/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/231119.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, November 19, 2023, Vol. 27, No. 322 Headlines AMERICAN CREDIT 2023-4: S&P Assigns BB- (sf) Rating on Cl. E Notes ANTARES CLO 2019-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ARES LXX: Fitch Assigns 'BB+sf' Final Rating on Class E Notes ARES LXX: S&P Assigns B- (sf) Rating on $0.7MM Class F Notes AUDAX SENIOR 8: S&P Assigns Prelim BB-(sf) Rating on Class E Notes BANK 2018-BNK15: Fitch Affirms B- Ratings on 2 Tranches BBCMS 2019-C5: Fitch Affirms B-sf Rating on Class G-RR Certs BBCMS 2023-5C23: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches BBCMS MORTGAGE 2019-C3: Fitch Cuts Rating on Cl. G-RR Certs to B-sf BBCMS MORTGAGE 2023-C22: Fitch Assigns 'B-sf' Rating on G-RR Certs BENCHMARK 2019-B14: Fitch Lowers Rating on Cl. G-RR Certs to CCC BMO 2023-5C2: Fitch Assigns Final 'B-sf' Rating on Cl. G-RR Certs CATAMARAN CLO 2014-1: Moody's Cuts $38.5MM D-R Notes Rating to B1 CHASE AUTO 2021-3: Moody's Hikes Rating on Class F Notes From Ba1 CITIGROUP 2016-C2: Fitch Affirms 'BB-sf' Rating on Two Tranches CITIGROUP 2016-P6: Fitch Lowers Rating on Class E Certs to 'B-sf' CITIGROUP 2021-INV2: Moody's Hikes Rating on Cl. B-5 Certs to B1 COMM 2014-CCRE16: Fitch Lowers Rating on Class D Certs to 'Bsf' COMM 2014-CCRE20: Fitch Cuts Rating on Class E Debt to Csf COMM 2015-LC19: Fitch Affirms CCC Rating on Class F Debt COMM 2019-GC44: Fitch Affirms 'B-sf' Rating on Class G-RR Certs CSAIL 2018-CX11: Fitch Affirms 'CCC' Rating on Class G-RR Certs CSFB HOME 2005-7: Moody's Upgrades Rating on Cl. M-2 Notes to Ba1 DRYDEN 112: S&P Assigns BB-(sf) Rating on $15.8MM Class E-R Notes DRYDEN 112: S&P Assigns Prelim BB- (sf) Ratings on Cl. E-R Notes ELEVATION CLO 2023-17: S&P Assigns Prelim 'BB-' Rating on E Notes ELMWOOD CLO 24: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes EXETER AUTOMOBILE 2023-5: Fitch Assigns BBsf Rating on Cl. E Notes FANNIE MAE 2023-R08: S&P Assigns Prelim 'BB' Rating on 1B-1X Notes FLAGSHIP CREDIT 2021-2: S&P Affirms BB (sf) Rating on Cl. E Notes FLAGSTAR MORTGAGE 2021-5INV: Moody's Ups B-5 Certs Rating to B2 FORTRESS CREDIT VIII: S&P Assigns BB-(sf) Rating on Class E Notes GLS AUTO 2023-4: S&P Assigns BB- (sf) Rating on Class E Notes GS MORTGAGE 2018-SRP5: S&P Lowers Class B Certs Rating to B- (sf) GS MORTGAGE 2021-PJ10: Moody's Ups Rating on Cl. B-5 Certs to B2 GS MORTGAGE 2023-PJ6: Fitch Gives B-(EXP) Rating on Cl. B-5 Certs GSCG TRUST 2019-600C: S&P Lowers Class X Certs Rating to 'CCC(sf)' IMSCI 2016-7: DBRS Confirms B Rating on G Certs JP MORGAN 2006-S1: Moody's Upgrades Rating on 3 Tranches to Ba2 JP MORGAN 2023-10: Fitch Assigns B-(EXP) Rating on Cl. B-5 Certs KKR CLO 48: Moody's Assigns B3 Rating to $200,000 Class F Notes KREF 2022-FL3: DBRS Confirms B(low) Rating on 3 Classes MJX VENTURE II: Moody's Cuts Rating on $1.5MM Class E Notes to Ba1 MORGAN STANLEY 2023-3: Fitch Assigns B-sf Final Rating on B-5 Certs MORGAN STANLEY 2023-4: Fitch Assigns BB-(EXP) Rating on B-5 Certs NASSAU 2019: Fitch Cuts Rating on Cl. B Notes to BB-sf, Outlook Neg OBX TRUST 2023-J2: Moody's Assigns B2 Rating to Cl. B-5 Notes OCTAGON 68: Fitch Assigns Final 'BB-sf' Rating on Class E Notes PRESTIGE AUTO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes PRMI 2023-CMG1: Fitch Assigns 'Bsf' Final Rating on Class B-2 Notes PRPM 2023-RCF2: Fitch Assigns 'BB(EXP)sf' Rating on Class M-2 Notes RCMF 2023-FL11: Fitch Alters Outlook on 'B-sf' Rating to Negative RR 27: Moody's Assigns B3 Rating to $400,000 Class E Notes SAPPHIRE AVIATION I: Fitch Affirms CCC Rating on Class C Debt SCF EQUIPMENT 2019-2: Moody's Hikes Rating on Class F Notes to Ba1 SCF EQUIPMENT 2023-1: Moody's Assigns B3 Rating to Class F Notes SCG 2023-NASH: Moody's Assigns (P)Ba2 Rating to Class HRR Certs SILVER CREEK CLO: Moody's Upgrades Rating on 2 Tranches to Ba3 SILVER POINT 3: Moody's Assigns (P)B3 Rating to $250,000 F Notes SILVER ROCK CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes SILVER ROCK I: S&P Assigns Prelim BB- (sf) Rating on E-R Notes STRATUS STATIC 2022-3: Fitch Hikes Rating on Cl. F Notes to 'Bsf' SYMPHONY CLO 40: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes UBS COMMERCIAL 2017-C6: Fitch Affirms B- Rating on 2 Tranches UBS COMMERCIAL 2018-C11: Fitch Cuts Rating on Two Tranches to BBsf UBS COMMERCIAL 2019-C17: Fitch Affirms 'Bsf' Rating on Two Tranches UBS COMMERCIAL 2019-C17: Fitch Affirms Bsf Rating on Two Tranches VOYA CLO 2016-2: Moody's Ups Rating on $21.2MM C-R Notes From Ba1 WAMU COMMERCIAL 2006-SL1: Fitch Affirms CCC Rating on Cl. F Debt WESTLAKE AUTOMOBILE 2023-4: S&P Assigns BB (sf) Rating on E Notes [*] Moody's Takes Rating Actions on $54MM of US RMBS Deals [*] S&P Takes Various Actions on 100 Classes From 36 US RMBS Deals ********* AMERICAN CREDIT 2023-4: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to American Credit Acceptance Receivables Trust 2023-4's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 64.6%, 58.1%, 48.1%, 38.5%, and 34.3% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of S&P's expected cumulative net loss of 27.25% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will remain within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned American Credit Acceptance Receivables Trust 2023-4 Class A, $216.45 million: AAA (sf) Class B, $47.97 million: AA (sf) Class C, $87.75 million: A (sf) Class D, $87.75 million: BBB (sf) Class E, $38.32 million: BB- (sf) ANTARES CLO 2019-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-L loan and the class A-R, B-R, C-R, D-R, and E-R replacement debt from Antares CLO 2019-1 Ltd./Antares CLO 2019-1 LLC, a CLO originally issued in May 2019 that is managed by Antares Capital Advisers LLC. The preliminary ratings are based on information as of Nov. 9, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "On the Nov. 16, 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, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt. "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 Antares CLO 2019-1 Ltd. /Antares CLO 2019-1 LLC Class A-L loan, $290.00 million: AAA (sf) Class A-R, $20.00 million: AAA (sf) Class B-R, $61.50 million: AA (sf) Class C-R (deferrable), $37.40 million: A (sf) Class D-R (deferrable), $29.40 million: BBB- (sf) Class E-R (deferrable), $32.00 million: BB- (sf) Subordinated notes, $62.84 million: Not rated ARES LXX: Fitch Assigns 'BB+sf' Final Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Ares LXX CLO Ltd. Entity/Debt Rating Prior ----------- ------ ----- Ares LXX CLO Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT NRsf New Rating NR(EXP)sf B-2 LT NRsf New Rating C LT NRsf New Rating NR(EXP)sf D-1 LT BBBsf New Rating BBB-(EXP)sf D-2 LT BBBsf New Rating E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf The final ratings on the class D-1 and D-2 notes differ from the expected rating on the class D notes published on Sept. 15, 2023. The updated cost of funding for liabilities and the inclusion of fixed rate liabilities in the capital structure resulted in class D-1 and D-2 notes that are deemed to be robust to assign a 'BBBsf' rating. For its expected rating analysis, the lowest breakeven default rate (BDR) was in the fixed floating portfolio but with the priced structure the lowest BDR was in the 100% floating portfolio. These notes can withstand a default rate of 41.40% versus the 'BBBsf' default stress of 40.90% assuming 67% recovery given default when assuming the portfolio is 100% floating rate assets. Additionally, the performance of class D-1 and D-2 notes is in line with other Fitch-rated CLO notes in the 'BBBsf' category. TRANSACTION SUMMARY Ares LXX CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares U.S. CLO Management III LLC-Series A. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99% first-lien senior secured loans and has a weighted average recovery assumption of 74.99%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% 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 CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 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 class A-2 notes; and 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 'A+sf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions 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. ARES LXX: S&P Assigns B- (sf) Rating on $0.7MM Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Ares LXX CLO Ltd./Ares LXX CLO LLC's floating- and fixed-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 Ares U.S. CLO Management III LLC-Series A, an affiliate of Ares Management Corp. 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 Ares LXX CLO Ltd./Ares LXX CLO LLC Class A-1, $430.5 million: AAA (sf) Class A-2, $24.5 million: Not rated Class B-1, $67.0 million: AA (sf) Class B-2, $10.0 million: AA (sf) Class C (deferrable), $42.0 million: A (sf) Class D-1 (deferrable), $32.0 million: Not rated Class D-2 (deferrable), $10.0 million: Not rated Class E (deferrable), $24.5 million: Not rated Class F (deferrable), $0.7 million: B- (sf) Subordinated notes, $60.0 million: Not rated AUDAX SENIOR 8: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Audax Senior Debt CLO 8 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Audax Management Co. (NY) LLC. The preliminary ratings are based on information as of Nov. 14, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral 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 Audax Senior Debt CLO 8 LLC Class A-1, $80.00 million: AAA (sf) Class A-1L loans(i), $190.00 million: AAA (sf) Class A-1L notes(i), $0.00 million: AAA (sf) Class A-1-F, $20.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $40.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $22.50 million: BB- (sf) Subordinated notes, $72.99 million: Not rated (i)All or a portion of the class A-1L loans can be converted into class A-1L notes. Any conversion of loans to notes will result in the reduction of such amount from the class A-1L loans and a proportionate increase in class A-1L notes. No notes may be converted to loans. Upon all loans being converted to notes, the class A-1L loans will cease to be outstanding. BANK 2018-BNK15: Fitch Affirms B- Ratings on 2 Tranches ------------------------------------------------------- Fitch Ratings has affirmed 16 classes of BANK 2018-BNK15, commercial mortgage pass-through certificates, series 2018-BNK15 (BANK 2018-BNK15). The Under Criteria Observation (UC) has been resolved. The Outlooks for classes F, G, X-F, and X-G were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BANK 2018-BNK15 A-2 06036FAZ4 LT AAAsf Affirmed AAAsf A-3 06036FBB6 LT AAAsf Affirmed AAAsf A-4 06036FBC4 LT AAAsf Affirmed AAAsf A-S 06036FBF7 LT AAAsf Affirmed AAAsf A-SB 06036FBA8 LT AAAsf Affirmed AAAsf B 06036FBG5 LT AA-sf Affirmed AA-sf C 06036FBH3 LT A-sf Affirmed A-sf D 06036FAJ0 LT BBBsf Affirmed BBBsf E 06036FAL5 LT BBB-sf Affirmed BBB-sf F 06036FAN1 LT BB-sf Affirmed BB-sf G 06036FAQ4 LT B-sf Affirmed B-sf X-A 06036FBD2 LT AAAsf Affirmed AAAsf X-B 06036FBE0 LT AAAsf Affirmed AAAsf X-D 06036FAA9 LT BBB-sf Affirmed BBB-sf X-F 06036FAE1 LT BB-sf Affirmed BB-sf X-G 06036FAG6 LT B-sf Affirmed B-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 updated criteria as well as stable performance from loans in the pool. The Outlook revisions to Negative from Stable on classes F, G, X-F, and X-G reflect performance concerns with FLOCs, which include Harvard Park (3.4% of the pool), The Center at Coldwater (1.7%), and 25 Bogart & 250 Varet (0.5%). Fitch's current ratings incorporate a 'Bsf' ratings case loss of 3.50%. Fitch identified 12 loans (15% of the pool) as Fitch Loans of Concern (FLOCs). There are no loans in special servicing. Credit Opinion Loans: At issuance, Fitch identified five loans; Aventura Mall (10.0% of the current pool balance), Millennium Partners Portfolio (7.50%), 685 Fifth Avenue Retail (6.0%), Moffett Towers - Buildings E, F, G (5.7%) and Pfizer Building (0.5%) as credit opinion loans. The aforementioned loans all remain consistent with their credit opinions at issuance, except the Pfizer Building whose sole tenant, Pfizer, is set to vacate at their July 2024 lease expiration, prior to the loan's August 2024 maturity. Largest FLOCs: Harvard Park (3.4% of the pool) is secured by a 289,733-sf suburban office property located in Sacramento, CA. The largest tenants are Alta California Regional (31.8% of the NRA), State of California Department of Parks and Recreation (7.6%), and Graybar Electric (5.3%). Occupancy has declined to 57.1% as of June 2023 from 93% at June 2022 due to the departure of the largest tenants Nationwide Insurance (25% of the NRA) and Summit Funding (17.6%) which vacated at their respective lease expirations in June and August 2022. The borrower partially backfilled the vacant space with Maxim Healthcare Staffing (4.5%) and Pacific Charter Institute (3.8%). Due to the occupancy declines, the YTD June 2023 NOI DSCR has declined to 1.00x from 1.72x at YE 2022 and 3.06x at YE 2021. Despite the performance declines, the loan has remained current. The loan is full-term interest-only. Per the June 2023 rent roll, the collateral is 42.9% vacant. According to CoStar, the subject is located in the Point West submarket of the Sacramento MSA, which has a vacancy rate of 16.7% and a higher availability rate of 19.1%. Due to the performance declines, Fitch's analysis reflects a 15% stress and a 10% cap rate to the YE 2022 NOI and an increased probability of default to account for heightened default risk. Fitch's 'Bsf' rating case loss reaches 31.1% (Prior to concentration add-ons). Embassy Suites (2.3%) is secured by a 221-key full-service hotel located in St. Louis, MO. The loan transferred to special servicing in November 2020 due to pandemic related-performance declines. After reaching a modification, the loan returned to the master servicer in August 2022. Despite the recent improvements, performance still remain below pre-pandemic levels. Occupancy recovered to 69.6% as of July 2023 from 63 % at YE 2022, 49% at YE 2021, and 34% as of March 2021, but remains below 76% at YE 2019 and issuance. The NOI DSCR remains lower at 1.36x as of TTM June 2023 and 1.25x at YE 2022 relative to pre-pandemic levels of 1.62x at YE 2019 and 2.40x at issuance. TTM June 2023 NOI is 43.3% below NOI at issuance. Per the July 2023 STR Report, the hotel is outpacing its competitive set with occupancy, ADR, and RevPAR penetration rates of 132.2%, 106.7%, and 141.1%, respectively. Due to the lower operating performance, Fitch's loss expectations of 5.9% (prior to concentration add-ons) reflects the TTM June 2023 NOI with no additional stress. Changes to Credit Enhancement: As of the October 2023 distribution date, the pool's aggregate balance has been reduced by 7.7% to $1 billion from $1.082 billion at issuance. Three loans (4.7% of the pool) have fully defeased. There are 42 loans (62.1% of the pool) that are full-term, interest-only (IO); 22 loans (34.1%) that are currently amortizing and 4 loans (3.2%) that remain in their partial IO periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of classes in the 'AAAsf' and 'AAsf' categories are not likely due to sufficient CE and expected continued amortization but would occur at the 'AAAsf' and 'AAsf' levels if interest shortfalls occur. Downgrades of classes in the 'Asf' and 'BBBsf' categories would occur if additional loans become FLOCs or if performance of the FLOCs deteriorates significantly. Downgrades to classes F, X-F, G and X-G would occur if loss expectations increase on the FLOCs or additional loans become FLOCs and/or transfer to special servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes B, C, D, E and X-D may occur with significant improvement in CE and/or defeasance but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes F, X-F, G and X-G are not likely until the later years of the transaction, but could occur if performance of the FLOCs improves significantly and there is sufficient CE. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS 2019-C5: Fitch Affirms B-sf Rating on Class G-RR Certs ------------------------------------------------------------ Fitch Ratings has affirmed all classes of BBCMS Mortgage Trust 2019-C5 Commercial Mortgage Pass-Through Certificates, Series 2019-C5, CSAIL 2018-CX12 Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2018-CX12 and the 2018 CX12 III Trust horizontal risk retention pass through certificate (MOA 2020-CX12 E). The Rating Outlook for class G-RR in BBCMS 2019-C5 was revised to Negative from Stable. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2018-CX12 A-2 12595XAR4 LT AAAsf Affirmed AAAsf A-3 12595XAS2 LT AAAsf Affirmed AAAsf A-4 12595XAT0 LT AAAsf Affirmed AAAsf A-S 12595XAX1 LT AAAsf Affirmed AAAsf A-SB 12595XAU7 LT AAAsf Affirmed AAAsf B 12595XAY9 LT AA-sf Affirmed AA-sf C 12595XAZ6 LT A-sf Affirmed A-sf D 12595XAC7 LT BBB-sf Affirmed BBB-sf E-RR 12595XAE3 LT BBB-sf Affirmed BBB-sf F-RR 12595XAG8 LT BB-sf Affirmed BB-sf G-RR 12595XAJ2 LT B-sf Affirmed B-sf X-A 12595XAV5 LT AAAsf Affirmed AAAsf X-B 12595XAW3 LT AA-sf Affirmed AA-sf X-D 12595XAA1 LT BBB-sf Affirmed BBB-sf BBCMS 2019-C5 A-1 05492JAS1 LT AAAsf Affirmed AAAsf A-2 05492JAT9 LT AAAsf Affirmed AAAsf A-3 05492JAV4 LT AAAsf Affirmed AAAsf A-4 05492JAW2 LT AAAsf Affirmed AAAsf A-S 05492JAX0 LT AAAsf Affirmed AAAsf A-SB 05492JAU6 LT AAAsf Affirmed AAAsf B 05492JAY8 LT AA-sf Affirmed AA-sf C 05492JAZ5 LT A-sf Affirmed A-sf D 05492JAA0 LT BBBsf Affirmed BBBsf E 05492JAC6 LT BBB-sf Affirmed BBB-sf F 05492JAE2 LT BB-sf Affirmed BB-sf G-RR 05492JAG7 LT B-sf Affirmed B-sf X-A 05492JBA9 LT AAAsf Affirmed AAAsf X-B 05492JBB7 LT A-sf Affirmed A-sf X-D 05492JAL6 LT BBB-sf Affirmed BBB-sf X-F 05492JAN2 LT BB-sf Affirmed BB-sf MOA 2020-CX12 E E-RR 90216BAA4 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 last rating action. The affirmations reflect generally stable pool performance since the prior rating actions, as well as the impact of the updated criteria. Fitch's current ratings on BBCMS 2019-C5 incorporate a 'Bsf' rating case loss of 3.4%. Fitch has identified eight Fitch Loans of Concern (FLOCs; 15.1% of the pool balance), including one loan in special servicing (4.1%). Fitch's current ratings on CSAIL 2018-CX12 incorporate a 'Bsf' rating case loss of 3.3%. Fitch has identified five FLOCs (25.4%), including two loans in special servicing (16.6%). The Negative Outlook on class G-RR in BBCMS 2019-C5 reflects the potential for a downgrade based on an additional sensitivity scenario that applies higher default expectations to three office properties including 200 North Warner Road (2.8% of the pool), Scottsdale Gateway II (1.7%), and Westar Place (0.9%). FLOCs/Largest Loss Contributors: The largest contributor to overall loss expectations in BBCMS 2019-C5 is the Scottsdale Gateway II loan (3.2%), which is secured by 107,888 SF suburban office property located in Scottsdale, AZ. Occupancy declined to 64% as of June 2023 from 91% at issuance. NOI DSCR has been steadily declining since YE 2020 and was 0.80x as of June 2023, 1.30x as of YE 2022, 1.70x as of YE 2021, and 1.94x as of YE 2020. The loan has been in cash management since November 2020. Fitch's 'Bsf' rating case loss of 19.2% (prior to concentration add-ons) reflects a 10% cap rate and a 20% stress to the YE 2022 NOI to account for continuing performance decline and additional upcoming roll. Fitch ran an additional sensitivity scenario that assumed an increased probability of default on the loan, which contributed to the Negative Outlooks assigned to class G-RR. The largest contributor to overall loss expectations in CSAIL 2018-CX12 is the Riverfront Plaza loan (7.2%), which is secured by a 950,000-sf two tower office property located in the Richmond, VA CBD. The property was built in 1990 and last renovated in 2014. Per the June 2023 rent roll, the property was 80% leased. However, the second largest tenant, Truist Bank (14.9% of the NRA) has reportedly vacated. Further, the third largest tenant (10% of NRA) is currently subleasing their space at a rate that is approximately 20% below the direct tenant's rent. The subtenant has a lease expiration in December 2024. Per CoStar, the entire property has an availability rate of close to 40%. Fitch's 'Bsf' rating case loss of 9.0% (prior to concentration add-ons) on this FLOC reflects a 10% cap rate and a 35% stress to the TTM June 2023 NOI to account for the above market rents, dark tenancy and near-term roll. Fitch ran an additional sensitivity scenario that assumed an increased probability of default on the loan. Investment-Grade Credit Opinion Loans: In the BBCMS 2019-C5 transaction, 10000 Santa Monica Boulevard (3.6%) and Moffett Towers II - Buildings 3 & 4 (2.5%) maintain standalone credit opinions. Presidential City (4.6%) and NEMA San Francisco (4.1%) no longer maintain investment grade ratings. NEMA San Francisco received a credit opinion of 'BBB-sf*' on a standalone basis, but Fitch no longer considers it a credit opinion loan due to its significant performance decline and recent transfer to special servicing. The loan is secured by a 754-unit class A multi-family high rise located in San Francisco, CA. Property cash flow has declined since issuance and is no longer sufficient to cover operating expenses after payment of debt service. The servicer is pursuing a dual track resolution strategy including the initiation of foreclosure and the appointment of a receiver while also discussing a modification. Fitch's 'Bsf' rating case loss of 4.8% (prior to concentration add-ons) reflects a discount to a recent appraisal value which equates to a stressed value of $259,000 per unit. Fitch's analysis also factors a higher default probability given the performance decline. In the CSAIL 2018-CX12 transaction, Aventura Mall (8.4%) and Queens Place (7%) maintain standalone credit opinions. 20 Times Square (9.9%) no longer maintains an investment grade rating. The loan is secured by the leased fee interest in a 16,066-sf parcel of land located in Times Square, New York, NY, that is improved with a 452-key hotel, 75,000 sf of retail space, and 18,000 sf of digital signage. The loan transferred to special servicing in November 2022 due to an event of default related to the filing of over $26 million in mechanics liens related to the construction of the hotel; the liens are considered a breach under the ground lease and the loan agreement. The debt matured in May 2023, and the mezzanine lender recently took an assignment in lieu and became the mortgage borrower. The special servicer extended the loan through May 2025 after the new borrower funded a guaranteed obligations reserve of $69.2 million, paid down loan principal by $50 million, and paid all specially servicing fees and expenses. The borrower has nine months to clear the mechanics liens. Fitch's value based on a cap rate of 7% and a five year straight average of the ground lease payment results in a value well above the senior debt. Fitch modeled a 2% loss to account for any future servicing fees or expenses that may arise. Change in CE: As of the October 2023 distribution date, BBCMS 2019-C5 and CSAIL 2018-CX12 have paid down by 1.8% and 11.4%, respectively. BBCMS 2019-C5 has four defeased loans representing 4.5% of the pool and CSAIL 2018-CX12 has three defeased loans representing 4.2%. Four loans (8.9%) of BBCMS 2019-C5 are scheduled to mature in 2024 with all other loans scheduled to mature in 2028 and 2029. One loan (6.7%) of BBCMS 2019-C5 is scheduled to mature in 2024 with all other loans scheduled to mature in 2028, with the exception of 20 Times Square which was modified and extended until May 2025. Credit Linked Note: Fitch affirmed the ratings on MOA 2020-CX12 as it is credit-linked to the underlying class E-RR certificates of the CSAIL 2018-CX12 transaction. The Rating Outlook remains Stable. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlook reflects possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to this class is anticipated. Downgrades to 'AAAsf' and 'AAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral if the U.S. sovereign rating is lower than 'AAA' could also contribute to downgrades. Downgrades to 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'Asf' and 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. 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. BBCMS 2023-5C23: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and issued a presale report on BBCMS Mortgage Trust 2023-5C23 commercial mortgage pass-through certificates series 2023-5C23. Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $112,500,000a class A-2 'AAAsf'; Outlook Stable; - $392,424,000a class A-3 'AAAsf'; Outlook Stable; - $504,924,000b class X-A 'AAAsf'; Outlook Stable; - $71,230,000 class A-S 'AAAsf'; Outlook Stable; - $38,771,000 class B 'AA-sf'; Outlook Stable; - $28,853,000 class C 'A-sf'; Outlook Stable; - $25,246,000bc class X-D 'BBB-sf'; Outlook Stable; - $9,016,000bc class X-F 'BBsf'; Outlook Stable; - $7,214,000bc class X-G 'BB-sf'; Outlook Stable; - $11,721,000bc class X-H 'B-sf'; Outlook Stable; - $12,623,000c class D 'BBBsf'; Outlook Stable; - $12,623,000c class E 'BBB-sf'; Outlook Stable; - $9,016,000c class F 'BBsf'; Outlook Stable; - $7,214,000c class G 'BB-sf'; Outlook Stable; - $11,721,000c class H 'B-sf' Outlook Stable; The following class is not expected to be rated by Fitch: - $24,345,000cd class J-RR. (a) The exact initial certificate balances of the class A-2 and class A-3 certificates are unknown and will be determined based on the final pricing of those classes of certificates. The respective initial certificate balances of these classes are expected to be within the following ranges and $504,924,000 in the aggregate, subject to a variance of plus or minus 5.0%. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0-$225,000,000 and the expected class A-3 balance range is $279,924,000-$504,927,000. Balances for classes A-2 and A-3 reflect the maximum and minimum of each range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal Risk Retention Interest classes. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 31 loans secured by 33 commercial properties with an aggregate principal balance of $721,320,00 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, UBS AG, Argentic Real Estate Finance 2 LLC, Bank of Montreal, German American Capital Corporation, LMF Commercial LLC and BSPRT CMBS Finance, LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, the special servicer is expected to be LNR Partners, LLC and the trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a standard sequential paydown structure. KEY RATING DRIVERS Higher Leverage than Recent Transactions: The pool has higher leverage than U.S. Private Label Multiborrower transactions rated by Fitch during 2023 but lower leverage than Fitch-rated transactions in the prior year. The pool's Fitch loan-to value ratio (LTV) of 92.0% is higher than the 2023 YTD average of 88.4%, but still better than the 2022 average of 99.3%. The pool's Fitch NCF debt yield (DY) of 10.1% is worse than the YTD 2023 average of 10.8% but slightly better than the 2022 average of 9.9%. Investment-Grade Credit Opinion Loan: One loan representing 9.1% of the pool received an investment-grade credit opinion. Piazza Alta received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is well below the 2023 YTD and 2022 averages of 18.8% and 14.4%, respectively. High Loan Concentration: The pool is more highly concentrated than recently rated Fitch transactions. The largest 10 loans make up 69.3% of the pool, higher than the 2023 YTD and 2022 averages of 63.0% and 55.2%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Geographically Concentrated Pool: The pool has a higher geographic concentration compared to recently rated Fitch transactions. The pool's effective MSA count of 5.3 is well below the 2023 YTD average of 13.4. The largest three MSAs represent 69.6% of the pool, with 31.2% of the pool located in the New York City MSA alone. Pools that have a greater concentration by geographic region are at greater risk of losses, all else equal. Fitch therefore raises the overall losses for pools with effective geographic counts below 15 MSAs. Shorter-Duration Loans: Loans with five-year terms comprise 100% of the pool, whereas Fitch-rated multiborrower 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 to the same one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'Bsf'/'CCCsf' Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased; therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors ("What a Stagflation Scenario Would Mean for Global Structured Finance"). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. 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 in one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 10% NCF Increase: 'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' 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 Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. 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. BBCMS MORTGAGE 2019-C3: Fitch Cuts Rating on Cl. G-RR Certs to B-sf ------------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed 11 classes of BBCMS Mortgage Trust 2019-C3 Commercial Mortgage Pass-Through Certificates, Series 2019-C3. Fitch has assigned Negative Rating Outlooks to three classes after being downgraded. In addition, the Rating Outlooks for classes D and X-D have been revised to Negative from Stable. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2019-C3 A-2 05550MAR5 LT AAAsf Affirmed AAAsf A-3 05550MAS3 LT AAAsf Affirmed AAAsf A-4 05550MAU8 LT AAAsf Affirmed AAAsf A-S 05550MAX2 LT AAAsf Affirmed AAAsf A-SB 05550MAT1 LT AAAsf Affirmed AAAsf B 05550MAY0 LT AA-sf Affirmed AA-sf C 05550MAZ7 LT A-sf Affirmed A-sf D 05550MAC8 LT BBBsf Affirmed BBBsf E-RR 05550MAE4 LT BBsf Downgrade BBB-sf F-RR 05550MAG9 LT B+sf Downgrade BB+sf G-RR 05550MAJ3 LT B-sf Downgrade BB-sf H-RR 05550MAL8 LT CCCsf Downgrade B-sf X-A 05550MAV6 LT AAAsf Affirmed AAAsf X-B 05550MAW4 LT A-sf Affirmed A-sf X-D 05550MAA2 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The downgrades reflect the impact of the criteria and increased loss expectations due to deterioration of office and specially serviced loans, particularly The Colonnade Office Complex and 4201 Connecticut Avenue Northwest. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.48%. Six loans are Fitch Loans of Concern (FLOCs; 14.9% of the pool), which include three loans (9.5%) currently in special servicing. Fitch Loans of Concern: 4201 Connecticut Avenue Northwest (2.3%) is largest contributor to loss expectations. The loan is secured by a 70,600-sf office building in Washington, DC and is considered a FLOC due to declining occupancy and upcoming rollover. As of August 2023, the property was 71.1% occupied compared to 85% as of December 2021 and 100% at issuance. Four additional tenants have leases rolling in 2023 (combined, 26.2% NRA) and one tenant is set to roll in November of 2024 (2.2% NRA). The loan has been in special servicing since June 2023 and is currently in foreclosure. Fitch's 'Bsf' rating case loss of 37% (prior to concentration adjustments) is based on a 10% cap rate and 15% stress to YE 2022 NOI, and also factors a higher probability of default to account the foreclosure status. ATRIA Corporate Center (4.4%), a FLOC and the second largest contributor to loss expectations, is secured by 360,047-sf office building located in Plymouth, MN, a suburb of Minneapolis, MN. The loan is considered a FLOC due to due to declining occupancy and upcoming rollover. As of October 2023, the property was 69.4% occupied compared to 90.5% as of year-end 2021 and 99.7% at issuance. One additional tenant's lease (0.5% NRA) is set to expire at the end of 2023 and seven tenants (combined, 11.1% NRA) have leases rolling in 2024. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 15.7% is based on a 10% cap rate and 40% stress to YE 2022 NOI to account for low occupancy and rollover risks. The Colonnade Office Complex (3.3%), a FLOC and the third largest contributor to loss expectations, is secured by 1,080,180-sf office building located in Addison, TX, a suburb of Dallas, TX. The loan is considered a FLOC due to refinance and default concerns. The property's performance has declined due to a drop in occupancy, which was reported to be 75% as of June 2023 compared to 91% at issuance. The borrower has defaulted on mezzanine debt payments and has also indicated it can no longer fulfill the A-note debt service payments. Additionally, the borrower has requested a modification to the loan's upcoming maturity in February 2024. Fitch's 'Bsf' rating case loss of 20.9% is based on a 10% cap rate and 15% stress to YE 2022 NOI, and also factors a higher default probability due to the upcoming February 2024 maturity. Minimal Change in CE: As of the August 2022 distribution date, the pool's aggregate balance has been reduced by 2.97%. No loans have paid off since issuance and two loans (0.79%) have been defeased. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 6.3% prior to maturity, which is less than the average for transactions of a similar vintage. Seventeen loans (51.4%) are full-term, interest-only and seven loans (16.7%) have partial interest-only periods remaining Investment-Grade, Credit Opinion Loans: At issuance, four loans, representing 9.1% of the pool, are credit assessed. Two of the investment-grade credit opinion loans are in the top 10; NEMA San Francisco (3.9% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis and 787 Eleventh Avenue (3.3% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis. However, NEMA San Francisco is no longer being considered a credit opinion loan due to its significant performance decline and recent transfer to special servicing. The loan is secured by a 754-unit class A multi-family high rise located in San Francisco, CA. Property cash flow has declined since issuance and is no longer sufficient to cover operating expenses after payment of debt service. The servicer is pursuing a dual track resolution strategy including the initiation of foreclosure and the appointment of a receiver while also discussing a modification. Fitch's 'Bsf' rating case loss of 4.8% (prior to concentration adjustments) reflects a discount to a recent appraisal value which equates to a stressed value for the senior debt of $259,000 per unit. Fitch's analysis also factors a higher default probability given the performance decline. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to A-2 through B, and the associated IO classes X-A and X-B, are not likely due to the continued expected amortization and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. Downgrades to class C may occur should expected losses for the pool increase substantially. Downgrades to classes D and X-D would occur with continued underperformance of the FLOCs, particularly NEMA San Francisco, The Colonnade Office Complex, 4201 Connecticut Avenue Northwest and ATRIA Corporate Center. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in CE and/or defeasance and stabilization of performance on the FLOCs, particularly NEMA San Francisco, The Colonnade Office Complex, 4201 Connecticut Avenue Northwest and ATRIA Corporate Center.; however, adverse selection and increased concentrations could cause this trend to reverse. Upgrades to the 'BBB-sf' and 'BBBsf' rated classes would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to the 'BB+sf', 'BB-sf' and 'B-sf' rated classes are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS MORTGAGE 2023-C22: Fitch Assigns 'B-sf' Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to BBCMS Mortgage Trust 2023-C22 Commercial Mortgage Pass-Through Certificates series 2023-C22: - $2,760,000 class A-1 'AAAsf'; Outlook Stable; - $13,200,000 class A-2 'AAAsf'; Outlook Stable; - $106,000,000a class A-4 'AAAsf'; Outlook Stable; - $356,170,000a class A-5 'AAAsf'; Outlook Stable; - $6,826,000 class A-SB 'AAAsf'; Outlook Stable; - $82,269,000 class A-S 'AAAsf'; Outlook Stable; - $32,042,000 class B 'AA-sf'; Outlook Stable; - $20,784,000 class C 'A-sf'; Outlook Stable; - $6,928,000d class D 'BBB+sf'; Outlook Stable; - $16,454,000c, d class E-RR 'BBB-sf'; Outlook Stable; - $12,124,000c, d class F-RR 'BB-sf'; Outlook Stable; - $8,659,000c, d class G-RR 'B-sf'; Outlook Stable; - $484,956,000b class X-A 'AAAsf'; Outlook Stable; - $6,928,000b, d class X-D 'BBB+sf'; Outlook Stable. Fitch does not expect to rate the following class: - $28,578,720c, d class H-RR. (a) Since Fitch published its expected ratings on Oct. 16, 2023, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $462,170,000 subject to a 5% variance. The classes above reflect the final ratings and deal structure. (b) Notional amount and interest only. (c) Classes E-RR, F-RR, G-RR, and H-RR comprise the transaction's horizontal risk retention interest. (d) Privately placed and pursuant to Rule 144A. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 28 loans secured by 140 commercial properties having an aggregate principal balance of $692,794,721 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Bank of Montreal, Bank of America, National Association, Argentic Real Estate Finance 2 LLC, Société Générale Financial Corporation, LMF Commercial, LLC, KeyBank National Association, Starwood Mortgage Capital LLC, and BSPRT CMBS Finance, LLC. The master servicer is expected to be Midland Loan Services, and the special servicer is expected to be Rialto Capital Advisors, LLC. Since Fitch published its expected ratings on Oct. 16, 2023, class X-B was removed from the 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 $114,311,000. Fitch has withdrawn the expected rating of 'AA-sf(EXP)' for 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 Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 88.7% is between the YTD2023 and 2022 averages of 88.5% and 99.3%, respectively. The pool's Fitch NCF debt yield (DY) of 11.0% is higher than the YTD 2023 and 2022 averages of 10.8% and 9.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 92.5% and 10.5%, respectively, are in line with the equivalent conduit YTD 2023 LTV and DY averages of 95.2% and 10.5%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 13.0% of the pool received an investment-grade credit opinion. CX - 250 Water Street (7.2% of the pool) received a standalone credit opinion of 'BBBsf*', and 60 Hudson (5.8%) received a standalone credit opinion of 'AAAsf*'. The pool's total credit opinion percentage is below the YTD 2023 and 2022 averages of 19.6% and 14.4%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.9% of the pool, higher than the 2023 YTD and 2022 averages of 62.8% and 55.2%, respectively. The pool's effective loan count of 24.1 is higher than the 2023 YTD average of 20.7 and below the 2022 average of 25.9. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down 1.5%, which is below the 2023 YTD and 2022 averages of 1.7% and 3.3%, respectively. The pool has 17 interest-only loans, or 78.4% of pool by balance, which is between the 2023 YTD and 2022 averages of 82.0% and 77.5%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BB-sf' / 'B-sf'; - 10% NCF Decrease: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'B+sf'. 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 Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. 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 2019-B14: Fitch Lowers Rating on Cl. G-RR Certs to CCC ---------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed 12 classes of Benchmark 2019-B14 Mortgage Trust, commercial mortgage pass-through certificates series 2019-B14. Negative Rating Outlooks were assigned to three classes following their downgrade and the Rating Outlook for six classes have been revised to Negative from Stable. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2019-B14 A-1 08162YAA0 LT AAAsf Affirmed AAAsf A-2 08162YAB8 LT AAAsf Affirmed AAAsf A-3 08162YAC6 LT AAAsf Affirmed AAAsf A-4 08162YAD4 LT AAAsf Affirmed AAAsf A-5 08162YAE2 LT AAAsf Affirmed AAAsf A-S 08162YAF9 LT AAAsf Affirmed AAAsf A-SB 08162YAG7 LT AAAsf Affirmed AAAsf B 08162YAH5 LT AA-sf Affirmed AA-sf C 08162YAJ1 LT A-sf Affirmed A-sf D 08162YAM4 LT BBBsf Affirmed BBBsf E 08162YAR3 LT BBsf Downgrade BBB-sf F-RR 08162YAT9 LT Bsf Downgrade BB-sf G-RR 08162YAV4 LT CCCsf Downgrade B-sf X-A 08162YAK8 LT AAAsf Affirmed AAAsf X-B 08162YAL6 LT AA-sf Affirmed AA-sf X-D 08162YAP7 LT BBsf Downgrade 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 last rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.8%. Nine loans (19.4% of the pool) have been designated as Fitch Loans of Concern (FLOC), including two loans (3.0%) in special servicing. The downgrades reflect the updated criteria, along with performance concerns with the specially serviced Hilton Cincinnati Netherland Plaza (2.6% of the pool) loan, and FLOCs driving expected losses such as the 221 West 29th St (2.4%) and 900 & 990 Stewart Avenue (3.0%) loans. The Negative Outlooks well into the investment-grade classes is primarily driven by the second largest loan, 225 Bush (4.6% of the pool), no longer being recognized as credit opinion due to a decline in performance, along with the high concentration of office loans (39.7%) in the transaction. Largest Contributors to Losses: The largest contributor to overall loss expectations is the 221 West 29th St loan, which is secured by a 95-unit apartment property located in the Chelsea neighborhood of Manhattan, NY. Built in 2017, the 21-storey apartment building also features 48-space sub-grade parking garage and a 614 SF ground-floor commercial space. Occupancy at the subject has remained strong, with the August 2023 rent roll reporting 98.5% occupied, compared to 97% at YE 2022, 99% at YE 2021, 68% at YE 2020, and 96% at YE 2019. Despite the high occupancy at the subject, debt service coverage ratio (DSCR) has been consistently under 1.0x, mainly due to increased utilities and payroll & benefits expense. The NOI DSCR as of YE 2022 was 0.80x, compared to -0.57x at YE 2021, 0.81x at YE 2020, and 0.97x at YE 2019. Fitch's 'Bsf' rating case loss of approximately 18% (prior to concentration add-ons) reflects a 7.5% stress to the YE 2022 NOI and an 8.75% cap rate. The second largest contributor to overall loss expectations is the 900 & 990 Stewart Avenue loan, which is secured by a 462,615-sf suburban office property located in Garden City, NY. Major tenants include Aon (13% of NRA through August 2028), Wright Risk Management (8.1%; March 2029), Meyer Suozzi English and Klein (7%; March 2030), and Contour Mortgage Corp. (7.7%; October 2025). Per the June 2023 rent roll, the property was 86.1% occupied, compared to 88% at YE 2022, 89% at YE 2021, 88% at YE 2020, and 87% at YE 2019. 5.5% of the NRA is scheduled to roll in 2023, 8.3% in 2024, and 7.0% in 2025. The NOI DSCR at T6 June 2023 was 1.77x, compared to 1.80x at YE 2022, 1.94x at YE 2021, 1.94x at YE 2020, and 1.73x at YE 2019. Fitch's 'Bsf' rating case loss of approximately 12% (prior to concentration add-ons) reflects a 10% stress to the YE 2022 NOI and a 10.0% cap rate, and factors in an increased probability of default due to the upcoming August 2024 maturity date. The third largest contributor to overall loss expectations is the Hilton Cincinnati Netherland Plaza loan, which is secured by a 561-room full-service Hilton hotel located in Cincinnati, OH. The loan transferred to special servicing in February 2021 due to imminent payment default, and remains 90+ days delinquent. The borrower and lender had previously reached an agreement in principal to settle the penalty fees, but it did not materialize. A receiver was appointed in November 2022 to operate the hotel and the lender is pursuing foreclosure. As of YE 2022, occupancy was 49%, compared to 42% at YE 2021, 26% at YE 2020, and 73% at YE 2019. DSCR has remained below 1.0x since YE 2020. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 13%, reflects a 20% stress to the most recent appraisal reflecting a Fitch value of $120,000 per room. Increased CE: As of the October 2023 distribution period, the pool's aggregate balance has been paid down by approximately 1.4% to $1.32 billion from $1.30 billion at issuance. Additionally, one loan (1.9%) was defeased. Twenty-eight loans (64%) are full-term interest only, and the remaining 36% of the pool is partial or fully amortizing. Credit Opinion: At issuance, five loans had investment-grade credit opinions. Loans with investment-grade credit opinions included 225 Bush (4.6%), The Essex (4.4%), 180 Water (3.8% of the pool), Osborn Triangle (3.1% of the pool), and Grand Canal Shoppes (2.3% of the pool). Each of these loans received an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis. Fitch no longer considers the performance of 225 Bush to be consistent with an investment-grade credit opinion loan due to declining occupancy and NOI since issuance. 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 several credit opinion loans no longer be considered investment-grade, or should interest shortfalls affect these classes. Downgrades to the 'AA-sf', 'A-sf', and 'BBBsf' rated classes will occur if expected losses increase significantly for the FLOCs, specifically the 221 West 29th St, 900 & 990 Stewart Avenue, and Hilton Cincinnati Netherland Plaza loans, and/or loans anticipated to pay off at maturity exhibit declines in performance. Downgrades to the 'BBsf' and 'Bsf' rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on the specially serviced assets and other FLOCs. Downgrades to distressed rating of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 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, specifically the 221 West 29th St, 900 & 990 Stewart Avenue, and Hilton Cincinnati Netherland Plaza loans. Upgrades to the 'BBBsf' rated class would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed rating of 'CCCsf' are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BMO 2023-5C2: Fitch Assigns Final 'B-sf' Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2023-5C2 Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2023-5C2 as follows: Entity/Debt Rating Prior ----------- ------ ----- BMO 2023-5C2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf Combined VRR Interest LT NRsf New Rating NR(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf F LT BBsf New Rating BB(EXP)sf G-RR LT B-sf New Rating B-(EXP)sf J-RR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT WDsf Withdrawn A-(EXP)sf X-D LT BBBsf New Rating BBB(EXP)sf X-E LT BBB-sf New Rating BBB-(EXP)sf X-F LT BBsf New Rating BB(EXP)sf - $600,000 class A-1 'AAAsf'; Outlook Stable; - $101,000,000a class A-2 'AAAsf'; Outlook Stable; - $426,557,000a class A-3 'AAAsf'; Outlook Stable; - $528,157,000b class X-A 'AAAsf'; Outlook Stable; - $99,030,000 class A-S 'AAAsf'; Outlook Stable; - $33,010,000 class B 'AA-sf'; Outlook Stable; - $26,408,000 class C 'A-sf'; Outlook Stable; - $15,090,000c class D 'BBBsf'; Outlook Stable; - $15,090,000bc class X-D 'BBBsf'; Outlook Stable; - $7,545,000c class E 'BBB-sf'; Outlook Stable; - $7,545,000bc class X-E 'BBB-sf'; Outlook Stable; - $10,375,000c class F 'BBsf'; Outlook Stable; - $10,375,000bc class X-F 'BBsf'; Outlook Stable; - $12,260,000cd class G-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $22,636,275cd class J-RR; - $22,534,323e combined VRR Interest. a) Since Fitch published its expected ratings on Oct. 18, 2023, the balances for class A-2 and class A-3 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-2 and A-3 were expected to be $527,557,000 in the aggregate, subject to a 5% variance. The classes above reflect the final ratings and deal structure. b) Notional amount and interest-only. c) Privately placed and pursuant to Rule 144A. d) Represents the "eligible horizontal interest" comprising approximately 2.2% of the pool. e) An "eligible vertical interest" in the form of a "single vertical security" with an initial principal balance of approximately $22,534,323 (the "Combined VRR Interest"), which is expected to represent approximately 2.9% of the aggregate principal balance of all the "ABS interests". TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 35 loans secured by 62 commercial properties having an aggregate principal balance of $777,045,598 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Goldman Sachs Mortgage Company, Societe Generale Financial Corporation, Citi Real Estate Funding Inc., German American Capital Corporation, LMF Commercial, LLC, UBS AG and Starwood Mortgage Capital LLC. The master servicer is expected to be KeyBank National Association, and the special servicer is expected to be Greystone Servicing Company LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 72.4% of the properties by balance, cash flow analyses of 87.1% of the pool and asset summary reviews on 100.0% of the pool. Fitch has withdrawn the expected rating of 'A-sf(EXP)' for class X-B because the class was cancelled and will not be issued. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 86.0% is lower than the YTD 2023 and 2022 averages of 88.5% and 99.3%, respectively. The pool's Fitch net cash flow (NCF) debt yield (DY) of 10.9% is higher than the YTD 2023 and 2022 averages of 10.8% and 9.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV of 87.7% is lower than the equivalent conduit YTD 2023 LTV of 95.2%. The pool's Fitch DY of 10.9% is higher than the equivalent conduit YTD 2023 DY of 10.5%. Shorter-Duration Loans: Loans with five-year terms comprise 100% of the pool, 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. Investment-Grade Credit Opinion Loans: Two loans representing 11.0% of the pool received an investment-grade credit opinion. Piazza Alta (9.7% of the pool) received a standalone credit opinion of 'BBB-sf*', Harborside 2-3 (1.3%) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is lower than the YTD 2023 and 2022 averages of 19.6% and 14.4%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 62.5% of the pool, which is in line with the 2023 YTD average of 62.8% and well above the 2022 average of 55.2%. The pool's effective loan count of 20.3 is lower than the 2023 YTD and 2022 averages of 20.7 and 25.9, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'/. 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'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BB+sf'/'Bsf'. 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 Ernst & Young LLP and Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. 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. CATAMARAN CLO 2014-1: Moody's Cuts $38.5MM D-R Notes Rating to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Catamaran CLO 2014-1 Ltd.: US$60,000,000 Class A-2R Floating Rate Notes due 2030 (the "Class A-2R Notes"), Upgraded to Aaa (sf); previously on March 20, 2023 Upgraded to Aa1 (sf) Moody's has also downgraded the ratings on the following notes: US$38,500,000 Class D-R Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Downgraded to B1 (sf); previously on August 26, 2020 Confirmed at Ba3 (sf) US$6,500,000 Class E-R Deferrable Floating Rate Notes due 2030 (current outstanding balance of U.S.$6,724,395) (the "Class E-R Notes"), Downgraded to Caa3 (sf); previously on August 26, 2020 Downgraded to Caa2 (sf) Catamaran CLO 2014-1 Ltd., originally issued in May 2014 and refinanced in October 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 October 2022. RATINGS RATIONALE The upgrade rating action on the Class A-2R notes is primarily a result of deleveraging of the senior notes since March 2023. The Class A-1A Floating Rate Notes have been paid down by approximately 28.9% or $117.7 million since then. The downgrade rating actions on the Class D-R notes and the Class E-R notes reflect the specific risks to the more junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class D-R notes is currently 103.75% versus 104.58% in March 2023 and is currently failing its test level. Furthermore, based on Moody's calculation, the weighted average rating factor (WARF) has deteriorated and currently is at 2829 compared to 2705 in March 2023. 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: $495,844,919 Defaulted par: $8,754,340 Diversity Score: 67 Weighted Average Rating Factor (WARF): 2829 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.23% Weighted Average Recovery Rate (WARR): 47.06% Weighted Average Life (WAL): 3.7 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. CHASE AUTO 2021-3: Moody's Hikes Rating on Class F Notes From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded 13 classes of notes issued by six prime auto securitizations. The notes are backed by pools of retail automobile loan contracts originated and serviced by multiple parties. Chase Auto Credit Linked Notes, Series 2021-3 (CACLN 2021-3) transfers credit risk to noteholders through a hypothetical tranched credit default swap on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Canadian Pacer Auto Receivables Trust 2020-1 Class C Notes, Upgraded to Aaa (sf); previously on Oct 12, 2022 Upgraded to Aa1 (sf) Issuer: Canadian Pacer Auto Receivables Trust 2021-1 Class C Notes, Upgraded to A1 (sf); previously on Sep 28, 2021 Definitive Rating Assigned A3 (sf) Issuer: Capital One Prime Auto Receivables Trust 2021-1 Class C Notes, Upgraded to Aaa (sf); previously on Oct 12, 2022 Upgraded to Aa2 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Oct 12, 2022 Upgraded to A2 (sf) Issuer: Capital One Prime Auto Receivables Trust 2022-2 Class C Notes, Upgraded to Aaa (sf); previously on Aug 10, 2022 Definitive Rating Assigned Aa1 (sf) Class D Notes, Upgraded to Aa1 (sf); previously on Aug 10, 2022 Definitive Rating Assigned Aa3 (sf) Issuer: Chase Auto Credit Linked Notes, Series 2021-3 Class C Notes, Upgraded to Aa2 (sf); previously on Apr 12, 2023 Upgraded to Aa3 (sf) Class D Notes, Upgraded to Aa2 (sf); previously on Apr 12, 2023 Upgraded to A2 (sf) Class E Notes, Upgraded to A1 (sf); previously on Apr 12, 2023 Upgraded to Baa1 (sf) Class F Notes, Upgraded to Baa1 (sf); previously on Apr 12, 2023 Upgraded to Ba1 (sf) Issuer: Chase Auto Owner Trust 2022-A Class B Notes, Upgraded to Aa1 (sf); previously on Aug 23, 2022 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Aug 23, 2022 Definitive Rating Assigned A1 (sf) Class D Notes, Upgraded to A3 (sf); previously on Aug 23, 2022 Definitive Rating Assigned Baa1 (sf) RATINGS RATIONALE The rating actions are primarily driven by the buildup of credit enhancement due to structural features including sequential pay structures, non-declining reserve accounts and overcollateralization. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. Canadian Pacer Auto Receivables Trust 2020-1: 0.30% Canadian Pacer Auto Receivables Trust 2021-1: 0.40% Capital One Prime Auto Receivables Trust 2021-1: 0.25% Capital One Prime Auto Receivables Trust 2022-2: 0.40% Chase Auto Credit Linked Notes, Series 2021-3: 0.30% Chase Auto Owner Trust 2022-A: 1.00% PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. CITIGROUP 2016-C2: Fitch Affirms 'BB-sf' Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Citigroup Commercial Mortgage Trust 2016-C2. The Rating Outlooks for five classes were revised to Negative from Stable. Fitch has removed all classes from these transactions from Under Criteria Observation (UCO). Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-C2 A-3 17291CBQ7 LT AAAsf Affirmed AAAsf A-4 17291CBR5 LT AAAsf Affirmed AAAsf A-AB 17291CBS3 LT AAAsf Affirmed AAAsf A-S 17291CBT1 LT AAAsf Affirmed AAAsf B 17291CBU8 LT AA-sf Affirmed AA-sf C 17291CBV6 LT A-sf Affirmed A-sf D 17291CAA3 LT BBB-sf Affirmed BBB-sf E 17291CAG0 LT BB-sf Affirmed BB-sf E-1 17291CAC9 LT BB+sf Affirmed BB+sf E-2 17291CAE5 LT BB-sf Affirmed BB-sf EF 17291CBC8 LT CCCsf Affirmed CCCsf F 17291CAN5 LT CCCsf Affirmed CCCsf X-A 17291CBW4 LT AAAsf Affirmed AAAsf X-B 17291CBX2 LT A-sf Affirmed A-sf X-D 17291CBG9 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 last rating action. The affirmations reflect the impact of the updated criteria and that the overall pool performance and loss expectations have remained stable since Fitch's prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.6%. The Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization particularly on the specially serviced fitch loans of concern (FLOC), Marriott - Livonia at Laurel Park (2.5%), which is showing a significant increase in loss expectations since the prior rating action, due to a sharp decline in appraisal value and increasing loan exposure. Additional larger FLOCs include Opry Mills (10.9%), Staybridge Suites Times Square (5.1%), and Crocker Park Phase One & Two (10.6%). Eleven loans have been designated as FLOCs (42.0%), including one loan (2.5%) in special servicing. FLOCs/Specially Serviced Loan: The largest contributor to overall loss expectations is the specially serviced loan, Marriott - Livonia at Laurel Park, which is secured by a 224-key full-service hotel located in Livonia, MI. The loan transferred to special servicing in March 2020 due to a pandemic-related transfer and previously received a forbearance with an expiration date of July 5, 2020. According to the servicer, receivership has been in place as of January 2023 and the title to the property was conveyed to the trust in July 2023, through a deed-in-lieu of foreclosure. According to the December 2022 STR report, the subject reported a TTM occupancy rate, ADR, and RevPAR of 53.9%, $124.61, and $67.15. The comp set reported a TTM occupancy rate, ADR, and RevPAR of 53.6%, $126.52, and $67.80. The property reported penetration rates of 100.6%, 98.5%, and 99.0% for occupancy, ADR, and RevPAR, respectively. The YE2022 NOI DSCR has declined to 0.61x compared with 1.27x at YE 2021. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) is 66%, which reflects a discount to the most recently available appraisal and factors the higher loan exposure since the prior rating action. The second largest contributor to loss expectations in the pool is Opry Mills, which is secured by a 1.2 million-sf super regional mall located in Nashville, TN, seven miles from downtown Nashville. The collateral's major tenants include Bass Pro Shops (11.0% of NRA; April 2025 lease expiration); Regal Cinemas (8.5% of NRA; May 2025); Dave & Busters (4.8% of NRA; May 2026); Forever 21 (4.5% of NRA; January 2026, recently renewed by three years); and Off-Broadway Shoes (2.5% of NRA; January 2026, recently renewed by three years). The loan is considered a FLOC due to upcoming lease rollover. As of March 2023, property occupancy was 95.6%, compared with 92.1% at YE 2021, 96.6% at YE 2020, 97.7% at YE 2019, and 98% at YE 2018. Upcoming rollover includes 30 tenants (12.3% of NRA) in 2024 and 15 tenants (28.8% of NRA) in 2025. The 2025 rollover includes anchor tenants Bass Pro Shops (11.9% NRA) & Regal Cinema (9.1% NRA). The YE2022 NOI DSCR was 2.87x compared with 2.70x at YE 2021. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 6% reflects a 12% cap rate and a 12.5% stress to YE 2022 NOI, to account for upcoming lease rollover risk. The third largest contributor to loss expectations in the pool is the Staybridge Suites Times Square loan, which is a 310-room extended stay hotel located in the Times Square neighborhood of New York City. This loan is a FLOC as the YE 2022 NOI remains 39.5% below the YE 2019 NOI. The property was rebranded as the TBA Times Square. The NOI declined significantly in 2020 given the travel slowdowns and market disruption during the pandemic and performance is continuing to lag pre-pandemic levels. For the 28-day period ending March 4th, 2023 the hotel reported occupancy, ADR, and RevPAR of 82.6%, $127.20, and $105.02. Other than being less than 30-days delinquent in March 2021 when the loan modification was finalized, the loan has remained current. The YE 2022 NOI DSCR was 1.14x, up significantly from -0.49x at YE 2021, -1.26x as of YE 2020, but remains well below 2.59x for YE 2019. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) was 10%, which reflects a 11% cap rate and the YE 2022 NOI. Change in CE: As of the October 2023 distribution date, the pool's aggregate principal balance has been reduced by 9.7% to $550.1 million, down from $609.2 million at issuance. Eleven loans (35.8%) are full-term IO loans. All loans with partial IO periods have expired. Six loans (9.8%) are fully defeased, including the fifth largest loan, Stone Ranch Apartments (5.1%). Cumulative interest shortfalls are currently affecting Class H and H-2. The transaction also has realized losses of 0.37% of the original pool balance. One loan, Marriott - Livonia at Laurel Park (2.5%) was scheduled to mature in August 2021; however, the loan remains with the special servicer. The majority of the loans mature in 2026 (96.1%) with one in 2025 (1.5%). Undercollateralized: As of October 2022, the transaction is undercollateralized by approximately $754,399 due to a WODRA on Crocker Park Phase One & Two and Hyatt Regency Huntington Beach Resort loans, which was reflected in the June 2022 remittance report. Investment-Grade Credit Opinion Loan At issuance: Fitch gave Vertex Pharmaceuticals (10.9%) an investment-grade credit opinion of 'BBB-sf', respectively, on a standalone basis. The loan continues to exhibit investment-grade credit characteristics. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' and 'AAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral if the U.S. sovereign rating is lower than 'AAA' could also contribute to downgrades. Downgrades to 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on FLOCs, particularly Marriott - Livonia at Laurel Park, Opry Mills, Staybridge Suites Times Square, and Crocker Park Phase One & Two. Downgrades to the 'BBsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on the specially serviced asset and other FLOCs. Downgrades to distressed ratings of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, particularly Marriott - Livonia at Laurel Park, Opry Mills, Staybridge Suites Times Square, and Crocker Park Phase One & Two. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP 2016-P6: Fitch Lowers Rating on Class E Certs to 'B-sf' ----------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 11 classes of Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2016-P6 (CGCMT 2016-P6). Fitch assigned class E a Negative Rating Outlook after its downgrade. Fitch has also revised the Outlooks on two classes to Stable from Positive and two classes to Negative from Stable. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-P6 A-4 17291EAV3 LT AAAsf Affirmed AAAsf A-5 17291EAW1 LT AAAsf Affirmed AAAsf A-AB 17291EAX9 LT AAAsf Affirmed AAAsf A-S 17291EAY7 LT AAAsf Affirmed AAAsf B 17291EAZ4 LT AA-sf Affirmed AA-sf C 17291EBA8 LT A-sf Affirmed A-sf D 17291EAA9 LT BBB-sf Affirmed BBB-sf E 17291EAC5 LT B-sf Downgrade BB-sf F 17291EAE1 LT CCCsf Affirmed CCCsf X-A 17291EBB6 LT AAAsf Affirmed AAAsf X-B 17291EBC4 LT AA-sf Affirmed AA-sf X-D 17291EAL5 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The downgrades reflect the impact of the updated criteria and higher loss expectations since the last rating action. Fitch's ratings incorporate a 'Bsf' rating case loss of 7%, primarily driven by significantly higher loss expectations on the 681 Fifth Avenue loan (8.2% of the pool), which transferred to special servicing in September 2023. There are 12 loans (42% of the pool) identified as Fitch Loans of Concern (FLOCs) with two loans (10.6%) in special servicing. The Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization on the FLOCs, including specially serviced loans and underperforming office and mixed-use loans. The Outlooks on classes B and X-B have been revised to Stable from Positive due to the large FLOC exposure. The largest FLOCs in the pool include 8 Times Square & 1460 Broadway (10.8% of the pool), 681 Fifth Avenue (8.2%), 925 La Brea Avenue (4.1%), Georgetown Plaza (3.5%) and Arbor Ridge Office (2.4%). The Arbor Ridge Office loan transferred to special servicing in September 2023 for maturity default ahead of the loan's scheduled November 2023 maturity date. Fitch Loans of Concern: The largest contributor to modeled loss is 681 Fifth Avenue, which is secured by a mixed-use retail and office property located in the Manhattan Plaza District in New York, NY. The loan transferred to special servicing in September 2023, counsel has been engaged and is in discussions with the borrower on the terms of the PNL. The loan was 60 days delinquent in September 2023, and thirty days delinquent as of November 2023. The majority of rental income, 78% of total base rents, came from the dark retail tenant, Tommy Hilfiger (27.3% of the NRA), who vacated in April 2019, but continued to pay rent. The lease expired in May 2023. Occupancy declined to 51.5% as of May 2023 from 59% at YE 2022 after office tenant Apex (7.2% of the NRA) did not renew their lease and vacated at their March 2023 lease expiration. Office tenant Altum Capital Management (7.0%) extended their lease through March 2031. Per the servicer's most recent commentary, the borrower is attempting to release the vacant office and retail space. Fitch's 'Bsf' rating case loss of approximately 36% reflects a 9.5% cap rate and a 25% total stress to the YE 2022 NOI to account for the reduction in rental income due to the expiration of the Tommy Hilfiger lease, the largest contributor to rental revenue. Fitch's analysis factors an increased probability of default due to the loan's transfer to special servicing. The second largest contributor to modeled losses and largest loan in the pool, 8 Times Square & 1460 Broadway, which is secured by a 214,341-sf high end office property with retail component. It's 100% leased between WeWork (83% of NRA; lease expires 2034) and Footlocker (17%; lease expires 2032). Both WeWork and Foot Locker are currently open for business. The loan is a FLOC due to its significant exposure to WeWork, which filed for bankruptcy in November 2023. Fitch's 'Bsf' rating case loss of approximately 4% reflects an 8.5% cap rate and a 20% stress to the YE 2022 NOI to account for WeWork exposure. The specially serviced Arbor Ridge Office loan is secured by a 128,627 sf office property located in Malvern, PA, built in 1956, and renovated in 2016. The sponsor was unable to refinance the loan prior to loan maturity. The reported occupancy declined to 76% as of YE 2022 compared with 95% at YE 2021. The previously second largest tenant, Howmedica (Stryker), provided notice of lease termination in 2022. The loan has approximately $1.2 million in a rollover reserve related to the prior tenant's departure. Fitch's 'Bsf' rating case loss of approximately 16% assumes a cap rate of 10.0% and a 10% stress to the reported YE 2022 NOI to account for additional rollover. Increasing Credit Enhancement: As of the October 2023 distribution date, the pool's aggregate principal balance has been paid down by 23.6% to $698.0 million from $913.4 million at issuance. There is minimal defeasance, with five loans (3.4% of current pool) fully defeased. There are ten interest only loans comprising 48.2% of the October collateral balance. Loan maturities are concentrated in 2026 (86.7%) with an additional 2.7% maturing in 2027 and 8.3% in 2031. Cumulative interest shortfalls totaling $505,084 are currently impacting the non-rated class H. Class H has realized losses of $5.5 million. Undercollateralization: The transaction is undercollateralized by approximately $530,607 due to a WODRA on the Sheraton Portland Airport loan, which was reflected in the August 2021 remittance report. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans and FLOCs. Downgrades to the 'AA-sf' and 'AAAsf' classes are not likely due to the position in the capital structure, but may occur should interest shortfalls affect the classes; Downgrades to the 'BBB-sf' and A-sf' classes would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'B-sf' and 'CCCsf' classes would occur should loss expectations increase and if performance of the FLOCs fail to stabilize or loans default and/or transfer to the special servicer and as losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' classes could occur with significant improvement in performance of FLOCs, 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' classes could 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' and 'CCCsf' classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recovery on FLOCs and specially serviced loans are higher 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. CITIGROUP 2021-INV2: Moody's Hikes Rating on Cl. B-5 Certs to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 20 bonds from two US residential mortgage-backed transactions (RMBS). Citigroup Mortgage Loan Trust 2021-INV2 is backed by prime quality, agency eligible, investment property mortgage loans. Citigroup Mortgage Loan Trust Inc. 2020-EXP1 is backed by fully amortizing, fixed and adjustable-rate and interest only, first lien mortgage loans, which are underwritten to the sellers' expanded prime programs that typically have certain credit parameters that are outside of traditional prime jumbo programs. Complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2021-INV2 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Aa2 (sf) Cl. B-1-IO*, Upgraded to Aa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Aa2 (sf) Cl. B-1-IOW*, Upgraded to Aa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Aa2 (sf) Cl. B-1-IOX*, Upgraded to Aa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Aa2 (sf) Cl. B-1W, Upgraded to Aa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-IO*, Upgraded to A1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-IOW*, Upgraded to A1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2-IOX*, Upgraded to A1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2W, Upgraded to A1 (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-IO*, Upgraded to Baa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-3-IOW*, Upgraded to Baa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-3-IOX*, Upgraded to Baa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-3W, Upgraded to Baa1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 31, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 31, 2021 Definitive Rating Assigned B2 (sf) Issuer: Citigroup Mortgage Loan Trust Inc. 2020-EXP1 Cl. B-1, Upgraded to A2 (sf); previously on Feb 2, 2023 Upgraded to Baa1 (sf) Cl. B-2, Upgraded to Ba1 (sf); previously on Aug 3, 2021 Upgraded to Ba3 (sf) Cl. M-1, Upgraded to Aa1 (sf); previously on Feb 2, 2023 Upgraded to Aa3 (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 pools. In Moody's analysis Moody's considered the additional risk of default on modified loans. Generally, Moody's apply a 7x multiple to the Probability of Default (PD) for private label modified mortgage loans and an 8x multiple to the PD for agency-eligible modified mortgage loans. However, Moody's may apply a lower multiple to the PD for loans that were granted short-term payment relief as long as there were no other changes to the loan terms, such as a reduced interest rate or an extended loan term, which can be used to lower the monthly payment on the loan. For loans granted short-term payment relief, servicers will generally defer the missed payments, which could be added as a non-interest-bearing balloon payment due at the end of the loan term. Alternatively, servicers could extend the maturity on the loan to match the number of missed payments. Citigroup Mortgage Loan Trust Inc. 2020-EXP1 features a sequential payment structure with an interest reserve account that will be fully funded at closing by the sponsor. This interest reserve account can be used to pay bondholders in the event delinquent loans and the lack of P&I advancing to cover their payments causes interest shortfalls. In addition, the excess spread in this transaction can be used to absorb losses before any excess is released to the sponsor, while in typical prime and expanded prime structures the excess spread is absorbed by the interest-only tranches. The combination of the reserve account and the excess spread substantially mitigate the risk of shortfalls. 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. COMM 2014-CCRE16: Fitch Lowers Rating on Class D Certs to 'Bsf' --------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 12 classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE16 Mortgage Trust commercial mortgage pass-through certificates. Fitch has assigned a Negative Rating Outlook to one class after its downgrade and revised two Outlooks to Negative from Stable. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-CCRE16 Mortgage Trust A-3 12591VAD3 LT AAAsf Affirmed AAAsf A-4 12591VAE1 LT AAAsf Affirmed AAAsf A-M 12591VAG6 LT AAAsf Affirmed AAAsf A-SB 12591VAC5 LT AAAsf Affirmed AAAsf B 12591VAH4 LT AA-sf Affirmed AA-sf C 12591VAK7 LT A-sf Affirmed A-sf D 12591VAQ4 LT Bsf Downgrade BBsf E 12591VAS0 LT CCCsf Affirmed CCCsf F 12591VAU5 LT CCsf Affirmed CCsf PEZ 12591VAJ0 LT A-sf Affirmed A-sf X-A 12591VAF8 LT AAAsf Affirmed AAAsf X-B 12591VAL5 LT AA-sf Affirmed AA-sf X-C 12591VAN1 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The affirmations reflect the impact of the criteria and generally stable performance of the pool since the prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 8.95%. Six loans are Fitch Loans of Concern (FLOCs; 18.5% of the pool), including three specially serviced loans/assets (12.5%). The downgrade to class D and Negative Outlooks on classes C, D and PEZ reflect the potential for higher than expected losses on the FLOCs, or more loans than anticipated transfer to special servicing due to an inability to refinance at maturity. The largest contributor to Fitch's overall loss expectations is the REO West Ridge Mall & Plaza asset (5.8%). The asset originally consisted of 392,000 sf of inline space within the 1.0 million-sf enclosed regional West Ridge Mall, and the adjacent 90,353 sf West Ridge Plaza retail center, located in Topeka, KS. The loan transferred to special servicing in November 2018 for imminent default and the asset became REO in December 2019. In January 2022, the West Ridge Mall portion was sold and liquidated, and only the West Ridge Plaza which is anchored by a non-collateral Target remains; proceeds from the sale of the West Ridge Mall portion remain with the servicer and have not been applied to the outstanding balance. According to the servicer, the remaining property is not currently listed for sale after the asset failed to sell at a recent auction. The property is currently 100% occupied, with TJ Maxx as the largest collateral tenant. Fitch's 'Bsf' rating case loss of 61.2% (prior to concentration adjustments) reflects a discount to the December 2022 appraisal for West Ridge Plaza. The second largest contributor to overall loss expectations is the specially serviced 555 West 59th Street loan (2.2%), which is secured by a mixed-use property that operates primarily as a parking garage located about five blocks from Lincoln Center on 11th Avenue between West 59th and 60th Streets in Manhattan. The loan transferred to special servicing in July 2020 for payment default after the borrower had requested debt service payment relief. The largest tenant at the property, Hertz, filed bankruptcy and rejected the lease at the subject property. According to the servicer, a judicial foreclosure has been filed, but a foreclosure date has not been scheduled. Fitch's base case loss of 77.9% is based on a discount to the August 2023 appraisal, implying a Fitch-stressed value of $177 psf. Increasing Credit Enhancement (CE): As of the September 2023 distribution date, the pool's aggregate balance has been reduced by 26.4% to $783.5 million from $1.1 billion at issuance. Defeased collateral represents 22% of the pool, up from 14.5% at the last rating action. Three loans (25.2%) are interest-only (IO) for the full term; the remaining loans are amortizing. All of the outstanding loans are scheduled to mature by April 2024. Fitch expects there to be some adverse selection as loans mature and those with strong credit metrics refinance, leading to increased pool concentration. Interest shortfalls are currently impacting classes D through G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-SB through B are not expected due to increasing CE and expected paydown from maturing loans but may occur should interest shortfalls affect these classes. Downgrades to classes C and PEZ may occur if a high proportion of the pool defaults at or prior to maturity and losses increase sizably on the FLOCs, including 252 West 37th Street, DoubleTree LAX, CVS Las Vegas Strip and 1807 Old Post Office Road. Downgrades to class D are possible if loans anticipated to refinance fail to repay at maturity and transfer to special servicing and/or expected losses on the specially serviced loans are higher than expected. A downgrade to the distressed classes E and F would occur with greater certainty of losses or as losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to classes B, C, D, X-C and PEZ could occur with large improvement in CE and/or defeasance, and with the stabilization of performance amongst the FLOCs and specially serviced loans. Upgrades to class E and F would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. 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 2014-CCRE20: Fitch Cuts Rating on Class E Debt to Csf ---------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 10 classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE20 Mortgage Trust commercial mortgage trust pass-through certificates. The Rating Outlook was revised to Negative from Stable for two affirmed classes. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ------ COMM 2014-CCRE20 A-3 12592LBH4 LT AAAsf Affirmed AAAsf A-4 12592LBJ0 LT AAAsf Affirmed AAAsf A-SB 12592LBG6 LT AAAsf Affirmed AAAsf AM 12592LBL5 LT AAAsf Affirmed AAAsf B 12592LBM3 LT AA+sf Affirmed AA+sf C 12592LBP6 LT A-sf Affirmed A-sf D 12592LAN2 LT CCCsf Downgrade BB-sf E 12592LAQ5 LT Csf Downgrade CCsf F 12592LAS1 LT Dsf Affirmed Dsf PEZ 12592LBN1 LT A-sf Affirmed A-sf X-A 12592LBK7 LT AAAsf Affirmed AAAsf X-B 12592LAA0 LT AA+sf Affirmed AA+sf X-C 12592LAC6 LT CCCsf 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 last rating action. Alternative Loss Scenario; Maturity Concentration: Given the scheduled maturity concentration within the next 12 months, Fitch's ratings are based on a look-through analysis. This analysis groups loans by projected ability to refinance to determine the loans' expected recoveries and losses relative to CE. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.6%. The downgrades to classes D, X-C and E and the Negative Outlook revisions on classes C and PEZ reflect performance and refinancing concerns for the Fitch Loans of Concern (FLOCs, 19.6% of the pool), particularly the specially serviced Harwood Center (6.3%). The largest contributor to loss expectations, Harwood Center, is secured by an urban office property located in Dallas, TX. The asset transferred to special servicing in May 2020 due to imminent monetary default and became REO in November 2021. The lender is working with the property manager and leasing team to stabilize the asset. The property is 53.1% occupied as of March 2023; per the servicer, most tenants are utilizing their space on a hybrid basis with the two largest tenants only using a portion of their spaces. The YE 2022 NOI DSCR was 0.64x. The YE 2019 NOI DSCR was 1.51x with 91% occupancy and at the time of transfer occupancy was approximately 70% following a major tenant extension and contraction. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 64% reflects a stress to the most recently reported appraised value. Increased Credit Enhancement: Since the last rating action, the transaction has continued to amortize, resulting in increased credit support to the top of the capital structure. Twenty-three loans (27.8%), up from 15 loans (20%) at the last review, are fully defeased. As of the October 2023 distribution date, the pool's aggregate pool balance has decreased by 27.6% to $855.7 million from $1.18 billion at issuance. The majority of loans (98%) are scheduled to mature in 2024 with one loan (2%) maturing in 2034. Maturities are concentrated in 3Q24 and 4Q24. 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 'AAAsf', 'AAsf' and 'Asf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral due to the U.S. sovereign rating being lower than 'AAA' could also contribute to downgrades. Downgrades to the classes in the 'CCCsf' to 'Csf' 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' to '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 distressed 'CCCsf' to 'Csf' rating categories are not expected, but possible with better than expected recoveries on specially serviced loans, particularly the Harwood Center or significant performance improvement on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 2015-LC19: Fitch Affirms CCC Rating on Class F Debt -------------------------------------------------------- Fitch Ratings has affirmed 13 classes of COMM 2015-LC19 Mortgage Trust. Fitch has revised seven Rating Outlooks to Negative from Stable. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-LC19 A-3 200474BB9 LT AAAsf Affirmed AAAsf A-4 200474BC7 LT AAAsf Affirmed AAAsf A-M 200474BE3 LT AAAsf Affirmed AAAsf A-SB 200474AZ7 LT AAAsf Affirmed AAAsf B 200474BF0 LT AA-sf Affirmed AA-sf C 200474BH6 LT A-sf Affirmed A-sf D 200474AE4 LT BBB-sf Affirmed BBB-sf E 200474AG9 LT Bsf Affirmed Bsf F 200474AJ3 LT CCCsf Affirmed CCCsf PEZ 200474BG8 LT A-sf Affirmed A-sf X-A 200474BD5 LT AAAsf Affirmed AAAsf X-B 200474AA2 LT AA-sf Affirmed AA-sf X-C 200474AC8 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 affirmations reflect the updated criteria, generally stable pool performance and improving CE since the prior rating action. The Negative Outlooks on classes B, C, PEZ, D, E, X-B and X-C reflect the potential for downgrades should performance of the Fitch Loans of Concern (FLOCs) continue to deteriorate including the Central Plaza and several loans secured by office or mixed-use properties. Fitch has identified seven loans (19.6% of the pool) as FLOCs, which include one loan (0.6%) in special servicing. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.1%. The largest contributor to expected losses is Central Plaza (FLOC, 6.9% of the pool). The asset is an 879,112-sf office property and two adjacent parking structures, located in Los Angeles, CA. Per the June 2023 rent roll, the property was 53% occupied compared to 58% at YE 2019 and 64% at issuance. The tenancy is granular with the largest tenant occupying less than 3% of the NRA. The top three tenants include Central Fitness (3% of the NRA), Jamison Properties (2%) and American Learning Foundation (2%). Near-term rollover includes 5% of the NRA in 2023 and 21% in 2024. Fitch's analysis includes a 10% cap rate and 20% total stress to the YE 2022 NOI to account for the low reported occupancy, high vacancy submarket and upcoming rollover, resulting in a 21% 'Bsf' rating case loss (prior to concentration adjustments). The second largest contributor to expected losses is Decorative Center of Houston (FLOC, 3.7%), which is secured by a 517,842-sf design center, located near the Galleria area of Houston, TX. The collateral consists of office and design space. The servicer reported occupancy as of March 2023 was 65% compared with 69% at YE 2022 and 78% at issuance. Per the July 2023 rent roll, the largest tenant at the property was David Sutherland Showroom (3% of the NRA) following the lease expiration and vacating of WEX (4%) in March 2023. Near-term rollover includes 17% of the NRA in 2023 and 13% in 2024. The loan's 'Bsf' rating case loss of 24% (prior to concentration adjustments) reflects a 10.75% cap rate and a 15% stress to September 2022 NOI to account for the low occupancy and upcoming rollover. Increasing CE: The pool's aggregate balance has been reduced by 14.5% to $1.2 billion as of the September 2023 remittance from $1.4 billion at issuance. Defeasance has increased to 15 loans totaling $356.6 million (29% of the pool) from 11 loans at the prior rating action. Forty loans (74%) have a scheduled maturity between September 2024 and February 2025. There are nine loans (22%) that are structured as anticipated repayment date loans. There are 13 loans remaining (48%) that are full-term, interest-only. Property Type Concentration: Excluding defeased collateral, the highest concentration is retail (26%), followed by office (18%), mixed-use (13%) and lodging (13%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes A-SB, A-3, A-4, X-A and A-M are not likely due to increasing CE and expected continued paydown and amortization, but may occur should interest shortfalls occur. Downgrades to classes B, X-B, C, PEZ, D and X-C could occur if deal-level losses increase significantly due to continued underperformance of the FLOCs and/or loans anticipated to refinance default at maturity. A downgrade to class E is possible with higher expected losses from the FLOCs and loans in special servicing. A downgrade to class F could occur as losses become more certain and/or as more losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes B, X-B, C, PEZ, D and X-C are not likely, but may occur with stabilization of the FLOCs, combined with additional paydown or defeasance. An upgrade to class E is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to class F is not expected but would be possible with better than expected recoveries on specially serviced loans and stabilization of the FLOCs. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2019-GC44: Fitch Affirms 'B-sf' Rating on Class G-RR Certs --------------------------------------------------------------- Fitch Ratings has affirmed the ratings of 17 classes of COMM 2019-GC44 Mortgage Trust commercial mortgage pass-through certificates. The Rating Outlooks on classes F, G-RR, and X-F were revised to Negative from Stable. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- COMM 2019-GC44 A-1 12655TBG3 LT AAAsf Affirmed AAAsf A-2 12655TBH1 LT AAAsf Affirmed AAAsf A-3 12655TBK4 LT AAAsf Affirmed AAAsf A-4 12655TBL2 LT AAAsf Affirmed AAAsf A-5 12655TBM0 LT AAAsf Affirmed AAAsf A-M 12655TBP3 LT AAAsf Affirmed AAAsf A-SB 12655TBJ7 LT AAAsf Affirmed AAAsf B 12655TBQ1 LT AA-sf Affirmed AA-sf C 12655TBR9 LT A-sf Affirmed A-sf D 12655TAG4 LT BBBsf Affirmed BBBsf E 12655TAJ8 LT BBB-sf Affirmed BBB-sf F 12655TAL3 LT BB-sf Affirmed BB-sf G-RR 12655TAN9 LT B-sf Affirmed B-sf X-A 12655TBN8 LT AAAsf Affirmed AAAsf X-B 12655TAA7 LT AA-sf Affirmed AA-sf X-D 12655TAC3 LT BBB-sf Affirmed BBB-sf X-F 12655TAE9 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Stable Loss Expectations: Loss expectations for the pool remain stable since Fitch's prior rating action. Three loans (10.2% of pool) were flagged as Fitch Loans of Concern (FLOCs), including one office property in the top 15 with upcoming rollover concerns and/or declining performance. There are no loans in special servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 2.9%. The Negative Outlooks on the classes F, G-RR and X-F reflect performance concerns and overall exposure to office loans (25.4% of the pool), particularly 225 Bush (5.0%), 55 Green Street (3.6%) and BOA Building Tulsa (1.6%). The largest contributor to loss expectations is the 55 Green Street (3.6%) loan, which is secured by a 54,414-sf, single-tenant, office property located in San Francisco, CA. The property is fully leased to Getaround, a ridesharing startup through March, 2029. The property serves as Getaround's headquarters. The loan previously transferred to special servicing in January 2022 for imminent monetary default as a result of the pandemic. The loan was brought current and subsequently transferred back to the master servicer in April 2022. The property was 100% occupied as of June 2023. NOI DSCR as of June 2023 was 3.05x, compared with 2.70x at YE 2022, 2.93x at YE 2021 and 2.58x at YE 2020. According to CoStar, the property lies within the Waterfront/North Beach Office Submarket of the San Francisco market. As of 3Q23, the average asking rental rates for the submarket and market were $45.91 psf and $55.60 psf; respectively. Vacancy rates for the submarket and market were 24.4% and 21.2%; respectively. Fitch's 'Bsf' case loss of 10.8% (prior to a concentration adjustment) is based on an 9.50% cap rate and 25% stress to the YE 2022 NOI due to submarket vacancy concerns. The second largest contributor to loss expectations the BOA Building Tulsa (1.6%) loan, which is secured by a 299,342-sf office building located Tulsa, OK. The property's largest tenants include; The Summit Corporation (12.8% of NRA, leased through December 2029), Tulsa Community College (6.9%, December 2026), and Bank of America (6.3%, April 2024). The property's occupancy declined to 77% as of March 2023, compared to 91% at YE 2022, 90% at YE 2021, 90% at YE 2020 and 93% at Issuance. Occupancy declined due to the property's former largest tenant, Laredo Petroleum, Inc (previously 31.6% of NRA) not renewing its lease at the property upon lease expiry in January 2023. According to CoStar, the property lies within the CBD Office Submarket of the Tulsa market. As of 3Q23, the average asking rental rates for the submarket and market were $18.40 psf and $17.75 psf; respectively. Vacancy rates for the submarket and market were 12.2% and 10.8%; respectively. Fitch's 'Bsf' case loss of 13.7% (prior to a concentration adjustment) is based on an 10.50% cap rate and 25% stress to the YE 2022 NOI, and factors in an increased probability of default due to the occupancy decline and the loan's heightened term default risk. Minimal Increase in CE: As of the October 2023 distribution date, the trust's aggregate principal balance has paid down by 1.5% to $1.13 billion from $1.15 billion at issuance. One loan in the pool, City Pointe Apartments & Townhomes (0.6% of the pool) is fully defeased. 29 loans (71.2%) are interest-only for the full term. An additional seven loans (14.7%) were structured with partial interest-only periods and eight loans (14.1%) have a balloon payment. The trust has not incurred any realized losses since issuance. 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. Downgrades to the 'Asf', 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls occur. Downgrades to the 'BBBsf' category would occur if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to the 'Bsf' and 'BBsf' categories would occur should loss expectations increase due to continued performance declines for loans designated as FLOCs and/or loans transfer to Special Servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs could cause this trend to reverse. Upgrades to the 'BBBsf' category would also consider these factors, but 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. Upgrades to the 'Bsf' and 'BBsf' 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. CSAIL 2018-CX11: Fitch Affirms 'CCC' Rating on Class G-RR Certs --------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Credit Suisse CSAIL 2018-CX11 Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2018-CX11. In addition, Fitch has affirmed one class of 2018 CX11 III Trust, affirming the rating of the 2020-CX11 Trust horizontal risk retention pass-through certificate (MOA 2020-CX11 E Class E-RR). The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2018-CX11 A-3 12652UAS8 LT AAAsf Affirmed AAAsf A-4 12652UAT6 LT AAAsf Affirmed AAAsf A-5 12652UAU3 LT AAAsf Affirmed AAAsf A-S 12652UAY5 LT AAAsf Affirmed AAAsf A-SB 12652UAV1 LT AAAsf Affirmed AAAsf B 12652UAZ2 LT AA-sf Affirmed AA-sf C 12652UBA6 LT A-sf Affirmed A-sf D 12652UAC3 LT BBB-sf Affirmed BBB-sf E-RR 12652UAE9 LT BBB-sf Affirmed BBB-sf F-RR 12652UAG4 LT BB-sf Affirmed BB-sf G-RR 12652UAJ8 LT CCCsf Affirmed CCCsf X-A 12652UAW9 LT AAAsf Affirmed AAAsf X-B 12652UAX7 LT AA-sf Affirmed AA-sf X-D 12652UAA7 LT BBB-sf Affirmed BBB-sf MOA 2020-CX11 E E-RR 90215KAA5 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 generally stable performance of the pool. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.88%. Nine loans are Fitch Loans of Concern (FLOCs; 16.4% of the pool), including five loans (7.1%) currently in special servicing. The Negative Outlook for class F-RR reflects the exposure to FLOCs totaling 16.4% of the pool including specially serviced loans (5.7%), most notably Penn Center West, as well as the FLOC the Northrop Grumman Portfolio. Fitch Loans of Concern: Penn Center West (2.5%) is largest contributor to loss expectations. The loan is secured by a portfolio consisting of three suburban office buildings (Penn Center West 1, Penn Center West 6 and Penn Center West 8) totaling 213,894 sf located in Robinson, PA. The portfolio performance has declined since 2021; as of June 2022, the NOI debt service coverage ratio (DSCR) and occupancy were reported to be 1.01x and 72%, respectively compared to 1.50x and 77%, respectively at YE 2021. The loan transferred to special servicing in November 2022 due to imminent monetary default prior to the original maturity date in February 2023. As of April 2023, the receiver has taken possession of the portfolio and continues the operate the property. Fitch's 'Bsf' rating case loss of 23.1% (prior to concentration adjustments) is based on a 10% cap rate and 10% stress to YE 2022 NOI, and also factors a higher probability of default to account the delinquency status, decline in performance and ultimate refinanceability of the loan. The Northrop Grumman Portfolio (2.7%) is secured by a portfolio of two single-tenant, office properties (295,842 sf) located in Chester and Lebanon, VA. Both tenants, The Commonwealth of Virginia and Northrop Grumman have vacated upon lease expiration in June 2022 and October 2022, respectively, leaving both properties unoccupied. The loan is scheduled maturity is in November 2024. Fitch's 'Bsf' rating case loss of 10% is based on a 10.25% cap rate and considered an updated dark value which included current market conditions, and occupancy and rental rates, as well as a higher default probability and loss given default due to the high vacancy and upcoming November 2024 maturity. Fitch also applied a sensitivity scenario for this loan, which assumed an outsized loss of 20%; this analysis contributed to maintaining the Negative Outlook for class F-RR. Increased Credit Enhancement: As of the October 2023 distribution date, the pool's aggregate balance has been reduced by 13.4%. Five loans (4.7%) have been defeased. Realized losses since issuance total $7.3 million from the resolution and disposal of a specially serviced loan (6-8 West 28th Street), which occurred in April 2022. Sixteen loans (42.1%) are full term interest only and fourteen loans (27.1%) have partial interest-only periods remaining. Property Type Concentration: The highest concentration is office (32%), followed by retail (29.2%), hotel (22.2%), multi-family (9.3%) and industrial (5.5%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to A-3 through B, and the associated IO classes X-A and X-B, currently rated 'AAAsf', are not likely due to the continued expected amortization and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. Downgrades to classes C, D and X-D, currently rated 'A-sf' and 'BBB-sf' may occur should expected losses for the pool increase substantially. Downgrades to classes E-RR, F-RR and H-RR, currently rated 'BBB-sf', 'BB-' and 'CCCsf', respectively, would occur with continued underperformance of the FLOCs, particularly Penn Center West and Northrop Grumman Portfolio. 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 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations could cause this trend to reverse. Upgrades to the 'BBB-sf' rated classes are unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to the 'BB-sf' and 'B-sf' rated classes are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CSFB HOME 2005-7: Moody's Upgrades Rating on Cl. M-2 Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of Class M-2 issued by CSFB Home Equity Asset Trust 2005-7. The collateral backing this deal consists of subprime mortgages. Complete rating actions are as follows: Issuer: CSFB Home Equity Asset Trust 2005-7 Cl. M-2, Upgraded to Ba1 (sf); previously on Aug 1, 2019 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating action reflects the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrade is a result of an increase in credit enhancement available to the bond. Principal Methodologies The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. DRYDEN 112: S&P Assigns BB-(sf) Rating on $15.8MM Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Dryden 112 CLO Ltd./Dryden 112 CLO LLC, a CLO originally issued in August 2022 that S&P Global Ratings did not previously rate and that is managed by PGIM Inc. There are no replacement class F notes in the refinanced transaction. On the Nov. 15, 2023, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. As a result, S&P assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlined the terms of the replacement notes. According to the supplemental indenture: -- The transaction is collateralized by at least 92.50% senior secured loans, cash, and eligible investments, with a minimum of 80.00% of the loan borrowers based in the U.S. -- Of the identified underlying collateral obligations, 99.87% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 92.32% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. -- The replacement class A-R, B-R, C-R, D-R, and E-R notes were issued at a lower spread over three-month CME term SOFR than the original notes. -- There are no replacement class F notes in the refinanced transaction. -- The non-call date and stated maturity were extended by approximately 2.25 years. -- The subordinated notes' par balance was increased by $5.1 million, to $35.1 million from $30.0 million, to purchase additional collateral to achieve a target par threshold of $400.0 million. 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 notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Dryden 112 CLO Ltd./Dryden 112 CLO LLC Class A-R, $248.0 million: AAA (sf) Class B-R, $56.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-R (deferrable), $24.0 million: BBB- (sf) Class E-R (deferrable), $15.8 million: BB- (sf) Subordinated notes, $35.1 million: Not rated DRYDEN 112: S&P Assigns Prelim BB- (sf) Ratings on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Dryden 112 CLO Ltd./Dryden 112 CLO LLC, a CLO originally issued in August 2022 that S&P Global Ratings did not previously rate and that is managed by PGIM Inc. There will not be a replacement class F notes in the refinanced transaction. The preliminary ratings are based on information as of Nov. 13, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Nov. 15, 2023, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. At that time, S&P expects to assign ratings to the replacement notes. However, if the refinancing doesn't occur, it may withdraw its preliminary ratings on the replacement notes. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The transaction will be collateralized by at least 92.50% senior secured loans, cash, and eligible investments, with a minimum of 80.00% of the loan borrowers required to be based in the U.S. -- Of the identified underlying collateral obligations, 99.87% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 92.32% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. -- The replacement class A-R, B-R, C-R, D-R, and E-R notes are expected to be issued at a lower spread over three-month CME term SOFR than the original notes. -- There will not be a replacement class F notes in the refinanced transaction. -- The non-call date and stated maturity will be extended by approximately 2.25 years. -- The subordinated notes par balance will be increased by $5.1 million from $30.0 million to $35.1 million to purchase additional collateral to achieve a target par threshold of $400.0 million. 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 notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Dryden 112 CLO Ltd./Dryden 112 CLO LLC Class A-R, $248.0 million: AAA (sf) Class B-R, $56.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-R (deferrable), $24.0 million: BBB- (sf) Class E-R (deferrable), $15.8 million: BB- (sf) Subordinated notes, $35.1 million: Not rated ELEVATION CLO 2023-17: S&P Assigns Prelim 'BB-' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elevation CLO 2023-17 Ltd./Elevation CLO 2013-17 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 ArrowMark Colorado Holdings LLC. The preliminary ratings are based on information as of Nov. 13, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elevation CLO 2023-17 Ltd./Elevation CLO 2013-17 LLC Class X, $1.50 million: AAA (sf) Class A-1, $210.00 million: AAA (sf) Class A-2, $14.00 million: AAA (sf) Class B, $42.00 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D (deferrable), $19.25 million: BBB- (sf) Class E (deferrable), $11.38 million: BB- (sf) Subordinated notes, $30.10 million: Not rated ELMWOOD CLO 24: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 24 Ltd./Elmwood CLO 24 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 Elmwood Asset Management LLC. The preliminary ratings are based on information as of Nov. 15, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC Class A-1, $320.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $50.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $19.25 million: BB- (sf) Subordinated notes, $42.00 million: Not rated EXETER AUTOMOBILE 2023-5: Fitch Assigns BBsf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Exeter Automobile Receivables Trust (EART) 2023-5. Entity/Debt Rating Prior ----------- ------ ----- Exeter Automobile Receivables Trust 2023-5 A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 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 BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance - Subprime Credit Quality: EART 2023-5 is backed by collateral with subprime credit attributes, including a weighted average (WA) FICO score of 576, a WA loan-to-value (LTV) ratio of 113.53% and WA APR of 22.35%. In addition, 97.59% of the pool is backed by used vehicles and the WA payment-to-income (PTI) ratio is 11.97%. The pool is consistent with recent EART series. Forward-Looking Approach to Derive Rating Case Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions to derive the series loss proxy. Although recessionary performance data from Exeter are not available, the initial rating case cumulative net loss (CNL) proxy was derived utilizing 2006-2009 data from Santander Consumer — as proxy recessionary static-managed portfolio data — and 2016-2017 vintage data from Exeter to arrive at a forward-looking rating case CNL proxy of 20.00%. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 19.00%, based on Fitch's Global Economic Outlook, recent securitization performance, and revisions to eligible collateral requirements. Payment Structure — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) levels are 60.35%, 44.60%, 30.65%, 17.60% and 8.60% for classes A, B, C, D and E, respectively. The class A, B, C, D and E CE levels are down from the prior 2023 transaction CE levels. Excess spread is expected to be 11.94%, up from 11.29% per annum in 2023-4. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 20.00%. Seller/Servicer Operational Review — Adequate Origination/Underwriting/Servicing: Exeter demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch does not rate Exeter but deems the company as capable to service this transaction. In addition, Citibank, N.A., rated 'A+'/Stable/'F1', has been contracted as backup servicer for this transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Additionally, Fitch conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected subordinate note ratings could be upgraded by up to one category. ESG CONSIDERATIONS The concentration of electric and hybrid vehicles in the pool is low and did not have an impact on Fitch's ratings analysis or conclusion on this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FANNIE MAE 2023-R08: S&P Assigns Prelim 'BB' Rating on 1B-1X Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fannie Mae Connecticut Avenue Securities Trust 2023-R08's notes. The note issuance is a residential mortgage-backed security (RMBS) transaction backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, manufactured housing, and cooperatives to primarily prime borrowers. The preliminary ratings are based on information as of Nov. 14, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics. -- The real estate mortgage investment conduit (REMIC) structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses. -- The issuer's aggregation experience and the alignment of interests between the issuer and the noteholders in the transaction's performance, which S&P believes enhance the notes' strength. -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying R&W framework. -- The potential impact that current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On Sept. 25, 2023, we updated our market outlook as it relates to the 'B' projected archetypal loss level, and therefore revised and lowered our 'B' foreclosure frequency to 2.50% from 3.25%, which reflects the level prior to April 2020, preceding the COVID-19 pandemic. The update reflects our benign view of the mortgage and housing market as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting." Preliminary Ratings Assigned Fannie Mae Connecticut Avenue Securities Trust 2023-R08 Class 1A-H(i), $17,879,540,420: NR Class 1M-1, $278,010,000: A- (sf) Class 1M-1H(i), $14,632,953: NR Class 1M-2A(ii), $68,755,000: BBB+ (sf) Class 1M-AH(i), $3,619,064: NR Class 1M-2B(ii), $68,755,000: BBB+ (sf) Class 1M-BH(i), $3,619,064: NR Class 1M-2C(ii), $68,755,000: BBB (sf) Class 1M-CH(i), $3,619,064: NR Class 1M-2(ii), $206,265,000: BBB (sf) Class 1B-1A(ii), $44,604,000: BB+ (sf) Class 1B-AH(i), $54,517,000: NR Class 1B-1B(ii), $44,604,000: BB (sf) Class 1B-BH(i), $54,517,000: NR Class 1B-1(ii), $89,208,000: BB (sf) Class 1B-2H(i), $103,841,048: NR Class 1B-3H(i), $188,801,905: NR Related combinable and recombinable notes exchangeable classes (iii) Class 1E-A1, $68,755,000: BBB+ (sf) Class 1A-I1, $68,755,000(iv): BBB+ (sf) Class 1E-A2, $68,755,000: BBB+ (sf) Class 1A-I2, $68,755,000(iv): BBB+ (sf) Class 1E-A3, $68,755,000: BBB+ (sf) Class 1A-I3, $68,755,000(iv): BBB+ (sf) Class 1E-A4, $68,755,000: BBB+ (sf) Class 1A-I4, $68,755,000(iv): BBB+ (sf) Class 1E-B1, $68,755,000: BBB+ (sf) Class 1B-I1, $68,755,000(iv): BBB+ (sf) Class 1E-B2, $68,755,000: BBB+ (sf) Class 1B-I2, $68,755,000(iv): BBB+ (sf) Class 1E-B3, $68,755,000: BBB+ (sf) Class 1B-I3, $68,755,000(iv): BBB+ (sf) Class 1E-B4, $68,755,000: BBB+ (sf) Class 1B-I4, $68,755,000(iv): BBB+ (sf) Class 1E-C1, $68,755,000: BBB (sf) Class 1C-I1, $68,755,000(iv): BBB (sf) Class 1E-C2, $68,755,000: BBB (sf) Class 1C-I2, $68,755,000(iv): BBB (sf) Class 1E-C3, $68,755,000: BBB (sf) Class 1C-I3, $68,755,000(iv): BBB (sf) Class 1E-C4, $68,755,000: BBB (sf) Class 1C-I4, $68,755,000(iv): BBB (sf) Class 1E-D1, $137,510,000: BBB+ (sf) Class 1E-D2, $137,510,000: BBB+ (sf) Class 1E-D3, $137,510,000: BBB+ (sf) Class 1E-D4, $137,510,000: BBB+ (sf) Class 1E-D5, $137,510,000: BBB+ (sf) Class 1E-F1, $137,510,000: BBB (sf) Class 1E-F2, $137,510,000: BBB (sf) Class 1E-F3, $137,510,000: BBB (sf) Class 1E-F4, $137,510,000: BBB (sf) Class 1E-F5, $137,510,000: BBB (sf) Class 1-X1, $137,510,000(iv): BBB+ (sf) Class 1-X2, $137,510,000(iv): BBB+ (sf) Class 1-X3, $137,510,000(iv): BBB+ (sf) Class 1-X4, $137,510,000(iv): BBB+ (sf) Class 1-Y1, $137,510,000(iv): BBB (sf) Class 1-Y2, $137,510,000(iv): BBB (sf) Class 1-Y3, $137,510,000(iv): BBB (sf) Class 1-Y4, $137,510,000(iv): BBB (sf) Class 1-J1, $68,755,000: BBB (sf) Class 1-J2, $68,755,000: BBB (sf) Class 1-J3, $68,755,000: BBB (sf) Class 1-J4, $68,755,000: BBB (sf) Class 1-K1, $137,510,000: BBB (sf) Class 1-K2, $137,510,000: BBB (sf) Class 1-K3, $137,510,000: BBB (sf) Class 1-K4, $137,510,000: BBB (sf) Class 1M-2Y, $206,265,000: BBB (sf) Class 1M-2X, $206,265,000(iv): BBB (sf) Class 1B-1Y, $89,208,000: BB (sf) Class 1B-1X, $89,208,000(iv): BB (sf) (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The class 1M-2 noteholders may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes and vice versa. The class 1B-1 noteholders may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes and vice versa. The class 1M-2A, 1M-2B, 1M-2C, 1B-1A, and 1B-1B noteholders may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. (iii)See the offering documents for more detail on possible combinations. (iv)Notional amount. NR--Not rated. FLAGSHIP CREDIT 2021-2: S&P Affirms BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on 20 classes from 12 Flagship Credit Auto Trust transactions. At the same time, S&P affirmed its ratings on 14 classes from the same transactions. These are ABS transactions backed by subprime retail automobile loan receivables. The transactions under this review cover series 2018-3 through 2021-2. On Nov. 6, 2023, S&P puts 11 classes from series 2021-3 through 2022-4 on CreditWatch with negative implications. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for each transaction, the transactions' structures, and their credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including S&P's most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes each notes' creditworthiness is consistent with the raised and affirmed ratings. Table 1 Collateral performance (%)(i) Pool Current 60-plus-day Series Mo. factor CNL delinq. 2018-3 62 7.34 10.03 11.05 2018-4 59 8.46 10.51 10.46 2019-1 56 10.33 10.03 9.78 2019-2 53 12.20 9.06 11.97 2019-3 50 14.39 8.83 10.71 2019-4 47 15.96 8.10 9.51 2020-1 44 17.13 6.80 9.16 2020-2 41 18.16 5.59 8.99 2020-3 38 22.14 5.67 7.89 2020-4 35 23.99 5.14 8.62 2021-1 32 27.15 4.85 8.13 2021-2 29 33.42 5.54 8.23 (i)As of the September 2023 collection period. Mo.--Month. CNL--Cumulative net loss. Delinq.—Delinquencies. Table 2 CNL expectations (%)(i) Original Former Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(ii) CNL exp. 2018-3 12.50-13.00 10.75-11.25 up to 10.60 2018-4 12.25-12.75 10.75-11.25 11.25 2019-1 12.25-12.75 10.50-11.00 11.25 2019-2 12.25-12.75 10.00-10.50 10.50 2019-3 12.25-12.75 10.00-10.50 10.60 2019-4 12.00-12.50 9.25-9.75 10.00 2020-1 12.00-12.50 9.25-9.75 8.75 2020-2 14.00-14.50 9.25-9.75 7.75 2020-3 14.00-14.50 9.25-9.75 8.75 2020-4 13.25-13.75 9.00-9.50 8.50 2021-1 13.00-13.50 9.00-9.50 8.75 2021-2 11.50-12.00 10.50-11.00 10.25 (i)As of the September 2023 collection period. (ii)Series were last reviewed in September 2022. CNL exp.--Cumulative net loss expectation. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority; that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. As of the September 2023 collection period, with the exception of series 2018-3 through 2020-1, each transaction is at its specified target overcollateralization level and all of the transactions are at their specified reserve levels. The raised and affirmed ratings reflect our view that the total credit support, as a percentage of the amortizing pool balance as of the collection period ended Sept. 30, 2023, compared with our expected remaining losses, is commensurate with each rating. Table 3 Hard credit support (%)(i) Total hard Current total hard credit support credit support Series Class at issuance(ii) (% of current)(ii) 2018-3 D 9.00 112.42 2018-3 E 3.25 34.05 2018-4 D 8.55 101.68 2018-4 E 1.85 22.50 2019-1 D 8.55 83.55 2019-1 E 1.85 18.65 2019-2 D 7.60 63.48 2019-2 E 1.85 16.33 2019-3 D 7.45 53.09 2019-3 E 1.75 13.48 2019-4 C 15.50 100.10 2019-4 D 6.50 43.70 2019-4 E 1.50 12.37 2020-1 C 15.20 91.51 2020-1 D 6.20 38.98 2020-1 E 1.50 11.55 2020-2 C 24.05 108.69 2020-2 D 15.25 60.23 2020-2 E 8.60 23.61 2020-3 C 16.20 60.37 2020-3 D 11.00 36.89 2020-3 E 6.50 16.57 2020-4 C 15.90 60.90 2020-4 D 8.90 31.73 2020-4 E 4.75 14.42 2021-1 B 27.45 97.54 2021-1 C 15.65 54.08 2021-1 D 8.85 29.04 2021-1 E 4.75 13.93 2021-2 A 33.80 102.46 2021-2 B 24.90 75.83 2021-2 C 13.60 42.01 2021-2 D 6.85 21.81 2021-2 E 2.85 9.84 (i)As of the September 2023 collection period. (ii)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "Based on our revised CNL range, we incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNL for those classes where hard credit enhancement alone, without credit to the expected excess spread, was sufficient, in our view, to support the rating actions. For other classes, we incorporated a cash flow analysis to assess the loss coverage level and liquidity risks related to payment of timely interest and full principal by legal final maturity, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given the transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted a base-case analysis to assess the expected loss coverage levels over time and sensitivity analyses for the series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at the current rating levels. "We will continue to monitor the performance of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Flagship Credit Auto Trust Rating Series Class To From 2018-3 E AAA (sf) BBB (sf) 2018-4 E A (sf) BBB (sf) 2019-1 E BBB- (sf) BB+ (sf) 2019-2 D AAA (sf) AA- (sf) 2019-2 E BBB- (sf) BB (sf) 2019-3 D AAA (sf) AA- (sf) 2019-4 D AAA (sf) A+ (sf) 2020-1 D AA+ (sf) BBB+ (sf) 2020-1 E BB (sf) BB- (sf) 2020-2 D AAA (sf) A+ (sf) 2020-2 E A- (sf) BB+ (sf) 2020-3 C AAA (sf) AA- (sf) 2020-3 D AA (sf) A- (sf) 2020-3 E BBB- (sf) BB+ (sf) 2020-4 C AAA (sf) AA (sf) 2020-4 D A+ (sf) A- (sf) 2021-1 C AAA (sf) AA (sf) 2021-1 D A+ (sf) A- (sf) 2021-2 C AA+ (sf) A+ (sf) 2021-2 D A- (sf) BBB+ (sf) RATINGS AFFIRMED Flagship Credit Auto Trust Series Class Rating 2018-3 D AAA (sf) 2018-4 D AAA (sf) 2019-1 D AAA (sf) 2019-3 E BB+ (sf) 2019-4 C AAA (sf) 2019-4 E BB+ (sf) 2020-1 C AAA (sf) 2020-2 C AAA (sf) 2020-4 E BB+ (sf) 2021-1 B AAA (sf) 2021-1 E BBB- (sf) 2021-2 A AAA (sf) 2021-2 B AAA (sf) 2021-2 E BB (sf) FLAGSTAR MORTGAGE 2021-5INV: Moody's Ups B-5 Certs Rating to B2 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 27 bonds from three US residential mortgage-backed transactions (RMBS), backed by GSE eligible first-lien investment property mortgage loans. Complete rating actions are as follows: Issuer: Flagstar Mortgage Trust 2021-5INV Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jun 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Jun 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Jun 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jun 29, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jun 29, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jun 29, 2021 Definitive Rating Assigned B3 (sf) Issuer: Flagstar Mortgage Trust 2021-6INV Cl. B-1, Upgraded to Aa2 (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jul 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Jul 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Jul 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jul 29, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jul 29, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jul 29, 2021 Definitive Rating Assigned B2 (sf) Issuer: Flagstar Mortgage Trust 2021-8INV Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Aug 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Aug 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Aug 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Aug 29, 2021 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 29, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 29, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 29, 2021 Definitive Rating Assigned B2 (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. FORTRESS CREDIT VIII: S&P Assigns BB-(sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fortress Credit Opportunities VIII CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by FCOO CLO Management LLC, a subsidiary of Fortress Credit Funds. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Relevant features of the transaction and S&P's ratings that differ from a typical CLO include that: -- The rating on the class A-1R loans addresses only the full and timely payment of principal and the base interest amount, which includes the stated interest rate on the funded amounts and any commitment fee due on the undrawn commitment. It does not include any capped amounts. -- The rating on the class A-1R loans addresses only the full and timely payment of principal and the base interest amount, which includes the stated interest rate on the funded amounts and any commitment fee due on the undrawn commitment. It does not include any capped amounts. -- The ratings do not reflect the payment of any increased costs on the class A-1R loans, which are additional payments, based on changes in law, made to the lender. The costs may not be predictable or quantifiable. Increased cost payments are subordinate to principal and interest distributions on the rated notes in the payment waterfall and, therefore, do not affect scheduled distributions to the rated notes. -- Class A-1R is a variable-funding note (VFN) that can be drawn on to fund revolving or delayed draw obligations and to purchase new collateral obligations during the reinvestment period. The VFN can also be repaid. If our short-term issuer credit rating on the class A-1R loan holder falls below 'A-1', the loan holder must fully fund its unfunded commitment for the CLO's benefit. S&P modeled the A-1R revolving tranche as both fully funded and fully unfunded. -- There is no concentration limit on 'CCC' rated assets, but a haircut is taken in the overcollateralization test if they exceed 30.0% of the pool. The transaction structure passed S&P's cash flow analysis, assuming a sensitivity of 92.5% exposure to 'CCC' rated assets. Ratings Assigned Fortress Credit Opportunities VIII CLO LLC Class A-1R loans(i)(ii), $54.0 million: AAA (sf) Class A-1T, $108.0 million: AAA (sf) Class A-2, $7.5 million: AAA (sf) Class B, $13.5 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $18.0 million: BB- (sf) Subordinated notes, $50.7 million: Not rated (i)Revolving loan tranche. (ii)The rating on the class A-1R loans addresses only the full and timely payment of principal and the base interest amount, and it does not consider any capped amounts. GLS AUTO 2023-4: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to GLS Auto Receivables Issuer Trust 2023-4's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 56.36%, 47.81%, 37.70%, 28.19%, and 22.88% of credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1 and A-2, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.55x, and 1.27x S&P's 17.50% expected cumulative net loss (ECNL) for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB- (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Global Lending Services LLC, as servicer, and its view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. S&P's ECNL for GCAR 2023-4 is 17.50%, which is unchanged from GCAR 2023-3. It reflects: -- GCAR's more recent outstanding series, particularly series 2021-3 through 2023-1, which are showing signs of performance deterioration with higher losses and delinquencies, and lower recovery rates compared with the more seasoned transactions; -- S&P's view that GCAR 2023-4's collateral characteristics are comparable to those of GCAR 2023-3; and -- S&P's forward-looking view of the auto finance sector, including its outlook for a shallower and more attenuated economic slowdown in 2023 and lower recovery rates. Ratings Assigned GLS Auto Receivables Issuer Trust 2023-4 Class A-1, $58.50 million: A-1+ (sf) Class A-2, $126.00 million: AAA (sf) Class A-3, $41.50 million: AAA (sf) Class B, $68.99 million: AA (sf) Class C, $63.80 million: A (sf) Class D, $65.03 million: BBB- (sf) Class E, $45.25 million: BB- (sf) GS MORTGAGE 2018-SRP5: S&P Lowers Class B Certs Rating to B- (sf) ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2018-SRP5, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on three other classes from the same transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a floating-rate, interest-only (IO) mortgage loan secured by the borrowers' fee simple and/or leasehold interests in five enclosed regional malls totaling 5.9 million sq. ft. (of which, 3.7 million sq. ft. is collateral) located in California, Ohio, and Washington. Rating Actions The downgrades on the class A and B certificates reflect: -- S&P's revised valuation of the mall portfolio, which is lower than the aggregated valuation we derived in its last review, in July 2022, due primarily to lower-than-expected ongoing net cash flows (NCFs) at the underlying retail mall properties; -- S&P's belief that the borrowers will likely experience difficulty refinancing the mortgage loan at its extended maturity date in December 2025, based on the most recent available performance data, a sub-1.00x reported debt service coverage (DSC) ratio, and adverse market conditions. -- S&P said, "Our current property-level analysis considered the continued decline in the portfolio's performance and reported occupancy; therefore, we have lowered our long-term sustainable NCF further by 19.3% to $36.0 million from $44.6 million in our last review. Using a 10.30% S&P Global Ratings capitalization rate (comparable to the one we utilized at our prior review), we derived our expected-case value of $349.3 million. This is 17.5% lower than the value derived at our last review of $423.2 million and 37.8% below the most recent November 2022 appraisal value of $561.6 million. This yielded an S&P Global Ratings' loan-to-value ratio of 139.9% on the whole loan balance." Although the model-indicated ratings are lower than the revised ratings on classes A and B, S&P tempered its downgrades on these classes because S&P weighed certain qualitative considerations. These included: -- The potential that the property's operating performance could improve above our revised expectations; -- The $16.2 million in outstanding reserves as of the October 2023 remittance report, that could be used to help re-tenant the properties or pay down loan principal; -- The temporary liquidity support provided in the form of servicer advancing; and -- The relative position of the classes in the waterfall. S&P said, "The affirmations on classes C and D at 'CCC (sf)' reflect our view that these classes continue to be susceptible to reduced liquidity support, and that the risk of default and loss remains elevated based on our revised lower expected-case values, as well as these classes' relative position in the payment waterfall. "The affirmation on the class X-NCP certificates reflects our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. Class X-NCP's notional balance references the classes A, B, C, and D certificates." Property-Level Analysis S&P said, "Our property-level analysis considered the portfolio's overall trend of decreasing occupancy and servicer-reported NCF. Servicer-reported NCF fell 5.8% in 2019, and 47.6% in 2020 because of the COVID-19 pandemic. In 2021, while NCF performance subsequently rebounded by 18.7%, which was driven primarily by lower operating expenses, overall effective gross income (EGI) continued to decrease. NCF declined again by 24.1% in 2022 and performance for the six months ended June 2023 is 7.8% lower than the equivalent prior in 2022. In addition, the servicer has reported declining occupancy recently, which dropped to 85.7% as of June 2023, down from 91.3% in 2021 and 92.1% in 2022. We have also considered the increasing trend of retail tenant bankruptcies and store closures; and therefore, increased our lost rent assumptions and excluded income from those tenants no longer listed on the respective mall directory websites. Consequently, we derived an overall sustainable NCF of $36.0 million (down 19.3% from our last review)." Five Regional Malls Plaza West Covina ($135.7 million current allocated loan amount [ALA]) Plaza West Covina is a 1.2 million-sq.-ft. (of which, 667,814 sq. ft. is collateral) regional mall in West Covina (Los Angeles), Calif., anchored by J.C. Penney (210,274 sq. ft.; noncollateral), Macy's (180,000 sq. ft.; noncollateral), and an anchor space formerly occupied by Sears (137,820 sq. ft.; noncollateral). According to the servicer's most recent reporting, the collateral was 89.5% occupied as of June 2023, up from the servicer-reported 87.7% reported occupancy rate in 2022. The servicer has generally reported declining occupancy at the property over time: 95.6% in 2019, 93.0% in 2020 and 88.2% in 2021. In addition to the overall declining trend in occupancy, the servicer reported that NCF declined by 7.5% to $16.1 million in 2019 from $17.4 million in 2018. NCF continued to materially decline by 44.2% to $9.0 million in 2020. Operating performance did recover in 2021, as NCF increased by 26.9% to $11.4 million, mainly due to lower reported operating expenses. However, reported NCF continued to fall by 16.0% to $9.6 million in 2022 because of both modestly higher operating expenses and modestly higher EGI for the year relative to 2021. The reported NCF of $4.2 million for the six months ended June 2023 is also 10.0% lower than the $4.6 million reported for the comparable period in 2022. According to the June 2023 rent roll, the five largest tenants comprised 27.0% of the collateral net rentable area (NRA). In addition, the collateral NRA includes leases that expire in 2023 (15.3%), 2024 (21.3%), and 2025 (20.9%). Notably, Forever 21's lease (5.1% of NRA; pays percentage-in-lieu of rent) expired in January 2023, but the tenant remains on the mall's online directory. Franklin Park Mall ($112.4 million ALA) Franklin Park is a 1.3 million-sq.-ft. (of which, 705,503 sq. ft. is collateral) regional mall in Toledo, Ohio, anchored by J.C. Penney (222,990 sq. ft.; noncollateral), Dillard's (192,182 sq. ft.; noncollateral), Macy's (186,621 sq. ft.; noncollateral), Cinemark (83,443 sq. ft.), and Dick's Sporting Goods (75,000 sq. ft.). According to the servicer's most recent reporting, the collateral was 91.4% occupied as of June 2023. Overall, occupancy at the property has remained stable over time, with a reported occupancy of 92.1% in 2019, 89.0% in 2020, 91.8% in 2021 and 92.3% in 2022. Though occupancy has remained generally stable, both expense reimbursements and average in-place rents have fallen at the property, which has resulted in a declining trend in reported NCF. The servicer reported NCF of $14.9 million in 2019, up 8.0% from the reported $13.8 million in 2018. However, reported NCF declined 55.8% to $6.6 million in 2020, before rebounding 46.9% to $9.7 million in 2021, due to lower operating expenses. NCF then fell again by 36.2% in 2022 to $6.2 million in NCF. NCF performance for the six months ended June 2023 was $3.6 million, which is 13.2% below the $4.2 million reported for the comparable period in 2022. According to the June 2023 rent roll, the five largest tenants made up 34.4% of the collateral NRA. In addition, the collateral NRA includes leases that expire in 2023 (7.5%), 2024 (18.0%), and 2025 (22.2%). Notably, Forever 21's lease (3.0% of NRA; pays percentage-in-lieu rent) had an expiration of January 2023. Notable collateral tenants with upcoming lease expirations include DSW Shoe Warehouse (2.0% of NRA, January 2024 lease expiration), Express (1.5%, January 2024) and Victoria's Secret (1.5%, January 2024). In addition, Dillard's, a noncollateral anchor tenant, also has its lease to expire in January 2024. All five of the above-mentioned tenants are still on the mall's online directory. Parkway Plaza (104.1 million ALA) Parkway Plaza is a 1.3 million-sq.-ft. (of which, 944,728 sq. ft. is collateral) regional mall in El Cajon (San Diego), Calif., anchored by Walmart (160,000 sq. ft.), J.C. Penney (153,047 sq. ft.; ground leased), and a vacant anchor space formerly occupied by Macy's (115,612 sq. ft.; noncollateral). There is also an anchor space (255,622 sq. ft.; noncollateral), that was formerly occupied by Sears that has Ashley Homestore, Bob's Discount Furniture, Burlington, and ExtraSpace Storage as current tenants. The servicer reported a 75.1% occupancy rate as of June 2023, though we believe this may be inclusive of non-collateral anchor space. Previously, the servicer reported generally stable-to-modestly-declining occupancy at the property of 96.9% in 2019, 94.9% in 2020, 93.3% in 2021, and 93.8% in 2022. Though occupancy has remained generally stable, both expense reimbursements and average in-place rents have fallen at the property over time, which has generally resulted in a declining trend in reported NCF. The servicer reported NCF of $12.9 million in 2019, which is 10.2% lower than the $14.3 million reported in 2018. NCF then declined 41.8% to $7.5 million in 2020, remained flat in 2021, and declined 21.9% to $5.9 million in 2022. Notably, reported NCF for the six months ended June 2023 of $3.6 million was 35.4% higher than the $2.7 million reported in the comparable period for June 2022. This was driven by higher expense reimbursement income, parking income, and other income relative to the same period in 2022. According to the June 2023 rent roll, the five largest tenants made up 43.3% of the collateral NRA. In addition, there is notably high rollover risk for this property because leases that expire in 2023 (22.9%), 2024 (28.1%), and 2025 (9.9%) amounts to almost 61.0% of the NRA. Notably, Walmart (19.9% of NRA) has an upcoming lease expiration in October 2024. Forever 21's lease (3.0% of NRA; pays percentage-in-lieu rent) had an expiration of January 2023, Regal Cinemas (10.6%) had a lease expiration in October 2023, and Comics N Stuff (2.2%) had a lease expiration in July 2023. All four of the above-mentioned tenants are still on the mall's online directory. Capital Mall ($80.7 million ALA) Capital Mall is an 804,065-sq.-ft. regional mall in Olympia, Wash., anchored by Macy's (113,190 sq. ft.; ground leased), J.C. Penney (93,481 sq. ft.; ground leased), Dick's Sporting Goods (51,060 sq. ft.), and Cinemark (45,171 sq. ft.). The servicer reported a 92.6% occupancy rate as of June 2023. Overall, the servicer has reported generally stable occupancy at the property of 93.2% in 2019, 93.6% in 2020, 92.1% in 2021, and 94.1% in 2022. Though occupancy has remained generally stable, expense reimbursement income has generally fallen at the property over time despite higher operating expenses, which has generally resulted in a declining trend in reported NCF. The servicer reported NCF of $8.1 million in 2019, which is 22.5% lower than the $10.4 million reported in 2018. NCF then declined 28.7% to $5.8 million in 2020, fell another 44.4% to $3.2 million in 2021, and rebounded 17.5% to $3.8 million in 2022. The reported NCF for the six months ended June 2023 of $1.7 million was 8.2% lower than the $1.8 million reported in the comparable period for June 2022, because of modestly lower rental income and other income. According to the June 2023 rent roll, the five largest tenants made up 36.9% of the collateral NRA. In addition, near-term rollover risk is of concern with 10.6% of leases rolling in 2023 and 20.1% rolling in 2024. Notably, Total Wine and More's lease (3.8% of NRA) had an expiration date of July 31, 2023, and is extending to July 2028. Also, Best Buy (6.2% of NRA) has an upcoming lease expiration in January 2024. Two of the ground-leased anchor tenants, J.C. Penney and Macy's, also had upcoming lease expirations in early 2024, but have extended to March 2029 and February 2029, respectively. Great Northern Mall ($55.8 million ALA) Great Northern Mall is a 1.2 million-sq.-ft. (606,933 sq. ft. is collateral) regional mall in North Olmstead (Cleveland), Ohio, anchored by Macy's (238,261 sq. ft.; noncollateral), Dillard's (214,653 sq. ft.; noncollateral), J.C. Penney (165,428 sq. ft.; ground leased) Dick's Sporting Goods (84,000 sq. ft.) and a vacant anchor box formerly occupied by Sears (179,624 sq. ft.; noncollateral). The theater tenant at the property, Regal Cinemas (43,955 sq. ft., 7.2% of NRA), closed in January 2023. The servicer reported an 83.0% occupancy rate as of June 2023. Even before Regal Cinemas vacated, the servicer has reported moderately declining occupancy overall at the property of 95.3% in 2019, 94.5% in 2020, 90.8% in 2021, and 91.5% in 2022. The servicer has also reported declining NCF performance at the property. The servicer reported that NCF increased 5.3% to $7.5 million in 2019 from $7.2 million in 2018, then declined 68.7% to $2.4 million in 2020, but increased 119.5% in to $5.2 million in 2021 as a result of lower operating expenses. However, performance continued to decline and NCF fell 47.9% in 2022 to $2.7 million. Reported NCF for the six months ended June 2023 was reported as $1.4 million, which is 42.5% lower than what was reported in the comparable period for 2022, driven by lower rental, expense reimbursement, and percentage rent income. According to the June 2023 rent roll, the five largest tenants made up 34.7% of the collateral NRA. In addition, the property faces elevated rollover risk in 2023 (12.4%), 2024 (18.5%), and 2025 (27.8%). Two of the above-mentioned anchor tenants, Dicks Sporting Goods and J.C. Penney (ground-leased), have upcoming lease expirations in January 2025 and March 2024, respectively. Additionally, Forever 21 (3.3% of NRA) and All Star Elite (2.8%) have leases that expired in January 2023 and August 2023, respectively. These four tenants are all still on the mall's online directory. Transaction Overview According to the Oct. 16, 2023, trustee remittance report, the IO mortgage loan has a trust balance and whole loan balance of $488.7 million, down from $549.0 million at issuance. The loan was converted to SOFR from LIBOR and now pays a per annum floating rate at a weighted average spread of 2.947% over SOFR, and currently matures on Dec. 9, 2025. The sponsors purchased an interest rate protection agreement from SMBC Capital Markets Inc., with SMBC Derivative Products Ltd. as the guarantor, at a 4.75% strike rate that expires in August 2024. At issuance, there was $252.8 million of unsecured subordinate debt funded via a public bond offering in Israel, which was also backed by the collateral. The prior sponsor for the transaction, Starwood, had previously defaulted on the public bond offering, resulting in an auction of the properties to Pacific Retail Capital Partners and Golden East Investors. The trust mortgage loan is not cross-defaulted to the public bond and it is our understanding that the debt is still outstanding. According to the master servicer, the loan was previously transferred to special servicing on June 3, 2020, as a result of imminent monetary default and because the borrowers requested COVID-19 forbearance relief. The loan was later modified on July 26, 2021, and was returned to the master servicer as a corrected mortgage loan on Jan. 14, 2022. Currently, the loan remains on the servicer's watchlist given the ongoing cash sweep and low DSC. The master servicer, Wells Fargo Bank N.A., reported DSC of 0.76x for the six months ended June 2023, compared with 1.27x in full-year 2022 and 1.42x in 2021 full-year. To date, the trust has not incurred any principal losses. Ratings Lowered GS Mortgage Securities Corp. Trust 2018-SRP5 Class A: to BB-(sf) from BBB- (sf) Class B: to B- (sf) from BB- (sf) Ratings Affirmed GS Mortgage Securities Corp. Trust 2018-SRP5 Class C: CCC (sf) Class D: CCC (sf) Class X-NCP: CCC (sf) GS MORTGAGE 2021-PJ10: Moody's Ups Rating on Cl. B-5 Certs to B2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 43 bonds from five US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. Complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-PJ10 Cl. A-3, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Oct 29, 2021 Definitive Rating Assigned B3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-PJ9 Cl. A-3, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ3 Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 31, 2022 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Mar 31, 2022 Definitive Rating Assigned A1 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Mar 31, 2022 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Mar 31, 2022 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Mar 31, 2022 Definitive Rating Assigned B3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ4 Cl. A-1-X*, Upgraded to Aaa (sf); previously on May 2, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-34, Upgraded to Aaa (sf); previously on May 2, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-34-X*, Upgraded to Aaa (sf); previously on May 2, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-35, Upgraded to Aaa (sf); previously on May 2, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-36, Upgraded to Aaa (sf); previously on May 2, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X*, Upgraded to Aaa (sf); previously on May 2, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on May 2, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on May 2, 2022 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on May 2, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on May 2, 2022 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on May 2, 2022 Definitive Rating Assigned B3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ5 Cl. B-1, Upgraded to Aa2 (sf); previously on May 31, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on May 31, 2022 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on May 31, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on May 31, 2022 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on May 31, 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. GS MORTGAGE 2023-PJ6: Fitch Gives B-(EXP) Rating on Cl. B-5 Certs ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2023-PJ6 (GSMBS 2023-PJ6). Entity/Debt Rating ----------- ------ GSMBS 2023-PJ6 A-1 LT AA+(EXP)sf Expected Rating A-1-X LT AA+(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-16L LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-19-X LT AAA(EXP)sf Expected Rating A-2 LT AA+(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-21-X LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-22L LT AAA(EXP)sf Expected Rating A-23 LT AA+(EXP)sf Expected Rating A-23-X LT AA+(EXP)sf Expected Rating A-24 LT AA+(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-3A LT AAA(EXP)sf Expected Rating A-3L LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4A LT AAA(EXP)sf Expected Rating A-4L LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-X LT AA+(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is expected to close on Nov. 30, 2023. The notes are supported by 269 prime loans with a total balance of approximately $321 million as of the cutoff date. 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 3Q23). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 0.9% yoy nationally as of July 2023 despite modest regional declines but are still being supported by limited inventory. High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM), fully amortizing loans seasoned at approximately five months in aggregate (calculated as the difference between the cutoff date and origination date). The average loan balance is $1,192,758. The collateral comprises primarily prime-jumbo loans and 26 agency-conforming loans. Borrowers in this pool have strong credit profiles (a 766 model FICO) but lower than Fitch has observed for earlier vintage prime-jumbo securitizations. The sustainable loan to value ratio (sLTV) is 78.2%, and the mark-to-market (MTM) combined LTV ratio (CLTV) is 72.1%. Fitch treated 100% of the loans as full documentation collateral, and all the loans are qualified mortgages (QMs). Of the pool, 86.2% are loans for which the borrower maintains a primary residence, while 13.8% are for second homes. Additionally, 45.5% of the loans were originated through a retail channel. Expected losses in the 'AAAsf' stress amount to 8.75%, similar to those of prior issuances and other prime-jumbo shelves. Loan Concentration (Negative): Fitch adjusted the expected losses due to concentration concerns over small loan counts. Fitch increased the losses at the 'AAAsf' level by 111bps, due to the low loan count of 269, with a weighted average number (WAN) of 223. As a loan pool becomes more concentrated, the pool is at greater risk of experiencing defaults. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 3.45% of the original balance will be maintained for the senior notes and a subordination floor of 2.35% of the original balance will be maintained for the subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 39.7% 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 firms. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: - A 5% reduction to each loan's probability of default. This adjustment resulted in a 35bps reduction to the 'AAAsf' expected loss. 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. GSCG TRUST 2019-600C: S&P Lowers Class X Certs Rating to 'CCC(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from GSCG Trust 2019-600C, a U.S. CMBS transaction, and removed them from CreditWatch with negative implications. S&P said, "We had lowered and placed our ratings on these classes on CreditWatch with negative implications on Aug. 17, 2023, following higher in-place vacancy at the property as well as significant exposure to a going-concern qualified tenant, WeWork Inc., comprising 51.7% of net rentable area (NRA), that stopped paying rent in March 2023. While the tenant had proposed a lease restructure to reduce its footprint by 36,800 sq. ft., or 10.2% of NRA, and pay past-due rents, we had concerns about WeWork's viability and the continued increase in trust exposure because of servicer advances. The master servicer, Midland Loan Services, had advanced $4.7 million in interest, taxes, insurance, and other expenses at that time. "As part of resolving our CreditWatch placements, our analysis considered, among other factors, WeWork's revised proposal for a lease restructure and its bankruptcy filing that was recorded on Nov. 7, 2023. We also considered the potential for additional property protection advances that may be made prior to the resolution of the loan, including the impact on the ultimate liquidation amount and proceeds available to the certificate classes. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a five-year, fixed-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple interest in an office property at 600 California St. in San Francisco's Financial District office submarket. Rating Actions The downgrades on the class A, B, C, and D certificates reflect: -- S&P's assessment that, with WeWork's revised lease restructure proposal, its bankruptcy filing recorded on Nov. 7, 2023, and weakened office submarket conditions, there is more certainty that the property's occupancy and cash flow will decline on par with our revised assumptions from their current reported levels. WeWork revised its proposal to reduce a larger amount of space than it had originally proposed at the time of its last review in August 2023, and, contrary to its initial request, it also does not contemplate repaying past-due rent; -- S&P's expected-case valuation, which, while unchanged from its last review, is 40.5% lower than the valuation it derived at issuance due primarily to reported decreases in occupancy at the property along with its assumption that WeWork would downsize a portion of its leased space; -- S&P's belief that, due to weakened office submarket fundamentals, the borrower will face challenges re-tenanting vacant spaces in a timely manner; and -- S&P's concerns that the continued increase in total loan exposure due to a protracted resolution timeframe will likely yield reduced liquidity and recovery to the bondholders since servicer advances are paid senior per the transaction documents. As of the October 2023 payment period, the servicer advanced $6.1 million, up from $4.7 million in its last review. S&P said, "In our last review in August 2023, we noted that the loan had a 90-plus-days delinquent payment status because the largest tenant, WeWork (51.7% of NRA; rated 'SD' by S&P Global Ratings), had stopped paying rent in March 2023. WeWork initially proposed bringing past-due rent current in exchange for reducing its footprint at the property by 36,800 sq. ft., or 10.2% of NRA. At that time, WeWork's going-concern qualification raised doubts about its ability to stay in business. As a result, at that time, we revised and lowered our long-term sustainable net cash flow (NCF) to $9.2 million by assuming a 67.5% occupancy rate (reflecting the current office submarket metrics), $72.32-per-sq.-ft. base rent and $79.54-per-sq.-ft. gross rent as calculated by S&P Global Ratings, and a 45.0% operating expense ratio. Using a 7.75% S&P Global Ratings' capitalization rate, we arrived at an S&P Global Ratings' value of $118.3 million, or $329 per sq. ft." Since then, WeWork filed for chapter 11 bankruptcy protection and petitioned the court to permit it to reject several unexpired leases (including at six properties in the subject's immediate vicinity), recorded on Nov. 7, 2023. The WeWork lease at the subject property is not listed among the leases WeWork seeks to reject; however, it had submitted a revised proposal to reduce more space than it initially offered last month with no plans to repay past-due rent. As of the Sept. 1, 2023, rent roll, the property's reported in-place occupancy rate was unchanged from our August 2023 review's 77.5%. S&P said, "As a result, we maintained our NCF (which is 45.2% below the servicer-reported 2022 NCF of $16.7 million), capitalization rate, and valuation assumptions from our last review. Our S&P Global Ratings' value of $118.3 million is 35.4% lower than the updated April 2023 appraisal value of $183.0 million. This yielded an S&P Global Ratings' loan-to-value ratio of 202.9% on the trust balance." S&P said, "Specifically, we lowered our ratings on classes C and D to 'CCC (sf)' to reflect our view that, due to current market conditions and their positions in the payment waterfall, these classes are at heightened risk of default and loss and susceptible to liquidity interruption." The loan was transferred to the special servicer on March 24, 2023, due to payment default. The borrower has not made debt service payments since February 2023, and the master servicer has advanced $6.1 million in interest, taxes, insurance, and other expenses as of the Oct. 13, 2023, trustee remittance report. According to the October 2023 CRE Finance Council Investor Reporting Package reserve report, there is $5.5 million in various reserve accounts. The special servicer, Torchlight Loan Services LLC, stated that all cash flow at the property is currently being trapped. Per Torchlight, it is continuing discussions with the borrower on potential resolution options and dual-tracking foreclosure and receivership appointment. The downgrade on the class X IO certificates reflects S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X certificates references classes A, B, C, and D. Property-Level Analysis The loan collateral includes a 20-story, 359,154-sq.-ft., class A- LEED Gold certified office tower and a three-level, 200-space, subterranean parking garage at 600 California St. in San Francisco's Financial District office submarket. The office tower, built in 1991, includes 10,655 sq. ft. of ground-floor retail space, an 11th-floor terrace, an atrium lobby, and column-free floorplates. At issuance, the sponsors were a collection of funds and related entities comprised of several investors: Ivanhoe Cambridge Inc. and related entities (48.8% of beneficial ownership of the borrowers), a Eurasian sovereign wealth fund (29.1%), and other investors (22.1%). The funds are managed by ARK Capital Advisors LLC, an investment management vehicle held indirectly by WeCo (an affiliate of tenant WeWork) and Rhone Group. WeCo holds a 3.4% beneficial ownership of the borrowers, while Rhone Group holds 2.2%. The servicer, Midland Loan Services, reported a NCF of $16.7 million in 2022 and 2021. Based on the borrower's trailing-12-months ended Sept. 30, 2023, operating statements, the NCF was $18.0 million. WeWork ceased paying rent in March 2023 and is expected to downsize or vacate the property. As of the September 2023 rent roll, the property was 77.5% leased and the five largest tenants comprised 75.9% of the NRA and included: -- WeWork (51.7% of NRA; 70.3% of in place gross rent, as calculated by S&P Global Ratings; March 2035 lease expiration); -- Cardinia Real Estate LLC (11.6%, 13.2%, May 2025). According to CoStar, the tenant's space is currently marketed for sublease; -- Bridge Housing Corporation (5.8%, 7.7%, March 2024); -- International Training & Exchange Inc. (5.7%, 6.0%, December 2024); and -- Preferred Bank (1.0%, 1.2%, February 2027). According to CoStar, the Financial District office submarket continues to experience high vacancy levels and negative absorption due partly to changing office work preference that caused tenants to exit or downsize leases. As of year-to-date November 2023, the four- and five-star office properties in the Financial District submarket have a 29.2% vacancy rate, 33.2% availability rate, and $56.92-per-sq.-ft. asking rent, compared to a 7.2% vacancy rate and $79.68-per-sq.-ft. asking rent in 2019. CoStar projects vacancy to increase to 37.3% in 2024 and 41.8% in 2025 and asking rent to decrease to $50.95 per sq. ft. and $46.65 per sq. ft. for the same period. This compares with an in place 22.5% vacancy and $87.38-per-sq.-ft. gross rent, as calculated by S&P Global Ratings (using the Sept. 1, 2023, rent roll). Because the special servicer, Torchlight, reports that WeWork is seeking to give back additional space beyond the previously contemplated 36,800-sq.-ft. reduction and its recent bankruptcy filing, our current analysis assumes a vacancy rate approximately equal to the current availability rate of the property′s submarket. Transaction Summary The five-year, fixed-rate IO mortgage loan had an initial and current balance of $240.0 million (according to the Oct. 13, 2023, trustee remittance report), pays an annual fixed interest rate of 4.0%, and matures on Sept. 6, 2024. The loan has a reported 90-plus-days delinquent payment status. Based on the April 2023 appraisal value of $183.0 million, a $74.0 million appraisal reduction amount was in effect as of June 2023, resulting in a cumulative appraisal subordinate entitlement reduction amount of $1.3 million to date. The appraisal reduction amount and special servicing fees mainly caused classes E, F, G, and H (not rated by S&P Global Ratings) to experience interest shortfalls totaling $1.6 million for five consecutive months. There is no additional debt, and the trust has not incurred any principal losses to date. Ratings Lowered and Removed From CreditWatch Negative GSCG Trust 2019-600C Class A to 'BB+ (sf)' from 'AA (sf)/Watch Neg' Class B to 'B (sf)' from 'A (sf)/Watch Neg' Class C to 'CCC (sf)' from 'BB (sf)/Watch Neg' Class D to 'CCC (sf)' from 'B (sf)/Watch Neg' Class X to 'CCC (sf)' from 'B (sf)/Watch Neg' IMSCI 2016-7: DBRS Confirms B Rating on G Certs ----------------------------------------------- DBRS Limited upgraded its credit ratings on three classes of the Commercial Mortgage Pass-Through Certificates, Series 2016-7 issued by Institutional Mortgage Securities Canada Inc. (IMSCI) Series 2016-7 as follows: -- Class C to AA (sf) from A (high) (sf) -- Class X to AA (sf) from A (high) (sf) -- Class D to A (sf) from BBB (high) (sf) In addition, DBRS Morningstar confirmed its credit ratings on the following classes: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The credit rating upgrades reflect the significant principal paydown since the last review (nine loans; 21.5%) and the overall stable performance of the remaining collateral. Based on the September 2023 remittance, 24 of the original 38 loans remain in the trust, representing total collateral reduction of 48.4% from issuance. One loan, representing 7.5% of the pool, has been fully defeased. There are no loans in special servicing; however, four loans, representing 21.3% of the pool, are on the servicer's watchlist. The largest loan on the watchlist, Sobeys Brantford (Prospectus ID#4; 8.5% of the pool), is being monitored for outdated financials; however, the property has not exhibited financial stress in the past. The second-largest loan on the servicer's watchlist, Fortier Industrial Portfolio (Prospectus ID#6; 7.2% of the pool), is secured by a portfolio of three industrial properties totalling 308,932 square feet in Saint-Hubert, Québec, a city approximately 10 kilometers northeast of Montréal. The collateral consists of three adjacent industrial properties with 12 multi-tenant buildings that were constructed between 1975 and 1988. The loan was added to the servicer's watchlist in August 2023 for a decline in the debt service coverage ratio (DSCR), which was driven by a decrease in expense reimbursements. The portfolio continues to report a strong occupancy rate of 97.5% per the January 2023 rent roll. Based on the YE2022 financials, the portfolio generated net cash flow of $1.1 million (DSCR of 1.03 times (x)), which is lower than the YE2021 and issuance figures of $1.8 million (DSCR of 1.74x) and $1.5 million (DSCR of 1.47x), respectively. The three largest tenants collectively represent 16.1% of the net rentable area (NRA) and include Publi-SAC (6.0% of the NRA; lease expiration in July 2026), JAS Filtration Inc. (5.3% of the NRA; lease expiration in December 2023), and Importations Planetes Inc. (4.8% of the NRA; lease expiration in August 2027). The remainder of the rent roll is granular, with no tenant representing more than 4.0% of the NRA. Tenant leases representing approximately 40.0% of the NRA have expiration dates that have either already passed or are coming up in the next 12 months, including the second-largest tenant; however, mitigating factors include the granularity of the rent roll, the collateral's historically strong occupancy rates, and experienced sponsors, consisting of a joint venture between Abacus Real Estate Investments Ltd. and Romspen Real Estate Equities Ltd. For this review, DBRS Morningstar applied an elevated probability of default (POD) assumption in its analysis, resulting in an expected loss (EL) that was more than double the deal average. The Duke of Devonshire loan (Prospectus ID#13; 4.5% of the pool) is secured by a 105-unit independent living facility in Ottawa and is owned and operated by Chartwell Retirement Residences (Chartwell; rated BBB (low) with a Negative trend by DBRS Morningstar, most recently confirmed on April 13, 2023). The loan has been on the servicer's watchlist intermittently since October 2017, primarily for reporting low DSCRs as occupancy rates have declined since issuance. The most recent occupancy rate provided was dated December 2021, which noted a 44.1% figure. The servicer also reports ongoing litigation between the borrower and a vendor that began in January 2018. Additional information has been requested and DBRS Morningstar will continue to monitor this loan for updates. The loan is full recourse to Chartwell and, although the company faces challenges amid the ongoing pandemic, it is noteworthy that the loan has remained current and no financial relief was requested from the servicer to date. For this review, DBRS Morningstar analyzed the loan with an elevated POD assumption, resulting in an EL that was nearly double the pool average. Notes: All figures are in Canadian dollars unless otherwise noted. JP MORGAN 2006-S1: Moody's Upgrades Rating on 3 Tranches to Ba2 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of ten bonds issued by J.P. Morgan Mortgage Trust 2006-S1. The collateral backing this deal consists of prime jumbo mortgages. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2006-S1 Cl. 1-A-1, Upgraded to Ba2 (sf); previously on Jul 9, 2018 Upgraded to B1 (sf) Cl. 1-A-2, Upgraded to Ba2 (sf); previously on Jul 9, 2018 Upgraded to B1 (sf) Cl. 2-A-1, Upgraded to Baa3 (sf); previously on Jul 9, 2018 Upgraded to Ba2 (sf) Cl. 2-A-3, Upgraded to Baa3 (sf); previously on Jul 9, 2018 Upgraded to Ba2 (sf) Cl. 2-A-8, Upgraded to Ba1 (sf); previously on Jul 9, 2018 Upgraded to Ba3 (sf) Cl. 2-A-9, Upgraded to Ba2 (sf); previously on Jul 9, 2018 Upgraded to B1 (sf) Cl. 3-A-1, Upgraded to Baa3 (sf); previously on Jul 9, 2018 Upgraded to Ba2 (sf) Cl. 3-A-2, Upgraded to Baa3 (sf); previously on Jul 9, 2018 Upgraded to Ba2 (sf) Cl. 3-A-6, Upgraded to Baa3 (sf); previously on Jul 9, 2018 Upgraded to Ba2 (sf) Cl. 3-A-8, Upgraded to Baa3 (sf); previously on Jul 9, 2018 Upgraded to Ba2 (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 an increase in credit enhancement available to the bonds. Principal Methodologies The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2023-10: Fitch Assigns B-(EXP) Rating on Cl. B-5 Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to JP Morgan Mortgage Trust 2023-10 (JPMMT 2023-10). Entity/Debt Rating ----------- ------ JPMMT 2023-10 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AA+(EXP)sf Expected Rating A-9-A LT AA+(EXP)sf Expected Rating A-9-X LT AA+(EXP)sf Expected Rating A-X-1 LT AA+(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2023-10 (JPMMT 2023-10) as indicated above. The certificates are supported by 424 loans with a total balance of approximately $400.48 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 (45.7%) and Rocket Mortgage LLC (14.7%) with the remaining 39.6% 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, as well as MAXEX and Verus (the aggregators). NewRez LLC (fka New Penn Financial, LLC), dba Shellpoint Mortgage Servicing (Shellpoint), will act as interim servicer for approximately 39.6% of the pool from the closing date until the servicing transfer date, which is expected to occur on or about March 1, 2024. 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 the loans. The other servicers in the transaction are United Wholesale Mortgage, LLC (servicing 45.7% of loans), loanDepot.com, LLC (8.7%), PennyMac Loan Services, LLC (4.0%) and PennyMac Corp (2.0%). Nationstar Mortgage LLC (Nationstar) will be the master servicer. Most of the loans (99.5%) qualify as safe-harbor qualified mortgage (SHQM) or SHQM average prime offer rate (APOR); the remaining 0.5% 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, it 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. Following the strong gains seen in 1H22, home prices decreased 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 (99.5%) qualify as SHQM or SHQM (APOR); the remaining 0.5% 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 767, as determined by Fitch, which is indicative of very high credit-quality borrowers. Approximately 76.4% 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 75.2%, translating to a sustainable loan to value (sLTV) ratio of 79.8%, 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 constitute 88.5% of the pool, while the remaining 11.5% represent conforming loans. However, in its analysis, Fitch considered HPQM government-sponsored entity (GSE)-eligible loans to be nonconforming; as a result, Fitch viewed the pool as having 88.7% nonconforming loans and 11.3% conforming loans. All the loans are designated as QM loans, with 51.9% 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 92.5% of the pool; condominiums make up 4.5%, and multifamily homes make up 3.0%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (84.9%), cashout refinances (11.1%) and rate-term refinances (4.0%). According to the transaction documents, the pool consists of loans with the following loan purposes: purchases (84.9%), cashout refinances (11.3%) and rate-term refinances (3.8%). Fitch only considers a loan a cashout loan if the cashout amount is greater than 3% which explains the difference in the cashout and rate-term refinance percentages. Fitch views favorably that there are no loans to investment properties, and a majority of the mortgages are purchases. A total of 179 loans in the pool are over $1.0 million, and the largest loan is approximately $3.00 million. Thirteen loans in the collateral pool for this transaction have an interest rate buy down feature. Fitch increased its loss expectations on these loans to address the potential payment shock the borrower may face. Of the pool loans, 30.2% are concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (11.2%), followed by the San Diego-Carlsbad-San Marcos, CA MSA (5.9%) and the Denver-Aurora, CO MSA (5.4%). The top three MSAs account for 22% 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 principal and interest (P&I) on loans. 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 2.40% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.40% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses 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. 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 and Clayton. 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, and Clayton 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 2023-10 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled in JPMMT 2023-10, including strong transaction due diligence, an 'Above Average' aggregator, a large portion of the pool being originated by 'Above Average' originators 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. KKR CLO 48: Moody's Assigns B3 Rating to $200,000 Class F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by KKR CLO 48 Ltd. (the "Issuer" or "KKR 48"). Moody's rating action is as follows: US$248,000,000 Class A-1 Senior Secured Floating Rate Notes due 2036, Definitive Rating Assigned Aaa (sf) US$200,000 Class F Senior Secured Deferrable Floating Rate Notes due 2036, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. KKR 48 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 95% ramped as of the closing date. KKR Financial Advisors 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 issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3190 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 7.10% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. KREF 2022-FL3: DBRS Confirms B(low) Rating on 3 Classes -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of notes issued by KREF 2022-FL3 Ltd. (the Issuer) as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class F-X at BB (low) (sf) -- Class G-X at B (low) (sf) -- Class F-E at BB (low) (sf) -- Class G-E at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall performance of the transaction, which remains in line with DBRS Morningstar's expectations as individual borrowers are generally progressing through their stated business plans. The pool composition remains relatively similar to issuance with multifamily properties representing the entirety of the pool. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. The initial collateral consisted of 16 floating-rate mortgage loans secured by 18 mostly transitional properties with a cut-off balance totaling $1.0 billion. As of the September 2023 remittance, the trust reported an outstanding balance of $1.0 billion with 16 loans remaining in the trust. The transaction is a managed vehicle and was structured with a 24-month Reinvestment Period ending with the February 2024 Payment Date whereby the Issuer may acquire Companion Participations in either the form of a mortgage loan, a combination of a mortgage loan and a related mezzanine loan, or a fully funded pari passu participation. In addition, the transaction is structured with a Replenishment Period, which begins on the first day after the Reinvestment Period and ends on the earlier of the date the Issuer acquired 10% of the cut-off balance after the Reinvestment Period and the sixth payment date after the Reinvestment Period. Since the previous DBRS Morningstar credit rating action in November 2022, one loan has successfully repaid from the trust and two loans have been added into the trust. All the remaining loans in the transaction are secured by multifamily properties; however, the Issuer has the ability to acquire student housing properties up to 15% of the pool balance. The remaining loans are secured primarily by properties in suburban markets. Thirteen loans, representing 79.0% of the pool, are secured by properties in suburban markets, as defined by DBRS Morningstar, with a DBRS Morningstar Market Rank of 3, 4, or 5. Only two loans, representing 16.0% of the pool, are secured by properties with a DBRS Morningstar Market Rank of 6, 7, or 8, denoting an urban market. In comparison with the pool composition at issuance, properties in suburban markets represented 84.0% of the collateral and properties in urban markets represented 16.0% of the collateral. Leverage across the pool has remained relatively unchanged since issuance as the current weighted-average (WA) as-is appraised value loan-to-value (LTV) ratio is 69.3% with a current WA stabilized LTV ratio of 66.0%. In comparison, these figures were 70.5% and 66.4%, respectively, at issuance. DBRS Morningstar recognizes these values may be inflated as the individual property appraisals were completed in 2021 and do not reflect the current rising interest rate or widening capitalization rate environments. Through September 2023, the lender had advanced $35.1 million of loan future funding to eight of the outstanding individual borrowers to aid in property stabilization efforts. The largest loan advances included $15.5 million to the borrower of the Crystal Towers and Flats loan and $6.1 million to the borrower of the Berkeley Place loan. The future funding for both of these loans was used for capital improvement plans to improve the properties' position in the submarket and increase revenues. The Berkeley Place loan also has potential future funding allocated as an Earnout Facility. An additional $55.0 million of loan future funding allocated to 10 individual borrowers remains available. The largest individual allocation, $12.6 million, is allocated to the borrower of the Crystal Towers and Flats loan. As of the September 2023 reporting, no loans are delinquent or in special servicing and three loans, representing 20.0% of the current trust balance, are on the servicer's watchlist. These loans were not flagged for performance issues, but rather for increased level of risk; however, servicer commentary did not provide further details. DBRS Morningstar has asked for further clarification on this classification. The borrower of only one of the flagged loans, Heights at Park Lane (Prospectus ID#14, 4.0% of the pool), had experienced delays in its business plan; however, the property remains positioned to complete the business plan as stated at issuance. To date, 12 loans have been modified; however, 11 of the loans were modified to allow the transition of the floating interest rate benchmark from Libor to Term Secured Overnight Financing Rate while the remaining loan, The Kendrick (Prospectus ID#12, 6.7% of the pool), received an extension to its initial maturity date. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS Environmental (E) Factors At issuance, it was noted that The Kendrick had an open environmental issue, first identified after the loan's origination, involving levels of trichloroethylene, a potentially carcinogenic substance, in indoor air and soil gas exceeding regulatory limits. The matter is subject to a mandated in-process (early-stage) regulatory order by the Massachusetts Department of Environmental Protection to investigate and remediate the identified contamination until fully resolved, potentially over an estimated five-year timeline. Eighteen of the units identified as affected are considered down units and were concluded as vacant by DBRS Morningstar at issuance. According to the collateral manager as of May 2023, all of the affected units have been either occupied or re-leased. DBRS Morningstar has not received documentation that a full remediation has been completed at the subject property. Notes: All figures are in U.S. dollars unless otherwise noted. MJX VENTURE II: Moody's Cuts Rating on $1.5MM Class E Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating on the following notes issued by MJX Venture Management II LLC (the "Issuer" or "MJX VM II") and collateralized by Venture XXII CLO, Limited: US$1,875,000 Series H/Class C Notes due 2031, Upgraded to Aa2 (sf); previously on November 17, 2022 Upgraded to Aa3 (sf) Moody's has also downgraded the rating on the following notes: US$1,500,000 Series H/Class E Notes due 2031, Downgraded to Ba1 (sf); previously on October 30, 2020 Confirmed at Baa3 (sf) The Series H/Class C Notes and Series H/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture XXII CLO, Limited (the "Underlying CLO"). RATINGS RATIONALE The upgrade rating action on the Series H/Class C notes is primarily a result of deleveraging of the senior notes since November 2022. The Series H/Class A notes have been paid down by approximately 4.2% or $0.8 million since that time. The rating action also reflects the benefit from shortening of the portfolio's weighted average life (WAL) since November 2022. The downgrade rating action on the Series H/Class E notes reflects primarily the risk to the notes posed by loss of collateral coverage observed in the portfolio of the Underlying CLO. Based on Moody's calculation, the over-collateralization (OC) ratio for the Class E-R notes in the Underlying CLO is currently 104.61% versus November 2022 level of 106.39%. The downgrade rating action also reflects the concern on the mismatch between the interest collections received from the Underlying CLO and the interest payment amount due and payable on the Series H/Class E notes in scenarios where defaults increase in the Underlying CLO's portfolio. 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 in analyzing the Underlying CLO: Performing par and principal proceeds balance: $560,870,342 Defaulted par: $8,319,427 Diversity Score: 96 Weighted Average Rating Factor (WARF): 2515 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.52% Weighted Average Recovery Rate (WARR): 46.89% Weighted Average Life (WAL): 3.76 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 CLO's portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the Underlying CLO will also affect the performance of the rated notes. MORGAN STANLEY 2023-3: Fitch Assigns B-sf Final Rating on B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Morgan Stanley Residential Mortgage Loan Trust 2023-3 (MSRM 2023-3). Entity/Debt Rating Prior ----------- ------ ----- MSRM 2023-3 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 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 2023-3 (MSRM 2023-3), as indicated above. This is the 14th post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the 12th MSRM transaction to comprise loans from various sellers that were acquired by Morgan Stanley in its prime-jumbo aggregation process and their third prime transaction in 2023. The certificates are supported by 326 prime-quality loans with a total balance of approximately $362.13 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The top four largest originators are CrossCountry Mortgage, LLC (CrossCountry) at 24.4%, United Wholesale Mortgage, LLC (UWM) at 14.9%, Fairway Independent Mortgage Corp. (Fairway) at 13.6% and Guaranteed Rate Inc. (GRI) and Guaranteed Rate Affinity LLC (GRA), together the "Guaranteed Rate Companies," at 11.3%. The servicer for this transaction is Specialized Loan Servicing, LLC (SLS). Nationstar Mortgage LLC (Nationstar) will be the master servicer. Of the loans, 99.8% qualify as Safe Harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The remaining 0.2% are higher-priced QM (HPQM) APOR loans. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC). As with other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 7.5% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23, down 0.2% qoq). The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. Driven by the strong gains seen in 1H22, home prices decreased -0.2% yoy nationally as of April 2023. High Quality Mortgage Pool (Positive): The collateral consists of 100% first-lien, prime-quality mortgage loans with terms of mainly 30 years. More specifically, the collateral consists of 30-year, fixed-rate fully amortizing loans seasoned at approximately 5.4 months in aggregate as determined by Fitch (three months per the transaction documents). Of the loans, 74.2% were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles with a 775 weighted average (WA) FICO (FICO scores range from 652 to 840) and represent either owner-occupied homes or second homes. Of the pool, 96.6% of loans are collateralized by single-family homes, including single-family, planned unit development (PUD) and single-family attached homes, while condominiums make up the remaining 3.4%. There are no investor loans or multifamily homes in the pool, which Fitch views favorably. The WA combined loan-to-value ratio (CLTV) is 75.0%, which translates into an 80.4% sustainable LTV (sLTV) as determined by Fitch. The 75.0% CLTV is driven by the large percentage of purchase loans (95.1%), which have a WA CLTV of 75.5%. A total of 169 loans are over $1.0 million, and the largest loan totals $3.0 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Nine loans in the collateral pool for this transaction have an interest rate buydown feature. Fitch increased its loss expectations on these loans to address the potential payment shock that the borrower may face. Lastly, four loans in the pool comprise nonpermanent residents, and none of the loans in the pool were made to foreign nationals. Based on historical performance, Fitch found that nonpermanent residents performed in line with U.S. citizens; as a result, these loans did not receive additional adjustments in the loss analysis. Approximately 33% of the pool is concentrated in California with moderate MSA concentration for the pool as a whole. The largest MSA concentration is in the San Francisco MSA (13.3%), followed by the Los Angeles MSA (6.1%) and the Phoenix MSA (5.8%). The top three MSAs account for 25% of the pool. There was no adjustment for geographic concentration. Loan Count Concentration (Negative): The loan count for this pool (326 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the WA number (WAN) of loans is less than 300; in this pool, the WAN is 281. The loan count concentration for this pool results in a 1.04x penalty, which increases loss expectations by 21 basis points (bps) at the 'AAAsf' rating category. Shifting-Interest Structure and Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer will provide full advancing for the life of the transaction. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to. If the master servicer is not able to advance, then the securities administrator (Citibank, N.A.) will advance. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 2.30% 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 1.50% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 39.9% 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 adjustment(s) to its analysis based on the findings. Due to the fact that there was 100% due diligence provided and there were no material findings, Fitch reduced the 'AAAsf' expected loss by 0.29%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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 2023-4: Fitch Assigns BB-(EXP) Rating on B-5 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2023-4 (MSRM 2023-4). Entity/Debt Rating ----------- ------ MSRM 2023-4 A-1 LT AAA(EXP)sf Expected Rating A-1-IO LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-2-IO LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-IO LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-IO LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-IO LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-IO LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT BB-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2023-4 (MSRM 2023-4), as indicated. This is the 15th post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the 13th MSRM transaction to comprise loans from various sellers that were acquired by Morgan Stanley in its prime-jumbo aggregation process and their fourth prime transaction in 2023. The certificates are supported by 359 prime-quality loans with a total balance of approximately $310.57 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The top three largest originators are United Wholesale Mortgage, LLC (UWM) at 14.7%, Cornerstone (which is inclusive of of "Cornerstone Capital Bank, SSB," "Cornerstone Mortgage Partners of Texas, LP," "Crestmark Mortgage Company, LTD," "Group Mortgage, LLC," "Priority Home Lending LLC," and "Settlement Home Lending, LLC") at 13.3% and Rocket Mortgage LLC at 13.1%. The servicers for this transaction are Specialized Loan Servicing, LLC (SLS) servicing 91.4% of the loans and PennyMac (which includes PennyMac Corp. and PennyMac Loan Services) servicing the remaining 8.6% of the loans. Nationstar Mortgage LLC (Nationstar) will be the master servicer. Of the loans, 99.6% qualify as Safe Harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The remaining 0.4% are higher-priced QM (HPQM) APOR loans. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed-rate and capped at the net weighted average coupon (WAC). As with other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 8.5% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23, down 0.2% qoq). The rapid gain in home prices through the pandemic has seen signs of moderating with a decline observed in 3Q22. Driven by the strong gains seen in 1H22, home prices decreased 0.2% yoy nationally as of April 2023. High Quality Prime Mortgage Pool (Positive): The collateral consists of 100% first-lien, prime-quality mortgage loans with terms of mainly 30 years. More specifically, the collateral consists of 30-year, fixed-rate fully amortizing loans seasoned at approximately 5.6 months in aggregate as determined by Fitch (four months per the transaction documents). Of the loans, 55.7% were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles with a 773 WA FICO (FICO scores range from 690 to 818) and represent either owner-occupied homes or second homes. Of the pool, 94.2% of loans are collateralized by single-family homes, including single-family, planned unit development (PUD) and single-family attached homes, while condominiums make up the remaining 5.8%. There are no investor loans or multifamily homes in the pool, which Fitch views favorably. The WA combined loan-to-value ratio (CLTV) is 74.6%, which translates into an 81.0% sustainable LTV (sLTV) as determined by Fitch. The 74.6% CLTV is driven by the large percentage of purchase loans (92.5%), which have a WA CLTV of 75.2%. A total of 135 loans are over $1.0 million, and the largest loan totals $3.0 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Seven loans in the collateral pool for this transaction have an interest rate buydown feature. Fitch increased its loss expectations on these loans to address the potential payment shock that the borrower may face. Lastly, one loan in the pool comprises a nonpermanent resident, and none of the loans in the pool were made to foreign nationals. Based on historical performance, Fitch found that nonpermanent residents performed in line with U.S. citizens; as a result, this loan did not receive additional adjustments in the loss analysis. Approximately 22% of the pool is concentrated in California with moderate MSA concentration for the pool as a whole. The largest MSA concentration is in the Seattle MSA (9.3%), followed by the San Francisco MSA (6.6%) and the Dallas MSA (6.5%). The top three MSAs account for 22% of the pool. There was no adjustment for geographic concentration. Loan Count Concentration (Negative): The loan count for this pool (359 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the WA number (WAN) of loans is less than 300; in this pool, the WAN is 267. The loan count concentration for this pool results in a 1.06x penalty, which increases loss expectations by 41 basis points (bps) at the 'AAAsf' rating category. Shifting-Interest Structure and Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer will provide full advancing for the life of the transaction. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to. If the master servicer is not able to advance, then the securities administrator (Citibank, N.A.) will advance. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 2.60% 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 1.70% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 40.5% 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 adjustment(s) to its analysis based on the findings. Due to the fact that there was 100% due diligence provided and there were no material findings, Fitch reduced the 'AAAsf' expected loss by 0.32%. 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. NASSAU 2019: Fitch Cuts Rating on Cl. B Notes to BB-sf, Outlook Neg ------------------------------------------------------------------- Fitch Ratings has taken the following rating actions on Nassau 2019 CFO LLC (Nassau 2019): - $20.0 million undrawn liquidity facility affirmed at 'A+sf'; Outlook Stable; - $98.4 million class A notes downgraded to 'BBBsf' from 'Asf'; Outlook Stable; - $75.2 million class B notes downgraded to 'BB-sf' from 'BBsf'; Outlook Negative. Nassau 2019 is a private equity collateralized fund obligation (PE CFO) managed by Nassau Alternative Investments (NAI). The manager is an affiliate of Nassau Financial Group. Nassau 2019 owns interests in a diversified pool of alternative investment funds (buyout, mezzanine, debt and venture). The issuance consists of notes backed by the ownership interests in, and cash flows generated by, the funds. The underlying assets consisted of approximately $197 million of net asset value (NAV) of funded commitments and $53 million of unfunded capital commitments across 107 funds as of July 31, 2023. The NAV as of July 31, 2023 was based on valuations of the underlying private equity funds as of March 31, 2023, and adjusted for subsequent capital calls and distributions. Entity/Debt Rating Prior ----------- ------ ----- Nassau 2019 CFO LLC Class A 63172DAA9 LT BBBsf Downgrade Asf Class B 63172DAB7 LT BB-sf Downgrade BBsf Liquidity Loans LT A+sf Affirmed A+sf TRANSACTION SUMMARY TRANSACTION PERFORMANCE Nassau 2019's underlying fund investments performed well from 1Q21 to 1Q22 and better than stress scenarios run by Fitch during this same time period. However, more recent performance has been weaker due to the market environment and the portfolio's exposures. Nassau 2019 received distributions of $444 million and capital calls of $60 million since inception, as of July 31, 2023. Nassau 2019 has had sufficient cash distributions to cover expenses, interest payments for the class A notes, and capital calls thus far. Additionally, there have been no draws on the transaction's liquidity facility. However, in two of the last three distribution periods, interest for the class B notes was partially or fully deferred, as permitted under the terms of the notes. As of the most recent quarter, there remains an accrued and unpaid interest balance of $1.0 million on the class B notes, which is expected to be paid off in the upcoming distribution period. COUNTERPARTY REPLACEMENT Certain structural features of the transaction involve reliance on counterparties, such as the liquidity loan facility provider and bank account providers, and the rating on the notes could be negatively affected in the event of a counterparty downgrade. Fitch believes this risk is mitigated by minimum counterparty rating requirements counterparty replacement provisions in the transaction documents that align with Fitch's criteria. KEY RATING DRIVERS The rating affirmation of the undrawn liquidity facility reflects its senior position in the capital structure and low loan to value (LTV) of approximately 10%, if fully drawn. The Stable Outlook for the undrawn liquidity facility reflects Fitch's expectation that the facility, if drawn, can withstand Fitch's stress scenarios at the current rating category. The downgrades of the class A and B notes are driven by Fitch's expectations for weak or negative NAV growth, sustained low portfolio distributions and tightening liquidity coverage, which impact the notes' ability to withstand Fitch's stress scenarios in their respective rating categories. The downgrade of the class A notes to 'BBBsf' from 'Asf' reflects the notes ability to withstand Fitch's stress scenarios at the 'BBBsf' rating level. The Outlook for the class A notes reflects that at the current LTV level of 50%, the class A notes could withstand a 18% decline in NAV before breaching Fitch's relevant stress scenarios at the 'BBBsf' rating level. The downgrade of the class B Notes to 'BB-sf' from 'BBsf' reflects a marginal shortfall under one of Fitch's stress scenarios at the 'BBsf' rating level. The Negative Outlook on the class B notes reflects greater vulnerability to ongoing weakness in distributions and market volatility at the 'BB-sf' rating level. The class B notes had an LTV ratio of approximately 74% of NAV as of July 31, 2023. Fitch's expectation of weak or negative NAV growth is driven by the transaction's exposure to fund investments focused on the buyout and venture capital sectors, which have been particularly impacted by the weaker exit environment over the last 12-18 months. Nassau 2019's underlying fund valuations declined in four of the last five quarters. Absent an increase in distributions, which is contingent on an improving exit environment for underlying investments, Fitch expects that the class A and B notes' loan-to-value (LTV) ratios will sustain at or above 50% and 70%, respectively, for a prolonged period of time. The transaction's liquidity will also be constrained while distributions remain low, with the primary sources of liquidity to meet uncalled capital commitments, service debt and cover expenses being the liquidity facility and distributions from the underlying funds. Key structural protections include amortization triggers tied to LTV levels, a liquidity facility to cover class A interest, expenses, and capital calls in the event of liquidity gaps, and long final maturities on the bonds to allow the structure additional time to potentially weather down markets. In the 12 months through July 31, 2023, the transaction's liquidity needs included approximately $11 million in capital calls, $1.0 million in expenses, and $7.1 million in class A and class B note interest, totaling $19.1 million. Over the same period liquidity sources included $20 million of capacity available on the liquidity facility, and $45 million of cash from distributions. Based on these figures, Fitch calculates the transaction's liquidity coverage ratio for a period of 12 months to be 3.4x. An additional source of potential liquidity is Nassau 2019's right to require Nassau's affiliates to contribute capital to the issuer to satisfy capital calls if there is a cash shortfall. However, Fitch did not consider this potential capital contribution in its analysis, as Fitch does not have a formal credit view on Nassau, or its parent NAI. A capital contribution by the sponsor would be viewed as supportive of the transaction. Fitch believes the manager (NAI) has sufficient capabilities and resources required to manage this transaction. NAI's management team has extensive experience, although it is comparably smaller than the managers of other Fitch-rated PE CFOs. The sponsor and noteholders' interests are aligned, as the sponsor and its affiliates hold the equity stake and a portion of the class B notes in Nassau 2019. Fitch has a rating cap at the 'Asf' category for PE CFO transactions, primarily driven by the uncertain nature of alternative investment fund cash flows. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade PE CFO obligations have many inherent risks that the ratings may be sensitive to, including the uncertainty of distributions, illiquid nature of the underlying investments, the degree of transaction leverage and the subjective nature of NAV calculations. Factors that could, individually or collectively, lead to negative rating action/downgrade include: - The class A note rating could be downgraded to 'BBB-sf' if the LTV cushion relative to Fitch's stress scenario results at the 'BBBsf' category level sustain at low single digits for more than a temporary period. The class A notes could be downgraded to 'BBsf' category if Fitch's 'BBBsf' category stress scenario results are breached for more than a temporary period, or if liquidity deteriorates materially. - The class B note rating could be downgraded to 'Bsf' category if Fitch's 'BBsf' category stress scenario is breached in multiple launch year scenarios for more than a temporary period, or if liquidity deteriorates materially. - The liquidity facility could be downgraded if it is drawn and the transaction's liquidity position is expected to deteriorate materially. However, Fitch does not view this as likely in the near-term given the low-LTV of the liquidity facility (if fully drawn) and resiliency under Fitch's 'Asf' stress scenarios. - The ratings assigned to the notes may be sensitive to actual cash flows coming in lower than model projections, creating an increased risk that the funds will not generate enough overall cash to repay the noteholders, or pay for capital calls, expenses, and interest on time. - The ratings assigned to the notes may be also sensitive to additional declines in NAV that Fitch believes indicate insufficient forthcoming cash distributions to support the notes at the current rating level stress. - The ratings assigned to the notes are also sensitive to the financial health of the transaction's counterparties. A rating downgrade of a counterparty may be linked to and materially affect the ratings on the notes, given the reliance of the issuer on counterparties to provide functions, including providers of the liquidity facility and bank accounts. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Factors that could, individually or collectively, lead to positive rating actions/upgrades include: - The class A notes could be upgraded if they pass Fitch's 'Asf' rating stresses with sufficient cushion to downside scenarios for more than a temporary period. - The class B notes could be upgraded to 'BBsf', or the Outlook could be revised to Stable from Negative, if they pass Fitch's 'BBsf' rating stresses with sufficient cushion to downside scenarios for more than a temporary period. - Fitch has an 'A' category rating cap for PE CFOs. Therefore, positive rating sensitivities are not applicable for the undrawn liquidity facility. DATA ADEQUACY As the timing and size of the cash flows are uncertain, Fitch used historical private equity fund performance data from a well-known third-party data provider, which covers all performance quartiles of the various fund strategies and vintages ranging from 1990 to 2022, to model expected distributions, capital calls and NAVs of the underlying funds. OBX TRUST 2023-J2: Moody's Assigns B2 Rating to Cl. B-5 Notes ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 34 classes of residential mortgage-backed securities (RMBS) issued by OBX 2023-J2 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (59.2% by balance) and GSE-eligible (40.8% by balance) residential mortgages that OBX purchased from Bank of America, National Association (BANA), who in turn aggregated them from multiple originators and also from aggregators MAXEX Clearing LLC (MAXEX; 6.2% by loan balance) and Redwood Residential Acquisition Corporation (Redwood; 2.5% by balance). NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 91.4% by balance), PennyMac Loan Services, LLC and PennyMac Corp (PennyMac; 8.6% by balance) are the servicers of the pool. The complete rating actions are as follows: Issuer: OBX 2023-J2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest Only Classes Moody's is withdrawing the provisional ratings for the Class A-1A and A-2A loans, assigned on October 30, 2023, because the issuer will not be issuing these classes. After the provisional ratings were assigned, four loans from the pool were dropped. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.50%, in a baseline scenario-median is 0.29% and reaches 4.72% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OCTAGON 68: Fitch Assigns Final 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Octagon 68, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Octagon 68, Ltd. X LT NRsf New Rating NR(EXP)sf 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 68, 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 $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.22, versus a maximum covenant, in accordance with the initial expected matrix point of 27.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.85% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.96% versus a minimum covenant, in accordance with the initial expected matrix point of 74.0%. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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 class A-2 notes; and as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A+sf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/o rother 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. PRESTIGE AUTO 2023-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Prestige Auto Receivables Trust 2023-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 59.06%, 50.28%, 41.96%, 32.37%, and 24.93% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash-flow scenarios. These credit support levels provide at least 3.10x, 2.60x, 2.10x, 1.60x, and 1.27x coverage of its expected cumulative net loss of 18.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which does not constrain the ratings. -- S&P's operational risk assessment of Prestige Financial Services Inc. as servicer, and its view of the company's underwriting and the backup servicing with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Prestige Auto Receivables Trust 2023-2 Class A-1, $33.00 million: A-1+ (sf) Class A-2, $80.77 million: AAA (sf) Class B, $38.95 million: AA (sf) Class C, $30.49 million: A (sf) Class D, $32.24 million: BBB (sf) Class E, $31.17 million: BB- (sf) PRMI 2023-CMG1: Fitch Assigns 'Bsf' Final Rating on Class B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to PRMI Securitization Trust 2023-CMG1 (PRMI 2023-CMG1). Entity/Debt Rating Prior ----------- ------ ----- PRMI 2023-CMG1 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 M-1 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 AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed notes backed by non-seasoned first-lien, open home equity line of credit (HELOC) and home equity loans on residential properties to be issued by PRMI Securitization Trust 2023-CMG1 (PRMI 2023-CMG1) as indicated above. This is the second transaction rated by Fitch that includes first-lien HELOCs with open draws on the PRMI shelf. The collateral pool consists of 772 non-seasoned performing prime quality loans with a current outstanding balance as of the cutoff date of $322.09 million (the collateral balance based on the maximum draw amount is $405.82 million, as determined by Fitch). As of the cutoff date, 100% of the HELOC lines are currently open. The aggregate available credit line amount as of the cutoff date is expected to be $83.73 million per the transaction documents. The loans were originated or acquired by CMG Mortgage, Inc. and are serviced by Northpointe Bank. Distributions of principal are based on a modified sequential structure subject to the transaction's performance triggers. Interest payments are made sequentially, while losses are allocated reverse sequentially. Draws will be funded first by the servicer, which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the VFA. The VFA will be funded up front, and the holder of the trust certificates will be obligated, in certain circumstances (only if the draws exceed funds in the VFA), to remit funds on behalf of the holder of the class R note to the VFA to reimburse the servicer for certain draws made with respect to the mortgage loans. Any amounts so remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicer, Northpointe Bank, will not be advancing delinquent monthly payments of P&I. Although the notes have a note rate based on the SOFR index, the collateral is made up of 100% adjustable rate loans, 1.0% of which are based on 30-Day CME Term SOFR and 99% of which are based on One-Year Treasury CMT. As a result, there is no LIBOR exposure in 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 8.9% above a long-term sustainable level, compared with7.6% on a national level as of 1Q23, down 0.2% since the prior quarter. The rapid gain in home prices through the pandemic shows signs of moderating, with a decline observed in 3Q22. Home prices decreased 0.2% yoy nationally as of April 2023, driven by the strong gains in 1H22. Prime Credit Quality First Lien HELOCs (Positive): The collateral pool consists of 772 first-lien non-seasoned performing prime quality HELOC loans with a current balance of $322.09 million as of the cutoff date ($405.82 million based on the max draw amount). As of the cutoff date, 100% of the collateral comprises open HELOC lines. The pool in aggregate is seasoned eight months in the aggregate, according to Fitch. Of the loans, Fitch determined that 100.0% of the loans are current with 0.9% having a DQ in the past 24 months. None of loans have received a prior modification based on Fitch's analysis, and none of the loans have subordinate financing. The pool exhibits a relatively strong credit profile as shown by the Fitch-determined 767 weighted average (WA) FICO score (766 per the transaction documents), as well as the 72.8% combined loan-to-value (CLTV) (72.9% per the transaction documents) and 80.6% sustainable LTV ratio (sLTV). Fitch viewed the pool as being roughly 79.8% owner occupied, 90.7% single family 42.5% purchase and 57.5% cash out/limited cash out refinances (based on the max draw amount). The total cash out amount based on the amount drawn as of the cut-off date is 55.04%. Approximately 14.0% of the pool is concentrated in California per the transaction documents. The largest MSA concentration is in the Denver-Aurora, CO MSA (7.9%), followed by the Phoenix-Mesa-Scottsdale, AZ MSA (7.8%) and the Seattle-Tacoma-Bellevue, WAMSA (4.1%). The top three MSAs account for 19.8% of the pool. As a result, there was no probability of default (PD) penalty for geographic concentration. Modified Sequential Structure (Positive): The transaction has a modified sequential structure in which principal is distributed pro rata to the senior classes to the extent that the performance triggers are passing. To the extent they 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. Excess spread is not being used to turbo down the bonds, and as a result, more credit enhancement compared to expected loss is needed. If the triggers are passing, the trust certificates will receive their pro rata share of principal and the residual principal balance will receive its pro rata share of losses up to the trust certificates' writedown amount for such payment date. If triggers are failing, the trust certificates will be paid principal after all other classes have been paid in full, and the trust certificates will take losses first, followed by the subordinate, mezzanine and senior notes. No Servicer 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 loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. 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 40.8% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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 Evolve. The third-party due diligence described in Form 15E focused on compliance, credit, and valuations. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 51.6% due diligence performed on the pool, the overall expected loss was reduced by 0.17%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 51.6% of the seasoned and non-seasoned loans in the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Evolve to perform the review on 398 of the loans in the pool. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. The sponsor engaged Evolve to perform the review on a 51.6% sample of the seasoned loans for data integrity, updated property valuations, pay history and compliance. In addition the servicer confirmed the pay history for 100% of the loans in the pool. The servicer confirmed all loans are in the first lien position and they will advance per standard servicing practices to maintain the first lien position. An exception and waiver report was provided to Fitch which indicated the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS PRMI 2023-CMG1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the reviewed originator and servicing party did not have an impact on the expected losses, the Tier 2 R&W framework with an unrated counterparty resulted in an increase in the expected losses. This 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. PRPM 2023-RCF2: Fitch Assigns 'BB(EXP)sf' Rating on Class M-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRPM 2023-RCF2, LLC. Entity/Debt Rating ----------- ------ PRPM 2023-RCF2 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 M-2 LT BB(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating CERT LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by PRPM 2023-RCF2, Asset Backed Notes, Series 2023-RCF2 (PRPM 2023-RCF2), as indicated. The notes are supported by 657 loans with a balance of $202.13 million as of the cutoff date. This will be the fourth PRPM transaction rated by Fitch. The notes are secured by a pool of fixed- and adjustable-rate mortgage loans (some of which have an initial IO period) that are primarily fully amortizing with original terms to maturity of primarily 15 years to 40 years and are secured by first liens primarily on one- to four-family residential properties, units in planned unit developments (PUDs), co-ops, condominiums, single-wide manufactured housing and 5-20 unit multifamily properties. Based on the transaction documents, 93.0% of the pool is comprised of collateral that had a defect or exception to guidelines that made it ineligible to remain in a government-sponsored entity (GSE) pool, 4.6% are ITIN (individual tax identification number) loans and 2.4% are seasoned performing loans. According to Fitch, 87.8% of the loans are nonqualified mortgages (non-QM, or NQM) as defined by the Ability to Repay (ATR) rule (the Rule), 0.8% are safe-harbor QM loans and the remaining 11.3% are exempt from the QM rule as they are investment properties or were originated prior to the ATR rule taking effect in January 2014. The discrepancy in non-QM percentages is due to Fitch considering scratch and dent loans originated after January 2014 as non-QM loans. Fairway Independent Mortgage Corporation (Fairway) originated 25.0% of the loans and the remaining 75.0% were originated by various other third-party originators, each contributing less than 10%. Fitch assesses Fairway as an 'Average' originator. SN Servicing Corp. (SN) will service 94.7% of the loans in the pool and Fay Servicing LLC (Fay) will service 5.3% of the loans. Fitch rates SN and Fay 'RPS3' and 'RSS2', respectively. There is LIBOR exposure in this transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 2.02% of the pool comprises loans with an adjustable rate that reference the one-year CMT (constant maturity Treasury), six-month LIBOR and 30-day Secured Overnight Financing Rate (SOFR). 0.15% of the pool is an ARM loan that references the six-month LIBOR index. The offered A and M notes do not have LIBOR exposure as the coupons are fixed-rate and capped at available funds. The B note is a principal-only bond and is not entitled to interest. Similar to other NQM transactions, classes A and M classes have a step-up coupon feature if the deal is not called in November 2027. 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 8.0% above a long-term sustainable level (versus 7.6% on a national level as of 1Q23, down 0.2% qoq). The rapid gain in home prices through the pandemic has shown 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. Nonprime Credit Quality (Negative): The collateral consists of 657 first lien fixed-rate and ARM loans with maturities of up to 40 years totaling $202 million (including deferred balances). Specifically, the pool comprises 93.55% 30-year fully amortizing fixed-rate loans, 2.08% 15-year fully amortizing fixed-rate loans, 1.96% 30-year fully amortizing ARM loans, 1.66% 30-year and 40-year fixed-rate and ARM loans with an initial IO period between one and 10 years, 0.49% 20-year and 25-year fully amortizing fixed-rate loans and 0.27% one-year and 25-year balloon loans (IO). The pool is seasoned at 24 months per the transaction documents (27 months, as determined by Fitch). The borrowers in this pool have relatively strong credit profiles with a Fitch-determined weighted average (WA) FICO score of 718 (in line with the 718 WA FICO per the transaction documents) and a 46.1% Fitch-determined debt-to-income ratio (DTI), as well as moderate leverage, with an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 83.1% (82.1% per the transaction documents), translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 81.2%. In Fitch's analysis, Fitch re-coded occupancy based on due diligence findings for some loans; as a result, Fitch will have more investor properties in its analysis than are shown in the transaction documents. In Fitch's analysis it considers 78.5% of the pool to consist of loans where the borrower maintains a primary residence (85.5% based on transaction documents), while 16.5% comprises investor properties (9.5% based on transaction documents) and 5.0% represents second homes (5.1% per transaction documents). In Fitch's analysis, Fitch re-coded property types based on due diligence findings; as a result, the percentages will not tie out to the property types in the transaction documents. In Fitch's analysis, the majority of the loans (82.1%) are to single-family homes and PUDs; 10.9% are to condos; 0.2% are to co-ops; and 6.7% are to multifamily homes, manufactured housing and other property types. In the analysis, Fitch treated manufactured properties and properties coded as other occupancy types as multifamily and the probability of default (PD) was increased for these loans, as a result. In total, 65.2% of the loans were originated through a retail channel. According to Fitch, 87.8% of the loans are designated as non-QM loans and 0.8% are safe-harbor QM loans, while the remaining 11.3% are exempt from QM status. In Fitch's analysis, Fitch considered scratch and dent loans originated after January 2014 to be non-QM since they are no longer eligible to be in GSE pools; as a result, Fitch's non-QM, QM and exempt from QM percentages will not tie out to the transaction documents. The pool contains four loans over $1.0 million, with the largest loan at $1.17 million. Fitch determined that self-employed, non-debt service coverage ratio (non-DSCR) borrowers make up 27.2% of the pool; salaried non-DSCR borrowers make up 71.0%; and 1.7% comprises investor cash flow DSCR loans. About 16.5% of the pool comprises loans for investor properties, according to Fitch (14.8% underwritten to borrowers' credit profiles and 1.7% comprising investor cash flow loans). According to Fitch, there are no second liens in the pool and 27 loans have subordinate financing. Around 16.8% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles MSA (6.7%), followed by the New York MSA (6.0%) and the Phoenix MSA (5.0%). The top three MSAs account for 17.8% of the pool. As a result, there was no penalty for geographic concentration. According to Fitch, 99.9% of the pool is current as of Sept. 30, 2023. Overall, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Guideline Exception Loans (Negative): Roughly 92% of the collateral consists of loans that had defects or exceptions to guidelines at origination with a substantial portion originally underwritten to GSE guidelines. The exceptions ranged from those that are immaterial to Fitch's analysis (loan seasoning and mortgage insurance issues) to those that are handled by Fitch's model due to tape attributes (prior delinquencies and LTVs above guidelines) to loans with potential compliance exceptions that received loss adjustments (loans with miscalculated DTIs and potential ATR issues). In addition, there are loans with missing documentation that may extend foreclosure timelines or increase loss severity (LS), which Fitch is able to account for in its loss analysis. Non-QM Loans with Less than Full Documentation (Negative): Approximately 37.1% of the pool was underwritten to less than full documentation, according to Fitch (per the transaction documents, 93.3% was underwritten to full documentation and 6.7% was underwritten to less than full documentation). Specifically, 2.6% was underwritten to an alternative documentation program for verifying income, 1.7% comprises a DSCR product, 1.6% comprises a no documentation product and 0.7% comprises a streamline refinance. Overall, Fitch increased the PD on nonfull documentation loans to reflect the additional risk. In Fitch's analysis, Fitch considered less than full documentation loans as 23.8% stated documentation, 3.5% less than full documentation and 9.9% no documentation. The remaining 62.9% were considered full documentation. Due to due diligence findings and documentation treatment of certain loan documentation types (e.g. DSCR, Alt-Doc or other), Fitch's documentation types will not match the documentation types in the transaction documents, which viewed the transaction as 93.3% full documentation. 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. 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. Sequential Deal Structure with Overcollateralization (Mixed): The transaction utilizes a sequential payment structure with no advances of delinquent principal or interest. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows for a faster paydown of the senior classes. Offsetting this positive is that the transaction will not write down the bonds due to potential losses or undercollateralization. During periods of adverse performance, the subordinate bonds will continue to be paid interest from available funds, at the expense of principal payments that otherwise would have supported the more senior bonds, while a more traditional structure would have seen them written down and accruing a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by the reallocation of available funds after the 68th payment date. The coupons on the notes are based upon the lower of the available funds cap (AFC) or the stated coupon. If the AFC is paid it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based upon the stated coupon. If the transaction is not called, the coupons step up 100 basis points (bps). The class B and the certificate class will be issued as principal-only (PO) bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. Classes will not be written down by realized losses. 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 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 40.2%, 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 analysis 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 Infinity. The third-party due diligence described in Form 15E focused on four areas: compliance review, data integrity, servicing review and title review. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch did adjust the expected losses. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor, PRP-LB V, LLC, engaged Infinity to perform the review. Loans reviewed under these engagements were given initial and final compliance grades. Fitch also received notes on exceptions based on the post close QC performed by the GSEs on 93% of the pool. Fitch took these notes into account during its analysis of the transaction. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans and increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered scratch and dent with material findings. For the remaining loans, Fitch did not consider the exceptions (if any) to be material due to the presence of compensating factors, such as having liquid reserves or a FICO above guideline requirements or LTVs or DTIs below guideline requirements. Therefore, no adjustments were needed to compensate for these occurrences on the non-scratch and dent loans. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS PRPM 2023-RCF2 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the reviewed originators and servicing parties did not have a material impact on the expected losses, the Tier 2 R&W framework with an unrated counterparty along with approximately 56% of the loans in the pool being underwritten by originators that have not been assessed by Fitch resulted in an increase in the expected losses and is relevant to the ratings. 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. RCMF 2023-FL11: Fitch Alters Outlook on 'B-sf' Rating to Negative ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of eight classes of RCMF 2023-FL11. The Rating Outlooks on classes F and G were revised to Negative from Stable. The under criteria observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- RCMF 2023-FL11 A 75575RAA5 LT AAAsf Affirmed AAAsf A-S 75575RAC1 LT AAAsf Affirmed AAAsf B 75575RAE7 LT AA-sf Affirmed AA-sf C 75575RAG2 LT A-sf Affirmed A-sf D 75575RAJ6 LT BBBsf Affirmed BBBsf E 75575RAL1 LT BBB-sf Affirmed BBB-sf F 75575RAN7 LT BB-sf Affirmed BB-sf G 75575RAQ0 LT B-sf Affirmed B-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 issuance. Stable Loss Expectations: Loss expectations for the pool remain generally stable since Fitch's prior rating action. Two loans (10.2% of pool) were flagged as Fitch Loans of Concern (FLOCs), and recently transferred to special servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 10.5%. The Negative Outlooks on the classes F and G reflect performance concerns related to two loans: Mission Matthews Place and Waterford Hills (7.3%) and Raybec Portfolio (4.0%). Both loans have the same sponsor and are currently 30+ days delinquent on their debt service payments. Per updates received from the servicer as of Nov. 13, 2023, the two portfolio properties are facing cash flow stress due to higher than expected expenses and lower than expected rent growth. The sponsor is currently in talks with the servicer for debt relief and/or a modification to their existing loan terms. Mission Matthews Place and Waterford Hills is a 662-unit, two-property garden style multifamily portfolio in Matthews, NC and Charlotte, NC. The full loan amount is $120.9 million ($182,591/unit) inclusive of pari pasu debt of $74.7 million ($112,840/unit) and future funding of $5.4 million ($8,157/unit). The portfolio reported an occupancy of 93.5% as of October 2022 at closing. Fitch requested, but did not receive, updated performance information. Raybec Portfolio is a 391-unit, five-property garden style multifamily portfolio in McAllen, TX, Edinburg,TX and Corpus Christi, TX. The full loan amount is $24.6 million ($62,916/unit) inclusive of future funding of $3.0 million ($7,672/unit). The portfolio reported an occupancy of 92.3% as of November 2022 at closing. Fitch requested, but did not receive, updated performance information. Collateral Attributes: The pool is secured by properties that have not yet completely stabilized, are in varying stages of lease-up or are undergoing renovation. The associated risks, including cash flow interruption during renovation, lease-up and completion, are mitigated by experienced sponsorship, credible business plans and loan structural features that include guaranties, reserves, cash management and performance triggers, and additional funding mechanisms. Loan Structure: The loans in the pool are typically structured with three-year initial terms, with two one-year extension options. Minimal Increase in CE: As of the October 2023 distribution date, the trust's aggregate principal balance has paid down by 1.5% to $577.4 million from $586.0 million at issuance. The entire pool contains initial-term IO loans. During the extension periods, the loans are typically structured with amortizing payments. The trust has not incurred any realized losses since issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf', 'AAsf' and 'Asf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to the classes in the 'BBBsf' rating category could occur if additional loans become delinquent or fail to stabilize according to the issuance business plans. Downgrades to the classes in the 'BBsf' to 'Bsf' rating categories that are on Outlook Negative would occur if resolution negotiations for the specially serviced loans are unsuccessful or if performance of those loans continues to deteriorate. 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. Upgrades to the 'AAsf' to 'Asf' rating categories could occur with significant improvement in CE and with the stabilization of properties currently designated as FLOCs. Upgrades to the classes rated 'BBBsf' and below are not expected until the later years of the transaction, but are possible with significant collateral outperformance, paydown and stabilization of the FLOCs. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RR 27: Moody's Assigns B3 Rating to $400,000 Class E Notes ---------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes 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, Definitive Rating Assigned Aaa (sf) US$400,000 Class E Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. 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. The portfolio is 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 issued seven other classes of secured notes and one class 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): 2931 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.25% Weighted Average Recovery Rate (WARR): 47.40% 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. SAPPHIRE AVIATION I: Fitch Affirms CCC Rating on Class C Debt ------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the outstanding series A, B and C notes issued by Sapphire Aviation Finance I Limited (Sapphire I) and has downgraded the rating on the outstanding A note and affirmed the ratings on the outstanding B and C notes of Sapphire Aviation Finance Limited II (Sapphire II). Class A from Saphhire II was assigned a Stable Outlook following the downgrade, and the Rating Outlooks were revised to Stable from Negative for all the other series. Entity/Debt Rating Prior ----------- ------ ----- Sapphire Aviation Finance I A 80306AAA8 LT BBsf Affirmed BBsf B 80306AAB6 LT B-sf Affirmed B-sf C 80306AAC4 LT CCCsf Affirmed CCCsf Sapphire Aviation Finance II Limited A 80307AAA7 LT A-sf Downgrade Asf B 80307AAB5 LT BBBsf Affirmed BBBsf C 80307AAC3 LT Bsf Affirmed Bsf TRANSACTION SUMMARY These transactions, along with the rest of the portfolio of aircraft operating lease ABS transactions rated by Fitch, were 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 Fitch's modeled cash flows and coverage levels. Fitch's updated rating assumptions for airlines are based on a variety of performance metrics and airline characteristics. Portfolio performance has been stable to improving for both Sapphire I and Sapphire II. Year-over-year monthly cash collection trends decreased for Sapphire I, but this due to aircraft sales. Sapphire II year-over-year cash collections have been above expectations. Although Sapphire II's cash collections have increased since Fitch's last review, application of the new criteria and model resulted in lower forecasted cashflows, particularly at the 'Asf' level. Several factors contributed to this dynamic, including the new criteria's treatment of lessee credit (i.e. more conservative default assumptions at higher rating scenarios), the introduction of pool concentration, and increased repossession/remarketing expenses for wide-body aircraft. Wide-body aircraft represent approximately 30% of the pool's collateral value, resulting in an increase in expenses relative to the prior model. Regarding the concentration haircut, although concentration is currently acceptable, as the transaction ages, Fitch expects concentration in this pool to increase considerably. Overall Market Recovery The global commercial aviation market continues to recover with total revenue passenger kilometers (RPKs) recovering to 95.7% of pre-COVID levels as of August 2023 per data reported by IATA. International RPKs have reached 88.5% of pre-COVID levels while domestic RPKs have now exceeded pre-COVID levels by 9.2%. The balance between international and domestic markets has continued to normalize with recovery of the international market reaching approximately 58% of total flight activity, whereas only a year ago, it only represented approximately 38%. By comparison, in August of 2019, prior to the disruption caused by the pandemic, the international market represented approximately 64% of the total market. International and domestic market performance differs across regions. APAC has seen significant growth in domestic markets, led by China, exceeding pre-pandemic levels with a 94% increase in RPKs versus August of last year. Although it continues to lag behind the other regions in the international traffic, APAC continue to make up for lost ground, demonstrating 99% RPK growth versus August of last year. There is, however, still room for additional recovery as it has only reached 75% of pre-pandemic levels. North American and European traffic (domestic and international) continue to rebound with August 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, growing geopolitical tensions, inflation, and recessionary concerns and any associated reductions in passenger demand. Such events may lead to increased lessee delinquencies, lease restructurings, defaults and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cashflows needed to meet debt service. KEY RATING DRIVERS Asset Values: The aircraft in Sapphire I are generally older with a weighted-average age (by value) of 17 years. The majority of the aircraft in the pool are over 18 years old. The aircraft in Sapphire II are generally mid-aged with a weighted-average age (by value) of 11 years. For each of the transactions, the Maintenance Reserve Account is funded at approximately 90% of target. 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 (LTV) for each of the notes has changed since Fitch's last review (August 2022 for Sapphire I and November 2022 for Sapphire II) as follows: - Sapphire I: A note 73% to 61%; B note 87% to 81%; C note 94% to 93%; - Sapphire II: A note 74% to 70%; B note 90% to 85%; C note 100% to 96%. In determining the Fitch Value of each pool, the agency used the most recent appraisal and applied depreciation assumptions pursuant to its criteria. Fitch employs a methodology whereby the agency varies the type of value per aircraft based on the remaining leasable life: - Less than three years of leasable life: Maintenance-adjusted market value; - More than three years of leasable life, but more than 15 years old: Maintenance-adjusted base value; - Less than 15 years old: Half-life base value. Fitch then uses an LMM (lesser of mean and median) of the given value. The starting Fitch Value for each of the transactions is as follows: - Sapphire I: $234.5 million; - Sapphire II: $451.9 million. Following the new criteria, Fitch applies a haircut to residual values that vary based on rating stress level. Haircuts start at 5% at 'Bsf' and increase to 15% at 'Asf'. Tiered Collateral Quality: Fitch utilizes three tiers when assessing the quality and corresponding marketability of aircraft collateral: tier 1 which is the most marketable and tier 3 which is the least marketable. As aircraft in the pool reach an age of 15 and then 20 years, pursuant to Fitch's criteria, the aircraft tier will migrate one level lower. The weighted average age and tier for each of the transactions is as follows: - Sapphire I: Age: 17 years; Tier: 2.4; - Sapphire II: Age: 11 years; Tier 1.4. Pool Concentration: Sapphire I's concentration is acceptable given 19 aircraft on lease to 14 lessees. Sapphire II has a similar concentration, with 19 aircraft on lease to 17 lessees. As the pool ages and Fitch model's aircraft being sold at the end of their leasable lives (generally 20 years), pool concentration will continue to increase. Pursuant to Fitch's criteria, the agency stresses cash flows based on the effective aircraft count. Concentration haircuts vary by rating level and are only applied at stresses higher than 'CCCsf'. Lessee Credit Risk: Fitch considers the credit risk posed by the pool of lessees to be moderate-to-high in both Sapphire I and II. The portfolio composition by lessee credit rating has not materially changed since last review. The modeled credit rating Fitch assigns to the subject airlines may improve if they demonstrate a longer track record of timely payment performance, particularly for airlines that have recently been restructured. Operation and Servicing Risk: Fitch deems the servicer, Avolon Aerospace Leasing Limited to be qualified to service ABS based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. Exposure to Russia/Ukraine conflict: The Sapphire I pool had two aircraft that were leased to a Russian airline. The aircraft have not been recovered despite termination of the leases pursuant to sanctions and demands from the servicer for the lessee to return the aircraft. These assets represented approximately 6% of the pool. The aircraft were classified as a total loss and have been removed from the pool. Fitch modeled that the only remaining cash flows from the aircraft will be insurance recoveries, which are stressed at rating levels above the single 'B' category. 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. Fitch also gauged the ratings sensitivity of the End of Lease (EOL) Payments in the transaction for both Sapphire I and Sapphire II. Fitch discounted the cashflows of the EOL payment based on the credit profile of the lessee. This sensitivity lowered the Model-Implied Rating (MIR) by a notch for the Sapphire I A and B notes. The MIRs of the Sapphire II notes were not impacted by the EOL payment sensitivity. 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. The aircraft ABS sector has a rating cap of 'Asf'. 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. SCF EQUIPMENT 2019-2: Moody's Hikes Rating on Class F Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded ten classes of notes issued by SCF Equipment Leasing 2019-2 LLC/SCF Equipment Leasing Canada 2019-2 L.P. (SCF 2019-2), SCF Equipment Leasing 2020-1 LLC/SCF Equipment Leasing Canada 2020-1 Limited Partnership (SCF 2020-1), and SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 Limited Partnership (SCF 2021-1). These transactions are backed by equipment loans and leases and owner-occupied commercial real estate loans and serviced by Stonebriar Commercial Finance LLC (Stonebriar). The complete rating actions are as follows: Issuer: SCF Equipment Leasing 2019-2 LLC/SCF Equipment Leasing Canada 2019-2 L.P. Class C Notes, Upgraded to Aaa (sf); previously on Oct 13, 2022 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Aa1 (sf); previously on Oct 13, 2022 Upgraded to Aa3 (sf) Class E Notes, Upgraded to A1 (sf); previously on Oct 13, 2022 Upgraded to A3 (sf) Class F Notes, Upgraded to Ba1 (sf); previously on Feb 18, 2022 Upgraded to Ba3 (sf) Issuer: SCF Equipment Leasing 2020-1 LLC/SCF Equipment Leasing Canada 2020-1 Limited Partnership Class D Notes, Upgraded to Aa1 (sf); previously on May 19, 2023 Upgraded to Aa2 (sf) Class E Notes, Upgraded to A1 (sf); previously on May 19, 2023 Upgraded to A2 (sf) Class F Notes, Upgraded to Ba1 (sf); previously on Feb 18, 2022 Upgraded to Ba2 (sf) Issuer: SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 Limited Partnership Class C Notes, Upgraded to Aaa (sf); previously on Oct 13, 2022 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Aa1 (sf); previously on May 19, 2023 Upgraded to Aa2 (sf) Class E Notes, Upgraded to A1 (sf); previously on May 19, 2023 Upgraded to A2 (sf) RATINGS RATIONALE The rating actions primarily reflect build-up in credit enhancement levels in the three transactions due to deleveraging from sequential pay structures and steady performance with no cumulative net losses since their closing. Other considerations include the specific concentrations and residual risks associated with the transactions, inclusion of participation agreements, volatility in recoveries and projected asset values, and macroeconomic outlooks. The transactions are also supported by overcollateralization (OC) that builds to a target and reserve accounts. High level of pool concentrations in the transactions to large obligors poses potentially higher performance volatility because any default of a large obligor could have a material impact on expected losses to noteholders. The top obligor concentration in the pools ranges from approximately 12% to 23% and top 10 obligor concentration in the pools ranges from 67% to 91%. Securitized residuals currently account for about 30% to 44% of the pools. Over time, the age of the asset valuations may lead to volatility in the determination of recovery values of the loans and leases backing the transaction. To take this into consideration, Moody's performed sensitivity analysis on the projected future asset values received at the closing of the transaction. Certain contracts in the pools are participation agreements which are ownership interests in the cash flows and therefore noteholders will, for the most part, not have control over the underlying contracts. Furthermore, collections of the cash flows from participations may be commingled with Stonebriar before being remitted to the lockbox account for the benefit of the issuers. Moody's analyzed this risk mainly by applying stresses to the default probability, if applicable, and recovery rate of these contracts. 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 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 by 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. In addition, faster than expected reduction in residual value exposure could prompt upgrade of 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 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. SCF EQUIPMENT 2023-1: Moody's Assigns B3 Rating to Class F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned definitive 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) issued by SCF Equipment Leasing 2023-1 LLC and SCF Equipment Leasing Canada 2023-1 Limited Partnership. Stonebriar Commercial Finance LLC (Stonebriar) along with its Canadian subsidiary - Stonebriar Commercial Finance Canada Inc. (Stonebriar Canada) are the originators and Stonebriar alone is the servicer of the assets backing this transaction. The issuers are wholly-owned, limited purpose subsidiaries of Stonebriar and Stonebriar Canada. The assets in the pool consists of loan and lease contracts, secured primarily by manufacturing and assembly, railcars, and corporate aircraft. 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: SCF Equipment Leasing 2023-1 LLC and SCF Equipment Leasing Canada 2023-1 Limited Partnership Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa1 (sf) Class C Notes, Definitive Rating Assigned A1 (sf) Class D Notes, Definitive Rating Assigned Baa2 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) Class F Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The definitive ratings are based on; (1) the experience of Stonebriar's management team and the company as 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 60% non-direct interests in the assets underlying the contracts 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 Moody's 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 33.25%, 25.25%, 18.25%, 12.75%, 8.00%, and 6.00% 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 back the notes were extended primarily to middle market obligors and are secured by various types of equipment including manufacturing and assembly, railcars, corporate aircraft, and sand plant 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. SCG 2023-NASH: Moody's Assigns (P)Ba2 Rating to Class HRR Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six class of CMBS securities, to be issued by SCG 2023-NASH Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2023-NASH: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba1 (sf) Cl. HRR, Assigned (P)Ba2 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage related to a portfolio of two full-service hotel properties. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. 1 Hotel Nashville 1 Hotel Nashville is a 215-guestroom, full-service, luxury hotel developed upon a 1.24-acre site in downtown Nashville, TN. The hotel consists of a single 14-story guestroom tower located atop the eastern portion of the shared four-story Embassy Suites building base. Guestrooms are located on the fifth through 18th floors. The hotel opened in July 2022 and includes 215-guestrooms comprised of 137 king rooms, 41 queen rooms, 24 junior suites, 11 one bedroom suites and two presidential suites. It features standard and suite-style guestroom configurations and typical amenities for the 1 Hotel brand. Guestrooms are large and contain high-quality finishes. Food and beverage offerings include 1 Kitchen, Harriet's Rooftop and Neighbors café. Additional amenities include the Bamford Wellness Spa, Anatomy fitness center, and luxury house car. Meeting and group features include approximately 22,899 SF of function space (shared with Embassy Suites Nashville) within 14 conference rooms, a boardroom, a lounge and a 9,396 SF ballroom which is divisible into four sections as well as approximately 9,300 SF of pre-functions space. There is also valet parking and 290 parking spaces shared with Embassy Suites. Embassy Suites Nashville Embassy Suites Nashville is a 506-guestroom, full-service, upper-upscale hotel developed upon a 1.24-acre site in downtown Nashville, TN. The hotel consists of a single 30-story guestroom tower located atop the eastern portion of the shared four-story 1 Hotel building base. Guestrooms are located on the fifth through 30th floors. The hotel opened in June 2022 and include the 506-guestrooms comprised of 271 queen/queen one-bedroom suites, 136 king studio suites, 75 king one-bedroom suites and 24 king/king premium view suites. It features all-suite guestroom configurations and the finishes and furniture are elevated compared to a typical Embassy Suites by Hilton. Notable differences include higher-end flooring, bathroom finishes, and fixtures. Food and beverage offerings include Hand Cut Chophouse, Harmony restaurant, Good Citizen Coffee Co. and the Overlook, a rooftop restaurant and bar. Additional amenities include a rooftop pool with a sundeck and fitness room, market pantry, and guest laundry room. Meeting and group features include approximately 22,899 SF of function space (shared with 1 Hotel) within 14 conference rooms, a boardroom, a lounge and a 9,396 SF ballroom which is divisible into four sections as well as approximately 9,300 SF of pre-functions space. The meeting space and group food and beverage is managed by the 1 Hotel Nashville which allows events at the Embassy Suites Nashville to benefit from the 1 Hotel's brand. There is also valet parking and 290 parking spaces shared with 1 Hotel. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization Methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.41X and Moody's first mortgage actual stressed DSCR is 1.29X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $240,000,000 represents a Moody's LTV of 90.7%. Moody's LTV ratio is based on Moody's value. Moody's did not adjust Moody's value to reflect the current interest rate environment as part of Moody's analysis for this transaction. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's property quality grade is 2.26. Positive features of the transaction include the assets' superior quality, desirable location, strong performance, brand affiliation and experienced sponsorship. Offsetting these strengths are potential impact of future supply, lack of collateral diversification, limited historical performance, interest-only floating-rate mortgage loan profile, performance volatility inherent within the hotel sector, and credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the 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 may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. SILVER CREEK CLO: Moody's Upgrades Rating on 2 Tranches to Ba3 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Silver Creek CLO, Ltd.: US$17,600,000 Class C-R Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on August 12, 2022 Upgraded to Aa2 (sf) US$21,600,000 Class D-R Secured Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Upgraded to A2 (sf); previously on August 12, 2022 Upgraded to Baa2 (sf) US$7,800,000 Class E-1R Secured Deferrable Floating Rate Notes due 2030 (the "Class E-1R Notes"), Upgraded to Ba3 (sf); previously on July 13, 2020 Downgraded to B1 (sf) US$10,000,000 Class E-2R Secured Deferrable Floating Rate Notes due 2030 (the "Class E-2R Notes"), Upgraded to Ba3 (sf); previously on July 13, 2020 Downgraded to B1 (sf) Silver Creek CLO, Ltd., originally issued in July 2014 and refinanced in July 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2021. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2022. The Class A-R notes have been paid down by approximately 49.9% or $88.9 million since October 2022. Based on the trustee's October 2023 report[1], the OC ratios for the Class C, Class D and Class E notes are reported at 133.44%, 118.45% and 108.42%, respectively, versus October 2022[2] levels of 125.29%, 114.64% and 107.13%, respectively. Moody's notes that the October 2023 trustee-reported OC ratios do not reflect the October 2023 payment distribution, when $27.3 million of principal proceeds were used to pay down the Class A-R Notes. 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: $200,517,935 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2692 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.95% Weighted Average Recovery Rate (WARR): 47.61% Weighted Average Life (WAL): 3.3 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 and 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. SILVER POINT 3: Moody's Assigns (P)B3 Rating to $250,000 F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by Silver Point CLO 3, Ltd. (the "Issuer" or "Silver Point 3"). Moody's rating action is as follows: US$240,000,000 Class A-1 Secured Floating Rate Notes due 2036, Assigned (P)Aaa (sf) US$250,000 Class F Secured Deferrable Floating Rate Notes due 2036, 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. Silver Point 3 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and eligible investments and up to 7.5% of the portfolio may consist of assets that are permitted non-loan assets and senior secured bonds. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. Silver Point RR Manager, L.P. (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: 70 Weighted Average Rating Factor (WARF): 2838 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. SILVER ROCK CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R-1, D-R, and E-R replacement notes and proposed new class X-R and C-R-2 notes from Silver Rock CLO I Ltd./Silver Rock CLO I LLC, a CLO originally issued in November 2020 that is managed by Silver Rock Management LLC, a subsidiary of Silver Rock Financial L.P. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R-1, D-R, and E-R notes were issued at a higher spread over three-month SOFR than the original notes. -- The replacement class A-R, B-R, C-R-1, D-R, and E-R notes were issued at a floating spread, replacing the current floating spread. The class X-R and C-R-2 notes are expected to be issued at a fixed coupon. -- The stated maturity, reinvestment period, and weighted average life test date were extended two years. The non-call period was extended three years. -- The class X-R notes are new notes issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during seven payment dates beginning with the payment date in April 2024. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Note Issuances Replacement notes -- Class X-R, $3.500 million: 6.597% -- Class A-R, $224.000 million: Three-month term SOFR + 1.78% -- Class B-R, $40.250 million: Three-month term SOFR + 2.90% -- Class C-1-R (deferrable), $12.950 million: Three-month term SOFR + 3.85% -- Class C-2-R (deferrable), $9.800 million: 8.650% -- Class D-R (deferrable), $21.000 million: Three-month term SOFR + 5.75% -- Class E-R (deferrable), $9.695 million: Three-month term SOFR + 9.20% Original notes -- Class A, $210.00 million: Three-month CME term SOFR + 1.91161% -- Class B, $56.00 million: Three-month CME term SOFR + 2.56161% -- Class C (deferrable), $19.25 million: Three-month CME term SOFR + 3.11161% -- Class D (deferrable), $21.00 million: Three-month CME term SOFR + 4.76161% -- Class E (deferrable), $11.20 million: Three-month CME term SOFR + 8.77161% -- Subordinated notes, $30.10 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Silver Rock CLO I Ltd./Silver Rock CLO I LLC Class X-R, $3.500 million: AAA (sf) Class A-R, $224.000 million: AAA (sf) Class B-R, $40.250 million: AA (sf) Class C-1-R (deferrable), $12.950 million: A+ (sf) Class C-2-R (deferrable), $9.800 million: A (sf) Class D-R (deferrable), $21.000 million: BBB- (sf) Class E-R (deferrable), $9.695 million: BB- (sf) Ratings Withdrawn Silver Rock CLO I Ltd./Silver Rock CLO I LLC Class A to NR from AAA (sf) Class B to NR from AA (sf) Class C to NR from A (sf) Class D to NR from BBB- (sf) Class E to NR from BB- (sf) SILVER ROCK I: S&P Assigns Prelim BB- (sf) Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R-1, D-R, and E-R replacement notes and proposed new class X-R and C-R-2 notes from Silver Rock CLO I Ltd./Silver Rock CLO I LLC, a CLO originally issued in November 2020 that is managed by Silver Rock Management LLC, a subsidiary of Silver Rock Financial L.P. The preliminary ratings are based on information as of Nov. 9, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Nov. 15, 2023, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R-1, D-R, and E-R notes are expected to be issued at a higher spread over three-month SOFR than the original notes. -- The replacement class A-R, B-R, C-R-1, D-R, and E-R notes are expected to be issued at a floating spread, replacing the current floating spread. The class X-R and C-R-2 notes are expected to be issued at a fixed coupon. -- The stated maturity, reinvestment period, and weighted average life test date will be extended two years. The non-call period will be extended three years. -- The class X-R notes are new notes issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first seven payment dates beginning with the payment date in April 2024. -- No additional subordinated notes will be issued on the refinancing date. Replacement And Original Note Issuances Replacement notes -- Class X-R, $3.500 million: 6.597% -- Class A-R, $224.000 million: Three-month term SOFR + 1.78% -- Class B-R, $40.250 million: Three-month term SOFR + 2.90% -- Class C-1-R (deferrable), $12.950 million: Three-month term SOFR + 3.85% -- Class C-2-R (deferrable), $9.800 million: 8.650% -- Class D-R (deferrable), $21.000 million: Three-month term SOFR + 5.75% -- Class E-R (deferrable), $9.695 million: Three-month term SOFR + 9.20% Original notes -- Class A, $210.00 million: Three-month CME term SOFR + 1.91161% -- Class B, $56.00 million: Three-month CME term SOFR + 2.56161% -- Class C (deferrable), $19.25 million: Three-month CME term SOFR + 3.11161% -- Class D (deferrable), $21.00 million: Three-month CME term SOFR + 4.76161% -- Class E (deferrable), $11.20 million: Three-month CME term SOFR + 8.77161% -- Subordinated notes, $30.10 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Silver Rock CLO I Ltd./Silver Rock CLO I LLC Class X-R, $3.500 million: AAA (sf) Class A-R, $224.000 million: AAA (sf) Class B-R, $40.250 million: AA (sf) Class C-1-R (deferrable), $12.950 million: A+ (sf) Class C-2-R (deferrable), $9.800 million: A (sf) Class D-R (deferrable), $21.000 million: BBB- (sf) Class E-R (deferrable), $9.695 million: BB- (sf) STRATUS STATIC 2022-3: Fitch Hikes Rating on Cl. F Notes to 'Bsf' ----------------------------------------------------------------- Fitch Ratings upgraded the class B, C, D, E and F notes and affirmed the class A notes of Stratus Static CLO 2022-3, Ltd. (Stratus 2022-3). The Rating Outlooks on the rated notes are Stable. Entity/Debt Rating Prior ----------- ------ ----- Stratus Static CLO 2022-3, Ltd. A 86317EAA4 LT AAAsf Affirmed AAAsf B 86317EAC0 LT AA+sf Upgrade AAsf C 86317EAE6 LT A+sf Upgrade Asf D 86317EAG1 LT BBB+sf Upgrade BBB-sf E 86317DAA6 LT BBsf Upgrade BB-sf F 86317DAC2 LT Bsf Upgrade B-sf TRANSACTION SUMMARY Stratus 2022-3 is a static arbitrage cash flow collateralized loan obligation (CLO) managed Blackstone Liquid Credit Strategies LLC. The transaction closed in November 2022 and is secured primarily by first lien, senior secured leveraged loans. KEY RATING DRIVERS Improving Credit Enhancement Levels and Stable Portfolio Performance The upgrades are driven by note amortization, which resulted in increased credit enhancement levels and break-even default rate (BEDR) cushions against relevant rating stress loss levels. Since closing, approximately 10.3% of the class A notes have amortized, as of the October 2023 reporting, with an additional $31.4 million of principal proceeds available for distribution on the October payment date, which could increase total amortization to 14.5%. The credit quality of the portfolio has remained at the 'B/B-' rating level, with the Fitch weighted average rating factor of the portfolio at 24.6, compared to 24.5 at closing. The portfolio consists of 194 obligors, and the largest 10 obligors represent 7.4% of the portfolio. There are no defaulted assets in the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 10.1% and 4.5%, respectively. First lien loans, cash and eligible investments comprised 100.0% of the portfolio. Fitch's weighted average recovery rate of the portfolio is 77.2%, compared with 76.4% at closing. All coverage tests, limitations and weighted average life (WAL) test are in compliance. Cash Flow Analysis Fitch conducted an updated cash flow analysis based on a stressed portfolio that incorporated a one-notch downgrade on assets with a Negative Outlook on the driving rating of the obligor. In addition, Fitch extended the current WAL of the portfolio to 5.1 years to consider the issuer's ability to consent to maturity amendments. The rating actions for all classes are in line with their model-implied rating (MIR), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria, except for the class E and F notes. Fitch upgraded the class E and F notes to one notch below their respective MIRs due to modest cushions at the higher rating level amid recessionary macroeconomic headwinds. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with the class's ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement (CE) do not compensate for the higher loss expectation than initially anticipated; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to four notches, based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to seven notches, based on the MIRs. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SYMPHONY CLO 40: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Symphony CLO 40 Ltd./Symphony CLO 40 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 Symphony Alternative Asset Management LLC, a subsidiary of Nuveen LLC. The preliminary ratings are based on information as of Nov. 14, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral 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 Symphony CLO 40 Ltd./Symphony CLO 40 LLC Class A-1(i), $183.00 million: AAA (sf) Class A-1-L loans(i), $69.00 million: AAA (sf) Class A-2, $8.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C-1 (deferrable), $14.00 million: A+ (sf) Class C-2 (deferrable), $8.00 million: A (sf) Class D (deferrable), $26.00 million: BBB- (sf) Class E (deferrable), $11.00 million: BB- (sf) Subordinated notes, $36.40 million: Not rated (i)All or a portion of the class A-1-L loans can be converted into class A-1 notes. Any conversion of loans to notes will result in the reduction of such amount from the class A-1-L loans and a proportionate increase in class A-1 notes. No notes may be converted to loans. Upon all loans being converted to notes, the class A-1-L loans will cease to be outstanding. UBS COMMERCIAL 2017-C6: Fitch Affirms B- Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 16 classes and revised four Rating Outlooks to Negative from Stable of UBS Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2017-C6. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C6 A-4 90276UAW1 LT AAAsf Affirmed AAAsf A-5 90276UAX9 LT AAAsf Affirmed AAAsf A-BP 90276UAY7 LT AAAsf Affirmed AAAsf A-S 90276UBC4 LT AAAsf Affirmed AAAsf A-SB 90276UAU5 LT AAAsf Affirmed AAAsf B 90276UBD2 LT AA-sf Affirmed AA-sf C 90276UBE0 LT A-sf Affirmed A-sf D 90276UAJ0 LT BBB-sf Affirmed BBB-sf E 90276UAL5 LT BB-sf Affirmed BB-sf F 90276UAN1 LT B-sf Affirmed B-sf X-A 90276UAZ4 LT AAAsf Affirmed AAAsf X-B 90276UBB6 LT AA-sf Affirmed AA-sf X-BP 90276UBA8 LT AAAsf Affirmed AAAsf X-D 90276UAA9 LT BBB-sf Affirmed BBB-sf X-E 90276UAC5 LT BB-sf Affirmed BB-sf X-F 90276UAE1 LT B-sf Affirmed B-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 last rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.8%. Eight loans (22.4% of the pool) have been designated as Fitch Loans of Concern (FLOC), including two loans (8.3%) in special servicing. The affirmations reflect the impact of the updated criteria and generally stable performance since the last rating action. The Negative Outlooks reflect performance concerns on the 1001 Towne (2.8%) and the IGF Portfolio (1.8%) loans, along with other FLOCs. The pool also has a high concentration of office loans, representing approximately 35.6% of the transaction. Largest Contributors to Losses: The largest contributor to overall loss expectations is the specially serviced 1001 Towne loan, which is secured by a 43,701-sf mixed use property located within the Fashion District in Los Angeles, CA. The uses include retail, office, and parking. The loan transferred to special servicing in June 2020 for imminent default for COVID impact. The property went into foreclosure in August 2021 and has been REO since October 2021. According to the special servicer, disposition of the property is expected by the end of Q3 2024. Per the September 2023 rent roll, the property was 87.1% occupied, compared with 65% at YE 2022, 84% at YE 2021, and 75% at YE 2019. 13.3% of NRA is scheduled to roll throughout 2023, 13.1% in 2024, and 12.8% in 2025. NOI DSCR at YE 2022 was 1.02x, compared to 1.07x at YE 2021, and 2.27x at YE 2019. Fitch's 'Bsf' rating case loss of 31% (prior to concentration add-ons) was based on a discount to a recent appraisal valuation, reflecting a stressed value of $247 psf. The second largest contributor to overall loss expectations is the IGF Portfolio loan, secured by five single-tenant retail spaces. The loan previously transferred to special servicing in June 2021 due to the borrower being unwilling to comply with cash management after Walgreens (formerly 28.7% NRA with an initial September 2028 expiration date) vacated the subject. The loan transferred back to the Master Servicer in June 2023, however, remains 60 days delinquent as of October 2023 reporting. The remaining major tenants include Dollar General (41.2%; March 2027) and Sherwin Williams (11.4%; June 2025). As of YE 2022, the portfolio was 68% occupied, compared to when the property was 100% occupied from YE 2018 to YE 2021. The borrower is in advanced talks with a tenant to backfill the entire vacant space on a prospective 15-year lease. There is 10.8% of the NRA rolling in 2025, 9.3% in 2026, and 8.6% in 2027. NOI DSCR was 1.54x at YE 2022, compared with 2.22x at YE 2020, 2.23x at YE 2019, and 2.40x at YE 2018. Fitch's 'Bsf' rating case loss of approximately 39% (prior to concentration add-ons) reflects a 7.5% stress to the YE 2022 NOI and a 9.25% cap rate. The third largest contributor to overall loss expectations is the Murrieta Plaza (2.7%) loan, secured by a 141,122 SF retail property located in Murrieta, CA. As of YE 2022, the property was 41.30% occupied and performing at a 0.98x net cash flow (NCF) DSCR. This compares with YE 2021 occupancy of 84.41% and NCF DSCR of 1.45x. The notable drop in performance is due to Dick's Sporting Goods (previously 42.5% of NRA) vacating the property at its March 2022 lease expiration. Remaining major tenants include Powerhouse Gym (12.8%; June 2031), Walgreens (10.2%; April 2080), and Buffalo Wings and Rings (3.7%; June 2027). Fitch's 'Bsf' rating case loss of approximately 17% (prior to concentration add-ons) reflects a 20% stress to the YE 2021 NOI and a 10.5% cap rate. Specially Serviced Loan: The largest loan in special servicing is the 111 West Jackson (5.4%) loan, which is secured by a 574,878-sf office building in Chicago, IL. The loan transferred to special servicing in March 2023 for imminent default. The loan had previously received standalone investment-grade credit opinion, which was removed given the decline in occupancy and NOI. Per the January 2023 rent roll, the property was 61.1% occupied. Loop Capital (7%; initial lease expiration April 2027) has exercised their termination option and will vacate in Q4 2024. Remaining major tenants include Harris & Harris Ltd (12.7%; March 2028) and Advanced Resources (6.5%; June 2029). Occupancy could fall further due to near-term scheduled rollover as 2.7% of NRA is rolling in 2023, 8.5% (including Loop Capital) in 2024, and 8.8% in 2025. Fitch's 'Bsf' rating case loss of 1% (prior to concentration add-ons) was based on a discount to a recent appraisal valuation, reflecting in minimal loss due to the overall low exposure of the loan. Improved CE: As of the October 2023 distribution date, the pool's aggregate principal balance has paid down by 20.4% to $545.3 million from $684.7 million at issuance. Five loans (7.3%) were defeased. Ten loans (32.9%) are full-term interest-only (IO) loans and the remaining 67.1% is amortizing. Credit Opinion Loans: Two loans, Burbank Office Portfolio (7.2%) and 111 West Jackson, received standalone investment-grade credit opinions of 'BBB+sf' and 'BBB+sf', respectively, at issuance. Fitch no longer considers the performance of 111 West Jackson to be consistent with an investment-grade credit opinion loan due to declining occupancy and NOI since issuance. 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', 'A-sf', and 'BBB-sf' rated classes will occur if expected losses increase significantly for the FLOCs, specifically the 1001 Towne and IGF Portfolio loans, and/or loans anticipated to pay off at maturity exhibit declines in performance. Downgrades to the 'BB-sf' and 'B-sf' 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', 'A-sf', and 'BBB-sf' rated classes may occur with significant improvement in CE and/or defeasance as well as with the stabilization of performance on the FLOCs, specifically 1001 Towne and IGF Portfolio. Upgrades to the 'BB-sf' and 'B-sf' 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. 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. UBS COMMERCIAL 2018-C11: Fitch Cuts Rating on Two Tranches to BBsf ------------------------------------------------------------------ Fitch Ratings has downgraded two classes and affirmed 11 classes of UBS Commercial Mortgage Trust 2018-C11 commercial mortgage pass-through certificates (UBS 2018-C11). Fitch has revised Outlooks on two classes to Negative from Stable; and assigned two classes Negative Outlooks following their downgrades. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- UBS 2018-C11 A3 90276XAT2 LT AAAsf Affirmed AAAsf A4 90276XAU9 LT AAAsf Affirmed AAAsf A5 90276XAV7 LT AAAsf Affirmed AAAsf AS 90276XAY1 LT AAAsf Affirmed AAAsf ASB 90276XAS4 LT AAAsf Affirmed AAAsf B 90276XAZ8 LT AA-sf Affirmed AA-sf C 90276XBA2 LT A-sf Affirmed A-sf D 90276XAC9 LT BBsf Downgrade BBB-sf E-RR 90276XAE5 LT B-sf Affirmed B-sf F-RR 90276XAG0 LT CCCsf Affirmed CCCsf XA 90276XAW5 LT AAAsf Affirmed AAAsf XB 90276XAX3 LT AA-sf Affirmed AA-sf XD 90276XAA3 LT BBsf Downgrade 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 downgrades reflect the impact of the updated criteria and higher loss expectations since the last rating action on the Fitch Loans of Concern (FLOCs) which comprise 28.1% of the pool. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.21%. Eight loans are considered FLOCs including two special serviced loans (10%). The Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization on the FLOCs, particularly several underperforming office loans. These loans include the largest contributors to loss expectations: Riverfront Plaza (6.8%), Cedar Ridge (3.1%) and the specially serviced 44-55 West 28th Street (2.8%). Fitch Loans of Concern: The largest increases in modeled losses since Fitch's last rating action are attributed to the specially serviced loan, 45-55 West 28th St (2.8% of the pool) which is secured by a 34,142-sf mixed-use property in Manhattan that was built in 1912 and renovated in 2013. The property was 91.7% occupied with average rental rates of $65.02/sf as of the December 2022 rent roll. Per the servicer commentary, 11 tenants (38.1% NRA) leases are scheduled to expire in the next 12 months, including top tenants: JC Bosto Inc. (2,365 sf, 6.9% NRA, Feb. 28, 2024 exp) and Cindy Sunglass (1,888 sf, 5.5% NRA, March 31, 2024 exp). The loan was transferred to special servicing again in July 2023 after it had previously been specially serviced and returned back to the master servicer in November 2021 when a forbearance was approved. Per the special servicer, they are currently finalizing terms of a reinstatement agreement with the borrower to resolve the ongoing defaults. Should the negotiations fail to generate an acceptable settlement, the lender will continue to pursue all remedies under the loan documents. Fitch's 'Bsf' rating case loss of 31% (prior to concentration add-ons) on this FLOC reflects a 9.0% cap rate and the YE 2022 NOI Fitch's stressed value is in-line with the most recent servicer provided valuation. The second largest contributor to expected losses is Cedar Ridge (3.1%), which is secured by a 129,333-sf suburban office property in Southlake, TX, built in 2005. The largest tenant, American Specialty Health (51.6% NRA; exp June 2027) vacated in the 4Q19 but continues to make rent payments. Near-term rollover includes approximately 10% by YE 2023 and an additional 8.4% (Regus) expires in January 2024. Fitch's 'Bsf' rating case loss of 22% (prior to concentration add-ons) on this FLOC reflects a 10.5% cap rate and 30% stress to YE 2022 NOI and a higher probability of default to account for dark tenant, near-term rollover and high submarket vacancy. The third largest contributor to expected losses is Riverfront Plaza (6.8%), which is secured by a 950,000-sf two tower office property located in the Richmond, VA CBD. The property was built in 1990 and last renovated in 2014. Per the June 2023 rent roll, the property was 80% leased. However, the second largest tenant, Truist Bank's, space (14.9% of the NRA) is reportedly dark. Further, the third largest tenants' space (10% of NRA) is currently subleased at a rate that is approximately 20% below the direct tenant's rent; the subtenant has a lease expiration in December 2024. Per CoStar, the entire property has an availability rate of close to 40%. Fitch's 'Bsf' rating case loss of 9.0% (prior to concentration add-ons) on this FLOC reflects a 10% cap rate and a 35% stress to the TTM June 2023 NOI to account for the above market rents, dark tenancy and near-term roll. Fitch ran an additional sensitivity scenario that assumed an increased probability of default on the loan, which contributed to the Negative Outlooks revisions to classes C, D, E-RR and X-D. Change in CE: The pool's aggregate balance has been reduced by 15% since issuance. Three loans representing 3.7%% of the pool are defeased. Actual realized losses of $6.3 million affected the non-rated NR-RR and VRR classes, and cumulative interest shortfalls of $657,539 are currently affecting the non-rated NR-RR and VRR classes. Office Concentration: The pool has a substantial concentration of loans secured by office properties at (34%). Fitch maintains a 'deteriorating' outlook for the U.S. office sector given macroeconomic headwinds, including rising interest rates and pressures on office fundamentals from the secular shift to hybrid working. Credit Opinion loan: 20 Times Square (3.6%) no longer maintains a credit opinion. The loan is secured by the leased fee interest in a 16,066-sf parcel of land located in Times Square, New York, NY, that is improved with a 452-key hotel, 75,000 sf of retail space, and 18,000 sf of digital signage. The loan transferred to special servicing in November 2022 due to an event of default related to the filing of over $26 million in mechanics liens related to the construction of the hotel; the liens are considered a breach under the ground lease and the loan agreement. The debt matured in May 2023, and the mezzanine lender recently took an assignment in lieu and became the mortgage borrower. The special servicer extended the loan through May 2025 after the new borrower funded a guaranteed obligations reserve of $69.2 million, paid down loan principal by $50 million, and paid all specially servicing fees and expenses. The borrower has nine months to clear the mechanics liens. Fitch's value based on a cap rate of 7% and a five year straight average of the ground lease payment results in a value well above the senior debt. Fitch modeled a 2% loss to account for any future servicing fees or expenses that may arise. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' and 'AA-sf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral if the U.S. sovereign rating is lower than 'AAA' could also contribute to downgrades. Downgrades to 'A-sf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions, if additional loans become FLOCs or with outsized losses on the larger FLOCs. Downgrades to 'BBsf' and 'B-sf' category rated classes are possible with higher expected losses from continued under performance of the FLOCs and with greater certainty of near-term losses on specially serviced loans and other FLOCs. Downgrades to distressed ratings of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AA-sf' and 'A-sf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to 'BBsf' and 'B-sf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' is not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. UBS COMMERCIAL 2019-C17: Fitch Affirms 'Bsf' Rating on Two Tranches ------------------------------------------------------------------- Fitch Ratings has affirmed all ratings in UBS Commercial Mortgage Trust 2019-C17 Commercial Mortgage Pass-Through Certificates, Series 2019-C17. In addition, Fitch has revised the Rating Outlooks for four classes to Negative from Stable. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- UBS 2019-C17 A-1 90278MAW7 LT AAAsf Affirmed AAAsf A-2 90278MAX5 LT AAAsf Affirmed AAAsf A-3 90278MAZ0 LT AAAsf Affirmed AAAsf A-4 90278MBA4 LT AAAsf Affirmed AAAsf A-S 90278MBD8 LT AAAsf Affirmed AAAsf A-SB 90278MAY3 LT AAAsf Affirmed AAAsf B 90278MBE6 LT AA-sf Affirmed AA-sf C 90278MBF3 LT A-sf Affirmed A-sf D 90278MAG2 LT BBBsf Affirmed BBBsf E 90278MAJ6 LT BBB-sf Affirmed BBB-sf F 90278MAL1 LT BBsf Affirmed BBsf G 90278MAN7 LT Bsf Affirmed Bsf X-A 90278MBB2 LT AAAsf Affirmed AAAsf X-B 90278MBC0 LT A-sf Affirmed A-sf X-D 90278MAA5 LT BBB-sf Affirmed BBB-sf X-F 90278MAC1 LT BBsf Affirmed BBsf X-G 90278MAE7 LT Bsf Affirmed Bsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The downgrades reflect the impact of the updated criteria and higher loss expectations since the last rating action on the Fitch Loans of Concern (FLOCs) which comprise 17% of the pool. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.12%. Ten loans are considered FLOCs including two special serviced loans (3%). The Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization on the FLOCs and the potential for higher losses on the specially serviced loans. These loans include the largest contributors to loss expectations: 600 & 620 National Avenue (3.9% of the pool), Gateway Tower (1.8%) and the specially serviced loans, Hudson River Hotel (1.7%) and Meidinger Tower (1.1%). Fitch Loans of Concern: The largest increases in modeled losses since Fitch's last rating action are attributed to the specially serviced loan, Hudson River Hotel (1.7%). The loan is secured by a 15-story, 56-key limited-service boutique hotel three blocks east of the Hudson Yards development. The loan, which is sponsored by Ae Sook Choi and Jin Sup An, transferred to special servicing in June 2020 for imminent monetary default. The borrower filed Chapter 11 Bankruptcy in March 2022. A liquidation agreement has been approved by the court. The loan is being marketed for sale in 4Q23. Fitch's 'Bsf' rating case loss of 51% reflects a discount to most recent servicer provided valuation and a Fitch stressed value per key of $203,125. The second largest contributor to expected losses is the FLOC, Gateway Tower (1.8% of the pool). The loan is secured by a 213,229-sf office property located in St. Louis, MO. The loan is on master servicer's watchlist due to upcoming rollover. Per the most recent rent roll from June 30, 2023, there are a few tenants with upcoming lease expirations that combine for more than 30% of NRA. The tenant, KMOV-TV Inc. - 50,460 sf (23.6% NRA) with an expiry of December 2023 vacated their space. The servicer agreed to a lease modification for tenant to leave interior buildout and pay landlord $550,000. Per master servicer commentary, the borrower has been contacted for a leasing update on the KMOV space. Fitch's 'Bsf' rating case loss of 22% (prior to concentration add-ons) reflects a 10% cap rate and a 25% stress to YE 2022 NOI to account for tenants which vacated and potential rollover. Fitch ran an additional sensitivity scenario that assumed an increased probability of default on the loan, which contributed to the Negative Outlooks revisions to classes F, G, X-F and X-G. The third largest contributor to expected losses is the specially serviced loan, Meidinger Tower (1.1% of the pool) which is secured by a 331,054-sf office property located in the CBD of Louisville, KY. The loan transferred to special servicing in August 2023 due to downward trending occupancy. The loan began amortizing in August 2023 after a 48-month interest-only (IO) period, and was current as of the September 2023 payment date. As of the March 2023 rent roll, the largest tenant, Computershare (33.9% of the NRA), has an upcoming October 2023 lease expiration. The servicer indicated the tenant did not provide notice of renewal, which triggered an excess cash sweep. The second largest tenant, MCM CPAs & Advisor LLP (11.3% of the NRA), vacated at its May 2023 lease expiration and moved to a nearby office tower; this dropped occupancy further to an estimated 73.1%, compared with 84.4% as of the March 2023 rent roll and 91.6% in June 2021. An additional 12% of leases roll by early 2024. Fitch requested a leasing update for the property but it was not received. Fitch's 'Bsf' rating case loss of 34% (prior to concentration adjustments) is based on an 10.25% cap rate and a 25% stress to the annualized 2021 net cash flow due to the loss of tenant and rollover concentration. The fourth largest contributor to expected losses is the FLOC, 600 & 620 National Drive (5% of the pool) which secured by a class A-, LEED Gold-certified, single-tenant property 100% occupied at issuance by Google until May 2029. Google's lease expires three months prior to loan's maturity. This loan is on the master servicer's watchlist due to the implementation of cash management, as a result of Google not intending to occupy the space. However, they will continue to pay monthly rent. Per master servicer commentary, cash management has been successfully implemented, and they are currently trapping all excess cash. Per notice letter sent to landlord dated May 25, 2023, Google indicated it did not intend to occupy the space for duration of the lease term as their needs had changed. Recent media reports indicate the property is vacant and the space is available for lease. Per CoStar, as of 4Q23, the Mountainview office submarket vacancy rate is 17.1% with average asking rent of $77 psf with an availability rate of 23%. Google is paying below market rent of $66.86 psf as of the June 2023 rent roll. Fitch's 'Bsf' rating case loss of 7.6% (prior to concentration add-ons) reflects an 8% cap rate and a 15% stress to YE 2022 NOI to account for Google vacating. Minimal Change to Credit Enhancement (CE): As of the October 2023 distribution date, the pool's aggregate balance has been paid down by 2.9% to $784.2 million from $807.3 million at issuance. Twenty-one loans (34.7% of pool) are full-term, IO, and 21 loans (30%) have a partial-term, IO component. Five loans (5.8%) are fully defeased. Cumulative interest shortfalls of $525,660 are currently affecting the non-rated classes NR-RR and VRRI. Pool Concentration: The top 10 loans comprise 38% of the pool. Loan maturities are concentrated in 2029 (99%). Based on property type, the largest concentrations are retail at 23%, hotel at 21% and office at 14%. Fitch maintains a 'deteriorating' outlook for the U.S. office sector given macroeconomic headwinds, including rising interest rates and pressures on office fundamentals from the secular shift to hybrid working. Credit Opinion Loans: Two loans representing 9.6% of the pool were credit assessed at issuance. Grand Canal Shoppes (6.4%) received a stand-alone credit opinion of 'BBB-sf' and 10000 Santa Monica Boulevard (3.2%) received a stand-alone credit opinion of 'BBBsf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs and specially serviced loans. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' and 'AA-sf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral if the U.S. sovereign rating is lower than 'AAA' could also contribute to downgrades. Downgrades to 'A-sf', 'BBBsf' and 'BBB-sf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions, if additional loans become FLOCs or with outsized losses on the larger FLOCs. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued under performance of the FLOCs and with greater certainty of near-term losses on specially serviced loans and other FLOCs. Downgrades to distressed ratings of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AA-sf', 'A-sf', 'BBBsf'; and 'BBB-sf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. 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. UBS COMMERCIAL 2019-C17: Fitch Affirms Bsf Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed all ratings in UBS Commercial Mortgage Trust 2019-C17 Commercial Mortgage Pass-Through Certificates, Series 2019-C17. In addition, Fitch has revised the Rating Outlooks for four classes to Negative from Stable. The Under Criteria Observation (UCO) has been resolved. Entity/Debt Rating Prior ----------- ------ ----- UBS 2019-C17 A-1 90278MAW7 LT AAAsf Affirmed AAAsf A-2 90278MAX5 LT AAAsf Affirmed AAAsf A-3 90278MAZ0 LT AAAsf Affirmed AAAsf A-4 90278MBA4 LT AAAsf Affirmed AAAsf A-S 90278MBD8 LT AAAsf Affirmed AAAsf A-SB 90278MAY3 LT AAAsf Affirmed AAAsf B 90278MBE6 LT AA-sf Affirmed AA-sf C 90278MBF3 LT A-sf Affirmed A-sf D 90278MAG2 LT BBBsf Affirmed BBBsf E 90278MAJ6 LT BBB-sf Affirmed BBB-sf F 90278MAL1 LT BBsf Affirmed BBsf G 90278MAN7 LT Bsf Affirmed Bsf X-A 90278MBB2 LT AAAsf Affirmed AAAsf X-B 90278MBC0 LT A-sf Affirmed A-sf X-D 90278MAA5 LT BBB-sf Affirmed BBB-sf X-F 90278MAC1 LT BBsf Affirmed BBsf X-G 90278MAE7 LT Bsf Affirmed Bsf KEY RATING DRIVERS Criteria Update: The rating actions reflect the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. The downgrades reflect the impact of the updated criteria and higher loss expectations since the last rating action on the Fitch Loans of Concern (FLOCs) which comprise 17% of the pool. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.12%. Ten loans are considered FLOCs including two special serviced loans (3%). The Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization on the FLOCs and the potential for higher losses on the specially serviced loans. These loans include the largest contributors to loss expectations: 600 & 620 National Avenue (3.9% of the pool), Gateway Tower (1.8%) and the specially serviced loans, Hudson River Hotel (1.7%) and Meidinger Tower (1.1%). Fitch Loans of Concern: The largest increases in modeled losses since Fitch's last rating action are attributed to the specially serviced loan, Hudson River Hotel (1.7%). The loan is secured by a 15-story, 56-key limited-service boutique hotel three blocks east of the Hudson Yards development. The loan, which is sponsored by Ae Sook Choi and Jin Sup An, transferred to special servicing in June 2020 for imminent monetary default. The borrower filed Chapter 11 Bankruptcy in March 2022. A liquidation agreement has been approved by the court. The loan is being marketed for sale in 4Q23. Fitch's 'Bsf' rating case loss of 51% reflects a discount to most recent servicer provided valuation and a Fitch stressed value per key of $203,125. The second largest contributor to expected losses is the FLOC, Gateway Tower (1.8% of the pool). The loan is secured by a 213,229-sf office property located in St. Louis, MO. The loan is on master servicer's watchlist due to upcoming rollover. Per the most recent rent roll from June 30, 2023, there are a few tenants with upcoming lease expirations that combine for more than 30% of NRA. The tenant, KMOV-TV Inc. - 50,460 sf (23.6% NRA) with an expiry of December 2023 vacated their space. The servicer agreed to a lease modification for tenant to leave interior buildout and pay landlord $550,000. Per master servicer commentary, the borrower has been contacted for a leasing update on the KMOV space. Fitch's 'Bsf' rating case loss of 22% (prior to concentration add-ons) reflects a 10% cap rate and a 25% stress to YE 2022 NOI to account for tenants which vacated and potential rollover. Fitch ran an additional sensitivity scenario that assumed an increased probability of default on the loan, which contributed to the Negative Outlooks revisions to classes F, G, X-F and X-G. The third largest contributor to expected losses is the specially serviced loan, Meidinger Tower (1.1% of the pool) which is secured by a 331,054-sf office property located in the CBD of Louisville, KY. The loan transferred to special servicing in August 2023 due to downward trending occupancy. The loan began amortizing in August 2023 after a 48-month interest-only (IO) period, and was current as of the September 2023 payment date. As of the March 2023 rent roll, the largest tenant, Computershare (33.9% of the NRA), has an upcoming October 2023 lease expiration. The servicer indicated the tenant did not provide notice of renewal, which triggered an excess cash sweep. The second largest tenant, MCM CPAs & Advisor LLP (11.3% of the NRA), vacated at its May 2023 lease expiration and moved to a nearby office tower; this dropped occupancy further to an estimated 73.1%, compared with 84.4% as of the March 2023 rent roll and 91.6% in June 2021. An additional 12% of leases roll by early 2024. Fitch requested a leasing update for the property but it was not received. Fitch's 'Bsf' rating case loss of 34% (prior to concentration adjustments) is based on an 10.25% cap rate and a 25% stress to the annualized 2021 net cash flow due to the loss of tenant and rollover concentration. The fourth largest contributor to expected losses is the FLOC, 600 & 620 National Drive (5% of the pool) which secured by a class A-, LEED Gold-certified, single-tenant property 100% occupied at issuance by Google until May 2029. Google's lease expires three months prior to loan's maturity. This loan is on the master servicer's watchlist due to the implementation of cash management, as a result of Google not intending to occupy the space. However, they will continue to pay monthly rent. Per master servicer commentary, cash management has been successfully implemented, and they are currently trapping all excess cash. Per notice letter sent to landlord dated May 25, 2023, Google indicated it did not intend to occupy the space for duration of the lease term as their needs had changed. Recent media reports indicate the property is vacant and the space is available for lease. Per CoStar, as of 4Q23, the Mountainview office submarket vacancy rate is 17.1% with average asking rent of $77 psf with an availability rate of 23%. Google is paying below market rent of $66.86 psf as of the June 2023 rent roll. Fitch's 'Bsf' rating case loss of 7.6% (prior to concentration add-ons) reflects an 8% cap rate and a 15% stress to YE 2022 NOI to account for Google vacating. Minimal Change to Credit Enhancement (CE): As of the October 2023 distribution date, the pool's aggregate balance has been paid down by 2.9% to $784.2 million from $807.3 million at issuance. Twenty-one loans (34.7% of pool) are full-term, IO, and 21 loans (30%) have a partial-term, IO component. Five loans (5.8%) are fully defeased. Cumulative interest shortfalls of $525,660 are currently affecting the non-rated classes NR-RR and VRRI. Pool Concentration: The top 10 loans comprise 38% of the pool. Loan maturities are concentrated in 2029 (99%). Based on property type, the largest concentrations are retail at 23%, hotel at 21% and office at 14%. Fitch maintains a 'deteriorating' outlook for the U.S. office sector given macroeconomic headwinds, including rising interest rates and pressures on office fundamentals from the secular shift to hybrid working. Credit Opinion Loans: Two loans representing 9.6% of the pool were credit assessed at issuance. Grand Canal Shoppes (6.4%) received a stand-alone credit opinion of 'BBB-sf' and 10000 Santa Monica Boulevard (3.2%) received a stand-alone credit opinion of 'BBBsf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs and specially serviced loans. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' and 'AA-sf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral if the U.S. sovereign rating is lower than 'AAA' could also contribute to downgrades. Downgrades to 'A-sf', 'BBBsf' and 'BBB-sf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions, if additional loans become FLOCs or with outsized losses on the larger FLOCs. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued under performance of the FLOCs and with greater certainty of near-term losses on specially serviced loans and other FLOCs. Downgrades to distressed ratings of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AA-sf', 'A-sf', 'BBBsf'; and 'BBB-sf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. 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. VOYA CLO 2016-2: Moody's Ups Rating on $21.2MM C-R Notes From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Voya CLO 2016-2, Ltd.: US$45,900,000 Class A-2-R Floating Rate Notes due 2028 (the "Class A-2-R Notes"), Upgraded to Aaa (sf); previously on April 18, 2022 Upgraded to Aa1 (sf) US$25,600,000 Class B-R Deferrable Floating Rate Notes due 2028 (the "Class B-R Notes"), Upgraded to Aa2 (sf); previously on April 18, 2022 Upgraded to A2 (sf) US$21,200,000 Class C-R Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Upgraded to Baa3 (sf); previously on September 15, 2020 Downgraded to Ba1 (sf) Voya CLO 2016-2, Ltd., originally issued in July 2016 and refinanced in August 2019, 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 2021. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2022. The Class A-1-R notes have been paid down by approximately 43.7% or $94 million since October 2022. Based on the trustee's October 2023 report [1], the OC ratios for the Class A-1-R/A-2-R, Class B-R and Class C-R notes are reported at 139.73%, 123.46% and 112.59%, respectively, versus October 2022 [2] reported levels of 131.38%, 120.06% and 112.06%, respectively. Moody's notes that the October 2023 trustee-reported OC ratios do not reflect the October 2023 payment distribution, when approximately $27 million of principal proceeds were used to pay down the Class A-1-R Notes. Nonetheless, the credit quality of the portfolio has deteriorated over the last year. In particular, based on the trustee's October 2023 report [1], the weighted average rating factor (WARF) has increased to 3105 compared to 2898 in October 2022 [2], and the weighted average recovery rate (WARR) has decreased to 47.80% [1] from 48.20% in October 2022 [2]. Moreover, the trustee reports [1] that the deal is failing its WARF, Diversity Score, weighted average coupon and weighted average spread test as of the October 2023 measurement date. 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: $243,645,142 Defaulted par: $3,541,948 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2884 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.2% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 47.68% Weighted Average Life (WAL): 3.28 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 and 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. WAMU COMMERCIAL 2006-SL1: Fitch Affirms CCC Rating on Cl. F Debt ---------------------------------------------------------------- Fitch Ratings has affirmed nine classes of WaMu Commercial Mortgage Securities Trust 2006-SL1, small balance commercial mortgage pass-through certificates (WAMU 2006-SL1) and eight classes of WaMu Commercial Mortgage Securities Trust 2007-SL2, small balance commercial mortgage pass-through certificates (WAMU 2007-SL2). All Rating Outlooks remain Stable. Entity/Debt Rating Prior ----------- ------ ----- WaMu Commercial Mortgage Securities Trust 2006-SL1 D 933633AF6 LT Asf Affirmed Asf E 933633AG4 LT BBsf Affirmed BBsf F 933633AH2 LT CCCsf Affirmed CCCsf G 933633AJ8 LT Dsf Affirmed Dsf H 933633AK5 LT Dsf Affirmed Dsf J 933633AL3 LT Dsf Affirmed Dsf K 933633AM1 LT Dsf Affirmed Dsf L 933633AN9 LT Dsf Affirmed Dsf M 933633AP4 LT Dsf Affirmed Dsf WaMu Commercial Mortgage Securities Trust 2007-SL2 E 933632AG6 LT Asf Affirmed Asf F 933632AH4 LT BBsf Affirmed BBsf G 933632AJ0 LT Dsf Affirmed Dsf H 933632AK7 LT Dsf Affirmed Dsf J 933632AL5 LT Dsf Affirmed Dsf K 933632AM3 LT Dsf Affirmed Dsf L 933632AN1 LT Dsf Affirmed Dsf M 933632AP6 LT Dsf Affirmed Dsf KEY RATING DRIVERS Rating Cap; Adverse Selection; Extended Maturity Profile: The ratings on classes D and E in WAMU 2006-SL1 and classes E and F in WAMU 2007-SL2 have been capped at the current ratings due to increasing pool concentration, adverse selection, interest rate risk and the extended maturity profile of the remaining pool. Pool Concentration: The pool consists entirely of small balance loans which traditionally have higher loss severities. The pools are adversely selected with the best performing loans refinancing in the prior low interest rate environment. Loans secured by multifamily properties account for 93.2% of WAMU 2006-SL1 and 77.1% of WAMU 2007-SL2, while mixed-use properties with a multifamily component account for the remainder. Both pools have a geographic concentration in California of 50% or more. Interest Rate Risk: All of the remaining loans are adjustable rate mortgages. Higher interest rates are negatively impacting the properties' NOI and may also slow down loan repayments. Extended Maturity Profile: All of the remaining loans are fully amortizing and freely pre-payable. Scheduled monthly principal remains minimal due to the 30-year amortization schedules. Absent additional prepayments, classes E and F in WAMU 2006-SL1 and WAMU 2007-SL2 respectively, are not expected to begin receiving scheduled paydown until 2027. Generally Stable Performance: The majority of the pool has exhibited relatively stable performance since the last rating action. One loan in WAMU 2006-SL1 (1.7% of pool) is in special servicing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the most senior 'Asf' rated classes are not expected due to the high credit enhancement, expected continued amortization and senior position in the capital structure. Downgrades to the 'BBsf' rated classes are considered unlikely, but may be possible should pool-level loss expectations increase significantly and/or additional defaults beyond Fitch's current expectations occur. A further downgrade to the 'CCCsf' class is possible as additional losses are realized or as losses become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Further upgrades to the 'Asf' rated classes are unlikely due to increasing pool concentration, adverse selection, interest rate risk and the extended maturity profile of the remaining pool. Upgrades to classes rated 'BBsf' and 'CCCsf' are possible with continued paydown of the pool coupled with stable collateral performance. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WESTLAKE AUTOMOBILE 2023-4: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Westlake Automobile Receivables Trust 2023-4's automobile receivables-backed notes series 2023-4. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 44.73%, 38.55%, 29.91%, 22.98%, and 19.65% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the securitized pool of subprime automobile loans, our view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Westlake Automobile Receivables Trust 2023-4 Class A-1, $318.30 million: A-1+ (sf) Class A-2, $472.20 million: AAA (sf) Class A-3, $130.53 million: AAA (sf) Class B, $100.26 million: AA (sf) Class C, $163.69 million: A (sf) Class D, $136.27 million: BBB (sf) Class E, $78.75 million: BB (sf) [*] Moody's Takes Rating Actions on $54MM of US RMBS Deals ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three bonds and downgraded the ratings of three bonds from three US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Popular ABS Mortgage Pass-Through Trust 2005-5 Cl. AF-4, Upgraded to A2 (sf); previously on Jan 20, 2023 Upgraded to Baa1 (sf) Cl. AF-5, Upgraded to Baa2 (sf); previously on Jan 20, 2023 Upgraded to Ba1 (sf) Issuer: Renaissance Home Equity Loan Trust 2003-4 A-1, Downgraded to A3 (sf); previously on Apr 9, 2012 Confirmed at A2 (sf) A-3, Downgraded to A3 (sf); previously on Apr 9, 2012 Confirmed at A2 (sf) M-1, Downgraded to B2 (sf); previously on May 9, 2014 Downgraded to Ba3 (sf) Issuer: Renaissance Home Equity Loan Trust 2005-2 Cl. AF-4, Upgraded to A3 (sf); previously on Nov 15, 2018 Upgraded to Baa1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to a deterioration in collateral performance, and decline in credit enhancement available to the bonds. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 100 Classes From 36 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 100 ratings from 36 U.S. RMBS transactions issued between 2002 and 2007. The review yielded 32 upgrades, three downgrades, 55 affirmations, four withdrawals, and six discontinues. A list of Affected Ratings can be viewed at: https://rb.gy/2emuij 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 our projected cash flows." These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical missed interest payments or interest shortfalls; -- Available subordination and/or overcollateralization; -- Expected duration; -- Payment priority; -- A small loan count; and -- The assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than S&P had previously anticipated. In addition, most of these classes are receiving all of the principal payments or are next in the payment priority when the more senior class pays down. The rating affirmations reflect S&P's view that its projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. 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. 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