engine (5%) with a weighted average age of nine years. Although the assets are relatively young, they are generally last generation technology and more challenging to lease. Many have experienced valuation pressure during the pandemic and have not benefited from the recovery as much as more desirable models. Using mean maintenance-adjusted base value in order to make period to period comparisons and to control for changes in Fitch's approach to determining the Fitch value, the loan-to-value for each of the notes has changed since Fitch's February's 2023 review as follows: - A note: 92% to 94%; - B note: 112% to 116% - C-1 note: 126% to 131% - C-2 note: 131% to 137% The Fitch value for the pool is $226.7 million. Fitch used the most recent appraisal as of July 2023 and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch employs a methodology whereby Fitch varies the type of value per aircraft based on the remaining leasable life: < 3 years of leasable life: Maintenance-adjusted market value; > 3 years of leasable life, but >15 years old: Maintenance-adjusted base value; < 15 years old: Half-life base value. For the subject pool, Fitch used half-life base value as all aircraft are less than 15 years of age. Fitch then use the lesser of mean and median of the appraised values. Following the new criteria, Fitch applies a haircut to residual values that vary based on rating stress level. Haircuts start at 5% at 'Bsf' and increase to 15% at 'Asf". Tiered Collateral Quality: Fitch utilizes three tiers when assessing the quality and corresponding marketability of aircraft collateral: tier 1 which is the most marketable and tier 3 which is the least marketable. As aircraft in the pool reach an age of 15 and then 20 years, pursuant to Fitch's criteria, the aircraft tier will migrate one level lower. The weighted average tier for the METAL transaction is 2.2, which is relatively low given the average age of the pool. This is driven by Fitch's view that many of the aircraft types in the pool are more challenging to place from a leasing perspective given the size of their in-service fleets and operator bases. Pool Concentration: Given 11 aircraft and one engine on lease to eight lessees, the METAL pool is concentrated. As the pool ages and Fitch models aircraft being sold at the end of their leasable lives (generally 20 years with the exception of freighter aircraft for which Fitch modeled 30 years for the four freighters in the pool) pool concentration will continue to increase. Pursuant to Fitch's criteria, the agency stresses cash flows based on the effective aircraft count. Concentration haircuts vary by rating level and are only applied at stresses higher than 'CCCsf'. Lessee Credit Risk: Fitch considers the credit risk posed by METAL's pool of lessees to be moderate to high. Three of the eight lessees have delinquencies. Operation and Servicing Risk: Fitch deems the servicer, Aergo Capital, to be qualified to service ABS based on its experience as a lessor, overall servicing capabilities and ABS performance to date. Aergo Capital's fleet consist of mid-life and mature narrow body, widebody, freighter, regional and turboprop aircraft. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase in delinquencies, lower lease rates, or sales of aircraft below Fitch's projections could lead to a downgrade. The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry ratings lower than the senior tranche and below the ratings at close. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade. Fitch also considers jurisdictional concentrations per the "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. 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. METRONET INFRASTRUCTURE 2023-3: Fitch Rates Class C Notes 'BB-' --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes Series 2023-3. Fitch has also affirmed the ratings on Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes Series 2023-2, Series 2023-1, and Series 2022-1. The Rating Outlooks remain Stable. Fitch has assigned final ratings and Rating Outlooks as follows: - $478,236,000 series 2023-3 class A-2 'Asf'; Outlook Stable; - $66,156,000 series 2023-3 class B 'BBBsf'; Outlook Stable; - $133,109,000 series 2023-3 class C 'BB-sf'; Outlook Stable. In addition, Fitch has affirmed the following classes: - $400,000,000a series 2023-2 class A-1 'Asf'; Outlook Stable; - $487,139,000 series 2023-1 class A-2 at 'Asf'; Outlook Stable; - $67,387,000 series 2023-1 class B at 'BBBsf'; Outlook Stable; - $135,587,000 series 2023-1, class C, at 'BB-sf'; Outlook Stable. - $860,781,000 series 2022-1, class A-2, at 'Asf'; Outlook Stable; - $119,075,000 series 2022-1 class B at 'BBBsf'; Outlook Stable; - $239,584,000 series 2022-1 class C at 'BB-sf'; Outlook Stable. (a) This note is a Variable Funding Note (VFN) and has a maximum commitment of $400 million contingent on leverage consistent with the class A-2 notes. This class will reflect a zero balance at issuance. Entity/Debt Rating Prior ----------- ------ ----- Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue, Series 2023-2 Class A-1 LT Asf Affirmed Asf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2022-1 Class A-2 59170JAA6 LT Asf Affirmed Asf Class B 59170JAB4 LT BBBsf Affirmed BBBsf Class C 59170JAC2 LT BB-sf Affirmed BB-sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue, Series 2023-3 Class A-2 LT Asf New Rating A(EXP)sf Class B LT BBBsf New Rating BBB(EXP)sf Class C LT BB-sf New Rating BB-(EXP)sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2023-1 Class A-2 59170DAA9 LT Asf Affirmed Asf Class B 59170DAB7 LT BBBsf Affirmed BBBsf Class C 59170DAC5 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY The transaction is a securitization of contract payments derived from an existing fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and a pledge of equity from the asset entities. Debt is secured by net revenue from operations and benefits from a perfected security interest in the securitized assets. The collateral consists of high-quality fiber lines that support the provision of internet, cable and telephone services to a network of approximately 431,000 retail customers across 12 states; these assets represent approximately 92.3% of the sponsor's business, based on the percentage of revenue generated. For the markets contributed to the transaction, the majority of the subscriber base, comprising 31.1% of annualized run rate revenue (ARRR), is located in Indiana, although the base is spread across a few distinct markets in the state. In addition to the existing collateral networks, the transaction is now also secured by networks totaling 17.9% of ARRR from MetroNet's May 2022 acquisition of Vexus and newly-constructed markets, which are being contributed in connection with this issuance of notes. The additional collateral passes approximately 310,000 households and includes 106,000 new subscribers. The ratings reflect a structured finance analysis of cash flows from the ownership interest in the underlying fiber-optic networks, rather than an assessment of the corporate default risk of the ultimate parent, MetroNet Holdings, LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $244.0 million, implying a 19.9% haircut to issuer NCF in the base case. The debt multiple relative to Fitch's NCF on the rated classes is 10.6x, versus the debt/issuer NCF leverage of 8.5x. Inclusive of the cash flow required to draw on the maximum variable funding note (VFN) commitment of $400 million, the Fitch NCF on the pool is $306.9 million, implying a 17.31% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.7x, compared with the debt / issuer NCF leverage of 8.1x. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale and diversity of the customer base, market position and penetration, capability of the operator, and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology —rendering obsolete the current transmission of data through fiber optic cables — will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, contract churn, or lower market penetration or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF was 19.9% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'Asf' to 'BBBsf'; class B from 'BBBsf' to 'BB+sf'; class C from 'BB-sf' to 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from rate increases, additional contracts, or contract amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'Asf' to 'Asf'; class B from 'BBBsf' to 'A-'; class C from 'BB-sf' to 'BBsf'. Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2013-C11: Moody's Cuts Rating on 2 Tranches to Caa3 ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on four classes and downgraded the ratings on six classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 ("MSBAM 2013-C11"), Commercial Mortgage Pass-Through Certificates, Series 2013-C11 as follows: Cl. A-4, Downgraded to A1 (sf); previously on Aug 5, 2022 Affirmed Aa2 (sf) Cl. A-S, Downgraded to B1 (sf); previously on Aug 5, 2022 Downgraded to Ba2 (sf) Cl. B, Downgraded to Caa3 (sf); previously on Aug 5, 2022 Affirmed Caa2 (sf) Cl. C, Downgraded to C (sf); previously on Aug 5, 2022 Affirmed Caa3 (sf) Cl. D, Affirmed C (sf); previously on Aug 5, 2022 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Aug 5, 2022 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Aug 5, 2022 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Aug 5, 2022 Affirmed C (sf) Cl. X-A*, Downgraded to A1 (sf); previously on Aug 5, 2022 Affirmed Aa2 (sf) Cl. PST, Downgraded to Caa3 (sf); previously on Aug 5, 2022 Affirmed Caa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four P&I classes, Cl. A-4, Cl. A-S, Cl. B and Cl. C, were downgraded due to higher anticipated losses and increased risk of interest shortfalls driven primarily by the significant exposure to loans in special servicing. Four loans, which comprise 84% of the pool, are currently in special servicing. This includes two regional mall loans, Westfield Countryside (36% of the pool) and The Mall at Tuttle Crossing (32% of the pool), that have had significant decline in performance since securitization and have already recognized appraisal reductions greater than 35% of their respective loan balance. Furthermore, the only non-specially serviced loan has passed its original maturity date in August 2023 and is secured by a hotel in Chicago (16% of the pool) whose cash flow remains below levels at securitization. In this rating action Moody's also analyzed loss and recovery scenarios to reflect the recovery value of the remaining loans, the current cash flow at the properties and timing to ultimate resolution. Affirm four P&I classes because their ratings are consistent with Moody's expected loss. Class G has already realized an 81% loss. Downgrade one interest only (IO) class, Cl. X-A, based on a decline in the credit quality of its referenced classes. Downgrade the exchangeable, Cl. PST, class based on the credit quality of the exchangeable classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 58.6% of the current pooled balance, compared to 24.6% at Moody's last review. Moody's base expected loss plus realized losses is now 23.2% of the original pooled balance, compared to 21.2% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 84% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the September 15, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 71% to $251 million from $856 million at securitization. The certificates are collateralized by five mortgage loans, all of which have now passed their original scheduled maturity dates. Four of the remaining loans (84% of the pool), are currently in special servicing. One loan, the Matrix Corporate Center loan, has been liquidated from the pool, contributing to an aggregate realized loss of $51.8 million to the trust. As of the September 2023 remittance statement cumulative interest shortfalls were $6.6 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest specially serviced loan is the Westfield Countryside Loan ($90.1 million – 35.9% of the pool), which represents a pari passu portion of a $139.6 million mortgage loan. The loan is secured by a 465,000 square foot (SF) component of an approximately 1.26 million square foot (SF) super-regional mall located in Clearwater, Florida, approximately 20 miles west of Tampa. The mall is anchored by Dillard's, Macy's, and JC Penney, all of which are non-collateral. Sears (non-collateral) initially downsized its location 2014 and closed the remainder of its space in 2018. Whole Food's and Nordstrom Rack partially backfilled the former Sears space. The largest collateral tenant includes a 12-screen Cobb Theaters (lease expiration in December 2026). As of March 2023, collateral occupancy was 72%, compared to 81% in December 2022 and 93% in December 2019. The property's NOI has generally declined since 2019, and the property's 2022 NOI was 38% below securitization levels, and the reported 2022 NOI DSCR was 1.09X. The loan was originally sponsored by Westfield and O'Connor Capital Partners, however, Westfield previously indicated that they were no longer going to support the asset and cooperated with a friendly foreclosure. All rents are currently being cash trapped and JLL was appointed as a receiver in January 2021 and is currently managing the property. An updated appraisal value was reported in September 2022, representing a 60% decline from its value at securitization and 23% below the total outstanding loan amount. The loan has been in special servicing since June 2020 and as of the September 2023 remittance statement was last paid through its June 2023 payment date. Per the servicer's commentary, the property was listed for sale in January 2023 and the special servicer is currently reviewing offers to conclude the sale process. Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the Mall at Tuttle Crossing Loan ($80.9 million – 32.3% of the pool), which represents a pari passu portion of a $106.3 million mortgage loan. The loan is secured by a 385,000 SF component of an approximately 1.13 million SF super-regional mall located in Dublin, Ohio, approximately 17 miles northwest of Columbus. The mall's non-collateral anchors include JC Penney, Scene 75, an entertainment venue that backfilled a former Macy's Home Store, and Macy's (all three of which are non-collateral). The mall currently has an additional vacant non-collateral anchor space, a former Sears (149,000 SF), that was vacated in early 2019. The collateral portion was 80% leased as of March 2023 compared to 81% as of December 2021. The mall's in-line occupancy was 79% in February 2023 compared to 76% in December 2021. The property's net operating income (NOI) has generally declined since 2016 due to lower revenues and the property's 2022 NOI was 54% lower than securitization levels. The loan has been in special servicing since July 2020 and is last paid through its September 2021 payment date. The special servicer commentary indicates the property was marketed for sale and the purchase was awarded to the highest bidder with closing tentatively scheduled in September 2023. As of the July 2023 remittance statement an appraisal reduction of 85% has been recognized. Due to the declining performance and the current retail environment, Moody's anticipates a significant loss on this loan. The third largest specially serviced loan is the Bridgewater Campus Loan ($37.1 million – 14.8% of the pool), which is secured by eight Class B mixed-use buildings totaling 446,649 SF. The property is located in Bridgewater, New Jersey, approximately 41 miles southwest of New York City. The buildings are leased to three tenants, who have been at the property since securitization. As of March 2023, the property was 81% leased, compared to 88% in 2022, 100% in 2019, and 90% at securitization. The loan faces notable lease rollover as the second largest tenant (37% of the NRA) has lease expirations scheduled in June 2024. The loan failed to pay off at its scheduled maturity date in July 2023 and transferred to special servicing in June 2023. The loan has amortized 14.8% since securitization. As of March 2023, the loan has an NOI DSCR of 1.59X and as of the September 2023 remittance statement the last was last paid through its August 2023 payment date. Per the servicer commentary, the borrower is requesting a two-year extension to finalize lease renewals and seek favorable financing while discussing resolution options with the special servicer. The one remaining non-specially serviced loan represents 16.5% of the pool balance. The Marriott Chicago River North Hotel Loan ($41.3 million) is secured by a full-service hotel property in downtown Chicago, IL. The Hotel is dual-flagged under Marriott's Residence Inn and Springhill Suites brands and operates subject to Franchise agreements scheduled to expire in 2033. The loan was previously in special servicing from July 2020 through January 2022 but returned to the master servicer after it was brought current and returned to performing status. The property has rebounded from its 2020 and 2021 performance, however, the most recently reported June 2023 NOI was 15% lower than in 2013. As of the 2022 STR report, the collateral's trailing twelve-month occupancy, and RevPAR were 68.4% and $139.92, which exceeded its competitive set. The loan has amortized 25% since securitization but has now passed its scheduled maturity date in August 2023. Moody's LTV on this loan was 128%. MORGAN STANLEY 2014-C14: Fitch Affirms 'Bsf' Rating on Cl. G Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14 (MSBAM 2014-C14) commercial mortgage pass-through certificates. The Rating Outlooks on classes F and G have been revised to Negative from Stable, while the Outlook on class E has been revised to Stable from Positive. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2014-C14 A-5 61690GAF8 LT AAAsf Affirmed AAAsf A-S 61690GAH4 LT AAAsf Affirmed AAAsf A-SB 61690GAC5 LT AAAsf Affirmed AAAsf B 61690GAJ0 LT AAAsf Affirmed AAAsf C 61690GAL5 LT AAAsf Affirmed AAAsf D 61690GAT8 LT Asf Affirmed Asf E 61690GAW1 LT BB+sf Affirmed BB+sf F 61690GAZ4 LT BBsf Affirmed BBsf G 61690GBC4 LT Bsf Affirmed Bsf PST 61690GAK7 LT AAAsf Affirmed AAAsf X-A 61690GAG6 LT AAAsf Affirmed AAAsf X-B 61690GAM3 LT AAAsf Affirmed AAAsf Classes X-A and X-B are IO. The class A-S, B and C certificates may be exchanged for class PST certificates, and class PST certificates may be exchanged for the class A-S, B and C certificates. 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 updated criteria as well as continued stable performance from a majority of the loans in the pool. The Outlook revisions of classes F and G to Negative from Stable reflect the potential for downgrades should performance of Fitch Loans of Concern (FLOCs) further deteriorate or loans fail to pay at maturity. The majority of loans mature in late 2023 or early 2024; FLOCs comprise 27.3% and include two loans in special servicing (3.0%). The largest FLOCs include Hilton San Francisco Financial District (6.7%), Papago Gateway Center (5.7%) and River Oaks Plaza (5.5%), and also include The Pence Building (1.5%). The Outlook revision of class E to Stable from Positive reflects sufficient CE given the classes position in the capital stack, however, the loan's reliance on recoveries from FLOCs. Fitch's current ratings incorporate a 'Bsf' ratings case loss of 5.6%. Largest Contributors to Loss Expectations: The Hilton San Francisco Financial District (6.8% of the pool) is a 543-key full-service hotel located in downtown San Francisco, CA. Performance rebounded in 2022 with occupancy recovering to 69.3% at YE 2022 from 50% at YE 2020, but remains below pre-pandemic levels of 97% at YE 2019. With the improved occupancy, the NOI DSCR recovered to 1.34x for the YE 2022 reporting period after being negative in 2021 and 2020. Despite the improvements, the YE 2022 NOI is about 27% below NOI at issuance. The loan has been amortizing since 2017 and has remained current. Fitch's analysis is based off the YE 2022 NOI with a 20% stress and an increased probability of default due to the loan's heightened maturity default risk. Loss expectations are 23% (prior to concentration add-ons) at the 'Bsf' rating category. The next largest contributor to loss expectations is the River Oaks Plaza (5.5%), which is secured by a 195,000-sf anchored retail shopping center located in Houston, TX. Anchor tenants include Marshalls (24.9% of the NRA), TJ Maxx (17.9%), Fit Athletic Club (13.2%) and Office Depot (12.0%). Overall, property performance has remained stable with the YE 2022 occupancy and NOI DSCR reported at 91.4% and 1.42x, respectively, and 91% and 1.30x at YE 2021. The loan was identified as a FLOC due to the vacancy of Fit Athletic Club whose lease expired in August 2023. Additional upcoming rollover includes three tenants for 14.9% of the NRA in 2023. Per CoStar, the collateral is located in the Inner Loop submarket and Houston MSA which have average vacancy rates of 3.0% and 4.9%, respectively. Due to the upcoming vacancy of the largest tenant and near-term maturity, Fitch's analysis includes a 15% stress to the YE 2022 NOI and an increased probability of default due to the heightened maturity default risk. Loss expectations are 19.8% (prior to concentration add-ons) at the 'Bsf' rating category. The Pence Building is a 91,000-sf office building located in Minneapolis, MN. Occupancy dropped to 51% after the largest tenant Art Institute International (33% of the NRA) vacated at their YE 2017 lease expiration. The loan transferred to special servicing in July 2018 and became REO in September 2019. The loan has maintained a DSCR around a 0.00x since YE 2018. Per updates from the servicer, leasing velocity remains slow in Minneapolis. According to CoStar, the subject is located in the Minneapolis CBD office submarket and Minneapolis MSA, which have vacancy rates or 19.6% and 11.2%, respectively. Fitch's analysis includes a 20% stress to the most recent appraised value to reach an 85% loss (prior to concentration add-ons) at the 'Bsf' rating category. Increased Credit Enhancement: As of the August 2023 remittance report, the pool's aggregate balance has been reduced by 59.5% to $598.9 million from $1.48 billion at issuance. There are nine loans (10.6% of the pool) that have fully defeased. The Aspen Heights - Columbia (3.4% of the original pool balance) was disposed of in October 2021 with a loss of about $20 million. Realized losses and interest shortfalls of $1.9 million are currently impacting the non-rated class H. There are two loans (2.8% of the pool) that are full-term, IO, while all other loans are currently amortizing. Approximately 48.7% of the pool is scheduled to mature in 4Q23 and 49.6% is set to mature in 1Q24. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' classes are not likely due to their position in the capital structure and the high CE, but may occur should interest shortfalls impact these classes. Downgrades to classes rated 'Asf' or 'BB+sf' and below may occur should pool level expected losses increase significantly and/or FLOCs in the top 15 fail to pay-in-full at maturity and/or transfer to special servicing. Downgrades to the 'Bsf' rated class may occur should FLOCs in the top 15 fail to pay-off at maturity, transfer to special servicing, and/or incur losses higher than currently expected. 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 additional paydown and/or defeasance. Upgrades to the 'Asf' through 'BB+sf' rated classes may occur with further increases in CE due to loan payoffs at maturity. Upgrades to the 'BBsf' and 'Bsf' category rated classes are considered unlikely, but may occur as the number of FLOCs are reduced. Upgrades would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes will not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2015-C22: Fitch Cuts Rating on Cl. D Certs to BB-sf ------------------------------------------------------------------ Fitch Ratings has upgraded two classes and downgraded one class of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Commercial Mortgage Pass-Through Certificates, series 2015-C22. Fitch has also assigned a Negative Rating Outlook to one class following the downgrade. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C22 A-2 61690FAJ2 LT AAAsf Affirmed AAAsf A-3 61690FAL7 LT AAAsf Affirmed AAAsf A-4 61690FAM5 LT AAAsf Affirmed AAAsf A-S 61690FAP8 LT AAAsf Affirmed AAAsf A-SB 61690FAK9 LT AAAsf Affirmed AAAsf B 61690FAQ6 LT AA+sf Upgrade AA-sf C 61690FAS2 LT A-sf Affirmed A-sf D 61690FAB9 LT BB-sf Downgrade BBsf E 61690FAC7 LT CCCsf Affirmed CCCsf F 61690FAD5 LT CCsf Affirmed CCsf PST 61690FAR4 LT A-sf Affirmed A-sf X-A 61690FAN3 LT AAAsf Affirmed AAAsf X-B 61690FAA1 LT AA+sf Upgrade AA-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. Improving Loss Expectations: The upgrades reflect improving loss expectations for the pool since Fitch's prior rating action as well as the impact of the criteria. Fitch's current ratings incorporate a 'Bsf' rating case loss of 6.9%. The downgrade to class D and the Negative Outlook assignment reflect performance and refinancing concerns for the specially serviced loan Hilton Houston Westchase (4.3%) and Fitch Loans of Concern (FLOCs), particularly Waterfront at Port Chester (8.5%). There were 11 loans (31%) in total flagged as FLOCs, up from three (14%) at the prior rating action. In upgrading class B and X-B and affirming the senior classes, Fitch also considered an elevated probability of default on Waterfront at Port Chester. The largest contributor to loss expectations, Hilton Houston Westchase, is secured by a 297-key, full-service hotel located in energy corridor of Houston, TX. The loan was transferred to special servicing in February 2020 for imminent maturity default and subsequently defaulted at its March 2020 scheduled maturity date. The property has experienced substantial performance declines related to the decline in oil and gas prices, coupled with oversupply in the Houston hotel market. The property has experienced further performance declines as a result of the coronavirus pandemic. The special servicer continues to work with the receiver on potential resolution options. Per the TTM ended June 2023 reporting, the loan was outperforming its competitive set with a RevPAR penetration rate of 116.1%. For the TTM June 2023, occupancy, ADR and RevPAR were 58.1%, $116.55 and $67.68 compared to 45.7%, $127.41 and $58.28 for the comp set. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 93% reflects a 20% stress to the most recently available appraisal, reflecting increasing exposure and a stressed value of approximately $44,000 per key. The second largest contributor to loss expectations, Waterfront at Port Chester, is secured by a 349,743-sf anchored retail property in Port Chester, NY. The loan was flagged as FLOC due to continued declining cashflow since YE 2019. The property is anchored by Super Stop & Shop (20.3% of NRA leased through August 2030) and AMC (19.9%; December 2030). Other major tenants include Marshalls (8.6%; January 2036) and Crunch Fitness (6.7%; February 2025). The loan is shadow anchored by a 120,000-sf Costco complex, which is owned by an affiliate of the sponsor. Occupancy has declined to 87.2% as of June 2023 from 98.2% at YE 2021 and 92% at issuance. The loan previously transferred to special servicing in June 2020 for payment default and was brought current and returned to the master servicer in August 2021 after the borrower was granted forbearance. Terms of the forbearance included the deferral of interest payments from September through December 2020, with deferred amounts to be repaid through excess cash Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 13% reflects a 9% cap rate and a 7.50% stress to the YE 2022 NOI which is 14% below YE 2021 and 30% below issuance. 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 August 2023 distribution date, the pool's principal balance has been reduced by down by 15.8% to $932.7 million from $1.1 billion at issuance. Fifteen loans (13.2%) are defeased, up from 13 loans (12.2%) at the prior rating action. Seven loans (36.5%) are full-term IO, and the remainder of the pool is now amortizing. Three loans (5%) mature in 2024 and 65 loans (90.7%) mature in 2025. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would be triggered by an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes with a Negative Outlook are expected if expected losses on FLOCs increase, most notably Waterfront at Port Chester. Downgrades to '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 'AAsf' to 'Asf' rating categories 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 classes in the 'BBsf' to 'CCsf' rating categories 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 would occur with stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'AAsf' and 'Asf' rating categories could occur with significant improvement in CE and/or defeasance and with the stabilization of properties currently designated as FLOCs. Upgrades to the 'BBsf' to 'CCsf' rating categories are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic stabilize and if 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. MORGAN STANLEY 2016-C32: Fitch Affirms CCC Rating on Class F Debt ----------------------------------------------------------------- Fitch Ratings has upgraded two classes and affirmed 10 classes of Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32. The Rating Outlook on class E has been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2016-C32 A-3 61691GAR1 LT AAAsf Affirmed AAAsf A-4 61691GAS9 LT AAAsf Affirmed AAAsf A-S 61691GAV2 LT AAAsf Affirmed AAAsf A-SB 61691GAQ3 LT AAAsf Affirmed AAAsf B 61691GAW0 LT AAsf Upgrade AA-sf C 61691GAX8 LT A-sf Affirmed A-sf D 61691GAC4 LT BBB-sf Affirmed BBB-sf E 61691GAE0 LT BB-sf Affirmed BB-sf F 61691GAG5 LT CCCsf Affirmed CCCsf X-A 61691GAT7 LT AAAsf Affirmed AAAsf X-B 61691GAU4 LT AAsf Upgrade AA-sf X-D 61691GAA8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The upgrades reflect the impact of the criteria and overall stable performance of the pool since Fitch's prior rating action. Four loans (7.9%) were flagged as Fitch Loans of Concern (FLOCs). There are currently no loans in special servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 4.9%. The Negative Outlook reflects the potential for a future downgrade should the performance of the loans secured by office properties (17%) continue to decline. Additional Sensitivity: Fitch's analysis incorporates an increased probability of default assumption on the 100 Hamilton loan given weak market conditions and potential refinance challenges. 100 Hamilton is a 72,000-sf single-tenant office property located in Palo Alto, CA. This sensitivity contributes to the Negative Outlook revision on class E. The largest contributor to loss is the Wolfchase Galleria loan (6.3%), 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 expected refinance challenges. Credit Enhancement: As of the August 2023 distribution date, the pool's aggregate balance has been paid down by 7.9% to $835.2 million from $907 million at issuance. There have been no realized losses to date and interest shortfalls are currently affecting the non-rated class G. Nine loans (41%) are full-term IO, and loans with partial interest-only periods are now amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes A-1 through B are not likely due to their position in the capital structure and the high CE; however, downgrades to these classes may occur should interest shortfalls occur. Downgrades to class C and D would occur if loss expectations increase significantly and/or if CE is eroded due to realized losses. Downgrades to the classes E and F would occur if the performance of the Wolfchase Galleria continues to deteriorate or should the single tenant at 100 Hamilton indicate that it will not renew its lease. Further downgrades to class F would occur if the performance of the or if additional loans transfer to special servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated B and C would likely occur with significant improvement in credit enhancement (CE) and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of the FLOCs, could reverse this trend. An upgrade to class D is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. An upgrade to class E 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 classes. An upgrade to the distressed class F is not likely until the later years in the transaction when there is greater certainty whether Wolfchase Galleria and Potomac Mills will be able to refinance. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2019-H7: Fitch Affirms B-sf Rating on G-RR Certs --------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2019-H7 (MSC 2019-H7). Fitch has also affirmed the 2019 H7 III Trust horizontal risk retention pass-through certificate (MOA 2020-H7 E). The Rating Outlooks on classes F-RR and G-RR have been revised to Negative from Stable. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- MSC 2019-H7 A-1 61771MAS9 LT AAAsf Affirmed AAAsf A-2 61771MAT7 LT AAAsf Affirmed AAAsf A-3 61771MAV2 LT AAAsf Affirmed AAAsf A-4 61771MAW0 LT AAAsf Affirmed AAAsf A-S 61771MAZ3 LT AAAsf Affirmed AAAsf A-SB 61771MAU4 LT AAAsf Affirmed AAAsf B 61771MBA7 LT AA-sf Affirmed AA-sf C 61771MBB5 LT A-sf Affirmed A-sf D 61771MAC4 LT BBBsf Affirmed BBBsf E-RR 61771MAE0 LT BBB-sf Affirmed BBB-sf F-RR 61771MAG5 LT BB-sf Affirmed BB-sf G-RR 61771MAJ9 LT B-sf Affirmed B-sf X-A 61771MAX8 LT AAAsf Affirmed AAAsf X-B 61771MAY6 LT A-sf Affirmed A-sf X-D 61771MAA8 LT BBBsf Affirmed BBBsf MOA 2020-H7 E E-RR 90215MAA1 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 performance of the pool since Fitch's prior rating action. The Outlook revisions to Negative from Stable on classes F-RR and G-RR reflect performance concerns with the Fitch Loans of Concern (FLOCs), most notably three office loans, 3 Independence Way (1.9% of pool), Eleven Seventeen Perimeter (1.6%) and Lakecrest-Southpointe Portfolio (1.1%), as well as two underperforming hotel loans, DoubleTree Princeton (2.1%) and AC by Marriott San Jose (1.4%). Eight loans (10.3%) were designated as FLOCs, including one loan (0.8%) in special servicing. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.8%. Office Concentration/FLOCs: Loans secured by office properties comprise 12.9% of the pool, three (4.6%) of which were designated as FLOCs. Fitch increased cap rates and cash flow stresses for several of these office loans due to occupancy, tenancy and near-term rollover concerns. Additionally, Fitch increased the probability of default on the 3 Independence Way loan (Princeton, NJ; 1.9% of pool; 55% occupied as of March 2023; 0.92x NOI DSCR as of the TTM September 2022), the Eleven Seventeen Perimeter loan (Atlanta, GA; 1.6%; 48% occupied as of June 2023; 1.35x NOI DSCR at YE 2022) and the Lakecrest-Southpointe Portfolio loan (Tampa, FL; 1.1%; 64% occupied as of June 2023; 1.13x NOI DSCR at YE 2022) to address the significant occupancy and NOI DSCR declines for these properties since issuance and the heightened risk for default, resulting in 'Bsf' rating case loan-level losses (prior to concentration add-on) of 36%, 37% and 29%, respectively. Underperforming Hotel FLOCs: The largest FLOC, Doubletree Princeton (2.1%), is secured by a 238-key, full service hotel in Princeton, NJ. The loan, which is sponsored by Mountainview Capital, was designated a FLOC due to the recent volatility in performance. While performance stabilized in 2021 with servicer-reported NOI DSCR for this amortizing loan of 2.53x as of YE 2021 (relatively in-line with pre-pandemic levels), it has since declined to 1.53x as of YE 2022 and further to 0.94x as of the YTD June 2023. Fitch's Bsf' rating case loss (prior to concentration add-on) of 10% reflects an 11.25% cap rate and the YE 2022 NOI with a 15% stress. The second largest hotel FLOC, AC by Marriott San Jose (1.4%), is secured by a 210-key select service hotel in San Jose, CA. The loan, which is sponsored by Allan V. Rose, was designated a FLOC due to performance concerns, low DSCR and continued slow recovery from the pandemic. Servicer-reported NOI DSCR for this interest-only (IO) loan was 0.99x as of YTD June 2023, up from 0.83x at YE 2022 and represents an improvement from the negative DSCRs in 2021 and 2020 due to the impact of the pandemic; however, it remains well below pre-pandemic NOI DSCR of 2.28x at YE 2019. Fitch's 'Bsf' rating case loss (prior to concentration add-on) of 26% reflects an 11.25% cap rate to the annualized YTD June 2023 NOI. Fitch remains concerned with a potential term default due to the low DSCR and hotel's reliance on corporate business, which has been slow to rebound. Minimal Change in Credit Enhancement: As of the August 2023 distribution date, the pool's aggregate balance has been reduced by 2.0% to $732.1 million from $747.0 million at issuance. Two loans (3.0%) are fully defeased. Cumulative interest shortfalls of $183,456 are currently affecting the non-rated H-RR class. Twenty-six loans (59.8%) are full-term IO and 16 (17.5%) were structured with a partial-term IO component at issuance. Fifteen are in their amortization periods. Loan maturities are concentrated in 2029 (95.9%). Credit Opinion Loans: Three loans representing 14.7% of the pool were assigned credit opinions at issuance and continue to remain as credit opinion loans: Grand Canal Shoppes (9.6%), Tower 28 (3.4%) and 3 Columbus Circle (1.7%). 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 sufficient CE and the expected receipt of continued amortization but could occur if interest shortfalls affect the class. Downgrades of classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories would occur if additional loans become FLOCs or further performance deterioration of the loans flagged as FLOCs, including 3 Independence Way, Eleven Seventeen Perimeter, Lakecrest-Southpointe Portfolio, DoubleTree Princeton and AC by Marriott San Jose, resulted in significantly higher loss expectations. Classes F-RR and G-RR would be downgraded if loss expectations increase on the office/hotel FLOCs, additional loans transfer to special servicing and/or with a greater certainty of losses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories 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 and with performance stabilization or improved recovery expectations on the FLOCs, particularly including 3 Independence Way, Eleven Seventeen Perimeter, Lakecrest-Southpointe Portfolio, DoubleTree Princeton and AC by Marriott San Jose. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes F-RR and G-RR could occur if performance of the office/hotel FLOCs improves significantly and/or if there is sufficient CE, which would likely occur if the non-rated class is not eroded and the senior classes pay-off. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS MOA 2020-H7 E is the horizontal risk retention pass through certificate from MSC 2019-H7. The rating and Outlook reflect a pass through of the current rating and Outlook on the underlying certificate. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2023-INV1: Fitch Puts B-sf Final Rating on B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Morgan Stanley Residential Mortgage Loan Trust 2023-INV1 (MSRM 2023-INV1). Entity/Debt Rating Prior ----------- ------ ----- MSRM 2023-INV1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1-IO LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-2-IO LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-IO LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-IO LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-IO LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-IO LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-IO LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf 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 PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2023-INV1 (MSRM 2023-INV1), as indicated above. MSRM 2023-INV1 is the 13th post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the second 100% non-owner-occupied MSRM transaction and the eleventh MSRM transaction that comprises loans from various sellers and is acquired by Morgan Stanley in its prime-jumbo aggregation process. The certificates are supported by 1035 prime-quality loans with a total balance of approximately $343.08 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The servicers for this transaction are Specialized Loan Servicing, LLC (SLS), PennyMac Loan Services, LLC, and PennyMac Corp. Nationstar Mortgage LLC (Nationstar) will be the master servicer. Of the loans, 2.9% qualify as either Qualified Mortgage (QM) Safe Harbor Average Prime Offer Rate or Higher Priced QM Aver Prime Offer Rate (APOR). The remaining 97.1% loans are exempt from the QM rule. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed-rate and capped at the net weighted average coupon (WAC). Like other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. This transaction, like MSRM 2023-2, has a structural feature that other recently issued prime transactions do not have: NAS classes. The NAS classes in this structure are designed to limit the amount of principal the NAS classes receive each period in an effort to reduce prepayment risk and extend the life of the NAS bonds. In addition, the incorporation of a senior support NAS class allows for super senior classes to be protected for a longer period, since the senior support NAS class is structured to be outstanding for a longer period and will be available to provide protection if losses occur later in the life of the structure. Fitch views this structural feature as a positive aspect of the transaction. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 8.2% above a long-term sustainable level (versus 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 Q3 2022. Driven by the strong gains seen in H1 2022, home prices decrease -0.2% YoY nationally as of April 2023. Prime Credit Quality (Positive): The collateral consists of 1035 loans, totaling $343.08 million, and seasoned approximately six months in aggregate per the transaction documents (nine months per Fitch's analysis) The borrowers have a strong credit profile (767 FICO and 35% DTI) and high leverage (73.7% sLTV). Nonconforming loans make up 7.3% of the pool while the remaining 92.7% are conforming loans. The majority of the loans (97.1%) are exempt from the QM rule standards as they are loans on investor occupied homes that are for business purposes. The remaining 2.9% are able to qualify as Higher Price (Average Prime Offer Rate [APOR]) or QM safe-harbor (Average Prime Offer Rate [APOR]) loans. Roughly 65.0% of the pool is being originated by a retail channel. The pool consists of 100% investor properties. Single-family homes make up 67.1% of the pool, condos make up 12.4%, and multifamily homes make up 20.5%. Cash-out loans comprise only 14.1% of the pool while purchases comprise 80.6% and rate refinances comprise 5.3% (as determined by Fitch). Based on the information provided, there are no foreign nationals in the pool. Ten loans in the pool are over $1 million, and the largest loan is $1.97 million. Approximately 17% of the pool is concentrated in California. The largest MSA concentration is in the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (6.8%), followed by the Los Angeles-Long Beach-Santa Ana, CA MSA (5.7%) and the Phoenix-Mesa-Scottsdale, AZ MSA (4.0%). The top three MSAs account for 17% of the pool. As a result, there was a no PD penalty for geographic concentration. Non-Owner-Occupied Loans (Negative): 100% of the loans in the pool were made to investors, and 92.7% of the loans in the pool are conforming loans. They were underwritten to Fannie Mae and Freddie Mac's guidelines and were approved per Desktop Underwriter (DU) or Loan Product Advisor (LPA), Fannie Mae and Freddie Mac's automated underwriting systems, respectively. The remaining 7.3% of the loans were underwritten to the underlying sellers' guidelines and were full-documentation loans. All loans were underwritten to the borrower's credit risk, unlike investor cash flow loans, which are underwritten to the property's income. Fitch applies a 1.25x PD hit for agency investor loans and a 1.60x PD hit for investor loans underwritten to the borrower's credit risk. For the loss analysis of this pool, Fitch used a customized version of the U.S. RMBS Loan Loss model that has a 1.25x PD penalty for agency investor loans and a 1.60x PD penalty for investor loans underwritten to the borrower's credit risk. The 1.25x PD penalty was used only for the agency eligible loans (92.7%), with the remaining loans receiving a 1.60x PD penalty for being investor occupied. Post-crisis performance indicates that loans underwritten to DU/LPA guidelines have relatively lower default rates compared with normal investor loans used in regression data with all other attributes controlled. The implied penalty has been reduced to approximately 25% for investor agency loans in the customized model from approximately 60% for regular investor loans in the production model. Multifamily Loans (Negative): 20.5% of the loans in the pool are multifamily homes, which Fitch views as riskier than single-family homes, since the borrower may be relying on the rental income to pay the mortgage payment on the property. To account for this risk, Fitch adjusts the PD upwards by 25% from the baseline for multifamily homes. Shifting Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the 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 credit enhancement. The servicers will provide full advancing for the life of the transaction. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. If the servicers are not able to advance, the master servicer will provide advancing, and if the master servicer is not able to advance, the securities administrator will ultimately be responsible for advancing. Subordination Floor (Positive): A CE or senior subordination floor of 1.30% has been considered in order to mitigate potential tail end risk and loss exposure for senior tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 0.90% has been considered in order to mitigate potential tail-end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 40.4% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis based on the findings. Fitch reduced the 'AAAsf' expected loss by 0.43% because there was 100% due diligence provided and there were no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. MOSAIC SOLAR 2023-4: Fitch Gives 'BB-sf' Rating on Class D Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings to Mosaic Solar Loan Trust 2023-4 class A, B, C and D notes. This is a securitization of consumer loans backed by residential solar equipment. All the loans were originated by Solar Mosaic, LLC (Mosaic), one of the oldest established solar lenders in the U.S.; it has originated solar loans since 2014. Entity/Debt Rating Prior ----------- ------ ----- Mosaic Solar Loan Trust 2023-4 A LT AA-sf New Rating AA-(EXP)sf B LT A-sf New Rating A-(EXP)sf C LT BBB-sf New Rating BBB-(EXP)sf D LT BB-sf New Rating BB-(EXP)sf KEY RATING DRIVERS Loan Performance Assumptions informed by FICO: Given the material differences in loan performance by borrower FICO, Fitch grouped lifetime default expectations by FICO cohorts. The weighted average base case default rate is 9.8% for the seven Fitch-defined cohorts. Fitch did not distinguish its recovery assumption by FICO and assumed a 30% base case recovery rate. Fitch's rating default rates for 'AA-sf', 'A-sf', 'BBB-sf' and 'BB-sf' are, respectively, 34.9%, 26.0%, 18.7% and 13.4%. Fitch's rating recovery rates (RRRs) are 19%, 21.8%, 24.0% and 26.0%. Structural Features and Protections: Class A and B notes will amortize based on target overcollateralization (OC) percentages. The target OC is 100% of the outstanding adjusted balance for the first 16 months, ensuring that there is no leakage of funds initially, irrespective of the collateral performance; then it falls to 29%. Should the escalating cumulative loss trigger be breached, the payment waterfall will switch to turbo sequential, deferring any interest payments for class C and D, and, thus, accelerating the senior note deleveraging. The repayment timing of classes C and D is highly sensitive to the timing of a trigger breach. Rating Cap Reflects Limited Performance History: Fitch's rating assumptions are informed by over eight years of performance data provided by Mosaic, supplemented with the historical performance of other solar loans. While considered robust, the data is relatively short compared to a typical 25-year loan term. Standard, Reputable Counterparties; No Swap: The transaction account is with Wilmington Trust, and the servicer's collection account is with Wells Fargo Bank. Commingling risk is mitigated by transfer of collections within two business days, the high initial ACH share and Wells Fargo's ratings. As both assets and liabilities pay a fixed coupon, there is no need for an interest rate hedge and, thus, no exposure to swap counterparties. Established Specialized Lender: Mosaic is one of the first-movers among U.S. solar loan lenders, with the longest track record among originators of the solar ABS that Fitch rates. Underwriting is mostly automated and in line with those of other U.S. ABS originators. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Asset performance that indicates an implied annualized default rate (ADR) above 1.5% and a simultaneous fall in prepayment activity may put pressure on the rating or lead to a Negative Rating Outlook. Material changes in policy support, the economics of purchasing and financing photovoltaic (PV) panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also negatively affect the rating. Fitch shows model-implied rating (MIR) sensitivities to changes in default and/or recovery assumptions. Decrease of prepayments (Class A/B/C/D): -50%: 'A+'/'A-'/'BBB-'/'BB-'. Increase of defaults (Class A/B/C/D): +10%: 'AA-'/'A-'/'BBB-'/'BB-'; +25%: 'A+'/'A-'/'BBB-'/'BB-'; +50%: 'A'/'BBB+'/'BBB-'/'BB-'. Decrease of recoveries (Class A/B/C/D): -10%: 'AA-'/'A-'/'BBB-'/'BB-'; -25%: 'AA-'/'A-'/'BBB-'/'BB-'; -50%: 'AA-'/'A-'/'BBB-'/'BB-'. Increase of defaults and decrease of recoveries (Class A/B/C/D): +10% / -10%: 'AA-'/'A-'/'BBB-'/'BB-'; +25% / -25%: 'A+'/'BBB+'/'BBB-'/'BB-'; +50% / -50%: 'A-'/'BBB'/'BB+'/'BB-'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch currently caps ratings in the 'AAsf' category due to limited performance history, while the assigned rating of 'AA-sf' is further constrained by the available credit enhancement (CE). As a result, a positive rating action could result from an increase in CE due to class A deleveraging, underpinned by good transaction performance, for example, through high prepayments and ADR at around 1% or below. The overall economic environment is also an important consideration and Fitch's ABS outlook is generally deteriorating in the short term. Fitch shows MIR sensitivities, capped at 'AA+sf' to changes in default and/or recovery assumptions. Increase of prepayments (Class A/B/C/D): +50%: 'AA+'/'A+'/'A'/'BBB+'. Decrease of defaults (Class A/B/C/D): -10%: 'AA+'/'A+'/'A-'/'BBB'; -25%: 'AA+'/'AA'/'A+'/'BBB+'; -50%: 'AA+'/'AA+'/'A+'/'A+'. Increase of recoveries (Class A/B/C/D): +10%: 'AA'/'A+'/'A-'/'BBB'; +25%: 'AA'/'A+'/'A-'/'BBB'; +50%: 'AA+'/'A+'/'A-'/'BBB'. Decrease of defaults and increase of recoveries (Class A/B/C/D): -10% / +10%: 'AA+'/'AA-'/'A-'/'BBB'; -25% / +25%: 'AA+'/'AA'/'A+'/'A-'; -50% / +50%: 'AA+'/'AA+'/'A+'/'A+'. CRITERIA VARIATION This analysis includes a criteria variation due to MIR variations in excess of the limit stated in the consumer ABS criteria report for new ratings. According to the criteria, the committee can decide to deviate from the MIRs but, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variations for classes B to D are greater than one notch. Given the sensitivity of ratings to model assumptions and conventions, repayment timing and tranche thickness, the ultimate ratings were constrained by sensitivity analysis. DATA ADEQUACY The historical information available for this originator did not cover the asset tenor of up to 30 years, as originations began in 2014. Fitch applied a rating cap at the 'AAsf' category to address this limitation. The amortizing nature of the assets, the data available from previous Mosaic transactions and the application of an ADR to the static portfolio allowed Fitch to determine lifetime default assumptions. Taking into account this analytical approach, the rating committee considered the available data sufficient to support a rating in the 'AAsf' category. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NASSAU LTD 2017-II: Moody's Cuts Rating on $18.5MM E Notes to Caa1 ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on the following notes issued by Nassau 2017-II Ltd.: US$18,500,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on July 1, 2020 Downgraded to B1 (sf) Nassau 2017-II Ltd., issued in December 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 January 2022. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the transaction has incurred a par loss of approximately $5.3 million or 1.7% of the portfolio since May 2023, and over-collateralization (OC) ratio for the Class E notes is currently 101.02% versus May 2023 level of 102.65. Moreover, the Class D and E notes' OC tests are currently failing their respective test levels. Furthermore, the credit quality of the portfolio has deteriorated since May 2023. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 2877 compared to 2777. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $281,901,789 Defaulted par: $9,363,308 Diversity Score: 68 Weighted Average Rating Factor (WARF): 2877 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.48% Weighted Average Recovery Rate (WARR): 47.23% Weighted Average Life (WAL): 3.4 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in 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. NEUBERGER BERMAN I: Moody's Gives (P)B3 Rating to $500,000 F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued by Neuberger Berman Loan Advisers LaSalle Street Lending CLO I, Ltd. (the "Issuer" or "NB LSL CLO I"). Moody's rating action is as follows: US$236,000,000 Class A Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$51,000,000 Class B Senior Secured Floating Rate Notes due 2037, Assigned (P)Aa2 (sf) US$500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2037, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. NB LSL CLO I is a managed cash flow CLO. The issued notes will be collateralized primarily by lightly-and broadly-syndicated senior secured corporate loans. At least 87.5% of the portfolio must consist of first lien senior secured loans, senior secured bonds, cash and eligible investments, up to 10% of the portfolio may consist of second lien loans and unsecured loans, and up to 10% of the portfolio may consists of bonds. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. Neuberger Berman Loan Advisers II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3125 Weighted Average Spread (WAS): 4.35% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 44.0% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated 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. OCTAGON 70 ALTO: Fitch Gives Final 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Octagon 70 Alto, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Octagon 70 Alto, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Octagon 70 Alto, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 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 26.2 versus a maximum covenant, in accordance with the initial expected matrix point of 27.4. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 93.8% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.4% versus a minimum covenant, in accordance with the initial expected matrix point of 71.8%. Portfolio Composition (Positive): The largest three industries may constitute 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 required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In its stress scenarios, the 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. The performance of the rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between 'less than B-sf' and 'BB+sf' for class D; and between 'less than B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. PRPM TRUST 2023-NQM2: Fitch Gives 'B-(EXP)' Rating on Cl. B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes to be issued by PRPM 2023-NQM2 Trust (PRPM 2023-NQM2). Entity/Debt Rating ----------- ------ PRPM 2023-NQM2 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 X-S LT NR(EXP)sf Expected Rating P LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by PRPM 2023-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2023-NQM2 (PRPM 2023-NQM2 Trust), as indicated above. The certificates are supported by 615 loans with a balance of $276.77 million as of the cutoff date. This will be the second PRPM NQM transaction rated by Fitch and the fourth PRPM transaction in 2023. The certificates are secured by a pool of fixed and adjustable rate mortgage loans (some of which have an initial interest-only period) that are primarily fully amortizing with original terms to maturity of primarily five year to 40 years and are secured by first liens primarily on one- to four-family residential properties, units in planned unit developments, condominiums, townhouses and manufactured housing. 51.9% of the loans are nonqualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule (the Rule) and 47.1% are exempt from QM rule as they are investment properties. The remaining 1% of the loans are QM Safe Harbor and Rebuttable Presumption. Nexera Holding LLC d/b/a Newfi Lending (Newfi) originated 30.0% of the loans, National Mortgage Service, Inc. (NMSI) originated 27.2% of the loans, Peer Street originated 10.4% of the loans and the remaining 32.4% of the loans were originated by various other third-party originators. Fitch assesses NewFi Lending as an 'Average' originator. Additionally, Fitch had an operational risk discussion with NMSI to better understand their underwriting and origination practices. Fay Servicing, LLC (Fay Servicing) will service 100% of the loans in the pool. Fitch rates Fay Servicing as 'RSS2'/Stable. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 6.8% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23, down 0.2% since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices driving national overvaluation. Home prices have increased 1.0% YoY nationally as of August 2023, despite regional declines, but are still being supported by limited inventory. Nonprime Credit Quality (Mixed): Collateral consists of fixed and adjustable rate loans with maturities of up to 40 years. Specifically, the pool is comprised of 87.1% 30-year fully amortizing loans, 11.3% 30-year and 40-year loans with a five-year, seven-year, 10-year and 20-year interest-only (IO) period and 0.4% five-year balloon loan. The pool is seasoned at about twelve months in aggregate, as determined by Fitch. The borrowers in this pool have relatively strong credit profiles with a 740 weighted average (WA) FICO score (745 WA FICO per the transaction documents) and a 47.2% debt-to-income ratio (DTI), both as determined by Fitch, as well as moderate leverage, with an original combined loan-to-value ratio (CLTV) of 73.2%, translating to a Fitch-calculated sustainable LTV ratio (sLTV) of 77.1%. Fitch considered 51.7% of the pool to consist of loans where the borrower maintains a primary residence, while 47.1% comprises investor property and 1.2% represents second homes. There are also cross-collateralized loans (one loan to multiple properties) that were underwritten to debt service coverage ratio (DSCR)/investor guidelines in the pool and these loans account for approximately 10.1% of the pool. In the analysis of these loans, Fitch used the most conservative collateral attributes of the properties associated with the loan and all properties are in the same MSA. The majority of the loans (71.8% according to Fitch's analysis) are to single-family homes, townhomes, and PUDs, 7.6% are to condos and 20.7% are to multifamily and manufactured housing. In the analysis, Fitch treated the cross-collateralized loans as multifamily and the PD was increased for these loans as a result. There were 11 loans made to foreign nationals in the pool. If the co-borrower is a U.S. citizen or permanent resident, Fitch does not count those loans as loans to foreign nationals. Fitch does not make adjustments for loans to nonpermanent residents since historical performance has shown they perform the same or better than those to U.S. citizens. For foreign nationals, Fitch treated them as investor occupied, and having no documentation for income, employment and assets. Since assets were not always confirmed to be located in U.S. banks or GSIBS, no credit was given to liquid reserves for the loans to foreign nationals in the analysis. If a FICO was not provided for the foreign national, a FICO of 650 was assumed. In total, 74.7% of the loans were originated through a nonretail channel. Additionally, 51.9% of the loans are designated as non-QM, 1.0% of the loans designated as QM Rebuttable Presumption or Safe Harbor while the remaining 47.1% are exempt from QM status. The pool contains 48 loans over $1.0 million, with the largest loan at $2.48 million. The largest loan in the pool is a cross-collateralized cash-out loan with 14 underlying properties in Fort Worth, TX and has the following collateral attributes: 793 borrower FICO and 77% LTV. About 47.1% of the pool comprises loans for investor properties (5.3% underwritten to borrowers' credit profiles and 41.8% comprising investor cash flow loans). There are no second liens in the pool and 0.3% of the loans have subordinate financing. 98.7% of the pool is current as of Sept. 1, 2023. Overall, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans (Negative): Approximately 94.6% of the pool was underwritten to less than full documentation, according to Fitch (per the transaction documents, 94.7% was underwritten to less than full documentation). Specifically, 25.1% was 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. Additionally, 1.5% comprises a 1099 product, 10.0% is a CPA or P&L product, 16.3% is a WVOE product and 41.8% is a DSCR product. Overall, Fitch increased the PD on the non-full documentation loans to reflect the additional risk. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to underwriting and documentation of the borrower's ATR. No Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAA' and 'AA' rated classes and ultimate interest on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement compared to a pool with limited advancing. Modified Sequential Payment Structure (Mixed): The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes A-1, A-2 and A-3 until they are reduced to zero. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after October 2027, since classes A-1, A-2 and A-3 have a step-up coupon feature that goes into effect on and after that date. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1, A-2 and A-3 classes on and after October 2027. As additional analysis to its rating stresses, Fitch considered a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity 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 ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 39.4%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Situs AMC, Maxwell, Digital Risk, Evolve, Canopy, Stonehill, Consolidated Analytics, Phoenix, Infinity, Selene, and Mission were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS PRPM 2023-NQM2 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which has a negative impact on the credit profile, and is relevant to the rating[s] 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. RATE NEW RESIDENTIAL 2023-NQM1: Fitch Puts B-(EXP) on B-2 Notes --------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by Rate New Residential Mortgage Loan Trust 2023-NQM1 (NRMLT 2023-NQM1). Entity/Debt Rating ----------- ------ NRMLT 2023-NQM1 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 XS-1 LT NR(EXP)sf Expected Rating XS-2 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 1521 loans with a total interest-bearing balance of approximately $670 million as of the cutoff date. The loans in the pool were originated by NewRez LLC and Caliber Home Loans, both Rithm Capital (RITM) subsidiaries as well as third-party originations from Excelerate Capital. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 8.3% above a long-term sustainable level (relative to 7.6% on a national level as of 1Q23). 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 2H22, home prices decreased 0.2% YoY nationally as of April 2023. Non-Prime Credit Quality (Negative): The collateral consists of 1,521 loans, totaling $670 million and seasoned approximately nine months in aggregate, according to Fitch, as calculated from origination date. The borrowers have a stronger credit profile when compared with other non-QM transactions, with a 746 Fitch model FICO score and 40% debt/income ratios (DTI), as determined by Fitch after converting the debt service coverage ratio (DSCR) values. However, leverage (76% sustainable loan/value [sLTV]) within this pool is consistent compared to previous NRMLT transactions from 2022. The pool consists of 62.7% of loans where the borrower maintains a primary residence, while 37.3% are considered an investor property or second home. Additionally, only 14.8% of the loans were originated through a retail channel. Moreover, 67.4% are considered non-QM and the remainder are not subject to QM. Modified Sequential-Payment Structure (Mixed): The structure pays principal pro rata among the senior notes 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 paid sequentially to class A-1, A-2 and A-3 notes until they are reduced to zero. After the 48th payment date, the A-1 through A-3 classes will be contractually due the lower of the fixed rate for the class plus 1.0% or the Net WAC rate. This increases the principal and interest (P&I) allocation for the A-1 through A-3 and decreases the amount of excess spread available in the transaction. Furthermore, interest amounts otherwise distributable to the class B-3 will be redirected to pay Cap Carryover amounts to classes A-1 through A-3 sequentially starting from the first payment date. Loan Documentation (Negative): 86.5% of the pool was underwritten to less than full documentation, according to Fitch. Approximately 62.01% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with 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 Protection Bureau's (CFPB) ATR Rule. The standards are meant to reduce the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 21.62% are DSCR product and 1.2% are Asset Depletion product. High Investor Property Concentrations (Negative): Approximately 33% of the pool comprises investment property loans, including 66.22% underwritten to a cash flow ratio rather than the borrower's DTI ratio. Investor property loans exhibit higher probability of defaults (PDs) and higher loss severities (LS) than owner-occupied homes. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans relative to a traditional income documentation investor loan, to account for the increased risk. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.4% 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 being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, Infinity, and Selene. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review . Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 52bps as a result of the diligence review. ESG CONSIDERATIONS NRMLT 2023-NQM1 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. RR 27 LTD: Moody's Assigns (P)B3 Rating to $400,000 Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by RR 27 LTD (the "Issuer" or "RR 27"). Moody's rating action is as follows: US$246,000,000 Class A-1a Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$400,000 Class E Secured Deferrable Floating Rate Notes due 2035, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. RR 27 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Moody's expect the portfolio to be approximately 100% ramped as of the closing date. Redding Ridge Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue seven other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2980 Weighted Average Spread (WAS): SOFR + 3.35% Weighted Average Coupon (WAC): 7.25% Weighted Average Recovery Rate (WARR): 47.4% Weighted Average Life (WAL): 8.2 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. SIERRA TIMESHARE 2023-3: Fitch Gives 'BB-(EXP)sf' Rating on D Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Sierra Timeshare 2023-3 Receivables Funding LLC (2023-3). The notes are backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and Wyndham Resort Development Corporation (WRDC). Both entities are indirect, wholly owned operating subsidiaries of Travel + Leisure Co. (T+L, formerly Wyndham Destinations, Inc.) This is T+L's 47th public Sierra transaction. Entity/Debt Rating ----------- ------ Sierra Timeshare 2023-3 Receivables Funding LLC A LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating KEY RATING DRIVERS Borrower Risk — Improving Credit Quality: Approximately 69.5% of Sierra 2023-3 consists of WVRI-originated loans; the remainder of the pool comprises WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 737, higher than 735 in Sierra 2023-2 and the highest for the platform to date. Additionally, compared with the prior transaction, the 2023-3 pool has overall stronger FICO distribution. Forward-Looking Approach on CGD Proxy — Increasing CGDs: Similar to other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages and stabilized in 2009 and thereafter. However, more recent vintages, from 2014 through 2019, have begun to show increasing gross defaults versus prior vintages dating back to 2009, partially driven by increased paid product exits. The 2020-2022 transactions are generally demonstrating improving default trends relative to prior transactions. Fitch's cumulative gross default (CGD) proxy for this pool is 22.00%, consistent with 2023-2. Given the current economic environment, Fitch used proxy vintages that reflect a recessionary period, along with more recent vintage performance, specifically of 2007-2009 and 2016-2019 vintages. Structural Analysis — Lower Credit Enhancement: The initial hard credit enhancement (CE) for class A, B, C and D notes is 64.75%, 40.50%, 21.00% and 10.75%, respectively. CE is consistent for class A and lower for classes B, C and D relative to 2023-2, mainly due to lower overcollateralization (OC) and lower subordination compared to the prior transaction. Hard CE comprises OC, a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 6.44% per annum. Loss coverage for all notes is able to support default multiples of 3.25x, 2.25x, 1.50x and 1.17x for 'AAAsf', 'Asf', 'BBBsf' and 'BB-sf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: T+L has demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is evidenced by the historical delinquency and loss performance of securitized trusts and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For class B, C and D notes, the multiples would increase, resulting in potential upgrade of approximately one rating category for each of the subordinate 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. SIERRA TIMESHARE 2023-3: Moody's Assigns (P)Ba3 Rating to D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Sierra Timeshare 2023-3 Receivables Funding LLC (Sierra 2023-3). Sierra 2023-3 is backed by a pool of timeshare loans originated by Wyndham Resort Development Corporation (WRDC), Wyndham Vacation Resorts, Inc. (WVRI) and certain WVRI affiliates. WVRI and WRDC are wholly owned subsidiaries of Wyndham Vacation Ownership, Inc. (WVO). WVO, in turn, is a wholly owned subsidiary of Travel + Leisure Co. (T+L, Ba3 stable). T+L is a global timeshare company engaged in developing and acquiring vacation ownership resorts, marketing and selling VOIs, offering consumer financing in connection with such sales and providing property management services to property owners' associations (POAs). Wyndham Consumer Finance, Inc. (WCF) will act as the servicer of the transaction and T+L will act as the performance guarantor. The complete rating actions are as follows: Issuer: Sierra Timeshare 2023-3 Receivables Funding LLC Class A Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)A2 (sf) Class C Notes, Assigned (P)Baa2 (sf) Class D Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the capital structure, and the experience and expertise of WCF as servicer. Moody's expected median cumulative net loss expectation for Sierra 2023-3 is 21.7% and the loss at a Aaa stress is 60%. Moody's based its net loss expectations 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 WCF 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 and Class D notes are expected to benefit from 64.75%, 40.50%, 21.00% and 10.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a reserve account and subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Vacation Timeshare Loan Securitizations Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, C and D notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. This transaction has a pro-rata structure with sequential pay triggers. Moody's expectation of pool losses could decline as a result of better than expected improvements in the economy, changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the ratings of the notes if pool losses exceed its expectations and 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 may increase, for example, due to performance deterioration stemming from a downturn in the US economy, deficient servicing, errors on the part of transaction parties, inadequate transaction governance or fraud. SILVER AIRCRAFT: Fitch Hikes Rating on Class C Notes to 'B-sf' -------------------------------------------------------------- Fitch Ratings has upgraded Silver Aircraft Lease Investment Limited's class C note to 'B-sf' from 'CCCsf' and assigned a Stable Rating Outlook. In addition, Fitch has affirmed the ratings of the class A and B notes at 'A-sf' and 'BBsf' and revised the Rating Outlook to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- Silver Aircraft Lease Investment Limited A 827304AA4 LT A-sf Affirmed A-sf B 827304AB2 LT BBsf Affirmed BBsf C 827304AC0 LT B-sf Upgrade CCCsf TRANSACTION SUMMARY This transaction, along with the other aircraft operating lease ABS transactions Fitch rates, was placed Under Criteria Observation (UCO) in June of 2023. These ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structure to withstand stress scenarios commensurate with their respective ratings within the framework of Fitch's new criteria and related asset model. The rating actions also consider lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, which inform its modeled cash flows and coverage levels. Fitch's updated rating assumptions for airlines are based on a variety of performance metrics and airline characteristics. Portfolio performance has improved since its review in January 2023. Utilization stands at 100%, lease collections have improved as several lessees became current, 12-month average lease collections are currently above the contractual lease rate for the portfolio, and resulting cash flows paid down the A-notes as the debt service coverage ratio (DSCR) remained below trigger levels for cash trap and rapid amortization. The class A notes and class B notes continued to receive timely interest. The class C notes, however, have continued to defer interest and principal. As a result of the strong collections, loan-to values, measured by maintenance adjusted base values (MABVs), have improved. The pool had one aircraft that was leased to a Russian airline and has not been recovered despite termination of the lease pursuant to sanctions and demands from the servicer for the lessee to return the aircraft. This asset represented approximately 3.5% of the pool. This aircraft was classified as a total loss and has been removed accordingly. The transaction had two other aircraft leased to Russian airlines, but the servicer was successful in repossessing and re-leasing these aircraft. Overall Market Recovery: The global commercial aviation market continues to recover, posting a 47% increase in revenue passenger kilometers (RPKs) in the first half of 2023 compared to the same period last year with June global RPKs recovering to 94% of pre-COVID levels per IATA. Asia-Pacific airlines led the way with a 126% increase in first half 2023 traffic versus last year. Domestic RPKs globally rose 27% in June compared to the prior year and have surpassed pre-pandemic RPKs by 5.1%; June international RPKs climbed 34% compared to the prior year and are approximately 12% below pre-pandemic levels per IATA. International and domestic market performance differs across regions. APAC has seen significant growth in domestic markets, led by China returning to pre-pandemic levels with a 136% June YTD increase in RPKs versus last year. APAC has also enjoyed triple digit international RPK growth, however, there is still room for additional recovery as it has only reached 71% of pre-pandemic levels per IATA. North American and European traffic (domestic and international) continue to rebound with June RPKs marginally exceeding pre-pandemic levels in North America and reaching approximately 95% of pre-pandemic levels in Europe per IATA. Macro Risks: While the commercial aviation market is recovering, the industry faces certain unknowns and potential headwinds including workforce shortages, supply chain issues, geopolitical risks, inflation, and recessionary concerns and any associated reductions in passenger demand. Such events may lead to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cashflows needed to meet debt service. KEY RATING DRIVERS Asset Values: Depreciation has exceeded Fitch's expectations as the mean half-life base value has declined 16.8% from $553.6 million at Dec. 31, 2021 to $460.5 million at Dec. 31, 2022, driven by declines in the pool's two wide body aircraft (a 777-300ER and a 787-8). Together these two aircraft comprise 29% of the value of the total pool of 16 aircraft. The Fitch value for the pool is $434.1 million. Fitch used the most recent appraisal as of December 2022 and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch employs a methodology whereby Fitch varies the type of value per aircraft based on the remaining leasable life: < 3 years of leasable life: Maintenance-adjusted base value; > 3 years of leasable life, but > 15 years old: Maintenance-adjusted base value; < 15 years old: Half-life base value. For the subject pool, Fitch used half-life base value as all aircraft are less than 15 years of age. Fitch then use the lesser of mean and median of the appraised values. Following the new criteria, Fitch applies a haircut to residual values that vary based on rating stress level. Haircuts start at 5% at 'Bsf' and increase to 15% at 'Asf&'. Tiered Collateral Quality: The pool consists of 14 narrowbody (NB) and two widebody (WB) aircraft (weighted-average [WA] age of 10 years) and leases with moderate remaining terms (WA 6.7 years). Fitch utilizes 3 tiers when assessing the quality and corresponding liquidity of aircraft collateral: tier 1 which is the most liquid and tier 3 which is the least liquid. The WA tier for this portfolio is 1.2, reflecting the desirability of these aircraft. As the aircraft in the pool reach an age of 15 years, pursuant to Fitch's criteria, the aircraft tier will migrate one level lower. Pool Concentration: Pool concentration is acceptable-to-moderate with 16 aircraft leased to 12 lessees. As the pool ages and Fitch models aircraft being sold at the end of their leasable lives (generally 20 years), pool concentration will continue to increase. Pursuant to Fitch's criteria, Fitch further stresses cash flows based on the effective aircraft count. Concentration haircuts vary by rating level and are applied at stresses higher than 'CCCsf'. For the subject transaction, concentration haircuts at the 'Asf' level, reach 10.9% of projected future gross cash flows. At the 'Bsf' level, the haircuts are 1.5% of projected future gross cash flows. Lessee Credit Risk: Overall delinquencies in the pool have improved since the review Fitch conducted in August of 2022, although Fitch considers the credit risk in the pool to be moderate-to-high. At this last review, rents past-due in excess of 30 days totaled ~$5.8 million compared to $1.5 million at the time of review. Several lessees have been restructured as a result of financial pressures experienced during the COVID-19 pandemic and associated travel restrictions. Since the review in August of 2022, the average Fitch lessee rating has improved due to re-leases to stronger-than-expected airlines, upgrades on publicly rated airlines, and improvement in delinquencies. Operation and Servicing Risk: Fitch deems the servicer, BOC Aviation Limited (BOCA), to be qualified based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase in delinquencies, lower lease rates, or sales of aircraft below Fitch's projections could lead to a downgrade. The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry ratings lower than the senior tranche and below the ratings at close. Fitch also considers jurisdictional concentrations per the "Structured Finance and Covered Bonds Country Risk Rating Criteria", which could result in rating caps lower than 'Asf'. Fitch conducted a sensitivity in which residual values were reduced by 20% to simulate underperformance in sales beyond the haircuts, depreciation, and market value declines already incorporated into Fitch's model. Fitch also performed a sensitivity in which transaction expenses were increased by 10% as the transaction has been subject to higher expenses than Fitch had previously forecast. The residual value haircut resulted in decreases in the modeled implied ratings of the notes of between 1 - 3 notches. The increase in transaction expenses resulted only in the C-notes receiving a one notch decrease. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIXTH STREET XXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sixth Street CLO XXIII Ltd./Sixth Street CLO XXIII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sixth Street CLO XXIII Management LLC. The preliminary ratings are based on information as of Oct. 3, 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 Sixth Street CLO XXIII Ltd./Sixth Street CLO XXIII LLC Class A, $248.00 million: AAA (sf) Class B, $49.00 million: AA (sf) Class C (deferrable), $31.00 million: A (sf) Class D (deferrable), $23.30 million: BBB- (sf) Class E (deferrable), $12.70 million: BB- (sf) Subordinated notes, $40.50 million: Not rated TRICOLOR AUTO 2023-2: Moody's Assigns (P)B2 Rating to Cl. F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Tricolor Auto Securitization Trust 2023-2 (TAST 2023-2). This is the second auto loan transaction of the year and the second rated by Moody's for Tricolor Auto Acceptance, LLC (Tricolor; unrated). The notes will be backed by a pool of retail automobile loan contracts originated by affiliates of Tricolor, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: Tricolor Auto Securitization Trust 2023-2 Class A Asset Backed Notes, Assigned (P)A1 (sf) Class B Asset Backed Notes, Assigned (P)A1 (sf) Class C Asset Backed Notes, Assigned (P)A2 (sf) Class D Asset Backed Notes, Assigned (P)Baa1 (sf) Class E Asset Backed Notes, Assigned (P)Ba2 (sf) Class F Asset Backed Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of Tricolor as the servicer and administrator and the presence of Vervent, Inc. (unrated) as named backup servicer. Moody's median cumulative net loss expectation for the 2023-2 pool is 19.00%, which is 1.00% lower than 2023-1. The loss at a Aaa stress is 52.00%, which is also 1.00% lower than 2023-1. 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 Tricolor 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 notes, Class E notes and Class F notes are expected to benefit from 50.65%, 46.50%, 41.70%, 35.80%, 28.75% and 23.20% 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 the Class F notes which do not benefit from subordination. The notes may also benefit from excess spread. This securitization's governance risk is moderate and is higher than other Auto ABS in the market. The governance risks are partially mitigated by the transaction structure, documentation and characteristics of the transaction parties. The sponsor and servicer is relatively small and financially weak, which lends additional variability to the pool expected loss and higher servicing transfer risk. 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 Class C, Class D, Class E and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. 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. UBS COMMERCIAL 2017-C5: Fitch Affirms B-sf Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of UBS Commercial Mortgage Trust 2017-C5 (UBSCM 2017-C5) commercial mortgage pass-through certificates. The Rating Outlook for class E-RR has been revised to Negative from Stable and the Rating Outlooks for classes F-RR and G-RR remain Negative. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C5 A-2 90276TAB0 LT AAAsf Affirmed AAAsf A-3 90276TAE4 LT AAAsf Affirmed AAAsf A-4 90276TAF1 LT AAAsf Affirmed AAAsf A-5 90276TAG9 LT AAAsf Affirmed AAAsf A-S 90276TAK0 LT AAAsf Affirmed AAAsf A-SB 90276TAC8 LT AAAsf Affirmed AAAsf B 90276TAL8 LT AA-sf Affirmed AA-sf C 90276TAM6 LT A-sf Affirmed A-sf D 90276TAN4 LT BBB+sf Affirmed BBB+sf D-RR 90276TAQ7 LT BBBsf Affirmed BBBsf E-RR 90276TAS3 LT BBB-sf Affirmed BBB-sf F-RR 90276TAU8 LT BB-sf Affirmed BB-sf G-RR 90276TAW4 LT B-sf Affirmed B-sf X-A 90276TAH7 LT AAAsf Affirmed AAAsf X-B 90276TAJ3 LT AA-sf Affirmed AA-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. The affirmations reflect the impact of the criteria and generally stable performance of the pool since the prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.7%. Seven loans are Fitch Loans of Concern (FLOCs; 22.7% of the pool), including three loans (9.4%) currently in special servicing. The Negative Outlooks on classes E-RR, F-RR and G-RR reflect the potential for downgrades with higher than expected losses from specially serviced loans as well as exposure to underperforming hotel and office loans, particularly the National Office Portfolio (5.1%) and DoubleTree Wilmington (3.5%). The largest driver to expected losses is the specially serviced Loyalty and Hamilton (1.8% of the pool) loan, which is secured by two, adjacent creative office properties totaling 76,370 sf and located in the CBD of Portland. The loan transferred to the special servicer in January 2022 due to a monetary default. The property suffered declining cash flow during the pandemic. Current property occupancy is approximately 40% compared to 51% at YE 2021, 55% at YE 2020, 82% at YE 2019 and 88% at issuance. Servicer-reported NOI debt service coverage ratio (DSCR) for this loan was 0.52x as of YE 2021, 0.88x as of YE 2020 and 1.92x at YE 2019. Fitch's 'Bsf' rating case loss of 45.5% (prior to concentration adjustments) is based on a 20% haircut to a recent appraised value. The second largest driver to expected losses is DoubleTree Wilmington, which is secured by a 244-room, seven-story full service hotel located in Wilmington, DE. The loan was previously transferred to the special servicer in July 2020 due to pandemic-related performance declines and returned to the master servicer in January 2022. However, performance continues to struggle. As of June 2023, the NOI DSCR and occupancy were reported to be 0.81x and 51%, respectively. Fitch's 'Bsf' rating case loss of 21.5% (prior to concentration adjustments) is based on a 11.25% cap rate and NOI for the TTM period ending June 2023. The largest loan in special servicing and third largest contributor to expected losses is the Delshah NYC Portfolio (4.5%) loan, which is secured by two properties, 58-60 9th Avenue (retail/multifamily) and 69 Gansevoort Street (retail), both located in the meatpacking District of Lower Manhattan. The loan transferred to the special servicer in July 2022 due to a maturity default. According to the servicer, lender and borrower are discussing possible extension terms. Two major tenants, Free People (51% of NRA) and Madewell (22% of NRA) vacated their premises prior to their respective 2026 and 2027 lease expirations. Free People vacated the property as of October 2020, and Madewell filed for bankruptcy and vacated the property in August 2020. Occupancy has remained at 27% since March 2021 from 100% at YE 2020. The YTD March 2023 NOI DSCR was 0.42x compared to -0.51x at YE 2022, -0.25x at YE 2021, 1.49x at YE 2020 and 1.67x at YE 2019. Fitch's 'Bsf' rating case loss of 7.6% (prior to concentration adjustments) is based on a 20% haircut to a recent appraised value. The largest FLOC in the pool is the National Office Portfolio, which is secured by a 2.6million sf suburban office portfolio consisting of 18 properties across four states (Texas, Illinois, Georgia, Arizona). At issuance, Fitch noted that the buildings were leased to more than 1,000 different tenants and no tenant accounted for more than 4.5% NRA. Occupancy has declined to 75% as of YE 2022 compared to 79% at YE 2019 and 78% at issuance. The NOI DSCR was reported to be 1.71x as of YE 2022. Fitch's 'Bsf' rating case loss of 2.3% (prior to concentration adjustments) is based on a 10.5% cap rate and a 10% haircut to the YE 2022 NOI. Increasing Credit Enhancement (CE): As of the August 2023 distribution date, the pool's aggregate balance has been reduced by 16.4% to $621.7 million from $743.4 million at issuance. One loan (0.8% of current pool) is fully defeased. Interest shortfalls are affecting the non-rated class NR-RR. Thirteen loans (approximately 40%) are IO for the full term. Two loans (Delshah NYC Portfolio and the Marriott Grand Cayman; 7.1%) were scheduled to mature in 2022; the maturity date for the Marriott Grand Cayman was recently extended through July 2025. The remaining loans are scheduled to mature in 2024 (one loan; 6.4%) and 2027 (42 loans; 86%). 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 classes A-2 through B and X-A are not expected due to increasing CE and expected paydown, but may occur should interest shortfalls affect these classes. Downgrades to classes C and D may occur if a high proportion of the pool defaults at or prior to maturity and losses increase sizably on the FLOCs. Downgrades to classes E-RR, F-RR and G-RR are possible with continued underperformance of the FLOCs, particularly National Office Portfolio and DoubleTree Wilmington and/or expected losses on the specially serviced loans are higher than expected. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes B, C and X-B would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D and D-RR may occur as the number of FLOCs are reduced, and/or loss expectations for specially-serviced loans improve. Upgrades to classes E-RR, F-RR and G-RR are not likely until the later years of the transaction and only if the performance of the remaining pool stabilizes 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. US AUTO 2020-1: Moody's Puts 'B2' Rating on D Notes on Review ------------------------------------------------------------- Moody's Investors Service has placed on review for upgrade the ratings of Class D notes from the U.S. Auto Funding Trust 2020-1 (USAUT 2020-1) asset-backed securitization. The securitization is 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 action is as follows: Issuer: U.S. Auto Funding Trust 2020-1 Class D Notes, B2 (sf) Placed Under Review for Possible Upgrade; previously on Sep 7, 2023 Upgraded to B2 (sf) RATINGS RATIONALE The review action is primarily driven by the consistent increase in credit enhancement available to the affected notes despite weakening pool performance. The action considers the credit enhancement available to the notes and Moody's current loss expectations based on the recent performance trends on the underlying pool. As of August 31, 30+ day delinquency rates have increased to 38% of the pool balance of USAUT 2020-1. Moody's anticipate pool charge-off rates to increase in upcoming periods as these borrowers remain unable to make payments. Moody's expected lifetime net loss of 35% for this pool indicates an expected remaining net loss of 44.4% of the current pool balance, which is higher than the current cumulative net loss-to-liquidation of 32.9%. Overcollateralization (OC) continues to increase for USAUT 2020-1. OC improved to 48.6% of the current pool balance in September from 20.6% at closing, though increases in charge-off rates in future periods may negatively impact OC available to support the notes. The notes also benefit from a non-declining reserve account totaling 10.9% of the current pool balance. Moody's expect the Class D notes to begin receiving principal payments this year. During the review period, Moody's will monitor performance information including delinquencies, charge-offs, and recovery rates. Additionally, Moody's will consider any changes in credit enhancement levels available for the notes, including overcollateralization and the reserve account. PRINCIPAL METHODOLOGY The principal methodology used in this rating 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 rating: 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 2016-LC24: Fitch Lowers Rating on Two Tranches to B+sf ------------------------------------------------------------------ Fitch Ratings has upgraded two classes, downgraded two classes and affirmed nine classes of Wells Fargo Commercial Mortgage Trust 2016-LC24 Commercial Mortgage Pass-Through Certificates. Following the downgrades, the Rating Outlooks on classes F, and X-EF are Negative. The Rating Outlooks on classes D, E, and X-D have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-LC24 A-3 95000HBE1 LT AAAsf Affirmed AAAsf A-4 95000HBF8 LT AAAsf Affirmed AAAsf A-S 95000HBH4 LT AAAsf Affirmed AAAsf A-SB 95000HBG6 LT AAAsf Affirmed AAAsf B 95000HBL5 LT AAsf Upgrade AA-sf C 95000HBM3 LT A-sf Affirmed A-sf D 95000HAL6 LT BBB-sf Affirmed BBB-sf E 95000HAN2 LT BB+sf Affirmed BB+sf F 95000HAQ5 LT B+sf Downgrade BB-sf X-A 95000HBJ0 LT AAAsf Affirmed AAAsf X-B 95000HBK7 LT AAsf Upgrade AA-sf X-D 95000HAA0 LT BBB-sf Affirmed BBB-sf X-EF 95000HAC6 LT B+sf Downgrade BB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The upgrades reflect the impact of the criteria and increase in defeasance since Fitch's last rating action. Ten loans (13%) are defeased, an increase from 7 loans (7%) at Fitch's last rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.8%. The downgrades and Negative Outlooks reflect the high concentration of Fitch Loans of Concern (FLOCs) with deteriorating performance. There are nine FLOCs comprising 18.2%, which includes 2 loans in special servicing (2.8%), one of which is still performing. Additional Sensitivity: Fitch's analysis incorporates an increased probability of default assumption on 3 office properties, the 1140 Avenue of the Americas (5.1%), One Meridian (4.1%) and Pinnacle (3.1%). This sensitivity contributes to the Negative Outlooks. Largest Contributor to Loss: The largest contributor to overall loss expectations is the One & Two Corporate Plaza loan (2%), which is secured by a 276,000-sf suburban office property located in Houston, TX. The loan transferred to special servicing in January 2021, and a became REO in October 2022. According to servicer updates, capex items at the property are being addressed while the leasing team is working to increase occupancy. The asset has not been listed for sale at this time. As of March 2023, occupancy was 49%. Fitch modeled a loss of approximately 59%, which reflects a value of $36 PSF. The second largest contributor to loss is the 1140 Avenue of Americas loan (4.9%), which is secured by a 242,466-sf office building located on the north-eastern corner of West 44th Street and Avenue of the Americas in Midtown, Manhattan. The loan has been designated as a FLOC due to performance declines. Per the June 2023 rent roll, occupancy was 74% which is a slight increase from 71% at YE 2022. However, occupancy has declined from 84% at YE 2020. Upcoming rollover at the property includes 13.9% in 2024, 5.2% in 2025 and 11% in 2026. The servicer reported full-term interest only (IO) NOI DSCR was 0.76x at YE 2022 compared with 0.68x at YE 2021 and 1.19x at YE 2020. Fitch's 'Bsf' loss of approximately 28% (prior to concentration adjustments) utilized a 8.5% cap with a 15% haircut to the YE 2022 NOI to reflect upcoming rollover concerns. The next largest contributor to loss is the Hilton Garden Inn Bothell loan (1.7%), which is secured by a 128-unit lodging property that is located in Bothell, WA. The property has been designated as a FLOC due to continued performance declines. The TTM March 2023 NOI DSCR was 0.89x compared with 0.79x at YE 2022 and 0.52 at YE 2021. According to the TTM March 2023 STR report, the property had an occupancy of 56%, ADR of $159 and a RevPAR of $89 which indicated penetration rates of 89%, 113% and 101%, respectively. Increasing Credit Enhancement: As of the August 2023 distribution date, the pool's aggregate balance has been paid down by 16.2% to $876.3 million from $1.05 billion at issuance. Fourteen loans 28% of the pool are full interest-only through the term of the loan. No loans remain in their partial IO period. There have been no realized losses to date and interest shortfalls are currently affecting the NR class I. Co-Op Collateral: The pool contains 14 loans (6.2%) secured by multifamily co-ops. Thirteen of the co-ops in this transaction are located within the greater New York City metro area, with the remaining one in Washington, D.C. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior classes, rated 'AAsf' through 'AAAsf', are not likely due to their position in the capital structure and the high CE; however, downgrades to these classes may occur should interest shortfalls occur. Downgrades to the classes rated 'BBB-sf' and below would occur if the performance of the FLOC, specifically the loans secured by office properties, continues to decline or fails to stabilize, additional loans transfer to special servicing and/or if losses to the special serviced loans are larger than expected. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, coupled with additional pay-down and/or defeasance. Upgrades to the 'A-sf' and 'AAsf' rated classes would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of the FLOCs, could cause this trend to reverse. Upgrades to the 'BBB-sf' and below-rated classes are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to classes E and F is not likely until later years of the transaction and only if the performance of the remaining pool is stable and the FLOCs have seen material improvement. 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-C47: Fitch Affirms 'B-sf' Rating on Cl. H-RR Certs ------------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed 12 classes of Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, series 2018-C47. All classes have Stable Outlooks. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2018-C47 A-2 95002DAX7 LT AAAsf Affirmed AAAsf A-3 95002DBD0 LT AAAsf Affirmed AAAsf A-4 95002DBG3 LT AAAsf Affirmed AAAsf A-S 95002DBR9 LT AAAsf Affirmed AAAsf A-SB 95002DBA6 LT AAAsf Affirmed AAAsf B 95002DBU2 LT AA-sf Affirmed AA-sf C 95002DBX6 LT Asf Upgrade A-sf D 95002DAC3 LT BBBsf Upgrade BBB-sf E-RR 95002DAE9 LT BBB-sf Affirmed BBB-sf F-RR 95002DAG4 LT BB+sf Affirmed BB+sf G-RR 95002DAJ8 LT BB-sf Affirmed BB-sf H-RR 95002DAL3 LT B-sf Affirmed B-sf X-A 95002DBK4 LT AAAsf Affirmed AAAsf X-B 95002DBN8 LT AA-sf Affirmed AA-sf X-D 95002DAA7 LT BBBsf Upgrade 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 upgrades reflect a decline in overall pool loss expectations since Fitch's prior rating action, increased CE since issuance, as well as the updated criteria. The pool benefits from a low concentration of office properties (11.9% excluding a defeased office loan) and two large, high quality retail loans, Aventura Mall (5.6%) and Christiana Mall (5.6%), that have investment grade credit opinions. Fitch has identified 14 Fitch Loans of Concern (FLOCs; 17.6% of the pool balance). Fitch's current ratings incorporate a 'Bsf' rating case loss of 3.2%. Fitch's upgrades and affirmations consider an additional sensitivity scenario, reflecting a 'Bsf' sensitivity case loss of 4.5%, that factors in a higher probability of default on six FLOCs (6.7%) with significant upcoming tenant rollover, low debt service coverage ratio (DSCR), declining occupancy and/or refinance concerns, including Meridian at North (2.8%), 438 Summit Avenue (1.7%), Centerpointe at Natomas Crossing (0.8%), Browning Business Center (0.7%), Lakeview Shopping Center (0.4%), and 4901 Olde Towne Parkway (0.2%). The largest contributor to overall loss expectations is the Starwood Hotel Portfolio (7.8%), which is secured by a portfolio of 22 hotels located in 12 states. The loan, which is sponsored by SCG Hotel Investors Holdings, recovered from the lows of the pandemic and continues to stabilize. Portfolio occupancy and servicer-reported NOI DSCR for this full-term IO loan were 63% and 1.85x as of the TTM ended March 2023, up from 52% and 1.03x at TTM September 2021 but down from 72% and 2.68x at YE 2019. Fitch's 'Bsf' rating case loss of 6.4% (prior to concentration adjustments) is based on an 11.5% cap rate and a 15% stress to the TTM March 2023 NOI. The second largest contributor to expected losses is the Holiday Inn FIDI (3.9%), which is secured by 492 key full-service Holiday Inn Express in the financial district of New York City that was built in 2014. The loan transferred to special servicing in May 2020 at the borrower's request due to imminent monetary default. The hotel re-opened for business in April 2021 and the loan remains 90+ days delinquent. The borrower filed for Chapter 11 Bankruptcy protection in November 2022 and soon after entered into an agreement with the City of New York to operate the hotel as a migrant shelter through April 2024. The borrower continues to have discussions with the special servicer on a reinstatement plan for the loan. The properties occupancy is currently 100% with an ADR of $190 per the contract with New York City. Fitch's 'Bsf' rating case loss of 5% (prior to concentration adjustments) is based on a conservative haircut to a dated appraised value and implies a stressed value per key of $175k/key. Alternative Loss Scenario: To test the viability of the upgrades on classes C, D, and X-D, Fitch assumed FLOCs totaling 6.7% of the pool had a higher probability of default. The upgrades, affirmations and Stable Outlooks consider this analysis. Increased Credit Enhancement: As of the September 2023 distribution date, the pool's aggregate principal balance has been paid down by 6% to $894.8 million from $951.6 million at issuance. Twenty-seven loans (38.4% of the pool) have a partial IO component, 20 of these loans (24.5%) have begun to amortize. Seventeen loans (40.2%) are IO for the full loan term, including six loans (30.2%) in the top 15. Nine loans representing 8.3% of the pool are fully defeased compared to 2.9% at the prior review. To date, the trust has not incurred any realized losses. Investment-Grade Credit Opinion Loans: Three loans representing 14.1% of the pool were assigned investment- grade credit opinions at issuance: Aventura Mall (5.6%), Christiana Mall (5.6%), and 2747 Park Boulevard (2.9%). The three loans are performing in-line with Fitch's expectations at issuance. Property Type Concentration: There are 25 retail loans (38.6% of the pool), eight hotel loans (21.3% of the pool) and nine office loans (11.9% of the pool, excluding a defeased office loan). Maturity Concentration: The remaining pool matures in 2028. 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 'BBB-sf', 'BBBsf' and 'Asf' categories may occur should overall pool losses increase significantly with one or more large FLOCs transferring to special servicing and/or suffer an outsized loss. Downgrades to the 'B-sf', 'BB-sf' and 'BB+sf' categories would occur should the performance of the FLOCs fail to stabilize and/or losses materialize and CE becomes eroded. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity factors that could lead to upgrades include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of the 'Asf' 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 'BBB-sf' and 'BBBsf' categories 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 'B-sf', 'BB-sf' and 'BB+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. WFRBS COMMERCIAL 2011-C4: Moody's Lowers Rating on 2 Tranches to C ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on six classes in WFRBS Commercial Mortgage Trust 2011-C4, Commercial Mortgage Pass-Through Certificates, Series 2011-C4, as follows: Cl. C, Downgraded to Baa2 (sf); previously on Dec 5, 2022 Downgraded to A3 (sf) Cl. D, Downgraded to Ba2 (sf); previously on Dec 5, 2022 Downgraded to Baa3 (sf) Cl. E, Downgraded to Caa2 (sf); previously on Dec 5, 2022 Downgraded to B3 (sf) Cl. F, Downgraded to C (sf); previously on Dec 5, 2022 Downgraded to Caa3 (sf) Cl. G, Downgraded to C (sf); previously on Dec 5, 2022 Affirmed Ca (sf) Cl. X-B*, Downgraded to Ca (sf); previously on Dec 5, 2022 Affirmed Caa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the five P&I classes, were downgraded due to the potential for higher losses and increased interest shortfall risk due to the exposure to specially serviced and troubled loans. The largest remaining loan, Fox River Mall (94% of the pool), is a troubled loan that is secured by a class B regional mall. The loan did not pay off at the original maturity in June 2021, and was modified with an extended maturity date of June 2024. The property's performance has declined significantly since 2018 and the net operating income (NOI) remains below securitization levels. The other remaining loan (6% of the pool) is specially serviced and is currently in foreclosure. As a result of the exposure to specially serviced and troubled loans, the remaining classes are at increased risk of principal losses and interest shortfalls if the Fox River Mall were unable to pay off at its extended maturity date. The rating on the IO class, Cl. X-B, was downgraded due to the decline in the credit quality of its reference classes. Class X-B references all remaining P&I classes including Class H, which is not rated by Moody's. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 38.2% of the current pooled balance, compared to 37.0% at Moody's last review. Moody's base expected loss plus realized losses is now 5.7% of the original pooled balance, compared to 5.2% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 6% of the pool is in special servicing and Moody's has identified an additional troubled loan representing 94% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the September 15, 2023, distribution date, the transaction's aggregate certificate balance has decreased by 90% to $145.0 million from $1.48 billion at securitization. The certificates are collateralized by two mortgage loans, one is in special servicing (6% of the pool) and one performing loan (94% of the pool) was previously modified including maturity date extension. There are no loans currently on the watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Four loans have been liquidated from the pool, contributing to an aggregate realized loss of $27.3 million (for an average loss severity of 48%). As of the September 2023 remittance statement cumulative interest shortfalls were $3.0 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The one specially serviced loan is the Park Place Student Housing Loan ($8.4 million - 5.8% of the pool), which is secured by a 252-room student housing complex located in Fredonia, New York, approximately 50 miles south of Buffalo, New York. The property is situated adjacent to the State University of New York at Fredonia campus. As of March 2023, the property was 32% occupied compared to 35% in August 2022 and 50% in October 2021. The loan transferred to special servicing for imminent monetary default in November 2014 and failed to pay off at maturity in July 2021. The loan is last paid through June 2021. A receiver was appointed in April 2022 and foreclosure litigation is in process. Moody's anticipates a significant loss on this loan. The one non-specially serviced loan is the Fox River Mall Loan ($136.7 million – 94.2% of the pool), which is secured by a 649,000 square foot (SF) portion of a 1.2 million SF super-regional mall in Appleton, Wisconsin. The mall is currently anchored by Macy's, JC Penney, Target, and Scheel's. Scheel's is the only anchor that is part of the collateral. The mall has two vacant anchors; Younkers, which closed in May 2018, and Sears, which closed in March 2019. As of March 2023, the in-line space (including temporary tenants) occupancy was 92%, compared to 90% in June 2022 and 87% in June 2021. The property's NOI generally improved since securitization through 2018, however, the property's 2019 revenue dropped approximately 9% year over year causing a decline in NOI. The downward trend continued with the onset of the coronavirus pandemic, which forced the property to close for several months in 2020, leading to a 40% decline in NOI in 2021 compared to 2018. The loan had previously transferred to the special servicer in September 2020 for imminent default due to the coronavirus pandemic. The loan was returned to the master servicer in March 2021 following a loan modification which included a conversion of payments to interest-only, a three-year extension to June 2024, and execution of cash management and excess cashflow trap and held by the lender. The combination of vacant anchors and recent declines in revenue may lead to increased refinance risks at its future maturity date. The loan has amortized 15.5% since securitization. Due to the sustained decline in performance and large non-collateral anchor space vacancies, Moody's considers this as a troubled loan. WFRBS COMMERCIAL 2014-C19: Fitch Lowers Rating on 2 Tranches to Bsf ------------------------------------------------------------------- Fitch Ratings has upgraded three, downgraded two and affirmed seven classes of WFRBS Commercial Mortgage Trust 2014-C19, commercial mortgage pass-through certificates. The two downgraded classes have been assigned Negative Rating Outlooks; the Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- WFRBS 2014-C19 A-4 92938VAP0 LT AAAsf Affirmed AAAsf A-5 92938VAQ8 LT AAAsf Affirmed AAAsf A-S 92938VAS4 LT AAAsf Affirmed AAAsf A-SB 92938VAR6 LT AAAsf Affirmed AAAsf B 92938VAT2 LT AAAsf Upgrade AA-sf C 92938VAU9 LT AA-sf Upgrade A-sf D 92938VAA3 LT Bsf Downgrade BBsf E 92938VAC9 LT CCCsf Affirmed CCCsf F 92938VAE5 LT Csf Affirmed Csf PEX 92938VAV7 LT AA-sf Upgrade A-sf X-A 92938VAW5 LT AAAsf Affirmed AAAsf X-B 92938VAX3 LT Bsf Downgrade BBsf 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 upgrades are primarily the result of increased credit enhancement from loan payoffs, dispositions, amortization and defeasance, as well as performance stabilization of the majority of retail and hotel loans. Since the last rating action, an additional $40 million has defeased, the former largest loan comprising 9% of the pool at the last rating action has paid in full. In addition, the former largest loss contributor, a mall located in New Brunswick, NJ, was disposed for moderately lower losses than expected. The downgrade and Negative Outlook on classes D and X-B reflects concerns with the remaining loans' upcoming maturity dates and refinance challenges expected in the current environment; all loans mature by April 2024. Fitch Loans of Concern (FLOCs) total 20.2%, and Fitch's expected loss assumptions incorporate higher probability of default on FLOCs, the largest of which are Waltonwood Cary Parkway (4.2%), Waltonwood at Lakeside (2.8%) and Seven Hills Portfolio (2.8%). In addition, outsize loss assumptions were applied to Waltonwood Cary and Waltonwood Lakeside given the expected refinancing challenges facing senior/independent living facilities and the lack of liquidity for this property type. Fitch's 'B' rating case losses are 7.3%. Recent Disposition: Brunswick Square mall was disposed in September 2023 with realized losses to the trust of $16.2 million or 54% of the original loan balance. Realized losses were moderately lower than Fitch's expectations at the prior rating action. Largest Drivers to Expected Loss: Two loans collateralized by senior housing properties Waltonwood Cary Parkway (4.2%) and Waltonwood at Lakeside (2.8%), are considered FLOCs. Both properties have experienced volatile occupancy and net cash flow over the last several years. Fitch's analysis included a higher probability of default and outsize loss assumptions given the upcoming loan maturities in March 2024 and expected liquidity challenges. The Waltonwood Cary Parkway loan is secured by a 133-unit senior independent living facility located in Cary, NC. The property includes an assisted living and memory care unit but is not considered part of the collateral. Occupancy has fluctuated between the low 90's and high 70's since 2019 and as of June 2023 was 84%. Fitch's B rating case loss (prior to concentration adjustments) is 50% reflecting an outsize loss assumption due to occupancy volatility and the upcoming loan maturity. The Waltonwood at Lakeside is secured by a 122-unit senior independent housing facility located in Sterling Heights, MI. The property is located approximately 31 miles from Detroit and offers assisted living/memory care components, which is not considered collateral. Servicer-reported NOI DSCR has been 1.00x or below since 2019. Fitch's B rating case loss (prior to concentration adjustments) is 75% reflecting an outsize loss assumption due to low DSCR, occupancy volatility and the upcoming loan maturity. The third largest contributor to expected losses is the Seven Hills Portfolio (2.8%), a portfolio of medical office properties located in Henderson, NV. Although occupancy has remained high and as of June 2023 was 97%, the properties have approximately 21% rollover in 2023 and 2024 and the loan may face challenges refinancing at the upcoming maturity date in February 2024. The loan is secured by three properties located in Henderson, NV totaling 114,214 sf. The property is approximately nine miles south of the Las Vegas Strip. Fitch's B rating case loss (prior to concentration adjustments) is 20.9% and incorporates a 25% stress to YE 2022 NOI given rollover concerns and the upcoming loan maturity. Increased Credit Enhancement: As of the September 2023 remittance report, the pool's aggregate balance has been reduced by 44% to $617.4 million from $1.10 billion at issuance. There are 25 loans (27.1% of the pool) that have fully defeased. All loans mature between January and April 2024. The former largest loan, Renaissance Chicago Downtown ($74.8 million) paid in full prior to the extended maturity date in January 2023. Realized losses total $36.1 million and have been fully absorbed by the Non-Rated class G. Interest shortfalls totaling $2.4 million are currently impacting class G. Alternative Loss Scenario: Fitch's ratings incorporate an analysis that assumes paydown and loss assumptions on the remaining loans based on their perceived ability to refinance given their upcoming loan maturities. The ratings, including upgrades, downgrades and rating outlooks consider this analysis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlook reflects the potential for downgrades if a higher than currently expected concentration of loans default at their upcoming maturities. Factors that lead to downgrades include an increase in pool level losses from underperforming loans, or loans that default at maturity. Downgrades to 'AAAsf' rated classes are not considered likely due to the position in the capital structure and high CE, but may occur classes should interest shortfalls occur. Downgrades of classes C and PEX are possible should Fitch's projected losses increase from declines in performance including from higher than expected defaults at maturity. Downgrades to classes D, E, F and X-B are possible should expected losses increase or defaulted loans incur higher than expected losses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes C, PEX, D and X-B are possible with significant improvement in CE and/or defeasance; however, increased concentrations, further underperformance of FLOCs, or new delinquencies/defaults may prevent this. An upgrade to classes E and F is not expected, but possible with better than expected loan recoveries and maturity payoffs. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WFRBS COMMERCIAL 2014-C22: Fitch Cuts Rating on 2 Tranches to CCsf ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed 10 classes of WFRBS Commercial Mortgage Trust Series 2014-C22 commercial mortgage trust pass-through certificates. The Rating Outlooks on classes B and C were revised to Negative from Stable in addition to maintaining the Negative Outlook on class D. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- WFRBS 2014-C22 A-4 92890KAZ8 LT AAAsf Affirmed AAAsf A-5 92890KBA2 LT AAAsf Affirmed AAAsf A-S 92890KBC8 LT AAAsf Affirmed AAAsf A-SB 92890KBB0 LT AAAsf Affirmed AAAsf B 92890KBF1 LT AA-sf Affirmed AA-sf C 92890KBG9 LT A-sf Affirmed A-sf D 92890KAJ4 LT B-sf Affirmed B-sf E 92890KAL9 LT CCCsf Affirmed CCCsf F 92890KAN5 LT CCsf Downgrade CCCsf X-A 92890KBD6 LT AAAsf Affirmed AAAsf X-C 92890KAA3 LT CCCsf Affirmed CCCsf X-D 92890KAC9 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The affirmations reflect the impact of the criteria and generally stable performance of loans in the pool. The downgrade of classes E and X-D to 'CCsf' from 'CCCsf' reflects exposure to modeled losses on the Bank of America Plaza (13.5% of the pool), Stamford Plaza Portfolio (8.4%) and 400 Atlantic Avenue (2.3%). All loans are scheduled to mature in mid-2024. Fitch identified 17 loans (33.4% of the pool) as Fitch Loans of Concern (FLOCs), which includes two loans (1.2%) in special servicing. The Outlook revisions to Negative from Stable on classes B and C reflect exposure to the aforementioned loans and could face downgrades should performance further deteriorate or loans fail to pay at maturity. Fitch's current ratings incorporate a 'Bsf' ratings case loss of 9.00%. Largest Contributor to Loss Expectations: The Bank of America Plaza (13.5% of the pool) is secured by a 1.4 million-sf, LEED Gold certified, office building located in Los Angeles, CA. Major tenants include Capital Group Companies (26.6% of the NRA, lease expiration of February 2033), Bank of America (14.7%, June 2029), Sheppard, Mulin & Richter (12.8%, December 2024) and Alston & Bird (5.6%, December 2023). As of YE 2022, the loan was 84.8% occupied with an interest-only NOI DSCR of 1.95x. Per the March 2023 rent roll, upcoming rollover includes 8.0% in 2023 and 14.6% in 2024. According to CoStar, the subject is located in the downtown Los Angles submarket and Los Angles MSA, which have vacancy rates of 17.4% and 14.9%, respectively. Due to the upcoming rollover and higher market vacancy rates, Fitch's analysis includes a 9.00% cap rate and a 15% stress to the YE 2022 NOI. An increased probability of default was applied to account for the loan's heightened maturity default risk. Loss expectations reach 22.7% (prior to concentration add-ons) at the 'Bsf' ratings case. The Stamford Plaza Portfolio (8.4%) is secured by four office properties totaling 982,483-sf located in Stamford, CT. The loan was identified as a FLOC due to sustained occupancy declines. Occupancy remains lower at 65% as of March 2023, compared 65.2% at YE 2022, 63% at YE 2021, 82% at YE 2018 and 90% at issuance. Due to the sustained lower occupancy, the NOI DSCR has remained below a 1.00x since YE 2018. Per the June 2023 rent roll, the subject has a 35% vacancy rate with average asking rents of about $46 psf. According to CoStar, the subject is located in the Stamford submarket and Stamford MSA, which have vacancy rates of 20.4% and 13.8%, respectively and average asking rents of $39 psf and $34 psf. Due to the sustained performance declines, Fitch's analysis is based on a 10% cap rate and a stabilized cash flow with an increased probability of default due to the loan's heightened maturity default risk. Fitch's loss expectations reach 34% (Prior to concentration add-ons) at the 'Bsf' ratings case. 400 Atlantic Avenue is a six-story, 99,749-sf office building located in downtown Boston, Massachusetts. The loan was identified as a FLOC after the single tenant Gouslton & Storrs announced they will be vacating at their May 2024 lease expiration and moving to Post Office Square Tower, approximately 0.5 miles from the subject. The move is set to happen before the loan's August 2024 maturity. Due to the departure of the sole tenant, Fitch's analysis applies a 10% cap rate and a 40% stress to the YE 2022 NOI and apply an increased probability of default due to the loan's heightened maturity default risk. At the 'Bsf' Ratings case, losses reach 36% (prior to concentration add-ons). Changes to Credit Enhancement: As of the August 2023 remittance report, the pool's aggregate balance has been reduced by 25.5% to $1.11 billion from $1.49 billion at issuance. There are 26 loans (14.6% of the pool) that have fully defeased. There are seven loans (21.8% of the pool) that are full-term, interest-only (IO); and 90 loans (78.2%) that are currently amortizing. Realized losses of $25.5 million and interest shortfalls of $6.5 million are currently impacting the non-rated class G. All loans are scheduled to mature between June 2024 and September 2024. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Factors that lead to downgrades include an increase in pool level losses from underperforming loans. Downgrades to 'AAAsf' rated classes are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' rated classes should interest shortfalls occur. Downgrades of classes B, C and D are possible should Fitch's projected losses increase due to declines in pool performance, additional loan defaults, or greater than expected losses on the Specially Serviced loans. Further Downgrades of classes E and F are possible should loans fail to pay at maturity and/or incur higher than expected outsized losses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B and C would likely occur with a significant improvement in CE and/or defeasance; however, increased concentrations, further underperformance of FLOCs, Specially Serviced loans, or new delinquencies/defaults may prevent this. An upgrade to class D would be limited based on sensitivity to concentrations, or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. Upgrades to classes E and F are not likely due to actual or expected performance decline for FLOCs, but could occur if performance of the FLOCs improves or loans currently in special servicing resolve with better than expected losses. 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. [*] Moody's Hikes 133 Bonds From 7 Deals by New Residential ----------------------------------------------------------- Moody's Investors Service, on Oct. 2, 2023, upgraded the ratings of 133 bonds from seven transactions issued by New Residential Mortgage Loan Trust between 2019 and 2020. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral has multiple servicers and Nationstar Mortgage LLC is the master servicer for all deals. The complete rating actions are as follows: Issuer: New Residential Mortgage Loan Trust 2019-1 Cl. A-2, Upgraded to Aaa (sf); previously on Jan 11, 2019 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2B, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2C, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3B, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3C, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Issuer: New Residential Mortgage Loan Trust 2019-2 Cl. B-2, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2B, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2C, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-2D, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3B, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3C, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-3D, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A2 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4A, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4B, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4C, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-5, Upgraded to Baa2 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-5A, Upgraded to Baa2 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-5B, Upgraded to Baa2 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-5C, Upgraded to Baa2 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-5D, Upgraded to Baa2 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-7, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Issuer: New Residential Mortgage Loan Trust 2019-4 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Upgraded to Aa1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned A2 (sf) Cl. B-2B, Upgraded to A1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned A2 (sf) Cl. B-2C, Upgraded to A1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned A2 (sf) Cl. B-2D, Upgraded to A1 (sf); previously on Aug 13, 2019 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3D, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-4A, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-4B, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-4C, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-5A, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-5B, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-5C, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-5D, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-7, Upgraded to Ba3 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-5 Cl. A-2, Upgraded to Aaa (sf); previously on Oct 9, 2019 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-1D, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. B-2D, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3D, Upgraded to A2 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-4A, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-4B, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-4C, Upgraded to Baa2 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Mar 9, 2022 Upgraded to Ba1 (sf) Cl. B-5A, Upgraded to Baa3 (sf); previously on Mar 9, 2022 Upgraded to Ba1 (sf) Cl. B-5B, Upgraded to Baa3 (sf); previously on Mar 9, 2022 Upgraded to Ba1 (sf) Cl. B-5C, Upgraded to Baa3 (sf); previously on Mar 9, 2022 Upgraded to Ba1 (sf) Cl. B-5D, Upgraded to Baa3 (sf); previously on Mar 9, 2022 Upgraded to Ba1 (sf) Cl. B-6, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-6A, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-6B, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-6C, Upgraded to B2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-8, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Issuer: New Residential Mortgage Loan Trust 2019-6 Cl. B-2, Upgraded to A2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2B, Upgraded to A2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2C, Upgraded to A2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2D, Upgraded to A2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3A, Upgraded to Baa2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3B, Upgraded to Baa2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3C, Upgraded to Baa2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3D, Upgraded to Baa2 (sf); previously on Dec 3, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B2 (sf) Cl. B-4A, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B2 (sf) Cl. B-4B, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B2 (sf) Cl. B-4C, Upgraded to B1 (sf); previously on Sep 28, 2020 Downgraded to B2 (sf) Cl. B-7, Upgraded to B2 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Issuer: New Residential Mortgage Loan Trust 2020-1 Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Upgraded to Aa1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned A2 (sf) Cl. B-2B, Upgraded to A1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned A2 (sf) Cl. B-2C, Upgraded to A1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned A2 (sf) Cl. B-2D, Upgraded to A1 (sf); previously on Jan 14, 2020 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-3A, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-3B, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-3C, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-3D, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4A, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4B, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4C, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-5A, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-5B, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-5C, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-5D, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B2 (sf) Cl. B-7, Upgraded to Ba3 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Issuer: New Residential Mortgage Loan Trust 2020-RPL1 Cl. A-4, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. B-1, Upgraded to Ba3 (sf); previously on Sep 28, 2020 Downgraded to B1 (sf) Cl. B-2, Upgraded to B2 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Cl. M-1, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Mar 9, 2022 Upgraded to Baa2 (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. In Moody's analysis, Moody's considered the likelihood of higher future pool expected losses due to rising borrower defaults driven by an increase in unemployment and inflation while prepayments remain broadly subdued amid elevated interest rates. The actions also reflect Moody's updated loss expectations on the pools which incorporate Moody's assessment of the representations and warranties framework of the transactions, the due diligence findings of the third-party reviews at the time of issuance, and the transactions' servicing arrangement. Principal Methodologies The methodologies used in these ratings were "Non-Performing and Re-Performing Loan Securitizations Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Discontinues Nine Ratings From Five U.S. CMBS Transactions ------------------------------------------------------------------ S&P Global Ratings discontinued its 'D (sf)' ratings on nine classes of commercial mortgage pass-through certificates from BWAY 2015-1740 Mortgage Trust, COMM 2013-CCRE9 Mortgage Trust, COMM 2013-LC13 Mortgage Trust, J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11, and UBS Commercial Mortgage Trust 2017-C4, which are all U.S. CMBS transactions. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policies. We previously lowered the ratings on these classes to 'D (sf)' because of principal losses and/or accumulated interest shortfalls that we believed would remain outstanding for an extended period of time. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review." Ratings Discontinued BWAY 2015-1740 Mortgage Trust Class D to NR from 'D (sf)' Class E to NR from 'D (sf)' Class F to NR from 'D (sf)' COMM 2013-CCRE9 Mortgage Trust Class E to NR from 'D (sf)' Class F to NR from 'D (sf)' COMM 2013-LC13 Mortgage Trust Class E to NR from 'D (sf)' J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 Class F to NR from 'D (sf)' UBS Commercial Mortgage Trust 2017-C4 Class G to NR from 'D (sf)' Class X-G to NR from 'D (sf)' NR--Not rated. [*] S&P Takes Various Actions on 130 Classes From 20 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 130 classes from 20 U.S. RMBS non-qualified mortgage (non-QM) collateral-backed transactions issued between 2019 and 2021. The review yielded 58 upgrades and 72 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/rlof1 S&P said, "For each transaction, we performed credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior credit event adjustment factors were based on the transactions' current pool composition." The upgrades primarily reflect deleveraging because the rated classes benefit from a growing percentage of credit support from historical prepayments and low delinquencies. The affirmations reflect S&P's view that the projected collateral performance relative to its projected credit support on these classes remains relatively consistent with our prior projections. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by the application of our criteria. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations include: -- Collateral performance or delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large-balance loan exposure/tail risk. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2023. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***