/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/231203.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, December 3, 2023, Vol. 27, No. 336 Headlines AM CAPITAL 2018-1: DBRS Confirms BB Rating on Class B Notes AMCR ABS 2023-1: DBRS Gives Prov. BB(low) Rating on C Notes AMERICREDIT AUTOMOBILE 2022-1: Fitch Affirms 'BB Rating on E Notes AMSR 2023-SFR4: DBRS Finalizes BB Rating on Class F Certs AREIT 2022-CRE7: DBRS Confirms B(low) Rating on Class G Notes AUXILIOR TERM 2023-1: Moody's Assigns (P)Ba2 Rating to Cl. E Notes BANK5 2023-5YR4: Fitch Assigns 'B-(EXP)sf' Rating on Cl. J-RR Certs BAYSWATER PARK: S&P Assigns Prelim 'BB-' Rating on Class E Notes BBCMS MORTGAGE 2020-C6: DBRS Confirms BB Rating on G-RR Certs BDS 2022-FL12: DBRS Confirms B(low) Rating on Class G Notes BELLEMEADE RE 2023-1: DBRS Finalizes B Rating on Class B-1 Notes BLACKROCK DLF 2021-1: DBRS Confirms B Rating on Class W Notes BLACKROCK DLF 2021-2: DBRS Confirms B Rating on Class W Notes BLADE ENGINE 2006-1: Fitch Affirms 'Dsf' Rating on Class B Notes BMO 2023-C7: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs BPR 2023-STON: Moody's Assigns (P)Ba1 Rating to Cl. HRR Certs BRAVO RESIDENTIAL 2023-NQM7: DBRS Finalizes B(high) on B-2 Notes BWAY 2015-1740: DBRS Cuts Class A Certs Rating to C BX TRUST 2021-ACNT: DBRS Confirms B(low) Rating on Class G Certs CHASE HOME 2023-RPL3: DBRS Finalizes B(low) Rating on B-2 Certs COMM 2013-CCRE10: DBRS Confirms BB Rating on Class E Certs COMM 2021-2400: DBRS Confirms B(low) Rating on Class F Certs CSMC 2021-BHAR: DBRS Confirms B(low) Rating on Class F Certs DBGS 2021-W52: DBRS Confirms BB Rating on Class F Certs ELP COMMERCIAL 2021-ELP: DBRS Confirms B(low) Rating on G Certs FLATIRON CLO 24: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes FS COMMERCIAL 2023-4SZN: DBRS Finalizes B Rating on HRR Certs GENERATE CLO 13: S&P Assigns BB- (sf) Rating on Class E Notes GLS AUTO 2023-4: DBRS Gives Prov. BB Rating on Class E Notes GOODLEAP SUSTAINABLE 2023-4: Fitch Gives BB(EXP) Rating on C Notes GS MORTGAGE 2013-GCJ14: DBRS Cuts Class G Certs Rating to C GS MORTGAGE 2020-GC45: DBRS Confirms B Rating on Class G-RR Certs GS MORTGAGE 2023-PJ5: DBRS Finalizes B Rating on Class B-5 Notes GS MORTGAGE 2023-PJ6: DBRS Gives Prov. B(high) Rating on B-5 Notes H.I.G. RCP 2023-FL1: DBRS Finalizes B(low) Rating on Class G Notes MED TRUST 2021-MDLN: DBRS Confirms BB Rating on Class E Certs MF1 2022-FL10: DBRS Confirms B(low) Rating on 3 Classes MORGAN STANLEY 2015-C24: DBRS Confirms B(low) Rating on F Certs MTK 2021-GRNY: DBRS Confirms B(low) Rating on Class F Certs NORTHWOODS CAPITAL XIV-B: Moody's Cuts $6MM F Notes Rating to Caa2 PRESTIGE AUTO 2023-2: DBRS Finalizes BB Rating on Class E Notes PRKCM 2023-AFC4: DBRS Finalizes B Rating on Class B-2 Notes PRMI 2023-CMG1: DBRS Gives Prov. B Rating on Class B-2 Notes PRPM 2023-RCF2: DBRS Gives Prov. BB(high) Rating on Class M2 Notes REALT 2018-1: DBRS Confirms B Rating on Class G Certs SCG 2023-NASH: Moody's Assigns Ba2 Rating to Class HRR Certs SILVER POINT 3: Fitch Assigns 'BB-sf' Rating on Class E Notes SILVER POINT 3: Moody's Assigns B3 Rating to $250,000 Cl. F Notes STWD TRUST 2021-LIH: DBRS Confirms B(low) Rating on Class F Certs TRIANGLE RE 2023-1: DBRS Gives Prov. B Rating on Class B-1 Notes US BANK 2023-1: Moody's Assigns (P)Ba2 Rating to Cl. C Notes VELOCITY COMMERCIAL 2023-4: DBRS Finalizes B Rating on 3 Classes VERUS SECURITIZATION 2023-INV3: DBRS Gives (P)B Rating on B-2 Notes VOYA CLO 2023-1: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes WELLS FARGO 2021-C60: DBRS Confirms B(low) Rating on L-RR Certs WFLD 2014-MONT: DBRS Confirms B(low) Rating on Class D Certs WILLIS ENGINE V: Fitch Affirms 'BBsf' Rating on Series C Notes [*] DBRS Confirms 10 Credit Ratings From 3 Exeter Transactions [*] DBRS Puts 185 Tranches in 46 CLOs Under Review [*] S&P Takes Various Actions on 405 Classes From 13 US RMBS Deals [*] S&P Takes Various Actions on 50 Classes From Three US RMBS Deal [*] S&P Takes Various Actions on 99 Ratings From 15 US RMBS Deals ********* AM CAPITAL 2018-1: DBRS Confirms BB Rating on Class B Notes ----------------------------------------------------------- DBRS Morningstar confirmed its ratings on the two classes of debt issued by AM Capital Funding, LLC Series 2018-1 as follows: -- Class A Notes at A (high) (sf) -- Class B Notes at BB (sf) Notes: All figures are in U.S. dollars unless otherwise noted. AMCR ABS 2023-1: DBRS Gives Prov. BB(low) Rating on C Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by AMCR ABS Trust 2023-1 (AMCR 2023-1 or the Issuer): -- $81,138,000 Class A Notes at A (sf) -- $28,978,000 Class B Notes at BBB (low) (sf) -- $17,387,000 Class C Notes at BB (low) (sf) The provisional credit ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update, published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (2) The DBRS Morningstar CNL assumption is 15.85% based on the Cutoff Date pool composition. (3) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Fund, and excess spread create credit enhancement levels that are commensurate with the proposed credit ratings. -- Transaction cash flows are sufficient to repay investors under all A (sf), BBB (low) (sf) and BB (low) (sf) stress scenarios in accordance with the terms of the AMCR ABS TRUST 2023-1 transaction documents. (4) The experience, sourcing, and servicing capabilities of Credit9, LLC. DBRS Morningstar has performed an operational risk assessment of Credit9 and believes the Company is an acceptable consumer loan servicer with an acceptable Backup Servicer and Backup Servicer Subcontractor. (5) The experience, underwriting, and origination capabilities of Cross River Bank (CRB). (6) The ability of Wilmington Trust National Association to perform duties as a Backup Servicer and the ability of Nelnet Servicing, LLC dba Firstmark to perform duties as a Backup Servicer Subcontractor. (7) The annual percentage rate (APR) charged on the loans and the status of CRB as the true lender. -- Approximately 68% of loans included in AMCR 2023-1 are originated by CRB, a New Jersey state-chartered FDIC-insured bank. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- The weighted-average APR of the loans in the pool is 25.39%. -- Loans may be in excess of individual state usury laws; however, CRB as the true lender is able to export rates that pre-empt state usury rate caps. -- Loans originated to borrowers in Vermont, Colorado, West Virginia and Maine are excluded from the pool. -- Under the Loan Sale Agreement, CRB is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and expected legal opinions that will address the true sale of the consolidation loans, the nonconsolidation of the trust, and that the trust has a valid perfected security interest in the assets and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distributable Amount, and the related Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on unpaid Interest Distributable Amount for each of the rated notes. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. AMERICREDIT AUTOMOBILE 2022-1: Fitch Affirms 'BB Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has taken various actions on the outstanding notes issued by AmeriCredit Automobile Receivables Trusts (AMCAR) 2019-2, 2020-1, 2020-2, 2021-1 and 2022-1, and revised the Rating Outlook on one class and assigned new Outlooks after upgrading nine classes. Entity/Debt Rating Prior ----------- ------ ----- AmeriCredit Automobile Receivables Trust 2019-2 C 03066KAG5 LT PIFsf Paid In Full AAAsf D 03066KAH3 LT AAAsf Upgrade Asf E 03066KAA8 LT Asf Upgrade BBsf AmeriCredit Automobile Receivables Trust 2022-1 A-2 03066TAB7 LT PIFsf Paid In Full AAAsf A-3 03066TAC5 LT AAAsf Affirmed AAAsf B 03066TAD3 LT AAAsf Upgrade AAsf C 03066TAE1 LT AAsf Upgrade Asf D 03066TAF8 LT Asf Upgrade BBBsf E 03066TAG6 LT BBsf Affirmed BBsf AmeriCredit Automobile Receivables Trust 2020-1 C 03067DAF2 LT AAAsf Upgrade AAsf D 03067DAG0 LT AAsf Upgrade BBBsf AmeriCredit Automobile Receivables Trust 2021-1 A-3 03063FAC8 LT AAAsf Affirmed AAAsf B 03063FAD6 LT AAAsf Affirmed AAAsf C 03063FAE4 LT AAAsf Upgrade Asf D 03063FAF1 LT Asf Upgrade BBBsf E 03063FAG9 LT BBBsf Upgrade BBsf AmeriCredit Automobile Receivables Trust 2020-2 B 03066EAE4 LT AAAsf Affirmed AAAsf C 03066EAF1 LT AAAsf Upgrade AAsf D 03066EAG9 LT AAsf Upgrade BBBsf E 03066EAH7 LT BBBsf Upgrade BBsf KEY RATING DRIVERS The affirmations and upgrades of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. Cumulative net losses (CNLs) are tracking inside the initial rating case proxies and hard CE levels have grown for all classes in each transaction since close. The Stable Outlooks on 'AAAsf'-rated notes reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. The Stable Outlooks on the most subordinate notes reflect the expectation of slower upgrades compared to less subordinate notes. As of the November 2023 distribution date, 61+ day delinquencies were 3.51%, 2.90%, 2.65%, 2.33%, and 2.06% of the remaining collateral balance for 2019-2, 2020-1, 2020-2, 2021-1, and 2022-1, respectively. CNLs were 5.00%, 3.07%, 2.36%, 1.93%, and 2.24%, respectively, tracking below Fitch's initial rating cases of 11.00%, 10.75%, 11.25%, 11.00% and 10.00%, respectively. Furthermore, hard CE has grown for all transactions since close. The revised lifetime CNL proxies consider the transactions' remaining pool factors, pool compositions, and performance to date. Furthermore, they consider current and future macro-economic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated rating case loss proxies, but reduced the rating case proxies from the prior rating action in acknowledgement of the strong performance to date. The rating case proxies were lowered to 6.00%, 4.00%, 4.00%, 4.50%, and 7.50% for 2019-2, 2020-1, 2020-2, 2021-1 and 2022-1 respectively. Given the performance to date, driven by strong recoveries from the used vehicle market, Fitch deemed it appropriately conservative to utilize these approaches for the transactions. For the outstanding transactions, modeled loss coverage multiples for the rated notes are consistent with or in excess of 3.25x for 'AAAsf', 2.75x for 'AAsf', 2.25x for 'Asf', 1.75x for 'BBBsf' and 1.50x for 'BBsf'. Conversely, Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis, is 5.00%, 3.30%, 2.50%, 2.30%, and 4.50% for 2019-2, 2020-1, 2020-2, 2021-1, and 2022-1, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact CE levels. Lower loss coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have some sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss expectation for each transaction. For outstanding transactions, this scenario suggests a possible downgrade of up to three categories for all classes of notes. However, this is based on a very conservative proxy. To date, the transactions have strong performance with losses within Fitch's initial expectations with adequate loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding ratings. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased, and 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 Global Stagflation Would Mean for Structured Finance and Covered Bond Ratings"). Fitch expects the North American subprime auto ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on rating performance, indicating very few (less than 5%) rating or Outlook changes. Fitch expects "Mild to Modest Impact" on asset performance, indicating asset performance to be modestly negatively affected relative to current expectations, and a 25% chance of sector outlook revision by YE 2023. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above that increases the default expectation by 2.0x. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than projected CNL proxy, the ratings could be maintained or upgraded. 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. AMSR 2023-SFR4: DBRS Finalizes BB Rating on Class F Certs --------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by AMSR 2023-SFR4 Trust (AMSR 2023-SFR4): -- $76.5 million Class A at AAA (sf) -- $44.1 million Class B at AA (high) (sf) -- $3.9 million Class C at AA (sf) -- $7.8 million Class D at A (high) (sf) -- $28.5 million Class E-1 at BBB (sf) -- $6.1 million Class E-2 at BBB (low) (sf) -- $11.2 million Class F at BB (sf) The AAA (sf) rating on the Class A Certificates reflects 60.9% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), AA (sf), A (high) (sf), BBB (sf), BBB (low) (sf), BB (sf), and BB (low) (sf) ratings reflect 38.3%, 36.3%, 32.3%, 22.6%, 17.7%, 14.6%, and 8.9% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. The AMSR 2023-SFR4 Certificates are supported by the income streams and values from 832 rental properties. The properties are distributed across 15 states and 29 metropolitan statistical areas (MSAs) in the U.S. DBRS Morningstar maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion value, 37.2% of the portfolio is concentrated in three states: Missouri (14.1%), Arizona (13.0%), and Georgia (10.1%). The average property value is $268,313. The average age of the properties is roughly 46 years. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately four-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $195.3 million. The sponsor intends to satisfy its risk-retention obligations under the U.S. Risk Retention Rules. The sponsor does not make any representation with respect to whether such risk retention satisfies EU Risk Retention Requirements and UK Risk Retention Requirements by retaining Class G, which is 6.3% of the initial total issuance balance, either directly or through a majority-owned affiliate. DBRS Morningstar finalized the provisional ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination analytical tool and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar assigned the provisional ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. DBRS Morningstar's analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy rate, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio of more than 1.0 times. Furthermore, DBRS Morningstar reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to DBRS Morningstar. DBRS Morningstar also conducted a legal review and found no material rating concerns. DBRS Morningstar's credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts, Deferral Rate Interest Distribution Amounts, and Principal Distribution Amounts. DBRS Morningstar's credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. AREIT 2022-CRE7: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of notes issued by AREIT 2022-CRE7 LLC (the Issuer) as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar expectations at issuance as the majority of loans are secured by multifamily collateral and individual borrowers are generally progressing through the stated business plans. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update rating report with in-depth analysis and credit metrics for the transaction and business plan updates on select loans. As of the October 2023 remittance, the pool consists of 38 floating-rate mortgages secured by 50 properties with an aggregate balance of $955.6 million. Most loans are in a period of transition with plans to stabilize and improve asset values. The transaction is static with a replenishment period whereby the Issuer can use principal proceeds to acquire fully funded future funding participations into the trust during the Permitted Funded Companion Participation Acquisition Period (Acquisition Period). The Acquisition Period is scheduled to end with the December 2024 Payment Date. While all original 38 loans remain in the trust as of the October 2023 remittance, the Permitted Funded Companion Participation Acquisition Account reported a balance of $7.5 million as the Balboa Retail Portfolio and Northside Portfolio loans have experienced partial principal repayments since closing. As of the October 2023 remittance, no loans are in special servicing and 25 loans, representing 69.8% of the current trust balance, are on the servicer's watchlist. All 25 loans were flagged for performance-related issues with low debt service coverage ratios (DSCRs) or the placement of active cash management triggers; however, as individual borrowers continue to progress through the stated business plans to stabilize the assets, temporary cash flow declines were expected. Additionally, debt service payments have increased given the floating rate nature of all the loans in the pool amid the current interest rate environment. The largest loan on the servicer's watchlist, Noble on Newberry (Prospectus ID#1), 7.8% of the current trust balance), is secured by a 300-unit garden-style multifamily property in Gainesville, Florida. The loan was added to the servicer's watchlist in September 2023 following a decline in DSCR, which was attributed to increased debt service payments, which increased over 82.0% from June 2022. In total, 31 loans, representing 79.7% of the current trust balance, are scheduled to mature by year-end 2024; however, all loans have remaining extension options available to the individual borrowers. While most extension options do not require performance tests to be achieved to qualify for the first year of extension, some collateral properties that do require performance tests currently do not meet the related thresholds. DBRS Morningstar expects borrowers and lenders to agree to mutually beneficial modification terms, if necessary, to allow loan maturity dates to be extended. The transaction benefits from a significant concentration of loans backed by multifamily properties, representing 82.9% of the current trust balance, followed by office properties, representing 6.4% of the current trust balance. The loans are primarily secured by properties in suburban markets with 33 loans, representing 84.2% of the current trust balance, in locations with DBRS Morningstar Market Ranks of 3, 4, and 5. The remaining five loans, representing 15.8% of the pool, are secured by properties in an urban location with a DBRS Morningstar Market Rank of 6, 7, or 8. In terms of leverage, the pool has a current weighted-average (WA) appraised loan-to-value ratio (LTV) of 71.4% and a WA stabilized LTV ratio of 61.9%. By comparison, these figures were 71.1% and 62.4%, respectively, at issuance in June 2022. DBRS Morningstar recognizes the current market values of the collateralized properties may be inflated as the individual property appraisals were completed in 2021 and 2022 and do not reflect increased interest rate and widening capitalization rate environments. In the analysis for this review, DBRS Morningstar applied upward LTV adjustments across 18 loans, representing 44.1% of the current trust balance. Through October 2023, the collateral manager had advanced $41.9 million in loan future funding to 28 individual borrowers to aid in property stabilization efforts. The largest advance, $6.2 million, was made to the borrower of HIE Atlanta Airport (Prospectus ID#36, 1.2% of the current pool balance), which is secured by a limited-service hotel in College Park, Georgia. The borrower's business plan centers on the flag conversion of the hotel from a Clarion to a Holiday Inn Express. An additional $110.6 million of future funding allocated to 31 individual borrowers remains available. Of this amount, the largest future funding balance is allocated to the borrower of Balboa Retail Portfolio (Prospectus ID#5, 3.4% of the current pool balance) for its stabilization efforts. The loan is secured by a portfolio of four retail properties with the borrower's business plan to utilize $30.9 million in future funding to finance renovation and leasing costs. According to the Q3 2023 collateral manager update, the consolidated occupancy rate across the subject portfolio was reported at 78.4% with the sponsor only executing shorter term one- to two-year tenant lease renewals to maintain long term flexibility and control of the spaces. Notes: All figures are in U.S. dollars unless otherwise noted. AUXILIOR TERM 2023-1: Moody's Assigns (P)Ba2 Rating to Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the notes to be issued by Auxilior Term Funding 2023-1, LLC (XCAP 2023-1, the issuer). The transaction will be the first securitization sponsored by Auxilior Capital Partners, Inc. (Auxilior), a small and medium-ticket independent equipment finance company. The notes will be backed by a pool of loans and leases secured by new and used equipment in three segments, construction and infrastructure (construction equipment, aerial lifts and cranes), transportation and logistics (highway tractors, vocational trucks, trailers, and school buses) and franchise related equipment originated by Auxilior. The complete rating actions are as follows: Issuer: Auxilior Term Funding 2023-1, LLC Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A1 (sf) Class D Notes, Assigned (P)Baa1 (sf) Class E Notes, Assigned (P)Ba2 (sf) RATINGS RATIONALE The ratings are based on (1) the high credit quality of the underlying collateral, (2) Moody's expectations of the pool's credit performance, (3) the experience and expertise of Auxilior as the originator and servicer of the collateral; (4) the strength of the transaction structure including, among other factors, the sequential pay structure and credit enhancement levels, (5) GreatAmerica Portfolio Services Group LLC (GPSG) as backup servicer for the contracts, and (6) the legal aspects of the transaction. Moody's cumulative net loss expectation for the XCAP 2023-1 collateral pool is 3.00% and the loss at a Aaa stress is 21.50% (inclusive of 20.00% credit loss and 1.50% residual value loss). Moody's based its cumulative net loss expectation and the loss at a Aaa stress for the XCAP 2023-1 transaction on an analysis of (1) the credit quality of the underlying collateral, (2) the historical performance of Auxilior's managed portfolio, although for a limited period that does not cover a full economic cycle, (3) the historical performance data of comparable originators of contracts included in transactions Moody's rate for similar equipment types to the collateral in the pool to be securitized, (4) loan performance data from the Small Business Administration (SBA) for limited-service restaurants as a partial proxy for franchise performance given Auxilior's limited historical data for franchise loans, (5) the ability of GPSG as backup servicer; and (6) the current expectations for the state of the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes and Class E notes will benefit from 22.35%, 17.35%, 12.95%, 9.25% and 4.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes will consist of (1) over-collateralization (OC) of 3.75% of the initial pool balance, with the ability to step down once the OC reaches its target of 8.75% of the outstanding pool balance subject to a floor of 1.00% of the initial pool balance, (2) a fully funded, non-declining reserve account of 1.00% of the initial pool balance, and (3) subordination, except for the Class E Notes. The notes may also benefit from excess spread. 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 then current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. This transaction has a sequential pay structure and therefore credit enhancement will grow as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build-up of enhancement. Down Moody's could downgrade the ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or higher than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. BANK5 2023-5YR4: Fitch Assigns 'B-(EXP)sf' Rating on Cl. J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2023-5YR4 commercial mortgage pass-through certificates series 2023-5YR4 as follows: - $62,500,000ab class A-2-1 'AAAsf'; Outlook Stable; - $0b class A-2-1-1 'AAAsf'; Outlook Stable; - $0b class A-2-1-2 'AAAsf'; Outlook Stable; - $0bc class A-2-1-X1 'AAAsf'; Outlook Stable; - $0bc class A-2-1-X2 'AAAsf'; Outlook Stable; - $62,500,000ad class A-2-2 'AAAsf'; Outlook Stable; - $395,886,000ab class A-3 'AAAsf'; Outlook Stable; - $0b class A-3-1 'AAAsf'; Outlook Stable; - $0b class A-3-2 'AAAsf'; Outlook Stable; - $0bc class A-3-X1 'AAAsf'; Outlook Stable; - $0bc class A-3-X2 'AAAsf'; Outlook Stable; - $66,971,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $587,857,000c class X-A 'AAAsf'; Outlook Stable; - $38,136,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $32,556,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $16,705,000d class D 'BBBsf'; Outlook Stable; - $16,705,000cd class X-D 'BBBsf'; Outlook Stable; - $9,339,000de class E-RR 'BBB-sf'; Outlook Stable; - $7,441,000de class F-RR 'BB+sf'; Outlook Stable; - $11,162,000de class G-RR 'BB-sf'; Outlook Stable; - $11,162,000de class J-RR 'B-sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $29,765,334de class K-RR. (a) The initial certificate balances of classes A-2 (aggregate of class A-2-1 and class A-2-2) and A-3 are unknown and expected to be $520,886,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range (aggregate of class A-2- and class A-2-2) is $0 to $250,000,000 and the expected class A-3 balance range is $270,886,000 to $520,886,000. Fitch's certificate balances for classes A-2-1, A-2-2 and A-3 are assumed at the midpoints of their range. (b) Exchangeable Certificates. The class A-2-1, class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Horizontal risk retention interest, estimated to be 9.255% of the certificates. The expected ratings are based on information provided by the issuer as of Nov. 27, 2023. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 63 commercial properties having an aggregate principal balance of $744,123,334 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings, LLC, Wells Fargo Bank, N.A., Bank of America, N.A. and JPMorgan Chase Bank, N.A. The master servicer is expected to be Wells Fargo Bank, N.A., and the special servicer is expected to be KeyBank, National Association. The trustee and certificated administrator is expected to be Computershare Trust Company, N.A. The certificates are expected to follow a standard sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75.6% of the loans by balance, cash flow analysis of 96.2% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to value ratio (LTV) of 92.1% is worse than the 2023 YTD average of 88.4% but better than the 2022 average of 99.3%. The pool's Fitch NCF debt yield (DY) of 10.6% is in line with the 2023 YTD average of 10.8% but better than the 2022 average of 9.9%. Investment Grade Credit Opinion Loan: One loan, Nvidia Santa Clara representing 9.4% of the pool, received an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is lower than the 2023 YTD and 2022 averages of 18.8% and 14.4%, respectively. Excluding this credit opinion loan, the pool's Fitch LTV and DY are 94.4% and 10.4%, respectively, compared to the equivalent conduit 2023 YTD LTV and DY averages of 95.2% and 10.5%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 66.5% of the pool, higher than the 2023 YTD and 2022 averages of 63.3% 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 17.9. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Zero Amortization: 100% of the pool is comprised of interest-only loans, which is worse than both the 2023 YTD and 2022 averages of 83.1% and 77.5%, respectively. As a result, the pool is expected to have zero principal paydown by maturity of the loans. By comparison, the average scheduled paydown for Fitch-rated U.S. Multiborrower transactions during YTD 2023 and 2022 were 1.6% and 3.3%, respectively. Shorter Duration Loans: The pool is 100.0% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / '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 its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / '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 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. BAYSWATER PARK: S&P Assigns Prelim 'BB-' Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Bayswater Park CLO Ltd./Bayswater Park CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone CLO Management LLC. The preliminary ratings are based on information as of Nov. 28, 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 Bayswater Park CLO Ltd./Bayswater Park CLO LLC Class A-1, $310.00 million: Not rated Class A-2, $10.00 million: Not rated Class B, $57.00 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D (deferrable), $28.75 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes, $45.60 million: Not rated BBCMS MORTGAGE 2020-C6: DBRS Confirms BB Rating on G-RR Certs ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-C6 issued by BBCMS Mortgage Trust 2020-C6 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at A (low) (sf) -- Class X-D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F-RR at BBB (low) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (high) (sf) -- Class J-RR at B (low) (sf) DBRS Morningstar also confirmed its credit ratings on the loan-specific certificates as follows: -- Class F5T-A at A (low) (sf) -- Class F5T-B at BBB (low) (sf) -- Class F5T-C at BB (low) (sf) -- Class F5T-D at B (low) (sf) The credit rating confirmations reflect the overall stable performance of the underlying loans in the transaction, as evidenced by the pool's weighted-average (WA) debt service coverage ratio (DSCR) of 2.90 times (x) based on the most recent year-end financials, up slightly from 2.75x at issuance. The trust consists of 45 fixed-rate loans secured by 118 commercial and multifamily properties, which had an initial trust balance of $904.0 million at issuance. As of the October 2023 reporting, all of the original loans remain in the pool, and there has been nominal collateral reduction of 1.1% since issuance. Amortization has generally been limited, as 25 of the loans representing 68.0% of the current pool balance are interest-only (IO) and another two loans representing 6.8% are partial-IO remaining in their IO periods. The collateral pool's property type concentration is relatively diverse with office, retail, and mixed-use properties, each representing around 20.0% of the current pool balance. Two loans, representing 2.9% of the current pool balance, are secured by collateral that is defeased. There are currently no specially serviced or delinquent loans, but 10 loans, representing 25.0% of the current pool balance, are on the servicer's watchlist for a variety of reasons. Parkmerced - Pooled (Prospectus ID#1, 7.3% of the current pool balance) is secured by a 3,165-unit apartment complex in San Francisco. The noncontrolling pari passu loan has other pieces of the whole loan secured in several transactions, including four other transactions that are also rated by DBRS Morningstar. It was added to the servicer's watchlist in March 2021 because of performance declines with the loan reporting below breakeven DSCRs in the past several years and is currently cash managed. Occupancy dropped to around the 70.0% range over the last two years from issuance levels of 94.3%, but it had improved to 81.2% per the March 2023 rent roll. The transaction closed during the height of the Coronavirus Disease (COVID-19) pandemic in 2020, and DBRS Morningstar had noted declines in rent caused by disruptions related to the pandemic. In addition, a portion of the units are under the Section 8 rent subsidy program. The subject is well located, adjacent to San Francisco State University's campus and directly east of Lake Merced and Lake Merced Park. According to Reis, multifamily properties in the West San Francisco submarket reported a Q2 2023 vacancy rate of 1.2%, the same as the Q2 2022 vacancy rate. The property benefits from an experienced sponsor, Maximus Real Estate Partners, and a low loan-to-value ratio (LTV) of 25.9% at issuance. The sponsor's long-term development plan is scheduled for after the loan term ends in December 2024, when all the townhomes will be demolished and replaced by apartment towers. Although stabilization efforts are taking longer than expected following the impacts of the pandemic and the general challenges within the San Francisco market, occupancy at the subject has improved from prior years and the loan has remained current despite reporting low DSCRs, suggesting that the sponsor continues to be committed to the property. In addition, the low issuance LTV provides cushion for any declines in value. At issuance, the loan was shadow-rated investment grade primarily because of the low LTV, sponsorship strength, and desirable location. DBRS Morningstar maintained the shadow rating with this review with the expectation that the net cash flow (NCF) should stabilize in the near term given the uptick in occupancy, but it will continue to closely monitor the loan for developments. 650 Madison Avenue - Pooled (Prospectus ID#2, 6.7% of the pool) is secured by a Class A office and retail tower at 650 Madison Avenue in the Plaza district of New York City. The property consists of approximately 544,000 square feet (sf) of office space, 22,000 sf of ground-floor retail space, and 34,000 sf of storage and flex space. The loan is pari passu with other pieces of the whole loan secured in several transactions, including four other transactions that are also rated by DBRS Morningstar. The loan was added to the servicer's watchlist in April 2023 because of a drop in DSCR, which was mainly driven by the departure of the former second-largest tenant, Memorial Sloan Kettering Cancer Center, upon its lease expiration in June 2022. As a result, the occupancy rate dropped to 77.6%, according to the January 2023 rent roll, compared with 90.2% at YE2021 and 97.0% at issuance. In addition, the lease for the current second-largest tenant, BC Partners Inc. (11.7% of the net rentable area (NRA)), was set to expire in June 2023, but the company appears to have remained at the property as the location is still listed on its website. While there is minimal rollover risk through the next 12 months, the lease of the largest tenant, Ralph Lauren (40.7% of the NRA), is scheduled to expire in December 2024. The loan has a cash flow sweep if the tenant does not provide written notice of renewing its lease 18 months prior to expiration. The amount to be swept is $80 per square foot (psf), or approximately $20.0 million. According to a June 2023 article from The Real Deal, Ralph Lauren is planning to reduce its North American footprint by 30% in the coming years, and it may downsize or vacate the subject. DBRS Morningstar has requested an update from the servicer and a response is pending as of the date of this press release. According to the most recent financials for the trailing 12 months ended March 31, 2023, the NCF was $37.8 million (reflecting a DSCR of 1.77x on the senior debt; 1.39x on the whole loan), compared with the YE2021 NCF of $63.2 million (DSCR of 2.82x on the senior debt; 2.23x on the whole loan) and the DBRS Morningstar NCF of $50.8 million (DSCR of 2.45x on the senior debt). Reis reports the property's average base rent is $89.36 psf for office space as of January 2023, which is below the current average rental rate of $95.31 psf for Class A office space within a one-mile radius. However, leases that were executed at the subject in 2022 have rates that are well above $100 psf, with rental abatements provided and contributing to the lower YE2022 NCF. At issuance, the loan was shadow-rated investment grade primarily because of the low A note LTV of 32.1% and high DBRS Morningstar Term DSCR; however, given the declines in occupancy rate and NCF and the increased rollover risk, DBRS Morningstar removed the shadow rating for this review. DBRS Morningstar will continue to closely monitor this loan. In general, the office sector has been challenged, given the low investor appetite for the property type and high vacancy rates in many submarkets as a result of the shift in workplace dynamics. While the majority of loans backed by office properties continue to perform as expected, DBRS Morningstar identified two additional loans backed by office properties, Satellite Flex Office Portfolio (Prospectus ID#16, 2.9% of the current pool balance) and 2000 Park Lane (Prospectus ID#17, 3.0% of the current pool balance), exhibiting declines in performance since issuance, with vacancy rates hovering around 25% and significant exposure to tenant rollover in 2024. In its analysis, these loans were analyzed with stressed LTVs to capture the likely decline in value, resulting in expected losses that were nearly five times higher than the pool average. At issuance, DBRS Morningstar assigned an investment-grade shadow rating on three additional loans (excluding Parkmerced and 650 Madison Avenue mentioned above): Prospectus ID#3 – Kings Plaza (6.7% of the current pool); Prospectus ID#5 – F5 Tower (5.6% of the current pool); and Prospectus ID#7 – Bellagio Hotel and Casino (4.9% of the current pool). With this review, DBRS Morningstar confirmed that the respective performance of each of these loans remains consistent with the characteristics of an investment-grade loan. The loan-specific Class F5T-A, F5T-B, F5T-C, and F5T-D certificates are backed by the $112.6 million subordinate companion loan of the $297.6 million F5 Tower whole loan, which is secured by 515,518 sf of Class A office space and a 259-space underground parking garage in Seattle. The office space is 100% occupied by F5 Networks, Inc., which uses the space as its headquarters, on a lease through September 2033. The loan-specific certificates are not pooled with the remainder of the trust loans. With this review, DBRS Morningstar confirmed that the performance of the underlying loan remains in line with the expectations at issuance, supporting the rating confirmations for those classes. Notes: All figures are in U.S. dollars unless otherwise noted. BDS 2022-FL12: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of notes issued by BDS 2022-FL12 LLC as follows: -- Class A Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class C-E Notes at A (low) (sf) -- Class C-X Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class D-E Notes at BBB (sf) -- Class D-X Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class E-E Notes at BBB (low) (sf) -- Class E-X Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. Given the recent vintage of the transaction, performance of the underlying collateral has generally remained unchanged from issuance. Additionally, the trust continues to be 100% secured by multifamily collateral. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The transaction closed in September 2022 with a cut-off pool balance totaling approximately $708.1 million, excluding approximately $98.3 million of future funding commitments. At issuance, the pool consisted of 24 floating-rate mortgage loans secured by 27 mostly transitional real estate properties. The majority of the collateral is in a period of transition, with plans to stabilize and improve asset value. The collateral pool for the transaction is static; however, the Issuer has the right to use principal proceeds to acquire fully funded future funding participations subject to stated criteria. The replenishment period ends with the April 2025 Payment Date. As of the October 2023 remittance, the Replenishment Account had a balance of $3,681. The pool currently comprises of 23 loans with a cumulative trust balance of $708.1 million, as one loan with a former cumulative trust balance of $15.0 million was successfully repaid from the pool in August 2023. The transaction is concentrated by property type as all 23 loans are secured by multifamily properties. The pool is primarily secured by properties in suburban markets, as defined by DBRS Morningstar, with 22 loans, representing 95.9% of the pool, assigned a DBRS Morningstar Market Rank of 3, 4, or 5. There is one loan, representing 4.1% of the pool, that is secured by a property with a DBRS Morningstar Market Rank of 2, denoting a tertiary market, and no loans secured by properties in urban markets. Both the suburban and tertiary market concentrations remain in line with issuance levels. Leverage across the pool has remained consistent as of October 2023 reporting when compared with issuance metrics. The current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) is 70.3%, with a current WA stabilized LTV of 60.9%. In comparison, these figures were 70.6% and 61.0%, respectively, at issuance. DBRS Morningstar recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the current rising interest rate or widening capitalization rate environments. At issuance, DBRS Morningstar applied elevated LTVs across 10 loans (53.6% of the current trust balance), reflecting DBRS Morningstar views of the respective markets, comparable data and inherent risk associated with each sponsor's business plan. These adjustments were maintained in the analysis for this review. Through October 2023, the lender had advanced cumulative loan future funding of $55.9 million to the borrowers of 20 of the 23 outstanding loans to aid in property stabilization efforts. The largest advance, $12.2 million, has been made to the borrower of the Sahara Palms & Playa Palms Apartments loan (Prospectus ID#10, 3.5% of the pool). The loan is secured by an 840-unit, Class B multifamily property in Gilbert, Arizona. The advanced funds have been used for the borrower's planned $13.2 million capital improvement plan. The plan entails approximately $10.7 million ($12,709 per unit) for interior upgrades to all 840 units as well as $457,000 to cure deferred maintenance and $2.0 million for common-area improvements and amenity upgrades. As of Q2 2023, 467 units have been renovated and are achieving rent premiums between $50 per unit and $100 per unit over the nonrenovated units. An additional $40.5 million of loan future funding allocated to 19 individual borrowers remains available. The largest portions are allocated to the borrowers of the Haven at Towne Center (Prospectus ID#1, 9.3% of the pool) and Harmon at 370 Apartments (Prospectus ID#5, 6.6% of the pool) loans. Haven at Towne Center is secured by a 240-unit, Class B multifamily property in Glendale, Arizona. The available funds are to be used for unit-interior renovations totaling $6.3 million ($26,133 per unit) across all 240 units and $1.3 million for common area improvements and amenity upgrades. Through September 2023, the lender had advanced $1.4 million of future funding to the borrower. As of Q2 2023, 40 units had been renovated with average rent premiums of $444 per unit, exceeding the DBRS Morningstar stabilized estimate of $252 per unit. The Harmon at 370 Apartments loan is secured by a 996-unit multifamily property in Las Vegas. The sponsor's business plan is to invest $15.0 million toward capital improvements across the property, consisting of $8.9 million ($8,928 per unit) toward unit interiors to all 996 units and $6.1 million toward exterior renovations. Through September 2023, the lender had advanced $6.8 million of future funding to the borrower. As of the October 2023 remittance, there are no delinquent or special serviced loans; however, 19 loans, representing 84.4% of the pool, are being monitored on the servicer's watchlist. The loans have primarily been flagged for below breakeven debt service coverage ratios or low occupancy. Performance declines noted in the pool are expected to be temporary as multifamily units are being taken offline by respective borrowers to complete interior renovations. There is one loan, representing 2.6% of the pool, that is scheduled to mature in the next six months. Two other loans, representing 11.3% of the pool, have maturity dates in 2024, with the majority of loans scheduled to mature in 2025. All 23 loans are structured with extension options. Notes: All figures are in U.S. dollars unless otherwise noted. BELLEMEADE RE 2023-1: DBRS Finalizes B Rating on Class B-1 Notes ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Insurance-Linked Notes, Series 2023-1 (the Notes) issued by Bellemeade Re 2023-1 Ltd. (BMIR 2023-1 or the Issuer): -- $49.8 million Class M-1A at BBB (low) (sf) -- $54.7 million Class M-1B at BB (high) (sf) -- $42.3 million Class M-1C at BB (low) (sf) -- $27.4 million Class M-2 at B (high) (sf) -- $12.4 million Class B-1 at B (sf) The BBB (low) (sf) credit rating reflects 5.75% of credit enhancement, provided by subordinated notes in the transaction. The BB (high) (sf), BB (low) (sf), B (high) (sf), and B (sf) credit ratings reflect 4.65%, 3.80%, 3.25%, and 3.00% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. BMIR 2023-1 is Arch Mortgage Insurance Company's (Arch MI) and United Guaranty Residential Insurance Company's (UGRIC; collectively, the ceding insurers) 18th rated mortgage insurance (MI)-linked note transaction. The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the ceding insurer pays to settle claims on the underlying MI policies. As of the Cut-Off Date, the pool of insured mortgage loans consists of 98,926 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard, have original loan-to-value ratios less than or equal to 100.0%, and have never been reported to the ceding insurer as 60 or more days delinquent. As of the Cut-Off Date, these loans have not been reported to be in a payment forbearance plan. The mortgage loans have MI policies effective in or after January 2022 and in or before September 2023. Approximately 2.5% (by balance) of the underlying insured mortgage loans in this transaction are not eligible to be acquired by Freddie Mac and Fannie Mae (government-sponsored enterprises (GSEs) or agencies). On March 1, 2020, a new master policy was introduced to conform to GSEs' revised rescission relief principles under the Private Mortgage Insurer Eligibility Requirements guidelines (see the Representations and Warranties section of the related report for more detail). All of the mortgage loans (by Cut-Off Date) are insured under the new master policy. On the Closing Date, the Issuer will enter into the Reinsurance Agreement with the ceding insurer. As per the agreement, the ceding insurer will get protection for the funded portion of the MI losses. In exchange for this protection, the ceding insurer will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from the sale of the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to at least Aaa-mf by Moody's or AAAm by S&P rated U.S. Treasury money-market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in MI-linked notes transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the ceding insurer when claims are settled with respect to the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the ceding insurer's premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on the reduction in aggregate exposed principal balance on the underlying MI policy that is allocated to the Notes. The subordinate Notes will receive their pro rata share of available principal funds if the minimum credit enhancement test and the delinquency test are satisfied. The minimum credit enhancement test has been set to fail at the Closing Date, thus locking out the rated classes from initially receiving any principal payments until the subordinate percentage is 7.75%. The delinquency test will be satisfied if the three-month average of 60+ days delinquency percentage is below 75% of the subordinate percentage. Additionally, if these performance tests are met and the subordinate percentage is greater than 7.75%, then the subordinate Notes will be entitled to accelerated principal payments equal to 2 times the subordinate principal reduction amount, until the subordinate percentage comes down to the target credit enhancement of 7.75%. The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Offering Circular for more details. DBRS Morningstar did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the underlying loans. Instead, interest payments are funded via (1) premium payments that the ceding insurer must make under the reinsurance agreement and (2) earnings on eligible investments. On the Closing Date, the ceding insurer will establish a cash and securities account, the premium deposit account. In case of the ceding insurer's default in paying coverage premium payments to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. The premium deposit account will not be funded at closing. The ceding insurer will make a deposit into this account up to the applicable target balance only when one of the several Premium Deposit Events occur. Please refer to the related report for more detail. The Notes are scheduled to mature on October 25, 2033, but will be subject to early redemption at the option of the ceding insurer (1) for a 10% clean-up call or (2) on or following the payment date in October 2028, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. Additionally, there is a provision for the Ceding Insurers to issue a tender offer to reduce all or a portion of the outstanding Notes. Arch MI and UGRIC, together, act as the ceding insurers. The Bank of New York Mellon (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. Notes: All figures are in US Dollars unless otherwise noted. BLACKROCK DLF 2021-1: DBRS Confirms B Rating on Class W Notes ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Class A-1, A-2, B, C, D, E, and W Notes (together, the Secured Notes) issued by BlackRock DLF IX CLO 2021-1, LLC (the Issuer) as follows: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AAA (sf) -- Class B Notes at AA (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) -- Class W Notes at B (sf) At the same time, DBRS Morningstar removed the credit ratings on the Secured Notes from Under Review with Developing Implications where they had been placed on August 11, 2023. The Secured Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated March 30, 2021, and amended on August 10, 2022, among the Issuer and U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent, and the Purchasers referred to therein. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The credit ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The credit ratings on the Class B, C, D, E, and W Notes address the ultimate payment of interest (including any Deferred Interest, but excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of a benchmark replacement event that occurred as of July 3, 2023, pursuant to the NPSA and the application by DBRS Morningstar of the "Global Methodology for Rating CLOs and Corporate CDOs," including the DBRS Morningstar CLO Insight Model, released on October 22, 2023. On August 11, 2023, DBRS Morningstar placed its credit ratings on the Secured Notes Under Review with Developing Implications to analyze the transaction pursuant to the benchmark replacement event. In its analysis, DBRS Morningstar considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Secured Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BCIA. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance" methodology. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule G of the NPSA). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: DBRS Morningstar Risk Score, Advance Rate, Weighted-Average Recovery Rate (WARR), and Weighted-Average Spread (WAS) Level. DBRS Morningstar analyzed each structural configuration as a unique transaction, and all configurations (rows) passed the applicable DBRS Morningstar credit rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that DBRS Morningstar utilized in its analysis are presented below: Class A-2 Overcollateralization (OC): 143.97% Class B OC: 134.18% Class C OC: 124.95% Class D OC: 115.33% Class E OC: 107.54% Class A Interest Coverage (IC): 150.00% Class B IC: 140.00% Class C IC: 130.00% Class D IC: 120.00% Class E IC: 110.00% Class W IC: 100.00% Minimum WAS: 5.50% Minimum Weighted-Average Coupon: 6.00% Maximum DBRS Morningstar Risk Score: 36.94% Minimum WARR: 48.1% Minimum DScore: 27 Maximum Weighted-Average Life: 6.75 years The transaction is performing according to the parameters set in the amended NPSA. As of September 5, 2023, the Borrower is in compliance with all coverage and collateral quality tests and there were no defaulted obligations registered in the portfolio. The current credit quality of the portfolio is reflected in the actual DBRS Morningstar Risk Score of 36.94. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (DScore currently at 41 versus the test level of 27); and (3) the Collateral Manager's expertise in CLOs and overall approach to the selection of Collateral Obligations. Some challenges were identified in that (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM) and the majority may not have public credit ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2021-2: DBRS Confirms B Rating on Class W Notes ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A-1, A-2, B, C, D, E, and W Notes (together, the Secured Notes) issued by BlackRock DLF IX CLO 2021-2, LLC (the Issuer), and removed the Under Review with Developing Implications status, as follows: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AA (high) (sf) -- Class B Notes at A (high) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) -- Class W Notes at B (sf) The Secured Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated May 20, 2021, as amended on August 2, 2022, among the Issuer and U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The credit ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (including any Deferred Interest, but excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of a benchmark replacement event that occurred as of July 3, 2023, pursuant to the NPSA and the application by DBRS Morningstar of the "Global Methodology for Rating CLOs and Corporate CDOs," including the DBRS Morningstar CLO Insight Model, released on October 22, 2023. On August 11, 2023, DBRS Morningstar placed its credit ratings on the Secured Notes Under Review with Developing Implications to analyze the transaction pursuant to the benchmark replacement event. In its analysis, DBRS Morningstar considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Secured Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BCIA. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance" methodology. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule G of the NPSA). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: DBRS Morningstar Risk Score, Advance Rate, Weighted-Average Recovery Rate (WARR), and Weighted-Average Spread (WAS) Level. DBRS Morningstar analyzed each structural configuration as a unique transaction, and all configurations (rows) passed the applicable DBRS Morningstar credit rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that DBRS Morningstar utilized in its analysis are presented below: Class A Overcollateralization (OC): 143.97% Class B OC: 135.27% Class C OC: 128.66% Class D OC: 119.22% Class E OC: 110.75% Class A Interest Coverage (IC): 150.00% Class B IC: 140.00% Class C IC: 130.00% Class D IC: 120.00% Class E IC: 110.00% Class W IC: 100.00% Minimum WAS: 5.50% Minimum Weighted-Average Coupon: 6.00% Maximum DBRS Morningstar Risk Score: 38.75% Minimum WARR: 46.8% Minimum DScore: 23 Maximum Weighted-Average Life: 7.0 years The transaction is performing according to the parameters set in the amended NPSA. As of September 5, 2023, the Borrower is in compliance with all coverage and collateral quality tests and there were no defaulted obligations registered in the portfolio. The current credit quality of the portfolio is reflected in the actual DBRS Morningstar Risk Score of 35.17. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans, (2) the adequate diversification of the portfolio of collateral obligations (DScore currently at 41 versus test level of 23), and (3) the Collateral Manager's expertise in CLOs and overall approach to the selection of Collateral Obligations. Some challenges were identified in that (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM) and the majority may not have public credit ratings once purchased and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Notes: All figures are in U.S. dollars unless otherwise noted. BLADE ENGINE 2006-1: Fitch Affirms 'Dsf' Rating on Class B Notes ---------------------------------------------------------------- Fitch Ratings has upgraded Blade Engine Securitization Ltd 2006-1 (BLADE) series A-1 floating-rate notes and A-2 fixed-rate notes to 'Asf', from 'Bsf', and affirmed the ratings of the series 2006-1 B floating-rate notes at 'Dsf'. The Rating Outlook on the A-1 and A-2 notes is Stable. Entity/Debt Rating Prior ----------- ------ ----- Blade Engine Securitization LTD 2006-1 A-1 092650AA8 LT Asf Upgrade Bsf A-2 092650AC4 LT Asf Upgrade Bsf B 092650AB6 LT Dsf Affirmed Dsf TRANSACTION SUMMARY The transaction is a securitization of aircraft engines and their associated leases issued in 2006. Of the original 50 engines in the portfolio only five remain. BLADE, along with the rest of the portfolio of aircraft and engine operating lease ABS transactions rated by Fitch, was placed Under Criteria Observation (UCO) in June of 2023 following Fitch's publication of new Aircraft Operating Lease ABS Criteria. The rating actions reflect current performance, Fitch's cash flow projections and its expectation for the structures to withstand stresses commensurate with their respective ratings. The rating actions also consider lease terms, lessee credit quality and performance, updated engine values, and Fitch's assumptions and stresses, which inform its modelled cash flows and coverage levels. Overall Market Recovery The global commercial aviation market continues to recover with total revenue passenger kilometers (RPKs) recovering to 96% of pre-COVID levels as of August 2023 per data reported by IATA. International RPKs have reached 88% of pre-COVID levels while domestic RPKs have now exceeded pre-COVID levels by 9%. 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 continues 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 Transaction Performance Due to strong performance on the sale of six assets, the loan-to-values (including the $10.9 million maintenance reserve fund) decreased since last review to 16% from 50% for the A-1 and A-2 notes and to 47% from 72% for the B notes. Class B's reduction in LTV is only due to A-1 and A-2 amortizing, as the B notes remain in an event of default and will not receive funds until A-1 and A-2 are fully repaid. Fitch expects the remaining lease and asset sale cash flows to be sufficient to repay the A-1 and A-2 notes and likely a material share of the B notes, including the accumulated deferred interest. Asset Quality and Appraised Pool Value The transaction's remaining five engines predominantly power wide-body aircraft (2 GE90-115B). The remainder are used on regional jets (2 CF34s) and narrowbody aircraft (1 CFM56). As BLADE intends to unwind the transaction around the anticipated repayment date in December 2023, BLADE has letters of intent (LoI) for the sale of four engines and is actively marketing the fifth, a CF34. BLADE's plan to unwind the transaction made them prefer asset sales over re-lease for assets coming off lease. This kept the utilization rate steady at 100% since last review. Appraisals, provided as of December 2022 by Alton, IBA and Ascend, totaled $41.9 million in market and $56.8 million in base value. Both values are adjusted for the assets' maintenance status and depreciated as per Fitch's criteria to November 2023. The maintenance account is fully funded to target at $10.9 million. As Fitch does not expect the remaining assets to go through extensive maintenance before sale, Fitch expects a substantial portion of the maintenance account balance to be available to redeem the notes. Fitch applies depreciation assumptions based on the three phases of an engine's life cycle. - Phase 1 generally ends when the supported aircraft type exits production. During Phase 1, Fitch applies a 0% deprecation rate; - Phase 2 is characterized by a gradual decline in the size of the in-service fleet of the supported aircraft, as older aircraft of the type are retired and the operator base fragments. The length of Phase 2 can vary from a few years to 10 years depending on market characteristics for the supported aircraft. The length of phase 2 is largely dependent on demand for the supported aircraft. Fitch generally assumes Phase 2 lengths of five to seven years. Fitch applies a 5% deprecation rate to Phase 2 engines; - Phase 3 marks the rapid deterioration in engine value as the aircraft supported by the engines begin to be retired and market demand for the engines deteriorate. During Phase 3, Fitch assumes significant value deterioration occurs, consistent with assumptions for aircraft in the final years of their assumed life. Fitch applies a 10% annual depreciation to Phase 3 engines. Stable Lessee Credit The lessee credit profile of the remaining BLADE assets is strong. Almost 80% of the portfolio, by value, is leased to Air France, or an Air France affiliated airline. The other engines are leased to AeroMexico and LOT. Pool Concentration Asset effective count concentration is very high for BLADE, as the portfolio only has five remaining assets. Pursuant to Fitch's criteria, the agency stresses cash flows based on the effective asset count. Concentration haircuts vary by rating level and are only applied at stresses higher than 'CCCsf'. Missing Common Protective Mechanisms BLADE does not feature rapid amortization triggers and protective mechanisms, such as a liquidity facility, found in comparable aircraft ABS structures. Without a liquidity facility, the class A notes are particularly vulnerable to periods of compressed lease cash flow and uneven expenses. In cash flow modelling, Fitch assumed the forbearance agreement directing the trustee to forbear in exercising rights and remedies in connection with the event of default is renewed and the trust continues to operate, despite facing heightened risks. Operation and Servicing Risk AerCap (not rated by Fitch) acts as servicer to the transactions. Fitch believes AerCap is an adequate servicer to service these transactions based on its experience as a lessor, and its servicing capabilities of its owned and managed portfolio including prior ABS transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Assets being sold materially below currently expected values may cause cash flow to decrease below its current expectations and cause a negative rating action on the A-1 and A-2 notes. The B notes, being rated 'Dsf' cannot be downgraded any further. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The class A-1 and A-2 notes are at the highest achievable rating for an aircraft ABS transaction. Only a criteria change could cause us to upgrade them above their current rating. Class B, currently rated 'Dsf', could only be rated above this if the entire accumulated interest shortfall were cleared. Based on the appraised engine values, the current relatively strong market for engines with maintenance greentime remaining, and the $10.9 million maintenance reserve fund, this is a possibility. DATA ADEQUACY The data used in determining the rating was provided by the servicer. 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-C7: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings to BMO 2023-C7 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2023-C7. A presale report has been issued. - $3,404,000 class A-1 'AAAsf'; Outlook Stable; - $127,557,000a class A-2 'AAAsf'; Outlook Stable; - $6,855,000 class A-SB 'AAAsf'; Outlook Stable; - $150,000,000a class A-4 'AAAsf'; Outlook Stable; - $215,465,000a class A-5 'AAAsf'; Outlook Stable; - $503,281,000b class X-A'AAAsf'; Outlook Stable; - $90,771,000 class A-S 'AAAsf; Outlook Stable; - $34,151,000 class B 'AA-sf'; Outlook Stable; - $22,468,000 class C 'A-sf'; Outlook Stable; - $147,390,000b class X-B 'A-sf'; Outlook Stable; - $10,784,000c class D 'BBBsf'; Outlook Stable; - $10,784,000bc class X-D 'BBBsf'; Outlook Stable; - $8,988,000c class E 'BBB-sf'; Outlook Stable; - $8,988,000bc class X-E 'BBB-sf'; Outlook Stable; - $11,683,000c class F 'BB-sf'; Outlook Stable; - $11,683,000bc class X-F 'BB-sf'; Outlook Stable; - $8,088,000cd class G-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $28,759,883cd class J-RR; - $20,330,882e Combined VRR Interest. Fitch does not expect to rate the following loan-specific classes: - $28,500,000f class WMA; - $1,500,000fg class WMR. a) The initial certificate balances of classes A-4 and A-5 are not yet known but are expected to be $365,465,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 -150,000,000, and the expected class A-5 balance range is $215,465,000 - $365,465,000. The balances of classes A-4 and A-5 above represent the hypothetical balance for class A-4 if class A-5 were sized at the largest and smallest point in their ranges, respectively. In the event that the class A-5 certificates are issued with an initial certificate balance of $365,465,000, the class A-4 certificates will not be issued. b) Notional amount and interest-only. c) Privately placed and pursuant to Rule 144A. d) Represents the "eligible horizontal interest" comprising at least 2.2975 % of the pool. e) An "eligible vertical interest" in the form of a "single vertical security" with an initial principal balance of approximately $20,330,882 (the "combined VRR interest"), which is expected to represent approximately 2.7500% of the aggregate principal balance of all the "ABS interests". f) The transaction includes two classes of non-offered, loan-specific certificates (non-pooled rake classes) related to the companion loan of Woodfield Mall. g) An "eligible vertical interest" in the form of a "single vertical security" with an initial uncertificated principal balance of approximately $1,500,000, which is expected to represent at least 5.0% of the sum of the aggregate initial certificate balance of all of the Woodfield Mall loan-specific certificates and the initial uncertificated principal balance of the WMR Interest. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 32 loans secured by 85 commercial properties having an aggregate principal balance of $739,304,766 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Citi Real Estate Funding Inc., UBS AG, Starwood Mortgage Capital LLC, RRECM Capital II, LLC (formerly known as Sabal Capital II, LLC), Greystone Commercial Mortgage Capital LLC and KeyBank National Association. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is expected to be KeyBank, National Association. 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 87.7% is lower than the YTD 2023 and 2022 averages of 88.4% and 99.3%, respectively. The pool's Fitch NCF debt yield (DY) of 11.1% 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 88.8% and 10.5%, respectively, compared to the equivalent conduit YTD 2023 LTV and DY averages of 91.6% and 10.8%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 53.9% of the pool, which is lower than the 2023 YTD average of 63.3% and the 2022 average of 55.2%. The pool's effective loan count of 24.3 is higher than the 2023 YTD average of 20.9 and slightly below the 2022 average of 25.9. Investment-Grade Credit Opinion Loans: Two loans representing 11.9% of the pool received an investment-grade credit opinion. Woodfield Mall (9.2% of the pool) received a standalone credit opinion of 'BBB+sf*' and 60 Hudson Street (2.7%) received a standalone credit opinion of 'AAAsf*'. The pool's total credit opinion percentage is in lower the YTD 2023 and 2022 averages of 18.8% and 14.4%, respectively. Property Type Concentration: Loans secured by retail properties represent 39.7%, which is higher than the YTD 2023 and 2022 averages of 31.3% and 23.3%, respectively. Loans secured by multifamily properties represent 19.3% of the pool by balance, well above the YTD 2023 and 2022 averages of 6.1% and 13.3%, respectively. Additionally, loans secured by office properties represent only 15.7% of the pool, well below the YTD 2023 and 2022 averages of 28.4% and 36.2%, 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' /'BB-sf' /'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. 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'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'A-sf'/'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. BPR 2023-STON: Moody's Assigns (P)Ba1 Rating to Cl. HRR Certs ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, to be issued by BPR 2023-STON Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2023-STON: Cl. A, Assigned (P)Aaa (sf) Cl. X*, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa2 (sf) Cl. HRR, Assigned (P)Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The certificates are collateralized by a first-lien mortgage on Stonestown Galleria (the "Property"), an 757,058 SF two- and three-story regional shopping center and open-air lifestyle center located in San Francisco, CA. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. 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 and Moody's IO Rating 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 collateral consists of an enclosed two- and three-story component as well as an open-air lifestyle component. In 2016, the sponsor purchased the Macy's-owned anchor box and in 2018, after Macy's vacated, started redeveloping the box to reposition the property as community hub. There are currently a mix of nearly 100 shops, restaurants and entertainment experiences throughout both the enclosed and open-air lifestyle areas of the site. Key retailers include Sport Basement (75,983 SF, 10.0% of NRA, 10.4% of base rent), Regal Cinemas (59,650 SF, 7.9% of NRA, 9.1% of base rent), Whole Foods Market (45,000 SF, 5.9% of NRA, 6.7% of base rent), Target (91,952 SF, 12.1% of NRA, 6.0% of base rent) and Round 1 (52,060 SF, 6.9% of NRA, 6.0% of base rent). As of September 2023, the mall reported an occupancy rate of 85.5% (inclusive of SNO tenants). The collateral property has a six-year average historical occupancy rate of 97.0%. In terms of in-line space, the property's occupancy rate was 99.0% in 2019, 90.4% in 2020, 86.0% in 2021, 76.3% in 2022 and 82.7 as of September 2023. In terms of store performance, reported sales for in-line retailers averaged $779 PSF (excluding Apple) during the August 2023 TTM period, reflecting an occupancy cost ratio of 12.0%. In-line sales are up from the 2020 sales figure of $343 PSF and up from the pre-pandemic 2019 sales figure of $701 PSF. 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 DSCR is 1.31x, which is lower than Moody's first mortgage stressed DSCR at a 9.25% constant is 1.12x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 87.1% based on Moody's Value. Moody's did not adjust the property's Moody's value for the current interest rate environment. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property quality grade is 2.25. Notable strengths of the transaction include: low MLTV, strong sales, dominant position in the market, recent capital investment, demographics, and strong sponsorship Notable concerns of the transaction include: weak expense recovery ratio, weak NOI margins, interest-only loan profile, the return of equity, and credit negative legal features. The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's 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. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. 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. BRAVO RESIDENTIAL 2023-NQM7: DBRS Finalizes B(high) on B-2 Notes ---------------------------------------------------------------- DBRS, Inc. finalizes its provisional ratings on the following Mortgage-Backed Notes, Series 2023-NQM7 (the Notes) to be issued by BRAVO Residential Funding Trust 2023-NQM7: -- $214.6 million Class A-1 at AAA (sf) -- $30.2 million Class A-2 at AA (sf) -- $28.9 million Class A-3 at A (sf) -- $15.3 million Class M-1 at BBB (sf) -- $10.4 million Class B-1 at BB (high) (sf) -- $8.7 million Class B-2 at B (high) (sf) The AAA (sf) rating on the Class A-1 Notes reflects 34.95% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (sf), BB (high) (sf), and B (high) (sf) ratings reflect 25.80%, 17.05%, 12.40%, 9.25%, and 6.60% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2023-NQM7 (the Notes). The Notes are backed by 787 loans with a total principal balance of approximately $329,878,045, as of the Cut-Off Date (September 30, 2023). The pool is, on average, six months seasoned with loan ages ranging from one to 95 months. The primary originator of the mortgages is Citadel Servicing Corporation (CSC) doing business as Acra Lending (Acra; 80.4%), the remaining originators each comprise less than 10% of the mortgage loans. ServiceMac, LLC (ServiceMac) will sub-service all of the Citadel serviced loans (83.1%) on behalf of CSC, while NewRez LLC d/b/a Shellpoint Mortgage Servicing will service the other loans of (16.9%). Nationstar Mortgage LLC (Nationstar) will act as Master Servicer. Citibank, N.A. (rated AA (low)) with a Stable trend by DBRS Morningstar), will act as Indenture Trustee, Paying Agent, and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) will act as Custodian. Sixteen loans (1.8% of the pool) are 30 to 59 days delinquent, according to the Mortgage Bankers Association (MBA) delinquency calculation method. As of the Cut-Off Date, 98.2% of the loans have been performing since origination. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 50.2% of the loans by balance are designated as non-QM. Approximately 49.2% of the loans in the pool made to investors for business purposes are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. There will be no advancing of delinquent principal or interest on any mortgage loan by the servicers or any other party to the transaction; however, each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible horizontal residual interest consisting of the Class B-3 Notes, collectively representing at least 5.0% of the aggregate fair value of the Notes (other than the Class SA, Class FB, and Class R Notes) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in October 2026 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method (or in the case of any loan that has been subject to a Coronavirus Disease (COVID-19) pandemic-related forbearance plan, on any date from and after the date on which such loan becomes 90 days MBA delinquent following the end of the forbearance period) at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The transaction's cash flow structure is similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3. Of note, the coupon rates for the Class A-1, A-2, and A-3 Notes step up by 100 basis points on and after the payment date in November 2027. Also, the interest and principal otherwise payable to the Class B-3 Notes as accrued and unpaid interest may be used to pay the Class A-1, A-2, and A-3 Notes Cap Carryover Amounts after the Class A coupons step up. Notes: All figures are in U.S. dollars unless otherwise noted. BWAY 2015-1740: DBRS Cuts Class A Certs Rating to C --------------------------------------------------- DBRS, Inc. downgraded its credit rating on the Commercial Mortgage Pass-Through Certificates, Series 2015-1740 issued by BWAY 2015-1740 Mortgage Trust as follows: -- Class A to C (sf) from A (sf) Simultaneously, DBRS Morningstar removed the Under Review with Negative Implications status of this credit rating, where it was placed on August 30, 2023. There is no trend as the C (sf) credit rating category typically does not carry trends in commercial mortgage-backed securities (CMBS) ratings. DBRS Morningstar only rates the $157.5 million Class A certificate in this transaction, which has a total deal balance of $308.0 million. In August 2023, DBRS Morningstar had downgraded the Class A certificate to A (sf) from AAA (sf) because of an increase in interest shortfalls that first affected the certificate as of the August 2023 remittance. As of the October 2023 remittance, the master servicer continues to short interest on all classes, with outstanding interest shortfalls of $1.15 million on the Class A certificate and $3.1 million across all classes combined. The interest shortfalls are the result of a significant drop in the collateral's appraised value, as further described below. Based on the updated appraised value and outstanding servicer advances of approximately $36.5 million as of October 2023, DBRS Morningstar expects losses will be realized through the Class A certificate, which led to the downgrade of the credit rating. The 10-year interest-only underlying loan is secured by a 26-story office and retail tower at 1740 Broadway in Manhattan, New York, with a scheduled maturity date in January 2025. The loan sponsor is Blackstone Property Partners, L.P. (Blackstone). The property comprises 572,645-square feet (sf) of office space, 16,587-sf of ground-floor retail space, and 14,696-sf of storage space. The loan was placed on the servicer's watchlist in early 2021 when it was confirmed that the property's largest tenant, L Brands (70.9% of the net rentable area) would not be renewing its lease at the scheduled expiration in March 2022. The loan transferred to special servicing in April 2022, after L Brands vacated the space and was no longer paying rent. The loan documents did not contain any provisions that would have allowed for any cash to be trapped during the end of the lease for L Brands, a structural weakness that DBRS Morningstar cited at issuance. As such, the sponsor retained all excess cash flow in the years leading up to the tenant's exit, when the loan's debt service coverage ratio (DSCR) was 1.87 times (x) and 1.42x for YE2020 and YE2021, respectively. According to the servicer's reporting, there was approximately $15.5 million in excess cash after debt service and below-the-line expenses across those two years. Once L Brands vacated in 2022, cash management was triggered but by that time, there was no excess cash to trap. At issuance, DBRS Morningstar noted mitigating factors to the lack of structure around the L Brands lease in the strong sponsorship in Blackstone and the issuance appraisal's dark value, which suggested the property value would remain significantly above the loan balance if L Brands were to vacate. The sponsor's commitment to the property remained evident in 2020, when the last of a $33.3 million capital improvement project was completed to upgrade the common area amenities. The project included a major renovation of the building's lobby area, the addition of a restaurant and the construction of a 15,000-sf private club. At issuance, the special servicer for this transaction was Green Loan Services LLC (GLS), an affiliate of SL Green. GLS was the special servicer when the loan transferred to special servicing in April 2022 and over the next nine months, consistently reported ongoing efforts to resolve the loan with steps that included granting Blackstone a forbearance in May 2022, which in October 2022 was extended further through December 2022. GLS also noted at the time of the loan's transfer that Blackstone had expressed its unwillingness to contribute additional capital to fund the shortfalls, later reporting that Blackstone was involved in the ongoing efforts to market the property for sale. Loan payments were initially made out of reserves and the servicer began advancing interest payments with the October 2022 payment date. Property protection advances were made prior to the October 2022 payment date, however, with the July 2022 remittance report showing the servicer advanced a $5.7 million property tax payment in June 2022. DBRS Morningstar notes that while the loan was reported current in the transaction reporting throughout the time loan payments were being made out of reserves, the October 2022 distribution statement indicated a retroactive paid-through date, suggesting for the first time that the loan was delinquent. The servicer has since confirmed that this was a reporting oversight – it is unclear if the oversight was on the part of the master servicer, Wells Fargo, or GLS. Inclusive of $16.7 million in tax and insurance advances made between June 2022 and June 2023, as well as $8.7 million in operating expenses, total outstanding advances as of the October 2023 remittance were approximately $36.4 million. Based on the information provided by the special servicer following the loan's transfer to special servicing in April 2022, DBRS Morningstar believed that Blackstone was actively engaged in the loan's workout (particularly given the granting of a forbearance, which was extended beyond the initial period of six months). As the loan was reported current and a forbearance was in place, the transaction documents did not require a new appraisal to be obtained by the special servicer. DBRS Morningstar believes an appraisal was not ordered until well after December 2022, when the extended forbearance expired. In March 2023, the special servicing was transferred from GLS to Midland Loan Services, a division of PNC Bank N.A. (Midland) and following the change in special servicer, Midland reported ongoing discussions with the Directing Certificate Holder (DCH) and the loan sponsor, as well as local brokers, to determine the appropriate disposition strategy. Although the forbearance expired in December 2022, the first appraisal reduction amount (ARA) was not reported until July 2023. The reported $77.0 million ARA was calculated based on 25% of the outstanding principal balance, as required by the transaction documents once the loan became delinquent. As a result, Class E and Class F were fully shorted interest and Class D was partially shorted interest, beginning with the July 2023 remittance. These were the first interest shortfalls reported since the loan's transfer to special servicing. The rationale for the delay in the application of the required ARA calculation is unclear. In August 2023, an updated appraised value, dated as of July 2023, was first reported, showing an as-is value decline to $175.0 million and the ARA increased to $187.6 million. The updated ARA resulted in the master servicer making a non-recoverability determination, and beginning in August 2023, none of the certificates received any interest payments. Following these events, DBRS Morningstar downgraded the Class A certificate to A (sf) and placed the rating Under Review with Negative Implications, as previously outlined. The special servicer changed hands again, in August 2023, from Midland to CW Capital Asset Management LLC (CW Capital). However, CW Capital did not remain in place for long as the special servicer has since been changed for a third time, with Midland installed again as the special servicer in September 2023. The change to CW Capital that was finalized in early August 2023 appears to have been made at the request of the DCH at the time. The most recent change back to Midland appears prompted by a non-reduced certificate holder vote following the July 2023 appraisal reported as part of the August 2023 remittance report. As previously noted, DBRS Morningstar reviewed this transaction following the end of the forbearance period in January 2023. During that review, DBRS Morningstar conducted a liquidation analysis given the length of time with the special servicer and the likelihood that the loan would be resolved with a disposition. DBRS Morningstar determined that there remained sufficient cushion below the Class A certificate ($157.5 million, $261 psf) to absorb losses, based on an analysis of relatively recently securitized Manhattan office loans in CMBS transactions, which was further supported by the subject property's dark value of $400.0 million ($662 psf) and land value of $220.0 million (as derived by the appraiser at issuance). DBRS Morningstar identified nine land comparables that traded from March 2020 through YE2022 at prices ranging from $491 psf to $991 psf with a median of $553 psf, comparing with the issuance appraisal's land value estimate of $497 psf for the subject. One comparable loan, 909 Third Avenue (backs the NYC 2021-909 transaction rated by DBRS Morningstar), had a dark value of $637 psf included in its appraisal. That figure was deemed similar to the $662 psf appraised dark value for the subject at issuance and provided ample cushion against loss for the Class A certificate, even when accounting for a deterioration in investor appetite for office properties in New York City and the cap rate expansion between 2021 and the January 2023 rating actions. However, the July 2023 appraised value was well below DBRS Morningstar's expectations and the resulting liquidated loss scenario considering the July 2023 appraised value suggests a loss will be incurred by the Class A certificate. The value stress concluded by the appraiser is well beyond DBRS Morningstar's prior expectations and is the primary driver for rating downgrade. The 2023 appraiser's analysis considers very high carry and stabilization costs for the property, which are driving the sharp value decline from the issuance appraiser's dark value. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2021-ACNT: DBRS Confirms B(low) Rating on Class G Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-ACNT issued by BX Trust 2021-ACNT as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction. Although there has been relatively limited seasoning with minimal updates to the financial reporting since the transaction closed in November 2021, the loan continues to exhibit healthy credit metrics, with the servicer-reported financials for the trailing 12-month (T-12) period ended June 30, 2023, reflecting occupancy, revenue, and net cash flow (NCF) figures that remain consistent with DBRS Morningstar's expectations. The collateral consists of the borrower's fee simple and leasehold interests in a portfolio of 89 industrial properties totalling approximately 27.2 million square feet. The properties are a mix of last-mile e-commerce, light industrial, warehouse, and institutional quality logistics assets, located across 19 states and 30 key industrial markets, including Atlanta (nine properties, 10.4% of DBRS Morningstar NCF), Minneapolis (eight properties, 8.6% of DBRS Morningstar NCF), and Memphis, Tennessee (seven properties, 6.9% of DBRS Morningstar NCF). The loan benefits from experienced sponsorship provided by an affiliate of Blackstone Inc., a global real estate investment platform, which contributed $636.0 million in equity at closing as part of the subject transaction. Whole-loan proceeds of $2.2 billion along with sponsor equity were used to acquire the portfolio for $2.8 billion and fund upfront reserves of $12.6 million. The floating-rate loan has an initial maturity date of November 9, 2023, with three 12-month extension options and is interest only throughout its five-year fully extended loan term. As a condition to exercising its extension options, the borrower is required to enter into an interest rate cap agreement with a strike rate that results in a debt service coverage ratio (DSCR) of at least 1.10 times (x). DBRS Morningstar inquired about the loan's upcoming maturity date and, according to the servicer, the borrower has stated its intention to exercise its first extension option. The transaction features a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 30.0% of the original principal balance, where individual properties may be released from the trust at a price of 105.0% of the allocated loan amount (ALA), with customary debt yield tests. Proceeds are applied sequentially for the remaining 70.0% of the pool balance with the release price increasing to 110.0% of the ALA. DBRS Morningstar applied a penalty to the transaction's capital structure to account for the pro rata nature of certain prepayments and for the weak deleveraging premiums. The loan continues to perform in line with DBRS Morningstar's expectations. As of trailing T-12 ended June 30, 2023, financials, the loan reported a NCF of $126.3 million, surpassing the DBRS Morningstar NCF of $112.1 million. The increase over the DBRS Morningstar NCF is because of higher base rent and lower vacancy. Base rent increased to $133.7 million in the T-12 ended June 30, 2023, period, compared with the DBRS Morningstar base rent of $126.0 million. Additionally, in-place vacancy remains below the DBRS Morningstar vacancy rate of 5.0%. Despite the increase in cash flow, DSCR declined to 0.93x as of June 2023 from 2.22x at issuance because of the loan's floating rate and an increase in debt service; however, the June 2023 DSCR does not incorporate proceeds received from the loan's interest rate cap. The increase in interest rate is partially mitigated by the presence of an interest rate cap, which the borrower is required to purchase in order to exercise the loan's first extension option. Per the Q2 2023 financials, the portfolio occupancy was 97.7%, down slightly from the issuance occupancy of 98.5%. The portfolio occupancy remains granular, with no tenant representing more than 6.5% of net rentable area (NRA). Investment-grade rated tenants comprise more than 20.0% of the NRA, including FedEx, Amazon, Honeywell, and Procter & Gamble. The top 10 tenants make up approximately 32.5% of NRA and 35.8% of total rental revenue. Given the stable occupancy, geographic diversity, and strong sponsorship, DBRS Morningstar believes the portfolio will continue performing in line with issuance expectations. DBRS Morningstar's credit ratings are based on a value analysis completed at issuance, which considered a capitalization rate of 6.75%, resulting in a DBRS Morningstar value of $1.7 billion and a whole-loan loan-to-value ratio (LTV) of 133.7%. The DBRS Morningstar value represents a -43.7% haircut to the appraiser's value of $2.9 billion. To account for the high leverage, DBRS Morningstar programmatically reduced its LTV benchmark targets for the transaction by 2.5% across the capital structure. Additionally, DBRS Morningstar applied positive qualitative adjustments to its sizing, totalling 7.5%, to reflect the property's quality, cash flow volatility, and market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2023-RPL3: DBRS Finalizes B(low) Rating on B-2 Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Certificates, Series 2023-RPL3 (the Certificates) issued by Chase Home Lending Mortgage Trust 2023-RPL3 (CHASE 2023-RPL3 or the Trust): -- $400.1 million Class A-1-A at AAA (sf) -- $35.3 million Class A-1-B at AAA (sf) -- $435.4 million Class A-1 at AAA (sf) -- $24.0 million Class A-2 at AA (low) (sf) -- $12.8 million Class M-1 at A (low) (sf) -- $9.3 million Class M-2 at BBB (low) (sf) -- $6.3 million Class B-1 at BB (low) (sf) -- $4.0 million Class B-2 at B (low) (sf) The AAA (sf) credit rating on the Class A-1-A, Class A-1-B, and Class A-1 Certificates reflects 12.95% of credit enhancement, provided by subordinated notes in the transaction. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 8.15%, 5.60%, 3.75%, 2.50%, and 1.70% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of primarily seasoned performing and reperforming first-lien residential mortgages and funded by the issuance of mortgage certificates (the Certificates). The Certificates are backed by 2,314 loans with a total principal balance of $526,509,254 as of the Cut-Off Date (September 30, 2023). JPMorgan Chase Bank, N.A. (JPMCB) will serve as the Sponsor and Mortgage Loan Seller of the transaction. JPMCB will act as the Representing Party, Servicer, and Custodian. DBRS Morningstar rates JPMCB's Long-Term Issuer Rating and Long-Term Senior Debt at AA and its Short-Term Instruments rating R-1 (high), all with Stable trends. The loans are approximately 210 months seasoned on average. As of the Cut-Off Date, 99.7% of the pool is current under the Mortgage Bankers Association (MBA) delinquency method, and 0.3% is in bankruptcy. All the bankruptcy loans are currently performing. Approximately 99.5% and 83.4% of the mortgage loans have been zero times (x) 30 days delinquent for the past 12 months and 24 months, respectively, under the MBA delinquency method. Within the portfolio, 99.1% of the loans are modified. The modifications happened more than two years ago for 93.8% of the modified loans. Within the pool, 1,011 mortgages have non-interest-bearing deferred amounts, which equates to 9.7% of the total principal balance. Unless specified otherwise, all statistics on the mortgage loans in the related report are based on the current balance, including the applicable non-interest-bearing deferred amounts. One of the Sponsor's majority-owned affiliates will acquire and retain a 5% vertical interest in the transaction, consisting of an uncertificated interest in the issuing entity, to satisfy the credit risk retention requirements. Such uncertificated interest represents the right to receive at least 5% of the amounts collected on the mortgage loans (net of fees, expenses, and reimbursements. There will not be any advancing of delinquent principal or interest on any mortgage by the Servicer or any other party to the transaction; however, the Servicer is generally obligated to make advances in respect of taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. For this transaction, the servicing fee payable for the mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. On any Distribution Date when the aggregate unpaid principal balance (UPB) of the mortgage loans is less than 10% of the aggregate Cut-Off Date UPB, the Servicer (and its successors and assigns) will have the option to purchase all of the mortgage loans at a purchase price equal to the sum of the UPB of the mortgage loans, accrued interest, the appraised value of the real estate owned properties, and any unpaid expenses and reimbursement amounts. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Certificates, but such shortfalls on Class M-1 and more subordinate bonds will not be paid from principal proceeds until Class A-1-A, A-1-B, and A-2 are retired. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2013-CCRE10: DBRS Confirms BB Rating on Class E Certs ---------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE10 issued by COMM 2013-CCRE10 Mortgage Trust as follows: -- Class E at BB (sf) -- Class F at B (low) (sf) The trends are Stable. Since DBRS Morningstar's last credit rating action, the pool has become very concentrated as 41 loans have been repaid from the pool, leaving just three outstanding. All three loans are past their scheduled maturity dates and are in special servicing. DBRS Morningstar's loss projections are driven primarily by the largest loan, Prince Kuhio Plaza (Prospectus ID #6, 77.6% of the pool). The combined current projected losses for all three assets would be contained to the unrated Class G certificate. DBRS Morningstar remains concerned with the timing of disposition of the outstanding loans and propensity for interest shortfalls. As of the September 2023 remittance, all three loans are categorized by the servicer as performing despite being past their respective maturity dates, and all classes received full interest payments. The largest loan is Prince Kuhio Plaza, secured by a regional mall in Hilo, Hawaii, located on the northeast coast of the Big Island. The collateral anchor tenant Sears (16.4% of the net rentable area) vacated in April 2021, ahead of its December 2021 lease expiration. As a result, physical occupancy declined to 72.1%. Despite Sears' departure, cash management has not been triggered as the debt service coverage ratio (DSCR) remains above 1.60 times (x). The DSCR for YE2022 was 1.98x, down from 2.18x at YE2021 but relatively stable from issuance. The borrower, an affiliate of Brookfield, is actively marketing the space having been able to back-fill large vacancies in the past. The loan transferred to special servicing in June 2023 and is now in maturity default having missed the July 2023 repayment date. According to recent commentary, a proposal to extend the maturity is being reviewed, though the process has been delayed as the property is encumbered by a ground lease expiring in 2042. The asset primarily serves shoppers local to the region, as it is located some distance from the main tourist areas on the island. It is the only enclosed regional mall on the Big Island, and for the trailing 12 month period ended May 31, 2023, reported in-line sales of approximately $480 per square foot (psf). An updated appraisal has not yet been finalized, although DBRS Morningstar anticipates significant value decline from the issuance appraised value of $71.0 million, given the property's dated appearance, declining occupancy, and upcoming scheduled lease roll. In its analysis, DBRS Morningstar estimated liquidation scenarios based on haircuts between 50% and 60% of the issuance appraised value, with loss severities ranging between approximately 12% and 32%. The second-largest loan is Eleven Five Eleven (Prospectus ID#43, 12.1% of the pool), backed by a suburban office property in Houston's West Katy Freeway submarket. The June 2023 rent roll indicates the property was 92% occupied; however, leases representing 39.5% of the NRA are already expired or scheduled to expire by YE2024. Submarket vacancy is high at 26.6% as of Q2 2023, according to Reis. The smallest loan is Starks Parking Louisville (Prospectus ID# 47, 10.3% of the pool), secured by a 725-space parking garage located in downtown Louisville, Kentucky. Performance was drastically affected by the Coronavirus Disease (COVID-19) pandemic, as demand for parking plummeted and monthly permits were cancelled. Both of these loans were transferred to special servicing in August 2023 for maturity default. There have been minimal updates from the special servicer regarding the workout strategies given the loans' recent transfer dates. In its analysis, DBRS Morningstar is projecting loss severities between 30% and 45% for these two assets, based on stresses to the issuance appraised values. As noted above, DBRS Morningstar's projected losses imply recoveries that would sufficiently repay the rated bonds. Loss projections may increase should property values decline further than expected, or the loans languish in special servicing with servicer advances accumulating. DBRS Morningstar will continue to monitor the loans for developments. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2021-2400: DBRS Confirms B(low) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021- 2400, issued by COMM 2021-2400, as follows: -- Class A at AAA (sf) -- Class X-EXT at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All classes have Stable trends. The credit rating confirmations reflect the stable performance of the transaction, which remains in line with DBRS Morningstar's expectations in the two years since issuance. The loan is on the servicer's watchlist for an upcoming maturity in December 2023; however, the servicer has confirmed that the borrower intends to exercise the first extension option through December 2024. The collateral consists of a 592,476-square-foot (sf) Class A office and retail building in Philadelphia, Pennsylvania. In 2019, the sponsors converted the property from warehouse use at a cost of $235.0 million and secured a lease with Aramark Corporation (Aramark) to relocate its headquarters to the property. The property consists of 502,486 sf of office space, 80,392 sf of retail space, and 9,598 sf of storage space. The two-year floating-rate loan pays interest only and has three one-year extension options, with a fully extended maturity date in December 2026. The extension options are exercisable subject to the borrower's extension of the interest rate cap agreement and a minimum debt yield of 7.25%. The loan continues to benefit from stable tenancy, with the June 30, 2023, rent roll showing the property was 99.0% occupied, which remains consistent with the YE2022 and YE2021 occupancy figures of 98.7% and 100%, respectively. The top three tenants occupy 75.1% of the property's net rentable area (NRA) and all are in place on long-term leases, with the earliest termination option available in 2031. The property's largest tenant is Aramark, which occupies 50.1% of the NRA and has a lease expiry in October 2034. The second- and third-largest tenants are Fitler Club, LLC and Audacy Pennsylvania, LLC, which occupy 13.6% and 11.3% of the NRA, respectively. Tenancy is expected to remain consistent over the next year as scheduled tenant rollover is minimal with only two tenants representing 0.4% of the NRA set to expire in January 2024 and only 4.1% of the NRA scheduled to roll prior to the loan's final maturity in 2026. As expected with stable occupancy, property cash flows continue to report in lien with the issuance expectations. The servicer's analysis of the trailing six months ended June 30, 2023, financials resulted in a debt service coverage ratio (DSCR) and annualized net cash flow (NCF) of 1.57 times (x) and $14.6 million, respectively, which remains in line with the respective DBRS Morningstar figures from issuance of 1.62x and $12.5 million. Although scheduled rollover is generally minimal through the fully extended loan term, DBRS Morningstar notes the surrounding submarket metrics remain relatively healthy. Per Reis, the Center City submarket had a Q2 2023 vacancy rate of 12.4%, which is an increase from 10.5% as of Q2 2022; however, vacancy is projected to fall to 10.8% in 2028. The submarket is near the University City submarket, one of the fastest-growing life-sciences markets in the United States. Additionally, the sponsor, an affiliate of Lubert-Adler Partners LP, has extensive experience, with $20 billion invested in real estate, much of which is in Philadelphia. Given the property's favorable quality, limited rollover exposure through the near to moderate term, and strong location, the DBRS Morningstar credit view remains unchanged from issuance when a DBRS Morningstar value of $184.7 million was derived, based on the DBRS Morningstar NCF of $12.5 million and a cap rate of 6.75%. The DBRS Morningstar value is a variance of -41.8% from the issuance appraisal of $317.3 million and implies a loan-to-value ratio of 119.1%. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC 2021-BHAR: DBRS Confirms B(low) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-BHAR issued by CSMC 2021-BHAR: -- Class A at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the collateral's overall healthy performance of the transaction in the two years since issuance, as revenue per available room (RevPAR) continues to surpass pre-pandemic levels as expected. The loan continues to benefit from strong sponsorship and the collateral's prime location, with the servicer reported financials for the trailing twelve (T-12) month period ended June 30, 2023, reflecting a net cash flow (NCF) of $20.0 million, exceeding the DBRS Morningstar NCF of $15.0 million. The transaction is collateralized by the fee-simple interest in the St. Regis Bal Harbour Resort, a 216-key luxury full-service hotel in Miami Beach, Florida. The 216 keys includes 192 hotel rooms and 24 third-party-owned condominium units that participate in a rental management program. The resort was built in 2011 and is part of a larger mixed-use development, totaling three towers on 21 acres. The collateral is located within the Center Tower, which uniquely has all oceanfront rooms. The property features four upscale restaurants, multiple swimming pools, approximately 14,000 square feet (sf) of amenities, and more than 33,000 sf of indoor/outdoor event space. The property is operated and managed by Sheraton, a Marriott owned brand, with sponsorship provided by the Qatar-based Al Faisal Holding, a real estate investment company that, at issuance, owned 37 properties across the world, including five luxury hotels in the United States. At close, the sponsor had invested $37.6 million ($174,000 per key) in capital improvements to the collateral since 2016. The whole loan proceeds of $188.0 million were used to refinance existing debt, return $44.5 million of equity to the sponsor, and fund upfront reserves. The floating rate loan is interest-only (IO) and has a two-year initial term, with three one-year extension options and a fully extended maturity date in November 2026. According to servicer commentary, the borrower has expressed its intention to exercise the first extension option in November 2023 and the request is currently under review. As a condition to exercising its extension options, the borrower is required to enter into an interest rate-cap agreement with a strike rate that results in a debt service coverage ratio (DSCR) of at least 1.15 times (x). Given the current interest rate environment, the costs of new interest rate-cap agreements have increased significantly in the last year. According to the STR report for the T-12 ended June 30, 2023, the hotel's occupancy, average daily rate (ADR), and RevPAR were 69.8%, $1,131, and $790, respectively, an improvement over the issuance RevPAR of $695 and the DBRS Morningstar RevPAR of $613. The most recent metrics have surpassed pre-pandemic levels, although occupancy, ADR, and RevPAR declined 3.2%, 5.7%, and 8.7%, respectively, from the T-12 ended June 30, 2022, levels. Despite the year-over-year declines, the subject continues to outperform its competitive set, reporting a 126.0% RevPAR penetration rate for the T-12 ended June 30, 2023, period. The loan continues to perform in line with DBRS Morningstar's expectations. According to the T-12 ended June 30, 2023, financials, the loan reported a NCF of $20.0 million (representing a DSCR of 1.68x), surpassing the DBRS Morningstar NCF of $15.0 million but declining from the year-end (YE) 2022 NCF of $31.2 million (representing a DSCR of 3.99x). The drop in NCF from YE2022 was mainly driven by a 7.7% ($5.2 million) decline in room revenue and a 207.1% ($4.2 million) increase in property insurance. DBRS Morningstar's ratings are based on a value analysis completed at issuance, which considered a capitalization rate of 7.75%, resulting in a DBRS Morningstar value of $193.4 million and a whole-loan LTV of 97.2%. The DBRS Morningstar value represents a -47.2% haircut to the appraiser's value of $366.0 million. In order to account for the high leverage, DBRS Morningstar programmatically reduced its LTV benchmark targets for the transaction by 1.50% across the capital structure. Additionally, DBRS Morningstar applied positive qualitative adjustments to its sizing, totaling 6.0%, to reflect the property's quality, cash flow volatility, and market fundamentals. Despite the decline in NCF, DBRS Morningstar's credit view remains unchanged from issuance given the subject's prime location, luxury brand, and experienced institutional sponsorship. Notes: All figures are in U.S. dollars unless otherwise noted. DBGS 2021-W52: DBRS Confirms BB Rating on Class F Certs ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of DBGS 2021-W52 Mortgage Trust Commercial Mortgage Pass-Through Certificates issued by DBGS 2021-W52 Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-EXT at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall performance of the transaction, which remains in line with DBRS Morningstar's expectations at issuance. Although occupancy has declined and additional space will become vacant over the next year, DBRS Morningstar anticipated this in its analysis at issuance. Further mitigating the increased vacancy are loan structural features, including a cash trap and major tenant sweep as well as upfront reserves that are available for taxes, ongoing leasing costs, and capital improvement work. The transaction is collateralized by the borrower's fee-simple interest in 51 West 52nd Street (Black Rock Building), an 878,000-square foot (sf), Class A, office high-rise in Midtown Manhattan. The collateral was constructed in 1963 as the headquarters for CBS Corporation. The merger of CBS Corporation and Viacom Inc. was completed in December 2019, following which the current sponsor, which is managed by affiliates of Harbor Group International, LLC, acquired the subject property from the merged company (CBS) in a partial sale-leaseback. As noted at issuance, CBS executed a short-term lease for 283,917 sf (32.3% of the net rentable area (NRA)) of space at the property, with lease expirations in August 2023 and August 2024, after which CBS intends to fully vacate the property. The interest-only (IO) loan has an initial maturity in October 2024 with three one-year extension options available. The $420 million mortgage loan, along with an initial $378.1 million in borrower's equity contribution, were used to acquire the property for $760 million, pay $32.6 million in closing costs, and fund $5.5 million in upfront tax reserve. At issuance, there was additional mezzanine financing of $25.0 million, providing additional upfront reserves for tenant improvement and leasing costs (TI/LC) and capital expenditures. The associated mezzanine loan provides for up to $113.4 million in future advances that would be reserved for additional future leasing costs ($87.9 million), additional capital improvement ($15.0 million), and future shortfalls ($10.5 million). According to the servicer's recent update, the borrower continues to execute capital projects at the property. Per the October 2023 loan level reserve report, there is approximately $8.7 million of TI/LC reserves remaining, which translates to $48.19 per square foot (psf) of CBS' remaining space. According to the June 2023 rent roll, the property was 90.4% occupied, down from 96.4% at issuance. The decline is primarily the result of CBS physically vacating some of its space (down to 20.6% of the NRA from 32.3% of the NRA at issuance). It is expected that CBS will vacate the remainder of its space by October 2024. The other largest tenants are Wachtell, Lipton, Rosen & Katz (Wachtell; 28.6% of the NRA, lease expiration in July 2024), and Orrick, Herrington, & Sutcliffe (24.2% of NRA, lease expiration in November 2026). According to the servicer's most recent update, Wachtell has exercised its renewal option; however, no terms or rates have been provided. Since closing, the borrower has been able to sign one tenant, representing 5.6% of the NRA, on a 17-year lease. As of June 2023, the property's average rental rate increased to $79.80 psf from $75.77 psf at issuance as a result of rent steps. The property's average rental rate remains below market when compared with the Reis reported average of $88.18 psf for Class A office space within a 0.1-mile radius of the subject. At issuance, the average submarket rental rate was $89.26 psf, suggesting rents have softened slightly but that there remains upside should the borrower backfill vacant space market rates. DBRS Morningstar's analysis does not recognize the upside, despite the substantial upfront and future reserves. The property reported a net cash flow (NCF) of $32.3 million for the trailing 12 months ended June 30, 2023, reflecting a debt coverage service ratio (DSCR) of 1.17 times (x), compared with the DBRS Morningstar NCF of $33.8 million derived at issuance. Debt service payments have increased, given the loan's floating-rate coupon. Additionally, DBRS Morningstar anticipates cash flow will decline further once CBS fully vacates, resulting in a below breakeven DSCR. In its analysis, DBRS Morningstar assumed a 0% renewal rate for the tenant and elected to not provide credit for loan-to-value (LTV) thresholds to account for cash flow volatility and execution risk of the borrower's business plan. The DBRS Morningstar estimated TI/LC costs were ultimately negated by an annualized credit for the $107.9 million in total leasing cost reserves that are intended to come from the associated mezzanine financing should the full mezzanine financing be ultimately delivered. The loan has been on the servicer's watchlist since November 2022 because of the commencement of the additional reserve sweep period. The cash sweep fund is capped at $25.0 million, with 40.0% allocated to a shortfall reserve, 45.0% to leasing cost reserve, and 15.0% to a capital improvement reserve. In addition, the lease sweep trigger also commenced in March 2023 after CBS began vacating its space. Per the loan agreement, excess cash flow will be swept up to $150 psf. Overall, DBRS Morningstar maintains a favorable view on the collateral's performance in the long run, given the institutional-level sponsorship backing the transaction and the significant financing available for the sponsor's business plan. Given the property's desirable location in Midtown Manhattan and its close proximity to the Rockefeller Center and Grand Central Terminal, the appraiser concluded a land value of $480.0 million at issuance, which fully covers the trust loan amount and 86.0% of the whole loan amount. At issuance, DBRS Morningstar derived a value of $519.8 million based on a concluded cash flow of $33.8 million and a capitalization rate of 6.5%, resulting in a DBRS Morningstar LTV of 80.8% compared with the LTV of 53.8% based on the appraised value at issuance. As noted above, DBRS Morningstar made positive qualitative adjustments totaling 4.0% to the LTV sizing benchmarks to account for the property quality and strong market fundamentals. Should the future mezzanine financing become undeliverable, DBRS Morningstar may take action to further stress the DBRS Morningstar as-is value of the property to account for TI/LC costs as necessary. Notes: All figures are in U.S. dollars unless otherwise noted. ELP COMMERCIAL 2021-ELP: DBRS Confirms B(low) Rating on G Certs --------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-ELP issued by ELP Commercial Mortgage Trust 2021-ELP as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the transaction, which remains in line with DBRS Morningstar's expectations at issuance given the strong occupancy and geographic diversity of the portfolio. The transaction is secured by the borrower's fee-simple and leasehold interest in a portfolio of 142 industrial properties totalling approximately 28.0 million square feet (sf) across 17 states. Loan proceeds of $1.8 billion coupled with $591.5 million of sponsor equity facilitated the acquisition of the portfolio at a purchase price of $2.3 billion and covered closing costs. The interest-only floating-rate loan has a two-year term with three one-year extension options for a fully extended maturity date of November 2026. The loan is currently on the servicer's watchlist because of its upcoming November 2023 maturity; however, the borrower provided notice to exercise its first extension option, which is currently being processed. According to the issuance documents, the borrower is required to purchase an interest rate cap agreement with a strike rate to achieve a minimum debt service coverage ratio (DSCR) of 1.10 times (x) as a condition to exercise its extension options. The transaction includes a partial pro rata structure that allows for pro rata paydowns for the first 25% of the original principal balance. Individual assets may be released at a prepayment premium of 105% of the allocated loan amount for the first 25% of the original principal loan balance and increases to 110% thereafter. As of the October 2023 remittance, no properties have been released. The loan benefits from its institutional sponsorship with G Investor and EQT Exeter. G Investor is owned by GIC Realty Private Limited, which is a global investment firm with investments across several asset classes including real estate in more than 40 countries, while EQT Exeter is one of the largest real estate investment managers in the world. Based on the YE2022 financials, the subject reported a net cash flow (NCF) and DSCR of $103.2 million and 1.80x, respectively, compared with the DBRS Morningstar NCF and DSCR of $108.1 million and 3.34x, respectively. Considering the transaction is newer in vintage, financial reporting is limited because of the lack of loan seasoning. Furthermore, the debt service payments increased significantly between issuance and YE2022 because of the floating-rate nature of the loan; however, this is mitigated by the interest cap rate agreement in place. As of YE2022, the portfolio was 95.0% occupied, generally in line with the issuance occupancy rate of 97.2%. As noted at issuance, there is considerable rollover risk for the portfolio as more than 70% of the portfolio net rentable area (NRA) is scheduled to roll through the fully extended loan term. However, the subject benefits from a very granular rent roll, with no tenants occupying more than 5.3% of the portfolio NRA. Furthermore, there are also several investment-grade tenants that account for more than 10.0% of the portfolio NRA. In addition, the in-place rents at issuance were generally below market, suggesting rental upside once leases roll. At issuance, DBRS Morningstar derived a value of $1.6 billion based on the DBRS Morningstar NCF of $108.1 million and a capitalization rate of 6.75%, resulting in a 36.7% haircut from the appraiser's value of $2.5 billion and a DBRS Morningstar loan-to-value ratio of 109.4%. DBRS Morningstar also made positive qualitative adjustments totalling 7.5% to account for cash flow volatility, property quality, and market fundamentals. The transaction continues to perform as expected given the strong occupancy, geographic diversity of the portfolio and generally stable performance of the industrial sector. Notes: All figures are in U.S. dollars unless otherwise noted. FLATIRON CLO 24: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Flatiron CLO 24 Ltd. Entity/Debt Rating ----------- ------ Flatiron CLO 24 Ltd. A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Flatiron CLO 24 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by NYL Investors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.46, versus a maximum covenant, in accordance with the initial expected matrix point of 25.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.74% versus a minimum covenant, in accordance with the initial expected matrix point of 73.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between '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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A-sf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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. FS COMMERCIAL 2023-4SZN: DBRS Finalizes B Rating on HRR Certs ------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2023-4SZN to be issued by FS Commercial Mortgage Trust 2023-4SZN: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. The FS 2023-4SZN transaction is secured by the borrower's fee-simple interests in The Four Seasons Palm Beach and The Four Seasons Surf Club properties, encompassing 309 keys. The two luxury hotel and resort properties are well located on the eastern seaboard of South Florida and offer direct frontage on the Atlantic Ocean. The hotels are the epitome of luxury and considered to be among the top hotels in Florida as well as the country. DBRS Morningstar has a positive view of the portfolio considering the excellent quality of the collateral, prime beachfront location of the portfolio, and the commitment and experience of the Sponsor within the Southern Florida market. The 207-key Four Seasons Palm Beach offers 500 feet of direct ocean frontage, presenting sweeping views of the Atlantic Ocean. The hotel offers exceptional accommodations as well as luxurious amenities, such as two outdoor resort-style swimming pools, beachfront cabanas on Palm Beach, a full-service spa and salon with 11 treatment rooms, and a fitness center. Mauro Colagreco, world-renowned chef, operates Florie's, one of the F&B outlets at the property. In 2019, the Sponsor completed an intensive $74 million capital improvement project that included the renovation of all 207 rooms and suites, new landscape architecture, the re-conception of the F&B outlets, and renovation of the pool deck. As of 2023, the Sponsor completed an additional $6.3 million capital improvement plan to refresh the ballrooms and meeting spaces. Given the exceptional caliber of the asset, the Four Seasons Palm Beach has been acknowledged as a AAA Five Diamond Hotel since 2009 and a Forbes Travel Guide Five Star award winner for more than 40 consecutive years. DBRS Morningstar contends that the significant capital invested in the property with continued near-term investment will maintain the asset's position as a luxury destination and its status as a competitive leader within the Palm Beach market. The Four Seasons Surf Club is an iconic luxury hotel and resort that provides 815 feet of direct ocean frontage. The luxury resort features 102 keys—77 guestrooms and 25 condominiums owned by third parties. The 25 condominium keys are managed by the Sponsor with a revenue-sharing program. The original Surf Club was established as a private social club for celebrities and socialites in the early 1930s, and the Sponsor developed the adjacent property as the Four Seasons Surf Club in 2017. The property presents guests with luxurious accommodations as all 102 keys offer impressive ocean views. Amenities include three outdoor resort-style swimming pools, beachfront cabanas, beachfront lawns and gardens, a full-service spa with six treatment rooms, and a fitness center. F&B outlets at the property include Lido Restaurant and Terrace, Winston's on the Beach, the Champagne Bar, and the Surf Club Restaurant, which is led by world-renowned Michelin star chef, Thomas Keller. F&B revenue accounts for 32.9% of DBRS Morningstar's revenue assumption of the collateral, highlighting the resort's popularity with non-guests to dine and visit. Ranked as the top hotel in the world and the number one hotel in Florida by Condé Nast Traveler, the collateral is also an AAA Five Diamond Hotel and a Forbes Travel Guide Five Star award winner. DBRS Morningstar has a favorable outlook on the asset considering its recent build, historical reputation, and excellent property quality. The portfolio's local markets benefit from its strong base in tourism, proximity to the Atlantic Ocean, and access to Miami. The collateral attracts visitors from around the world as a result of the excellent amenities and accommodation, and reputation as two of the most luxurious hotels and resorts in the U.S. Local demographics are generally favorable and show an affluent community. There is limited competition and currently no new construction or development of similar products in the area. DBRS Morningstar believes that the portfolio will remain a leader in the luxury hotel and resort market within Miami and the U.S. DBRS Morningstar's credit rating on the certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this press release. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations (for example, Yield Maintenance Premiums or Default Interest). DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. GENERATE CLO 13: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Generate CLO 13 Ltd./Generate CLO 13 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Generate Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Generate CLO 13 Ltd./Generate CLO 13 LLC Class A-1, $194.50 million: Not rated Class A-1L loans, $50.00 million: Not rated Class A-2, $11.50 million: Not rated Class B-1, $37.00 million: AA (sf) Class B-2, $11.00 million: AA (sf) Class C-1 (deferrable), $11.00 million: A (sf) Class C-2 (deferrable), $13.00 million: A (sf) Class D-1 (deferrable), $17.50 million: BBB- (sf) Class D-2 (deferrable), $4.50 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $42.00 million: Not rated GLS AUTO 2023-4: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the classes of notes to be issued by GLS Auto Receivables Issuer Trust 2023-4 (the Issuer) as follows: -- $58,500,000 Class A-1 Notes at R-1 (high) (sf) -- $126,000,000 Class A-2 Notes at AAA (sf) -- $41,500,000 Class A-3 Notes at AAA (sf) -- $68,990,000 Class B Notes at AA (sf) -- $63,800,000 Class C Notes at A (sf) -- $65,030,000 Class D Notes at BBB (low) (sf) -- $45,250,000 Class E Notes at BB (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The quality and consistency of provided historical static pool data for Global Lending Services LLC (GLS or the Company) originations and the performance of the GLS auto loan portfolio. (4) The credit quality of the collateral and performance of GLS' auto loan portfolio, as of the Statistical Calculation Date. -- The pool will include approximately 91.9% used vehicles and 8.1% new vehicles, 84.3% of which are from franchise dealers. -- The loans in the pool will have a weighted-average FICO of 591 and a weighted-average annual percentage rate of 21.43%. (5) The DBRS Morningstar CNL assumption is 16.40%, based on the Cut-Off Date pool composition. (6) The capabilities of GLS with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of GLS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (7) The consistent operational history of GLS and the overall strength of the Company and its management team. -- The GLS senior management team has considerable experience within the auto finance industry, with most of the executives having been with the Company for most of its twelve-year history. (8) DBRS Morningstar used the static pool approach exclusively because GLS has enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis performed on the static pool data. (9) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update," published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (10) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with GLS, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." GLS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The ratings on the Class A-1, Class A-2, and Class A-3 Notes reflect 55.30% of initial hard credit enhancement provided by the subordinated notes in the pool (49.15%), the reserve account (1.00%), and OC (5.15%). The ratings on the Class B, C, D, and E Notes reflect 41.35%, 28.45%, 15.30%, and 6.15% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. DBRS Morningstar's credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Principal Amount. DBRS Morningstar's credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any unpaid Noteholders' Monthly Interest Distributable Amount. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. GOODLEAP SUSTAINABLE 2023-4: Fitch Gives BB(EXP) Rating on C Notes ------------------------------------------------------------------ Fitch Ratings has assigned GoodLeap Sustainable Home Solutions Trust Series 2023-4 (GoodLeap 2023-4) expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed. Entity/Debt Rating ----------- ------ GoodLeap Sustainable Home Solutions Trust Series 2023-4 A LT A(EXP)sf Expected Rating B LT BBB(EXP)sf Expected Rating C LT BB(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is a securitisation of 20-to-25-year consumer loans primarily backed by solar equipment. KEY RATING DRIVERS Performance Assumptions Informed by FICO: Given material differences in loan performance by borrowers' FICO scores, Fitch defined lifetime default expectations for ranges of FICO scores. The weighted average base case default rate is 9.8% for the seven Fitch-defined groups. In contrast Fitch did not differentiate its recovery assumption by FICO scores and assumed a 25% base case recovery rate. Fitch's rating default rates (RDRs) for 'Asf', 'BBBsf' and 'BBsf' are, respectively, 29.4%, 21.5% and 14.7%; Fitch's rating recovery rates (RRRs) are 21.8%, 24.0% and 26.0%, respectively. Rating Sensitive to Small Changes: Slight deviations from Fitch's performance assumptions can have a material rating impact, particularly in certain model scenarios. To ensure robust ratings, its analysis considers the notes' ability to repay under severe stresses, sensitivities, and the effectiveness of amortisation triggers. Turbo Sequential on Trigger Breach: The notes will initially amortise based on target over-collateralisation (OC) percentages. Should asset performance deteriorate, first, additional principal will be paid to cover any defaulted amounts; second, once the cumulative loss trigger is breached, the payment waterfall will switch to "turbo" sequential to the senior class. Standard, Reputable Counterparties; No Swap: The transaction account is with Wilmington Trust Company (A /Negative/F1), and the servicer's lockbox account is with KeyBank National Association (BBB+ /Stable/F2). Commingling risk is mitigated by the daily transfer of collections, high Automated Clearing House (ACH) share at closing and the ratings of KeyBank. Established Lender but New Assets: GoodLeap has grown to be one of the largest U.S. solar loan lenders. Underwriting is mostly automated and in line with those of other U.S. ABS originators. Other than the solar lending business, GoodLeap also originates home efficiency loans and mortgages. Some loan servicing is outsourced to Genpact (UK) Limited, the sub-servicer, while GoodLeap has increased its role in direct servicing over time. Servicing disruption risk is further mitigated by the appointment of Vervent, Inc. as the backup servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Additional performance data that imply annualised default rates (ADRs) in excess of 1.2% or show lower-than-expected prepayment rates may contribute to an Outlook revision to Negative or a downgrade. Material adverse changes in policy support, the economics of purchasing and financing photovoltaic panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also affect the ratings negatively. Increase of defaults (Class A / B / C) +10%: 'A-sf' / 'BBBsf' / 'BBsf' +25%: 'A-sf' / 'BBBsf' / 'BBsf' +50%: 'BBB+sf' / 'BB+sf' / 'BBsf' Decrease of recoveries (Class A / B / C) -10%: 'A-sf' / 'BBBsf' / 'BBsf' -25%: 'A-sf' / 'BBBsf' / 'BBsf' -50%: 'A-sf' / 'BBBsf' / 'BBsf' Increase of defaults/decrease of recoveries (Class A / B / C) +10% / -10%: 'BBB+sf'/ 'BBBsf' / 'BBsf' +25% / -25%: 'BBBsf' / 'BBB-sf' / 'BBsf' +50% / -50%: 'BBB-sf' / 'BBsf' / 'B+sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch does not rate solar transactions 'AAAsf' due to limited data history. The rating cap may be lifted should more robust performance data be provided. Positive rating actions may also result from data specific to the level of defaults after the investment tax credit due date, more data on recoveries, and the performance of interest-only loans. Subject to those conditions, good transaction performance, credit enhancement at the target over-collateralisation levels and ADRs materially below 1.2% would support an upgrade. Decrease of defaults (Class A / B / C) -10%: 'Asf' / 'BBB+sf' / 'BBsf' -25%: 'A+sf' / 'BBB+sf' / 'BBB+sf' -50%: 'AA+sf' / 'A+sf' / 'A+sf' Increase of recoveries (Class A / B / C) +10%: 'Asf' / 'BBB+sf' / 'BBB-sf' +25%: 'Asf' / 'BBB+sf' / 'BBBsf' +50%: 'Asf' / 'BBB+sf' / 'BBBsf' Decrease of defaults/increase of recoveries (Class A / B / C) -10% / +10%: 'A+sf' / 'BBB+sf' / 'BBBsf' -25% / +25%: 'AA-sf' / 'Asf' / 'BBB+sf' -50% / +50%: 'AA+sf' / 'A+sf' / 'A+sf' CRITERIA VARIATION This analysis includes a criteria variation due to model-implied rating (MIR) variations in excess of the limit stated in the consumer ABS criteria report for new ratings. According to the criteria, the committee can decide to deviate from the MIRs but, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variations for the class B and C notes are greater than one notch. Given the sensitivity of ratings to model assumptions and conventions, repayment timing and tranche size, the ultimate ratings were constrained by sensitivity analysis. DATA ADEQUACY Similar to other solar ABS originators, GoodLeap can provide historical information only covering a small share of the whole up to 25-year loan tenor. Fitch applied default and recovery stresses at the high or median-high level of the criteria range. The amortising nature of the assets and the application of an annual default rate to the static portfolio allowed us to determine lifetime default assumptions. In addition, Fitch considered proxy data from other originators and borrower characteristics (including demographics and fairly high FICO scores) to derive asset assumptions, as envisaged under the Consumer ABS Rating Criteria. Taking into account this analytical approach, the rating committee decided to cap the rating in the 'AAsf' rating category, in line with other solar ABS transactions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2013-GCJ14: DBRS Cuts Class G Certs Rating to C ----------------------------------------------------------- DBRS, Inc. downgraded its credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2013-GCJ14 issued by GS Mortgage Securities Trust 2013-GCJ14 as follows: -- Class G to C (sf) from CCC (sf) DBRS Morningstar also confirmed its credit ratings on three classes as follows: -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (low) (sf) The credit ratings for Classes C and PEZ were discontinued in conjunction with this rating action, as they have been repaid in full. Classes D, E, and F maintain Stable trends. Class G is assigned a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The downgrade action is driven by an increase in DBRS Morningstar's loss projections and increased pool concentration given the repayment of most of the performing loans in the past year. Since DBRS Morningstar's last rating action, 64 loans have repaid from the trust, and the pool has paid down by 89.4% since issuance. As of the October 2023 remittance, only six loans are remaining, five of which are in special servicing, representing 77.4% of the pool. All but one of the specially serviced loans recently transferred because of maturity default. Given this concentration, DBRS Morningstar's ratings are based on a recoverability analysis of the outstanding assets. DBRS Morningstar's current loss projections are contained to the Class G certificate and indicate that Classes D, E, and F remain sufficiently insulated, though there is increased propensity for interest shortfalls. Cranberry Woods Office Park (Prospectus ID#4, 32.4% of the pool) is the largest loan in the pool and the largest asset in special servicing. It is secured by a portfolio of three suburban office properties located approximately 20 miles north of Pittsburgh. The loan transferred to special servicing in August 2023 for maturity default. According to servicer commentary, the borrower had previously indicated it was looking for refinance options. One of the three collateral buildings is 100% occupied by Genco (30.9% of the collateral net rentable area (NRA)), an affiliate of FedEx, on a lease expiring in December 2023. The space is not currently listed as available, but the loss in rental revenue from this tenant would significantly affect overall cash flow. The loan had nearly $5.0 million in reserves as of the October 2023 reporting. DBRS Morningstar's analysis is based on a conservative stress to the issuance appraised value, as there is no updated appraisal available at this time, with a resulting implied loss severity under 20%. The only performing loan is Mall St. Matthews (Prospectus ID#6, 22.6% of the pool), which is secured by a regional mall in Louisville, Kentucky, owned and operated by Brookfield Property Group (Brookfield). The loan failed to repay at the scheduled June 2020 maturity date and was transferred to special servicing. A modification of the loan was executed in March 2022, terms of which included an extension of the maturity date to June 2025, as well as a conversion to interest-only payments throughout the extension period. The loan is also cash managed with all excess cash applied to paydown the principal balance. As of the October 2023 remittance, the loan continues to perform in accordance with the modification terms. A June 2023 sales report indicated average in-line sales for the trailing 12 months were $483 per square foot. The annualized June 2023 debt service coverage ratio was reported to be 1.46 times (x), compared with 1.59x at YE2022, 1.60x at YE2021, and 1.69x at YE2020. The collateral was 91.0% occupied as of June 2023, down slightly from 93% at YE2022, and leases representing 23.9% of the NRA are already expired or scheduled to roll in the next 12 months. The loan is pari passu with a note securitized in GSMS 2013-GCJ13, which is not rated by DBRS Morningstar. According to previous servicer's commentary, the loan will be subject to a capital event waterfall upon the 2025 maturity date, which stipulates that a minimum of $75.0 million is to be repaid to the trusts holding the pari passu debt on the property. Based on the August 2021 appraisal, the property was valued at $83.0 million, a 70.4% decline from the issuance value of $280.0 million. Although the loan modification suggests a longer-term commitment to the property for the sponsor, DBRS Morningstar believes the steep value decline from issuance and possibility that the loan modification allows for a partial recovery of equity for the sponsor at repayment (even if the loan balance isn't repaid in full) mean the potential of a significant loss at resolution remains high. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2020-GC45: DBRS Confirms B Rating on Class G-RR Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-GC45 issued by GS Mortgage Securities Trust 2020-GC45 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F-RR at BB (low) (sf) -- Class G-RR at B (sf) DBRS Morningstar also confirmed the credit ratings on the loan-specific certificates as follows: -- Class SW-A at A (low) (sf) -- Class SW-B at BBB (low) (sf) -- Class SW-C at BB (low) (sf) -- Class SW-D at B (low) (sf) The trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying loans in the transaction evidenced by the pool's weighted-average debt service coverage ratio (DSCR) of 2.77 times (x), up slightly from 2.64x at issuance. The trust consisted of 52 fixed-rate loans secured by 152 commercial, hospitality, and multifamily properties with an original balance of $1.39 billion at issuance. As of the October 2023 remittance report, all of the original loans remain in the pool and there has been nominal collateral reduction of 1.1% since issuance. Amortization has generally been limited, as 29 of the loans representing 68.7% of the current pool balance are interest-only (IO) and two loans representing another 2.3% are partial-IO and remain in their IO periods. The collateral pool's property type concentration is relatively diverse, with the greatest property type concentration by loan balance consisting of assets secured by retail properties (15 loans accounting for 21.6% of the pool balance). Assets secured by office properties account for the second-greatest property type concentration, with seven loans that represent 19.0% of the current pool balance. One loan, representing 3.7% of the pool balance, is defeased. As of the October 2023 remittance, there were 11 loans representing 28.0% of the current pool balance on the servicer's watchlist, including three loans representing 11.0% of the pool in the 15 largest loans. These loans are being monitored for a variety of reasons including deferred maintenance or a low DSCR, among others. There were no loans in special servicing and no delinquent loans as of the October 2023 remittance. In general, the office loans in the pool are performing as expected; in the case of two smaller loans backed by office properties (representing a combined 2.5% of the pool), DBRS Morningstar applied a value stress and a probability of default stress to increase the expected loss for each in the analysis for this review. The largest loan on the servicer's watchlist, Starwood Class A Industrial Portfolio 1 (Prospectus ID#3, 4.4% of the pool), which is secured by a portfolio of 33 industrial properties (including 24 warehouses, three distribution centers, two manufacturing facilities, two cold storage facilities, and two flex spaces) totaling 4.1 million square feet (sf) across four states (Indiana, Illinois, Ohio, and Wisconsin). The loan was flagged for upcoming scheduled tenant rollover representing just below 20% of the net rentable area (NRA) through the end of 2023, including the third-largest tenant, representing 4.8% of NRA, in November 2023. As of the June 2023 reporting, the DSCR and occupancy are healthy at 6.10x and 94.0%, respectively, suggesting significant cushion against cash flow declines should rolling tenants elect to vacate. Given the strong historical performance of the asset, granularity of the near-term rollover risk, and continued solid performance for industrial properties in general, DBRS Morningstar expects the loan's overall performance to remain stable. At issuance, the loan was shadow-rated investment grade primarily because of the relatively low appraisal low-to-value ratio (LTV) of 45.2%, strong sponsorship, moderate geographic diversity, and material cash equity contribution. In addition, the loan-specific certificates represented by Classes SW-A, SW-B, SW-C, and SW-D are backed by the $65.5 million subordinate companion loan of the $210 million Starwood Class A Industrial Portfolio 1 whole loan. The loan-specific certificates are not pooled with the remainder of the trust loans. With this review, DBRS Morningstar confirmed that the performance of the underlying loan remains in line with the expectations at issuance, supporting the credit rating confirmations for those classes and the maintenance of the shadow rating for the trust portion of the debt in the analysis for the pooled certificates. 650 Madison Avenue (Prospectus ID#8, 3.8% of the pool) is secured by a Class A office and retail tower at 650 Madison Avenue in the Plaza district of New York City. The property consists of approximately 544,000 sf of office space, 22,000 sf of ground-floor retail space, and 34,000 sf of storage and flex space. The loan is pari passu with other pieces of the whole loan secured in several transactions, including four other transactions that are also rated by DBRS Morningstar. The loan was added to the servicer's watchlist in April 2023 because of a drop in DSCR, which was mainly driven by the departure of the former second-largest tenant, Memorial Sloan Kettering Cancer Center, upon its lease expiration in June 2022. As a result, the occupancy rate dropped to 77.6%, according to the January 2023 rent roll, compared with 90.2% at YE2021 and 97.0% at issuance. In addition, the lease for the current second-largest tenant, BC Partners Inc. (11.7% of the NRA), was set to expire in June 2023, but the company appears to have remained at the property as the location is still listed on its website. While there is minimal rollover risk through the next 12 months, the lease of the largest tenant, Ralph Lauren (40.7% of the NRA), is scheduled to expire in December 2024. The loan has a cash flow sweep if the tenant does not provide written notice of renewing its lease 18 months prior to expiration. The amount to be swept is $80 per square foot (psf), or approximately $20.0 million. According to a June 2023 article from The Real Deal, Ralph Lauren is planning to reduce its North American footprint by 30% in the coming years, and it may downsize or vacate the subject. DBRS Morningstar has requested an update from the servicer and a response is pending as of the date of this press release. According to the most recent financials for the trailing 12 months ended March 31, 2023, the net cash flow (NCF) was $37.8 million (reflecting a DSCR of 1.77x on the senior debt; 1.39x on the whole loan), compared with the YE2021 NCF of $63.2 million (DSCR of 2.82x on the senior debt; 2.23x on the whole loan) and the DBRS Morningstar NCF of $50.8 million (DSCR of 2.45x on the senior debt). Reis reports the property's average base rent is $89.36 psf for office space as of January 2023, which is below the current average rental rate of $95.31 psf for Class A office space within a one-mile radius. However, leases that were executed at the subject in 2022 have rates that are well above $100 psf, with rental abatements provided and contributing to the lower YE2022 NCF. At issuance, the loan was shadow-rated investment grade primarily because of the low A note LTV of 32.1% and high DBRS Morningstar Term DSCR; however, given the declines in occupancy rate and NCF and the increased rollover risk, DBRS Morningstar removed the shadow rating for this review. DBRS Morningstar will continue to closely monitor this loan. Parkmerced (Prospectus ID#14, 2.9% of the current pool balance) is secured by a 3,165-unit apartment complex in San Francisco. The noncontrolling pari passu loan has other pieces of the whole loan secured in several transactions, including four other transactions that are also rated by DBRS Morningstar. It was added to the servicer's watchlist in March 2021 because of performance declines with the loan reporting below breakeven DSCRs in the past several years and is currently cash managed. Occupancy dropped to around the 70.0% range over the last two years from issuance levels of 94.3%, but it had improved to 81.2% per the March 2023 rent roll. The transaction closed during the height of the Coronavirus Disease (COVID-19) pandemic in 2020, and DBRS Morningstar had noted declines in rent caused by disruptions related to the pandemic. In addition, a portion of the units are under the Section 8 rent subsidy program. The subject is well located, adjacent to San Francisco State University's campus and directly east of Lake Merced and Lake Merced Park. According to Reis, multifamily properties in the West San Francisco submarket reported a Q2 2023 vacancy rate of 1.2%, same as the Q2 2022 vacancy rate. The property benefits from an experienced sponsor, Maximus Real Estate Partners, and a low LTV of 25.9% at issuance. The sponsor's long-term development plan is scheduled for after the loan term ends in December 2024, when all the townhomes will be demolished and replaced by apartment towers. Although stabilization efforts are taking longer than expected following the impacts of the pandemic and the general challenges within the San Francisco market, occupancy at the subject has improved from prior years and the loan has remained current despite reporting low DSCRs, suggesting that the sponsor continues to be committed to the property. In addition, the low issuance LTV provides cushion for any declines in value. At issuance, the loan was shadow-rated investment grade primarily because of the low LTV, sponsorship strength, and desirable location. DBRS Morningstar maintained the shadow rating with this review with the expectation that the NCF should stabilize in the near term given the uptick in occupancy, but it will continue to closely monitor the loan for developments. In addition to the Starwood Class A Industrial Portfolio 1, 650 Madison Avenue, and Parkmerced loans previously mentioned, DBRS Morningstar assigned an investment-grade shadow rating to five additional loans (four of which were included in the 15 largest loans): 1633 Broadway (Prospectus ID#1, 4.6% of the current pool); 560 Mission Street (Prospectus ID#2, 4.6% of the pool); Bellagio Hotel and Casino (Prospectus ID#4, 4.6% of the pool); Southcenter Mall (Prospectus ID#5, 4.6% of the pool); and 510 East 14th Street (Prospectus ID#17, 2.7% of the pool). With this review, DBRS Morningstar confirmed that the respective performance of each of these loans remains consistent with the characteristics of an investment-grade loan. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2023-PJ5: DBRS Finalizes B Rating on Class B-5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings to Mortgage-Backed Notes, Series 2023-PJ5 (the Notes) issued by GS Mortgage-Backed Securities Trust 2023-PJ5 (GSMBS 2023-PJ5): -- $304.4 million Class A-1 at AA (high) (sf) -- $304.4 million Class A-1-X at AA (high) (sf) -- $304.4 million Class A-2 at AA (high) (sf) -- $278.9 million Class A-3 at AAA (sf) -- $278.9 million Class A-3A at AAA (sf) -- $278.9 million Class A-3-X at AAA (sf) -- $278.9 million Class A-4 at AAA (sf) -- $278.9 million Class A-4A at AAA (sf) -- $139.5 million Class A-5 at AAA (sf) -- $139.5 million Class A-5-X at AAA (sf) -- $139.5 million Class A-6 at AAA (sf) -- $167.4 million Class A-7 at AAA (sf) -- $167.4 million Class A-7-X at AAA (sf) -- $167.4 million Class A-8 at AAA (sf) -- $27.9 million Class A-9 at AAA (sf) -- $27.9 million Class A-9-X at AAA (sf) -- $27.9 million Class A-10 at AAA (sf) -- $69.7 million Class A-11 at AAA (sf) -- $69.7 million Class A-11-X at AAA (sf) -- $69.7 million Class A-12 at AAA (sf) -- $41.8 million Class A-13 at AAA (sf) -- $41.8 million Class A-13-X at AAA (sf) -- $41.8 million Class A-14 at AAA (sf) -- $209.2 million Class A-15 at AAA (sf) -- $209.2 million Class A-15-X at AAA (sf) -- $209,2 million Class A-16 at AAA (sf) -- $139.5 million Class A-17 at AAA (sf) -- $139.5 million Class A-17-X at AAA (sf) -- $139.5 million Class A-18 at AAA (sf) -- $111.6 million Class A-19 at AAA (sf) -- $111.6 million Class A-19-X at AAA (sf -- $111.6 million Class A-20 at AAA (sf) -- $69.7 million Class A-21 at AAA (sf) -- $69.7 million Class A-21-X at AAA (sf) -- $69.7 million Class A-22 at AAA (sf) -- $25.4 million Class A-23 at AA (high) (sf) -- $25.4 million Class A-23-X at AA (high) (sf) -- $25.4 million Class A-24 at AA (high) (sf) -- $304.4 million Class A-X at AA (high) (sf) -- $7.2 million Class B-1 at AA (low) (sf) -- $7.2 million Class B-2 at A (low) (sf) -- $4.1 million Class B-3 at BBB (low) (sf) -- $2.3 million Class B-4 at BB (sf) -- $1.3 million Class B-5 at B (sf) Classes A-1-X, A-3-X, A-5-X, A-7-X, A-9-X, A-11-X, A-13-X, A-15-X, A-17-X, A-19-X, A-21-X, A-23-X, and A-X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-1-X, A-2, A-3, A-3A, A-3-X, A-4, A-4A, A-6, A-7, A-7-X, A-8, A-10, A-10, A-11, A-11-X, A-12, A-14, A-15, A-15-X, A-16, A-17, A-17-X, A-18, A-19, A-19-X, A-20, and A-24 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-3, A-3A, A-4, A-4A, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, and A-22 are super senior notes. These classes benefit from additional protection from the senior support notes (Classes A-23 and A-24) with respect to loss allocation. The AAA (sf) credit ratings on the Notes reflect 15.00% of credit enhancement provided by subordinated notes. The AA (high) (sf), AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) credit ratings reflect 7.25%, 5.05%, 2.85%, 1.60%, 0.90%, and 0.50% credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 268 loans with a total principal balance of $328,165,691 as of the Cut-Off Date (October 1, 2023). The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of up to 30 years. The weighted-average (WA) original combined loan-to-value ratio (CLTV) for the portfolio is 72.9% and the minority of the pool (9.0%) comprises loans with DBRS Morningstar calculated current CLTVs greater than 80.0%, but not higher than 90%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as high FICO scores, low debt-to-income (DTI) ratios, robust income, and reserves, as well as other strengths detailed in the Key Probability of Default Drivers section of the related rating report. In addition, all the loans in the pool were originated in accordance with the new general qualified mortgage (QM) rule. The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM) (54.9%), Cross Country Mortgage, LLC (15.7%), Guaranteed Rate, Inc (6.1%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez, LLC doing business as (d/b/a) Shellpoint Mortgage Servicing (96.4%) and UWM (3.6%). Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, Loan Agent, Note Registrar, Rule 17g-5 Information Provider, and Custodian. U.S. Bank Trust National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will act as Delaware Trustee. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure. This transaction allows for the issuance of Classes A-3L, A-4L, A-16L, and A-22L loans, which are the equivalent of ownership of Classes A-3, A-4, A-16, and A-22 Notes, respectively. These classes as issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2023-PJ6: DBRS Gives Prov. B(high) Rating on B-5 Notes ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional credit ratings to Mortgage-Backed Notes, Series 2023-PJ6 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2023-PJ6 (GSMBS 2023-PJ6): -- $295.3 million Class A-1 at AAA (sf) -- $295.3 million Class A-1-X at AAA (sf) -- $295.3 million Class A-2 at AAA (sf) -- $272.7 million Class A-3 at AAA (sf) -- $272.7 million Class A-3A at AAA (sf) -- $272.7 million Class A-3L at AAA (sf) -- $272.7 million Class A-3-X at AAA (sf) -- $272.7 million Class A-4 at AAA (sf) -- $272.7 million Class A-4A at AAA (sf) -- $272.7 million Class A-4L at AAA (sf) -- $136.4 million Class A-5 at AAA (sf) -- $136.4 million Class A-5-X at AAA (sf) -- $136.4 million Class A-6 at AAA (sf) -- $163.6 million Class A-7 at AAA (sf) -- $163.6 million Class A-7-X at AAA (sf) -- $163.6 million Class A-8 at AAA (sf) -- $27.3 million Class A-9 at AAA (sf) -- $27.3 million Class A-9-X at AAA (sf) -- $27.3 million Class A-10 at AAA (sf) -- $68.2 million Class A-11 at AAA (sf) -- $68.2 million Class A-11-X at AAA (sf) -- $68.2 million Class A-12 at AAA (sf) -- $40.9 million Class A-13 at AAA (sf) -- $40.9 million Class A-13-X at AAA (sf) -- $40.9 million Class A-14 at AAA (sf) -- $204.5 million Class A-15 at AAA (sf) -- $204.5 million Class A-15-X at AAA (sf) -- $204.5 million Class A-16 at AAA (sf) -- $204.5 million Class A-16L at AAA (sf) -- $136.4 million Class A-17 at AAA (sf) -- $136.4 million Class A-17-X at AAA (sf) -- $136.4 million Class A-18 at AAA (sf) -- $109.1 million Class A-19 at AAA (sf) -- $109.1 million Class A-19-X at AAA (sf) -- $109.1 million Class A-20 at AAA (sf) -- $68.2 million Class A-21 at AAA (sf) -- $68.2 million Class A-21-X at AAA (sf) -- $68.2 million Class A-22 at AAA (sf) -- $68.2 million Class A-22L at AAA (sf) -- $22.6 million Class A-23 at AAA (sf) -- $22.6 million Class A-23-X at AAA (sf) -- $22.6 million Class A-24 at AAA (sf) -- $295.3 million Class A-X at AAA (sf) -- $7.7 million Class B-1 at AA (sf) -- $6.9 million Class B-2 at A (sf) -- $4.8 million Class B-3 at BBB (sf) -- $2.6 million Class B-4 at BB (high) (sf) -- $1.4 million Class B-5 at B (high) (sf) Classes A-1-X, A-3-X, A-5-X, A-7-X, A-9-X, A-11-X, A-13-X, A-15-X, A-17-X, A-19-X, A-21-X, A-23-X, and A-X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-1-X, A-2, A-3, A-3A, A-3-X, A-4, A-4A, A-6, A-7, A-7-X, A-8, A-10, A-10, A-11, A-11-X, A-12, A-14, A-15, A-15-X, A-16, A-17, A-17-X, A-18, A-19, A-19-X, A-20, and A-24 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-3L, A-4L, A-16L, and A-22L are Loans that may be funded at the Closing Date as specified in the offering documents. Classes A-3, A-3A, A-4, A-4A, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, and A-22 are super senior notes. These classes benefit from additional protection from the senior support notes (Classes A-23 and A-24) with respect to loss allocation. The AAA (sf) credit ratings on the Notes reflect 7.95% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 5.55%, 3.40%, 1.90%, 1.10%, and 0.65% credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2023-PJ6 (the Notes). The Notes are backed by 269 loans with a total principal balance of $320,851,860 as of the Cut-Off Date (November 1, 2023). The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of up to 30 years. The weighted-average (WA) original combined LTV (CLTV) for the portfolio is 72.7%, and a minority of the pool (10.9%) comprises loans with DBRS Morningstar calculated current CLTV ratios greater than 80.0%, but not higher than 90%. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM) (67.2%), Cross Country Mortgage, LLC (7.7%), Fairway Independent Mortgage Corp. (5.6%), and various other originators, each comprising less than 5.0% of the pool. The mortgage loans will be serviced by Newrez, LLC doing business as (d/b/a) Shellpoint Mortgage Servicing (SMS) (99.0%) and UWM (1.0%). Cenlar FSB will act as subservicer for UWM-serviced loans. Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, Loan Agent, Note Registrar, Rule 17g-5 Information Provider and Custodian. U.S. Bank Trust Company National Association (U.S. Bank; rated AA (high) with a Negative trend by DBRS Morningstar) will act as Delaware Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure. This transaction allows for the issuance of Classes A-3L, A-4L, A-16L, and A-22L loans, which are the equivalent of ownership of Classes A-3, A-4, A-16, and A-22 Notes, respectively. These classes are issued in the form of a loan are made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. H.I.G. RCP 2023-FL1: DBRS Finalizes B(low) Rating on Class G Notes ------------------------------------------------------------------ DBRS, Inc. finalized provisional credit ratings on the following classes of notes (the Notes) issued by H.I.G. RCP 2023-FL1 LLC (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The initial collateral pool consists of 16 floating-rate mortgage loans secured by 35 mostly transitional properties with a cut-off date balance of approximately $672.6 million. The loans have an approximate aggregate $645.6 million of funded companion participation, $80.8 million in future funding, and $30.9 million in junior participations. Of these junior participations, approximately $29.9 million has been funded with approximately $1.0 million in future funding. The transaction will consist of a fully identified static pool of assets with no ability to add unidentified assets after the closing date other than the limited right to acquire related pari passu debt. The Issuer may use permitted proceeds to acquire Eligible Companion Participations, subject to the Eligible Companion Participation Acquisition Criteria being met, including a no-downgrade rating agency confirmation (RAC) by DBRS Morningstar for all funded companion participations. This can be done from the closing date up to the payment date in October 2025. The holder of the future funding companion participations, which will be an affiliate of H.I.G. Realty, has full responsibility to fund the future funding companion participations. The transaction will have a sequential-pay structure. The loans are mostly secured by cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. In total, nine loans, or 53.4% of the initial pool balance, have remaining future funding participations totaling approximately $80.8 million. All loans have closed with origination dates ranging from October 27, 2020 (Vancouver Tech Center) to August 25, 2023 (Kauai Beach Resort). There are seven loans, representing 41.8% of the initial pool balance, with maturity dates within the next 18 months. This includes two loans, or approximately 10.9% of the initial pool balance, that are less than a year away from their initial maturity dates. Seven of the 16 loans in the pool, or 44.4%, are secured by multifamily properties. Generally, multifamily properties benefit from lower expense ratios and staggered lease rollover compared with other property types. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to recover when the market improves. The pool also benefits from good property quality scores and MSA Group designations. Two loans, comprising 14.5% of the initial pool balance, are secured by properties DBRS Morningstar deemed Above Average in quality; seven loans, representing 43.8% of the initial pool balance were deemed Average + in quality. The remaining loans were deemed Average quality. Eight loans, representing 54.3% of the pool balance, have collateral in the DBRS Morningstar MSA Group 3, which is the best-performing group in terms of historical CMBS default rates among the top 25 MSAs. DBRS Morningstar analyzed the transitional loans to a stabilized cash flow that is, in most instances, above the in-place cash flow. It is possible that the sponsor will not successfully execute its business plan and that the higher stabilized cash flow will not materialize during the loan term. The sponsor's failure to execute the business plans could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar sampled all of the loans in the pool except for one, representing 95.2% of the initial pool balance. Additionally, DBRS Morningstar conducted site inspections for 10 of the 16 loans in the pool, representing 68.5% of the initial pool balance. This transaction is H.I.G. Capital's inaugural capital markets financing transaction and is expected to be the first in a series of floating Rate CRE CLO issuances for the sponsor. A majority-owned affiliate of H.I.G. Realty Credit Investments, LLC will retain the most subordinate Class F, Class G, and Class H notes, which represent 14.0% of the total principal balance. Affiliates of the seller will also retain on the closing date 100% of the junior Companion Participations, which have an aggregate cut-off date principal balance of $29.9 million and a maximum principal balance of approximately $30.9 million. DBRS Morningstar's credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this press release. DBRS Morningstar's credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations (for example, Default Interest and Interest on Unpaid Interest). DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. MED TRUST 2021-MDLN: DBRS Confirms BB Rating on Class E Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-MDLN issued by MED Trust 2021-MDLN as follows: -- Class A at AAA (sf) -- Class A-1 at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BB (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction. Although there has been relatively limited seasoning with minimal updates to the financial reporting since the transaction closed in October 2021, the loan continues to exhibit healthy credit metrics, with the servicer-reported financials for YE2022 and the trailing six (T-6) month period ended June 30, 2023, reflecting occupancy, revenue, and net cash flow (NCF) figures that remain consistent with DBRS Morningstar's expectations. The subject transaction is a sale-leaseback to Medline Industries LP (Medline), a leading U.S. manufacturer and distributor of healthcare supplies. At issuance, the mission-critical portfolio consisted of 49 distribution, manufacturing, and office properties across 30 states. The subject financing was part of a larger $34.0 billion leveraged buyout (LBO) of Medline by a group of private equity firms including The Blackstone Group, The Carlyle Group, and Hellman & Friedman Capital Partners. As a part of the transaction, the Medline operating company (OpCo) signed a new, 15-year absolute triple-net (NNN) unitary master lease covering all the properties in the portfolio. The master lease has no termination options and has two five-year renewal options. The capital structure is both highly complex and highly levered featuring the $2.23 billion subject financing on the property company (PropCo) as well as numerous layers of debt on the OpCo, as a result of the LBO. The PropCo debt of $2.23 billion, along with $14.80 billion of OpCo debt and approximately $16.69 billion in sponsor equity, was used to acquire Medline at a purchase price of over $30.0 billion. Additional proceeds will purchase $606.0 million in management partnership units, provide $308.0 million in cash to Medline's balance sheet, and cover closing costs and transaction expenses. The OpCo financing package includes $7.0 billion in U.S. dollar and euro denominated term loans, $3.8 billion in senior secured notes, and $4.0 billion in senior unsecured notes. The interest-only floating-rate loan had an initial two-year term with three one-year extension options. The loan is scheduled to mature in November 2023; however, the servicer has confirmed that the borrower intends to exercise its first extension option, pushing the maturity date to November 2024. There are no performance triggers, financial covenants, or fees required for the borrower to exercise any of the three one-year extension options. However, execution of each option is conditional upon, among other things, no events of default and the borrower's purchase of an interest rate cap agreement for each extension term. DBRS Morningstar notes that the cost to purchase a rate cap has likely increased given the current interest rate environment. Approximately 86.0% of the portfolio by area in square feet (sf) consists of build-to-suit warehouse and distribution space with very strong functionality metrics. The manufacturing and office components of the portfolio (approximately 18.0% of DBRS Morningstar's base-rent figure) also consist of a variety of mission-critical production and office spaces for Medline across various markets. The transaction benefits from strong cash-flow stability attributable to the unitary absolute NNN master lease that Medline executed as a part of the sale-leaseback transaction. The master lease provides for annual escalations of 2.0%, along with the recovery of all operating expenses and capital costs at the properties. In addition, the master tenant is permitted to sublease up to 1.0 million sf at any property to any third party for ancillary. Although Medline does not carry an investment-grade rating, its business has demonstrated long-term stability, with 2022 revenue of approximately $20.0 billion and more than 34,000 employees. The transaction features a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 30.0% of the original principal balance, where individual properties may be released from the trust at a price of 105.0% of the allocated loan amount (ALA). Proceeds are applied sequentially for the remaining 70.0% of the pool balance with the release price increasing to 110.0% of the ALA. DBRS Morningstar applied a penalty to the transaction's capital structure to account for the pro rata nature of certain prepayments and for the weak deleveraging premium. The release provisions require the pool to maintain a minimum debt yield of 6.3% after each property release. According to the October 2023 remittance, the outstanding trust balance has been reduced nominally by $10.7 million because of prepayments, primarily related to the release of two small properties totalling 0.45% of the ALA at issuance. According to the annualized financial reporting for the T-6 month period ended June 30, 2023, and YE2022, the portfolio generated NCF of $139.4 million (a debt service coverage ratio (DSCR) of 0.81 times (x)) and $137.8 million (a DSCR of 1.36x), respectively. The decline in the DSCR was primarily driven by a significant increase in debt service obligations, given the loan's floating-rate structure. At issuance, DBRS Morningstar derived a NCF of $114.7 million and applied a blended capitalization rate of 7.02% to arrive at a value of $1.63 billion. This resulted in a DBRS Morningstar loan-to-value (LTV) ratio of 136.4% compared with the LTV of 74.7% based on the appraised value at issuance of $2.98 billion. As part of this review, DBRS Morningstar adjusted its analysis to exclude the two released properties, resulting in a nominal difference to the aforementioned credit metrics. DBRS Morningstar maintained positive qualitative adjustments to the final LTV sizing benchmarks used for this rating analysis, totalling 7.5%, to account for cash flow volatility, property quality, and market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. MF1 2022-FL10: DBRS Confirms B(low) Rating on 3 Classes -------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by MF1 2022-FL10 LLC (the Issuer) as follows: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (high) (sf) -- Class F-E Notes at BB (high) (sf) -- Class F-X Notes at BB (high) (sf) -- Class G Notes at BB (low) (sf) -- Class G-E Notes at BB (low) (sf) -- Class G-X Notes at BB (low) (sf) -- Class H Notes at B (low) (sf) -- Class H-E Notes at B (low) (sf) -- Class H-X Notes at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance as the trust continues to be solely secured by the multifamily collateral. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The initial collateral consisted of 24 floating-rate mortgage loans secured by 34 transitional multifamily properties totaling $979.18 million. Most loans were in a period of transition with plans to stabilize performance and improve values of the underlying assets. The trust reached the maximum transaction balance of $1.03 billion in December 2022. As of the October 2023 remittance, the pool comprised 25 loans secured by 34 properties with a cumulative trust balance of $1.02 billion. Since issuance, one loan, with a former trust balance of $2.1 million, has been successfully repaid in full. In addition, since the previous DBRS Morningstar rating actions in November 2022, one loan, totaling $17.8 million, has been added into the pool. The transaction is managed with a two-year Reinvestment Period, whereby the Issuer can purchase new loans and funded loan participations into the trust. The Reinvestment Period is scheduled to end with the August 2024 Payment Date. As of October 2023, the Reinvestment Account had an available balance of $2.1 million. The transaction is concentrated by property type, as all loans are secured by multifamily properties. The pool is primarily secured by properties in suburban markets, with 14 loans, representing 47.3% of the pool, assigned a DBRS Morningstar Market Rank of 3, 4, or 5. An additional eight loans, representing 38.4% of the pool, are secured by properties in urban markets, with a DBRS Morningstar Market Rank of 6, 7, or 8. The remaining three loans, representing 14.3% of the pool, are backed by properties with a DBRS Morningstar Market Rank of 1 or 2, denoting tertiary markets. These property type and market type concentrations remain generally in line with the pool composition at the November 2022 credit rating action. Leverage across the pool has remained consistent as of October 2023 reporting when compared with issuance metrics as the current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) is 67.3%, with a current WA stabilized LTV of 61.5%. In comparison, these figures were 68.0% and 62.4%, respectively, at issuance. DBRS Morningstar recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not fully reflect the effects of increased interest rates and/or widening capitalization rates in the current environment. In the analysis for this review, DBRS Morningstar applied upward LTV adjustments across nine loans, representing 48.1% of the current trust balance. Through September 2023, the lender had advanced cumulative loan future funding of $156.9 million to 19 of the 25 outstanding individual borrowers. The largest advance, $32.5 million, was made to the borrower of The 600 loan, which is secured by a Class A, 30-story high-rise-style apartment building totaling 404 units in Birmingham, Alabama. The advanced funds are part of the borrower's extensive capital expenditure plan to convert the property into a Class A multifamily property from a 30-story office tower. As of Q2 2023, the project was 32.0% funded. The sponsor has successfully leased 12 units, with several units nearing completion on floor 27. The expected completion date is June 2024, just prior to the loan's initial July 2024 maturity date. The loan also includes five 12-month extension options through July 2029. An additional $153.2 million of loan future funding allocated to 20 individual borrowers remains available. The largest individual loan allocation ($35.0 million) is to the borrower of the Park at Sheffield loan, which is secured by a 316-unit, garden-style apartment complex located in Miami. The sponsor's business plan is to complete an extensive capital expenditure plan by expanding the size of the property by 26 additional units. According to the collateral manager, construction is expected to commence in Q3 2023 as all of the units have been vacated. The renovation is expected to be completed within a two-year time frame. As of the October 2023 remittance, there are no delinquent loans; however, there are three loans, representing 9.1% of the pool balance, in special servicing. The loans, which are sponsored by Tides Equities (Tides), include Park at Stone Creek ($54.7 million, 5.3% of the pool), Spanish Oaks ($26.3 million, 2.6% of the pool), and The Meadows ($12.2 million, 1.2% of the pool). The loans transferred to special servicing in August 2023 for sponsor-related concerns. The servicer did not provide any details regarding the transfers. However, according to published reports, principals of the firm noted in June 2023 a capital call would likely be needed from investors in order to fund debt service shortfalls for select loans across Tides' portfolio given the rise in floating-interest rate debt. In the analysis for this review, DBRS Morningstar made a negative adjustment to the sponsor strength across all three Tides-sponsored loans, resulting in increased expected losses for those loans that exceeded the pool average. There are 14 loans on the servicer's watchlist, representing 57.9% of the current trust balance. The loans have primarily been flagged for below breakeven debt service coverage ratios and low occupancy rates. All loans remain current with performance declines expected to be temporary as multifamily units are being taken offline by respective borrowers to complete interior renovations. In the next six months, three loans, representing 9.9% of the current trust balance, are scheduled to mature, but all three loans have extension options. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-C24: DBRS Confirms B(low) Rating on F Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C24 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 as follows: -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at B (high) (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction as evidenced by the pool's healthy weighted-average (WA) debt service coverage ratio (DSCR) of 1.83 times (x) based on the most recent year-end financials available. The pool has a loss of $3.3 million to date, which is well contained in the sizable nonrated Class G. As of the October 2023 remittance, 64 of the original 74 loans remain in the trust, with an aggregate balance of $802.7 million, representing a collateral reduction of 14.2% since issuance. The pool benefits from 11 loans that are fully defeased, representing 10.8% of the pool. Eleven loans, representing 25.4% of the pool, are on the servicer's watchlist and are primarily monitored for deferred maintenance, low DSCR, and/or occupancy concerns. Since DBRS Morningstar's last review, Aloft – Green Bay, WI (Prospectus ID#27) was liquidated from the trust at a loss of approximately $594,000, below DBRS Morningstar's projected loss estimate of $2.0 million. In addition, Holiday Inn Express – Medford, OR (Prospectus ID#57), which was previously in special servicing, was paid off in full in November 2022, ahead of its May 2025 scheduled maturity date. Excluding defeasance, the transaction is most concentrated by retail, multifamily, and office properties, which represent 27.1%, 19.8%, and 19.5% of the current pool balance, respectively. In general, the office sector has been challenged, given the low investor appetite for that property type and high vacancy rates in many submarkets as a result of the shift in workplace dynamics. Office loans and any other loans that have exhibited increased credit risk were analyzed with stressed loan-to-value ratios (LTVs) and/or elevated probability of default penalties with this review. The resulting expected losses for these loans averaged almost two times higher than the respective baseline expected loss. The largest loan in the pool, 535-545 Fifth Avenue (Prospectus ID#1, 13.7% of the pool balance), is secured by a mixed-use property comprising 415,440 square feet (sf) of office space and 91,247 sf of retail space in midtown Manhattan. Occupancy at the subject has been declining since 2021 before hitting a low of 65.3% at YE2022. This was primarily driven by the departure of the former largest tenant, Knotel (formerly occupied 7.5% of the net rentable area (NRA)), which vacated the subject after filing for Chapter 11 bankruptcy in early 2021. However, the borrower was able to execute new leases including Best Buy, which is currently the largest tenant representing 7.2% of the NRA on a lease through March 2031. In addition, 12 leases totaling 14.4% of the NRA were signed in the last 12 months. As a result, the August 2023 rent roll reported an improved occupancy rate of 87.3%. As per Reis, office properties in the Grand Central submarket reported a vacancy rate of 12.2% as of Q2 2023, compared with 11.7% in Q2 2022. According to the financials for the trailing six month (T-6) ended June 30, 2023, period, the annualized DSCR was reported at 1.55x, compared with the YE2022 and YE2021 DSCRs of 1.56x and 1.71x, respectively. The decline in performance and volatile occupancy in the last few years are noteworthy given the challenged office landscape. However, mitigating factors include the recent leasing momentum, improved occupancy levels, and the loan's issuance LTV of 50.0%, which provides cushion against potential value declines. For this review, DBRS Morningstar took a conservative approach and applied a considerably stressed LTV in the analysis, which results in an expected loss that was four times more than the initial loan-level expected loss but continues to be well below the pool average. Another office loan is the 626 Wilshire Boulevard (Prospectus ID#5, 2.8% of the current pool balance), which is secured by an 11-story Class A/B office building in the central business district of Los Angeles with a maturity date in July 2025. As of the August 2023 rent roll, the property was 75.7% occupied, a decline from the YE2022 occupancy rate of 82.0%. In addition, there is considerable tenant rollover of nearly 30.0% of the net rentable area with leases scheduled to expire during the remaining term of the loan, including four of the five largest tenants. The second-largest tenant, Environmental Science Associates (7.3% of the NRA), intends to vacate upon its lease expiry in May 2024, which would result in occupancy dropping to about 68.0%. Based on an online posting, JLL is currently advertising approximately 13.5% of NRA as available for lease. As per Reis, office properties in the downtown submarket reported a Q2 2023 vacancy rate of 17.2%, compared with the Q2 2022 vacancy rate of 15.8%. The average asking rental rate is $44.50 per square foot (psf), compared with the property's in-place average rental rate of $37.28 psf. According to the T-6 June 30, 2023, financials, the loan reported an annualized DSCR of 1.63x, compared with the YE2022 and YE2021 figures of 1.75x and 1.54x, respectively. Despite the healthy financial performance, the overall credit risk profile of the loan has increased given the subject's high rollover risk, below in-place rental rates, and soft submarket. As such, DBRS Morningstar analyzed this loan with a stressed probability of default to increase the expected loss for this review. Notes: All figures are in U.S. dollars unless otherwise noted. MTK 2021-GRNY: DBRS Confirms B(low) Rating on Class F Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-GRNY issued by MTK 2021-GRNY Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) -- Class X-CP at AAA (sf) -- Class X-EXT at AAA (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the underlying collateral as evidenced by the generally healthy revenue per available room (RevPAR) figure and YE2022 net cash flow (NCF). The loan is secured by the borrower's fee-simple interest in Gurney's Montauk Resort and Seawater Spa, a full-service resort and spa that spans more than 20 acres along the ocean in Montauk, New York, approximately two and a half hours from New York City by car. The property consists of 149 keys with more than 2,000 linear feet of private beach, and the majority of rooms feature ocean views and private terraces. Loan proceeds of $217.5 million were used to repay outstanding debt of $102.1 million and $55.7 million of preferred equity, fund $12.6 million of upfront reserves, and return $42.7 million of equity to the sponsor. The floating-rate, interest-only (IO) loan is structured with an initial two-year term with three one-year extension options, resulting in a fully extended maturity date in December 2026. The borrower is required to purchase an interest rate cap agreement with each extension, but a minimum debt yield of 9.0% must be achieved to exercise the second and third extension options. Per the servicer, the first extension option was exercised, resulting in a new maturity date of December 2024. The loan is sponsored by a joint venture between BLDG Management Co. Inc. and Metrovest Equities, Inc., both well-established entities in real estate investment and management and owners of the nearby Gurney's Star Island Resort & Marina, as well as Gurney's Newport Resort & Marina in Newport, Rhode, Island. Since acquiring the property in 2013, the sponsor spent approximately $54.1 million across guest room and lobby renovations, food and beverage outlets, and event meeting spaces. At issuance, the sponsor was completing an extensive $16.4 million renovation and expansion of the property's Seawater Spa, which was completed in February 2022. In addition, the servicer noted that the sponsor had winterized all rooms and is currently in the process of replacing the furniture, fixtures, and equipment for 38 rooms. According to the most recent STR, Inc. report, the property reported an occupancy rate, average daily rate, and RevPAR of 60.5%, $972.44, and $588.59, respectively, for the trailing 12 months (T-12) ended June 30, 2023, representing a RevPAR penetration rate of 146.5%. RevPAR has increased when compared with the YE2022 figure of $579.92 as well as pre-pandemic levels, with the YE2019 figure at $445.74 and the DBRS Morningstar RevPAR at $471.82. The subject performed extremely well through the Coronavirus Disease (COVID-19) pandemic as evidenced by the issuance RevPAR of $675.81. The loan is currently on the servicer's watchlist because of a low debt service coverage ratio (DSCR), which was reported at 0.21 times (x) with an annualized NCF figure of $5.7 million based on the financials for the T-6 period ended June 30, 2023. However, the reporting reflects only a portion of the year, and given the seasonal nature of the hospitality market, cash flow volatility is expected. In addition, the subject reported a strong YE2022 NCF of $17.7 million (DSCR of 1.38x), which is above the DBRS Morningstar NCF of $13.7 million (DSCR of 1.41x). Despite the improvement in the YE2022 NCF, DSCR has decreased given the floating-rate nature of the loan, which resulted in an increase in debt service from issuance levels; however, this is mitigated by the interest rate cap agreement in place. At issuance, DBRS Morningstar derived a value of $188.7 million based on the DBRS Morningstar NCF of $13.7 million and a capitalization rate of 7.25%, which represents a 22.7% haircut from the appraisal value of $224.0 million. In addition, DBRS Morningstar applied positive qualitative adjustments totaling 7.0% to the sizing to reflect the property's quality, market fundamentals, and cash flow volatility. Notes: All figures are in U.S. dollars unless otherwise noted. NORTHWOODS CAPITAL XIV-B: Moody's Cuts $6MM F Notes Rating to Caa2 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Northwoods Capital XIV-B, Limited: US$55,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aaa (sf); previously on November 13, 2018 Definitive Rating Assigned Aa2 (sf) US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to A1 (sf); previously on November 13, 2018 Definitive Rating Assigned A2 (sf) US$32,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on Jun 24, 2020 Confirmed at Baa3 (sf) Moody's has also downgraded the rating on the following notes: US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa2 (sf); previously on Jun 24, 2020 Downgraded to B3 (sf) Northwoods Capital XIV-B, Limited, issued in November 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in November 2023. RATINGS RATIONALE These upgrade rating actions reflect the benefit of the end of the deal's reinvestment period in November 2023. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF) and higher weighted average spread (WAS) compared to their respective covenant levels. Moody's modeled a WARF of 2756 and WAS of 3.68% compared to the current covenant levels of 2957 and 3.55%, respectively. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the Moody's calculation, the OC ratio for the Class F notes is 104.00% versus the November 2022 level of 105.50%. 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: $484,564,030 Defaulted par: $3,611,754 Diversity Score: 76 Weighted Average Rating Factor (WARF): 2756 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.68% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.87% Weighted Average Life (WAL): 4.3 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 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. PRESTIGE AUTO 2023-2: DBRS Finalizes BB Rating on Class E Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Prestige Auto Receivables Trust 2023-2 (PART 2023-2 or the Issuer): -- $33,000,000 Class A-1 Notes at R-1 (high) (sf) -- $80,770,000 Class A-2 Notes at AAA (sf) -- $38,950,000 Class B Notes at AA (sf) -- $30,490,000 Class C Notes at A (sf) -- $32,240,000 Class D Notes at BBB (sf) -- $31,170,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of subordination, overcollateralization (OC), amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support DBRS Morningstar-projected expected cumulative net loss (CNL) assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- DBRS Morningstar has performed an operational review of Prestige and considers the entity to be an acceptable originator and servicer of subprime auto receivables. Additionally, the transaction has an acceptable backup servicer. -- The Company's management team has extensive experience. The Company has been lending to the subprime auto sector since 1994 and has considerable experience lending to Chapter 7 and 13 obligors. (3) The credit quality of the collateral and performance of Prestige's auto loan portfolio. -- Prestige shared vintage CNL data with DBRS Morningstar broken down by credit tier, payment-to-income ratio, and other buckets. -- The Company continues to evaluate and adjust its underwriting standards as necessary to target and maintain the credit quality of its loan portfolio. -- The DBRS Morningstar rating category loss multiples for each rating assigned are within the published criteria. (4) The DBRS Morningstar CNL assumption is 16.10% based on the cutoff date pool composition. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update," published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (5) The legal structure and presence of legal opinions, that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Prestige, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." The ratings on the Class A-1 and Class A-2 Notes reflect 58.65% of initial hard credit enhancement provided by subordinated notes in the pool (49.45%), the reserve account (1.00%), and OC (8.20%). The ratings on the Class B, Class C, Class D, and Class E Notes reflect 44.15%, 32.80%, 20.80%, and 9.20% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Note Interest and the related Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on unpaid Overdue Interest for each of the rated notes. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. PRKCM 2023-AFC4: DBRS Finalizes B Rating on Class B-2 Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2023-AFC4 (the Notes) to be issued by PRKCM 2023-AFC4 Trust (the Trust or the Issuer): -- $239.7 million Class A-1 at AAA (sf) -- $36.5 million Class A-2 at AA (sf) -- $26.7 million Class A-3 at A (sf) -- $16.1 million Class M-1 at BBB (sf) -- $12.0 million Class B-1 at BB (sf) -- $8.4 million Class B-2 at B (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 31.35% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 20.90%, 13.25%, 8.65%, 5.20%, and 2.80% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, primarily first-lien (99.2%) residential mortgages funded by the issuance of the Notes. The Notes are backed by 865 mortgage loans with a total principal balance of $349,188,203 as of the Cut-Off Date (October 1, 2023). Subsequent to the issuance of the related Presale Report, there was a minor update to the Cash Flow Structure. The Class B-2 Notes have now been issued as "principal only" and will not be entitled to payments of interest. Additionally, there were minimal balance updates to a small number of loans, which caused no material impact to the analysis. Unless specified otherwise, all the statistics regarding the mortgage loans in the related Rating Report are based on the total principal balance initially stated in the Presale Report. This is the eighth securitization by the Sponsor, Park Capital Management Sponsor LLC, an affiliate of AmWest Funding Corp. (AmWest). AmWest is the Seller, Originator, and Servicer of the mortgage loans. The pool is about one month seasoned on a weighted-average (WA) basis, although seasoning may span from zero to 21 months. All loans in the pool are current as of the Cut-Off Date. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules where applicable, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, approximately 22.7% of the loans are designated as non-QM. Approximately 17.2% of the loans are designated as QM Safe Harbor and approximately 17.8% are designated as QM Rebuttable Presumption. Approximately 42.4% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on the property-level cash flows for approximately 28.0% of the loans, and mortgagor's credit profile and debt-to-income ratio, property value, and the available assets, where applicable, for approximately 14.4% of the loans. Since the loans were made to investors for business purposes, they are exempt from the CFPB ATR rules and Truth in Lending Act (TILA) and the Real Estate Settlement Procedures Act (RESPA) Integrated Disclosure rule. For investor loans originated to investors under debt service coverage ratio (DSCR) programs (28.0% of the pool), lenders use property-level cash flow or the DSCR to qualify borrowers for income. The DSCR is typically calculated as market rental value (validated by an appraisal report) divided by the principal, interest, taxes, insurance, and association dues (PITIA). Also, approximately 3.5% of the pool comprises residential investor loans underwritten to the property-focused underwriting guidelines. The loans were underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) and the borrower assets to be the primary source of repayment. The lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. In addition, the pool contains nine temporary buy-down mortgage loans (approximately 0.34%). The initial 12 or 24 monthly payments made by the borrowers for their respective loans will be less than their scheduled payments due to the trust, with the difference (for each borrower) compensated from funds held in a related account funded by the seller of the mortgaged property, the mortgage originator, or another party. The funds are not eligible for use to offset potential missed payments; however, if a loan is prepaid in full during its buy-down period, any remaining related funds will be credited to the related borrower. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until loans become 90 days delinquent or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). If the Servicer fails in its obligation to make P&I advances, the Master Servicer (Nationstar Mortgage LLC) will be obligated to fund such advances. In addition, if the Master Servicer fails in its obligation to make P&I advances, Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) as the Paying Agent, will be obligated to fund such advances. The Master Servicer and Paying Agent are responsible only for P&I Advances; the Servicer is responsible for P&I Advances and Servicing Advances. The Sponsor, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class B-3 Notes and Class XS Notes, collectively representing at least 5% of the fair value of the Notes, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date on or after the earlier of (1) the payment date occurring in October 2026 or (2) on or after the payment date when the aggregate stated principal balance of the mortgage loans is reduced to less than or equal to 20% of the Cut-Off Date balance, the Sponsor may terminate the Issuer (Optional Termination) by purchasing the loans, any real estate owned (REO) properties, and any other property remaining in the Issuer at the optional termination price, specified in the transaction documents. After such a purchase, the Sponsor will have to complete a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Controlling Holder in the transaction is a majority holder (or majority holders if there is no single majority holder) of the outstanding Class XS Notes, initially, the Seller. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Banker Association (MBA) Method (or in the case of any mortgage loan that has been subject to a forbearance plan related to the impact of the Coronavirus Disease (COVID-19) pandemic, on any date from and after the date on which such loan becomes 90 or more days delinquent under the MBA Method from the end of the forbearance period) at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a sequential-pay cash flow structure with a pro rata principal payment among the Class A-1, A-2, and A-3 Notes (senior classes of Notes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Also, principal proceeds can be used to cover interest shortfalls on the senior classes of Notes (IIPP) before being applied sequentially to amortize the balances of the Notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3 Notes. Of note, the interest and principal otherwise available to pay the Class B-3 Notes interest and interest shortfalls may be used to pay the Class A coupons' Cap Carryover Amounts on any payment date. Notes: All figures are in U.S. dollars unless otherwise noted. PRMI 2023-CMG1: DBRS Gives Prov. B Rating on Class B-2 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2023-CMG1 (the Notes) to be issued by PRMI Securitization Trust 2023-CMG1 (PRMI 2023-CMG1 or the Trust) as follows: -- $256.1 million Class A-1 at AAA (sf) -- $25.1 million Class A-2 at AA (sf) -- $22.4 million Class A-3 at A (sf) -- $7.9 million Class M-1 at BBB (sf) -- $4.8 million Class B-1 at BB (sf) -- $2.1 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects 20.50% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 12.70%, 5.75%, 3.30%, 1.80%, and 1.15% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of newly originated, performing, adjustable-rate, fully amortizing, interest-only (IO), open-ended, revolving first-lien line of credit (LOC) loans funded by the issuance of the Notes. The Notes are backed by 772 LOC loans with a total unpaid principal balance (UPB) of $322,086,941 and a total current credit limit of $405,817,136 as of the Cut-Off Date (September 30, 2023). The portfolio, on average, is seven months seasoned, though seasoning ranges from one to 25 months. Approximately 98.9% of the LOC loans have been performing since origination. All of the loans in the pool are first-lien LOCs evidenced by promissory notes secured by mortgages or deeds of trust or other instruments creating first liens on one- to four-family residential properties, planned unit development, townhouses and condominiums. CMG Mortgage, Inc. (CMG) or CMG-qualified correspondents are the Originators of all LOC loans in the pool. CMG is a wholly owned subsidiary of CMG Financial Services, Inc., a privately held company that was founded in 1993 as CMG Mortgage, Inc. The company originates conventional, government, and jumbo mortgages. CMG also originates first-lien LOC loans to prime borrowers under the All-In-One loan program, which offers borrowers convenient cash management features and an opportunity to reduce the interest charges and accelerate principal repayment. The transaction's Sponsor is PRMI Capital Markets LLC, an affiliate of the PR Mortgage Investment, LP (PRMI or the Fund). PRMI, a leveraged debt fund that specializes in real estate related assets, commenced operations in 2019. The Fund's general partner is PRMIGP, LLC, and the investment manager is PR Mortgage Investment Management, LLC. B3 LLC, composed of three senior investment executives, holds a majority interest in the Fund's general partner and investment manager, and Merchants Bancorp, the holding company of Merchants Bank of Indiana (MBIN), holds a minority interest in the general partner and investment manager, and is also a limited partner in the Fund. MBIN is a publicly traded bank with approximately $16.5 billion in assets. The transaction is the second securitization of LOC loans by the Sponsor. Previously, the Fund sponsored a securitization of the prime agency-eligible mortgage loans rated by two credit rating agencies, PRMI Securitization Trust 2021-1, demonstrating robust performance to date. In this transaction, all loans originated under the All-In-One program are open-LOCs, with a draw period of 25 or 30 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen in certain circumstances. A 25 or 30-year draw period offers borrower flexibility to draw funds over the life of the loan. However, the total credit line amount (or credit limit) begins to decline after remaining constant for the first 10 years. Thereafter, the credit limit declines every payment period by a monthly amortization amount required to pay off the loan at maturity or 1/240th of the maximum capacity of the credit line (limit reduction amount). As such, even if a borrower redraws the amount to a limit at some point in the future, the limit is lowered to match the amount that could be repaid at maturity using the required monthly payments. All of the LOC loans in this transaction have 10-year IO terms (IO payment period), so borrowers are required to make IO payments within the IO payment period and both interest and principal payments during and repayment period. No loans require a balloon payment. Although LOC loans include a 10-year IO term, the borrowers are qualified for income using, among other measures, a debt-to-income ratio calculated with a fully indexed interest rate and assuming principal amortization over 360 periods (as if the borrower is required to make principal payments during the IO payment period). Relative to other types of HELOCs backing DBRS Morningstar-rated deals, the loans in the pool generally have high borrower credit scores, are all in a first-lien position, and do not include balloon payments. The relatively long IO period and income qualification based on the fully amortized payment amount help ensure the borrower has enough cushion to absorb increased payments after the IO term expires. Also, the lack of balloon payment allows borrowers to avoid the payment shock that typically occurs when a balloon payment is required. On or prior to the Closing Date, CMG will sell 685 loans (approximately 86.4% of the pool by balance as of the Cut-Off Date), including the servicing rights with respect thereto, to the Seller (PRMI Trust). Also, MBIN will sell 87 loans (approximately 13.6% by balance) originated by CMG and previously acquired by MBIN to the Seller. These loans (Merchants Mortgage Loans) will be sold excluding the servicing rights thereto, which will be retained by CMG as the Servicing Rights Owner. The PRMI Mortgage Loans and the Merchants Mortgage Loans are collectively referred to as the mortgage loans or LOC loans in the report. Northpointe Bank (Northpointe), a Michigan-chartered bank, is the Servicer of all loans in the pool. The initial annual servicing fee is 0.25% per year. U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) will serve as the Custodian. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by DBRS Morningstar) will serve as the Indenture Trustee, Paying Agent, and Note Registrar. U.S. Bank Trust National Association will serve as the Owner Trustee. In accordance with U.S. credit risk retention requirements, the PR Mortgage Holdings I LLC, a majority-owned affiliate of the Sponsor, will acquire and intends to retain an "eligible horizontal residual interest," representing not less than 5% economic interest in the transaction, to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. This transaction uses a structural mechanism similar to other comparable transactions to fund future draw requests. Assuming the funding of the subsequent draw is valid and required under the LOC agreement, the obligation to fund it falls originally on CMG as the lender under the LOC agreement. In addition, under the transaction documents, the Issuer will engage Northpointe, as the Servicer under the servicing agreement. Northpointe, as a servicer, will determine whether a borrower is entitled to the requested draw under the related LOC agreement and will fund any valid draw request. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws prior to any payments on the Notes from the principal collections. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is still obligated to fund draws even if principal collections and the reserve fund are insufficient in a given month for full reimbursement. In such cases, the Paying Agent will reimburse the Servicer first from amounts on deposit in the variable-funding account (VFA), and second, if the amounts available in the VFA are insufficient on the related payment date or future payment dates, then from the future principal collections. The VFA is expected to have an initial balance of $100,000. The VFA required amount for each payment date will be $100,000. If the amount on deposit in the VFA is less than such required amount on a payment date, the Paying Agent will use excess cash flow (i.e., remaining amounts after covering losses and paying Cap Carryover Amounts) to deposit in the VFA. To the extent the VFA is not funded up to its required amount from excess cash flow, the holder of the Trust Certificates on behalf of the Class R Note will be required to use its own funds to make any deposits to the VFA or to reimburse the Servicer for any Net Draws. The balance of Trust Certificates will be increased by an amount deposited to the VFA used to reimburse the Servicer for the Net Draws (residual principal balance). The Trust Certificates, on behalf of the Class R Note, will be entitled to receive principal and the net interest that accrues on the residual principal balance at the Net WAC Rate. The holder of the Trust Certificate is permitted to finance these funding obligations by using the financing secured by the Trust Certificate with a third-party lender. The Sponsor (PRMI Capital Markets LLC) or a majority-owned affiliate, as an expected holder of the Trust Certificates/Class R Note, will have ultimate responsibility to ensure draws are funded, as long as all borrower conditions are met to warrant draw funding. In its analysis of the proposed transaction structure, DBRS Morningstar does not rely on the creditworthiness of either the Servicer or the Sponsor and relies solely on the issuer's assets' ability to generate sufficient cash flows to pay the transaction parties and bondholders. The transaction, based on a static pool, employs a modified sequential-pay cash flow structure with a pro rata principal distribution among the more senior tranches (Class A-1, A-2, and A-3 Notes) subject to a sequential priority trigger (Credit Event) related to cumulative losses or delinquencies exceeding a specified threshold. If a Credit Event is in effect, principal proceeds can be used to cover interest carryforward amount on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest carryforward amount only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-3. The Trust Certificates have a pro rata principal distribution with all senior and subordinate tranches while the Credit Event is not in effect. When the trigger is in effect, the Trust Certificates' principal distribution will be subordinated to both the senior and subordinate notes in the payment waterfall. While a Credit Event is in effect, realized losses will be allocated reverse sequentially starting with the Trust Certificates, followed by the Class B-3 Notes, and then continuing up to Class A-1 Notes based on their respective payment priority. While a Credit Event is not in effect, the losses will be allocated pro rata between the Trust Certificates and all outstanding notes based on their respective priority of payments. The outstanding notes will allocate realized losses reverse sequentially, beginning with Class B-3 up to Class A-1. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any LOC loan. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder or holders of more than a 50% interest of the Class XS Notes; initially, the Depositor's affiliate). All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the LOC loans are not subject to the ATR/QM rules. On or after the earlier of the (i) payment date in November 2026, and (ii) the date on which the aggregate principal balance of the mortgage loans is less than or equal to 30% of the aggregate principal balance as of the cut-off date, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the loans and any real estate owned (REO) properties at an optional termination price described in the transaction documents. An Optional Termination will be followed by a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Certificateholder may sell, transfer, convey, assign, or otherwise pledge the right to direct the Issuer to exercise the Optional Termination to a third party, in which case the right must be exercised by such third party, as described in the transaction documents. On any payment date on or after the later of (1) the two-year anniversary of the Closing Date, and (2) the earlier of (a) the three-year anniversary of the Closing Date, and (b) the date on which the aggregate loans' principal balance is less than or equal to 30% of the Cut-Off Date balance, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the outstanding Notes and the Trust Certificates at the purchase price in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation, The Sponsor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. Notes: All figures are in US Dollars unless otherwise noted. PRPM 2023-RCF2: DBRS Gives Prov. BB(high) Rating on Class M2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Asset-Backed Notes, Series 2023-RCF2 (the Notes) to be issued by PRPM 2023-RCF2, LLC (PRPM 2023-RCF2 or the Trust) as follows: -- $122.9 million Class A-1 at AAA (sf) -- $14.9 million Class A-2 at AA (sf) -- $14.5 million Class A-3 at A (sf) -- $11.7 million Class M-1 at BBB (sf) -- $7.4 million Class M-2 at BB (high) (sf) The AAA (sf) rating on the Class A-1 Notes reflects 39.20% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), and BB (high) (sf) ratings reflect 31.85%, 24.70%, 18.90%, and 15.25% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of newly originated and seasoned, performing and reperforming, first-lien residential mortgages, funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 657 loans with a total principal balance of $202,129,585 as of the Cut-Off Date (September 30, 2023). DBRS Morningstar calculated the portfolio to be approximately 25 months seasoned on average, though the age of the loans is quite dispersed, ranging from three months to 245 months. The majority of the loans (93.0%) had origination guideline or document deficiencies, which prevented such loans from being sold to Fannie Mae, Freddie Mac, or another purchaser, and the loans were subsequently put back to the sellers. In its analysis, DBRS Morningstar assessed such defects and applied certain penalties, consequently increasing expected losses on the mortgage pool. Fairway Independent Mortgage Corp. (Fairway) originated 25.0% of the pool, majority with guideline or document deficiencies. The remaining originators each comprised less than 10.0% of the pool. In the portfolio, 10.2% of the loans are modified. The modifications happened less than two years ago for 80.4% of the modified loans. Within the portfolio, 15 mortgages have non-interest-bearing deferred amounts, equating to 0.2% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (10.7%) are not subject to or exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (81.2%), QM Rebuttable Presumption (2.4%), and Non-QM (5.8%) by UPB. As the Sponsor, PRP-LB V, LLC or one of its majority-owned affiliates will acquire and retain a 5% interest in aggregate fair value of the Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2023-RCF2 is the second scratch & dent rated securitization for the Issuer with mostly newly originated collateral. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and nonperforming securitizations. SN Servicing Corporation (SNSC; 94.7%) and Fay Servicing, LLC (Fay Servicing; 5.3%) will act as the Servicers of the loans. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in November 2025. Additionally, a failure to pay the Notes in full by the Payment Date in October 2028 will trigger a mandatory auction of the underlying certificates. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year, and subsequently auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Redemption Date. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in November 2027, the Class A-1 and the other offered Notes will be entitled to its initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in July 2029 or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on the Class A-2 and the other offered Notes will be paid as principal to the Class A-1 Notes until it has been paid in full. The redirected amounts will be paid as principal to the respective Notes. Notes: All figures are in U.S. dollars unless otherwise noted. REALT 2018-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------- DBRS Limited upgraded its credit ratings on four classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-1 issued by Real Estate Asset Liquidity Trust (REALT) Series 2018-1 as follows: -- Class X to AA (high) (sf) from AA (low) (sf) -- Class C to AA (sf) from A (high) (sf) -- Class D-1 to A (sf) from BBB (high) (sf) -- Class D-2 to A (sf) from BBB (high) (sf) In addition, DBRS Morningstar confirmed its credit ratings on the following classes: -- Class A-2 at AAA (sf) -- Class B at AAA (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 paydown since last review and the overall stable performance of the remaining collateral. Since last review, 14 loans (38.4% of the original pool balance) repaid in full upon their scheduled maturity dates, which when combined with the continued of amortization of the remaining 26 loans in the pool through their respective loan terms, has reduced the transaction's aggregate principal balance to $154.1 million as of the October 2023 reporting, representing a collateral reduction of 56.2% since issuance. In addition, two loans (3.7% of the current pool balance), which are performing in line with issuance expectations, are scheduled to mature in 2024. The pool benefits from larger concentrations in property types that have historically exhibited strong fundamentals with industrial, multifamily, and self-storage properties representing 24.8%, 22.3%, and 17.6% of the pool, respectively. Based on the most recent year-end financials available, the remaining loans in the pool reported a healthy weighted-average (WA) debt service coverage ratio (DSCR) of 1.88 times (x). There are currently no delinquent or specially serviced loans; however, there are two loans (14.4% of the current pool balance) on the servicer's watchlist, discussed in more detail below. The largest loan on the servicer's watchlist, Chateau Dollard Retirement (Prospectus ID#8, 8.1% of the pool), is secured by a 112-unit retirement facility in Dollard-des-Ormeaux, Quebec. The loan was added to the watchlist in July 2020 because of a low DSCR caused by a decline in occupancy, as the property was heavily impacted by the effects of the Coronavirus Disease (COVID-19) pandemic. No updated financials have been provided since YE2021, when the subject reported an occupancy of 68% and a DSCR of 0.49x, below the pre-pandemic figures from YE2019 of 82.8% and 1.38x, respectively. While the loan has full recourse to the sponsor, DBRS Morningstar maintained its approach from last review, given the lack of updated financials coupled with the loan's poor performance year-over-year. In its analysis, DBRS Morningstar stressed this loan with an elevated probability of default resulting in an expected loss(EL) over 5x the WA pool EL figure. The second loan on the watchlist, Quality Hotel Dorval (Prospectus ID#9, 6.3% of the pool), is secured by a 161-key, full service hotel in the borough of Saint-Laurent in Montréal, approximately five minutes from the Montréal–Trudeau International Airport. The loan was added to the servicer's watchlist in July 2020 when the borrower was granted a deferral of principal payments from July 2020 through to December 2020, with principal payments reinstated beginning in January 2021. However, in March 2021, the borrower requested further relief and a second deferral of principal was granted from April 2021 to March 2022. All deferred amounts from both relief requests are to be repaid in monthly installments that will be added to the scheduled monthly payments between April 2022 and March 2027. Performance at the subject has rebounded, demonstrating significant improvements with a net cash flow and DSCR of $3.8 million and 4.86x for the trailing 12-month (T-12) period ended September 30, 2022, compared with $1.0 million and 1.34x for the T-12 period ended September 30, 2020, respectively, and $3.3 million and 4.17x for the trailing 12 months period ended September 30, 2019, respectively. The occupancy, average daily rate, and RevPAR for the T-12 period ended September 30, 2022, was reported at 91.1%, $115, and $105, respectively, compared with 64.6%, $134, and $86 in the previous T-12 period ended September 30, 2021, respectively. Given the loan continues to comply with the terms of its loan modification, coupled with the significant improvements in performance, DBRS Morningstar believes the loan will continue to perform in accordance with expectations from issuance. The loan also benefits from the full recourse structure. Notes: All figures are in Canadian dollars unless otherwise noted. SCG 2023-NASH: Moody's Assigns Ba2 Rating to Class HRR Certs ------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to six class of CMBS securities, issued by SCG 2023-NASH Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2023-NASH: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba1 (sf) Cl. HRR, Definitive Rating Assigned 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 23,999 SF of function space (22,899 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 POINT 3: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 3, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 3, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Silver Point CLO 3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point RR Manager, L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 100% first-lien senior secured loans and has a weighted average recovery assumption of 76.14%. 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 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-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. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'Bsf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D notes and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. At all other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class C notes, 'Asf' for class D notes and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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. SILVER POINT 3: Moody's Assigns B3 Rating to $250,000 Cl. F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes 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, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Secured Deferrable Floating Rate Notes, 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. 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. The portfolio is approximately 100% 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): 2867 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. STWD TRUST 2021-LIH: DBRS Confirms B(low) Rating on Class F Certs ----------------------------------------------------------------- DBRS Limited confirmed credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-LIH issued by STWD Trust 2021-LIH 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 (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, as evidenced by the stable-to-improving cash flow and occupancy reported since issuance. The portfolio is backed by multifamily properties in robust submarkets that have demonstrated their ability to maintain cash flow stability, and continue to perform in line with DBRS Morningstar's expectations at issuance. The $380 million loan is secured by the fee-simple interest in 12 affordable housing multifamily properties totaling 3,082 units throughout five Florida markets including Orlando, Tampa, Daytona Beach, West Palm Beach, and Jacksonville. The properties qualify for and receive 100% exemption from ad valorem taxes pursuant to the Property Tax Exemption Statute (Florida Statute 196.1978(2)). The two-year interest-only floating rate loan had an initial maturity in November 2023; however, according to the servicer, the borrower has exercised its first annual extension option, which will extend the maturity date until November 2024. Their loan is structured with two remaining one-year extension options. The loan allows for pro rata paydowns for the first 20.0% of the original principal balance. The prepayment premium for the release of individual assets is 105.0% of the allocated loan amount (ALA) for the first 15.0% of the original principal balance (until the outstanding principal balance has been reduced to no less than $323.0 million), and 110.0% premium of the ALA for the release of individual assets thereafter. DBRS Morningstar considers the release premium to be weaker than a generally credit-neutral standard of 115.0%, especially given the borrower's ability at its sole option to obtain an updated appraisal(s) and request the reallocation amount of the loan amount of the related property or properties. To date, there have been no property releases. As per the trailing six-month (T-6) financial statement ended June 30, 2023, the portfolio reported a consolidated occupancy rate of 98.2%, in line with the occupancy rate of 98.6% at issuance. The annualized T-6 ended June 30, 2023, net cash flow (NCF) was reported at $22.9 million, compared with YE2022 NCF of $22.3 million, and the DBRS Morningstar NCF of $18.4 million at issuance. The debt service coverage ratio (DSCR) for the same time periods were reported at 0.88x (times), 1.60x, and 2.03x, respectively. The decline in DSCR is attributable to the increase in debt service payments given the floating rate nature of the loan amid the current interest rate environment. The borrower currently has an interest rate cap agreement to hedge exposure to rising interest rates, which would result in a minimum DSCR of 1.10x. As of Q3 2023, Reis reports indicate that the respective submarkets are exhibiting strong fundamentals, with a weighted-average vacancy rate around 1.4% and an average five-year vacancy rate forecast of 1.9% by December 2028. The underlying properties are considered to be in strong, high-growth markets with favorable multifamily demand trends in and around the Florida affordable housing markets. DBRS Morningstar notes the increasing insurance costs for properties in areas prone to climate risk. Although the subject portfolio has not experienced any increase in insurance costs since issuance, DBRS Morningstar notes the likelihood that this line item may pose concerns in the coming years. At issuance, DBRS Morningstar derived a value of $334.2 million, based on a concluded cash flow of $18.4 million and a capitalization rate of 5.5%, resulting in a DBRS Morningstar Loan-to-Value Ratio (LTV) of 113.7% compared with the LTV of 72.1% based on the appraised value at issuance. DBRS Morningstar made positive qualitative adjustments totaling 7.5% to the LTV sizing benchmarks to account for the portfolio's historical performance and strong submarket fundamentals. Given ongoing revenues and occupancy, as well as the borrower's capital expenditure investments since acquisition, DBRS Morningstar expects the portfolio will continue to exhibit stable to improved performance. Notes: All figures are in U.S. dollars unless otherwise noted. TRIANGLE RE 2023-1: DBRS Gives Prov. B Rating on Class B-1 Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Insurance-Linked Notes, Series 2023-1 (the Notes) to be issued by Triangle Re 2023-1 Ltd. (TMIR 2023-1 or the Issuer): -- $105.7 million Class M-1A at BB (high) (sf) -- $69.2 million Class M-1B at BB (low) (sf) -- $54.7 million Class M-2 at B (high) (sf) -- $18.2 million Class B-1 at B (sf) The BB (high) (sf) credit rating reflects 5.30% of credit enhancement, provided by subordinated notes in the transaction. The BB (low) (sf), B (high) (sf), and B (sf) credit ratings reflect 4.35%, 3.60%, and 2.90% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. TMIR 2023-1 is Enact Mortgage Insurance Corporation's (Enact's; the Ceding Insurer's) sixth-rated Mortgage Insurance-Linked note transaction. The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the ceding insurer pays to settle claims on the underlying MI policies. TMIR 2023-1 transaction is backed by insured mortgage loans that have never been reported to the Ceding Insurer as 60 or more days delinquent since origination. The mortgage loans have a weighted average seasoning of eight months, with MI policies effective on or after July 2022. These loans have not been reported to be in a payment forbearance plan. As of the Cut-Off Date, the pool of insured mortgage loans consists of 148,603 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard, have original loan-to-value ratios (LTVs) less than or equal to 100%, and one loan has been reported to the Ceding Insurer to be modified. On March 1, 2020, a new master policy was introduced to conform to government-sponsored enterprises' revised rescission relief principles under the Private Mortgage Insurer Eligibility Requirements (PMIER) guidelines (see the Representations and Warranties section for more detail). All of the mortgage loans (by Cut-Off Date) are insured under the new master policy. On March 1, 2020, a new master policy was introduced to conform to GSEs' revised rescission relief principles under the Private Mortgage Insurer Eligibility Requirements guidelines. All of the mortgage loans (by Cut-Off Date) are insured under the new master policy. On the Closing Date, the Issuer will enter into the Reinsurance Agreement with the Ceding Insurer. As per the agreement, the Ceding Insurer will get protection for the funded portion of the MI losses. In exchange for this protection, the Ceding Insurer will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from the sale of the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to U.S. Treasury money market funds and securities rated at least AAA-mf by Moody's or AAAm by S&P. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in mortgage insurance-linked Notes (MILN) transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the Ceding Insurer when claims are settled with respect to the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the Ceding Insurer's premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on the reduction in aggregate exposed principal balance on the underlying MI policy that is allocated to the Notes. The subordinate Notes will receive their pro rata share of available principal funds if the minimum credit enhancement test and the delinquency test are satisfied. The minimum credit enhancement test will be satisfied if the subordinate percentage is at least 7.25%. For this transaction, the delinquency test will be satisfied if the three-month average of 60+ days delinquency percentage is below 75% of the subordinate percentage. Additionally, if these performance tests are met and the subordinate percentage is greater than 7.2500%, then the subordinate Notes will be entitled to accelerated principal payments equal to 2 times (x) the subordinate principal reduction amount, until the subordinate percentage comes down to the target credit enhancement of 7.25%. The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Offering Circular for more details. DBRS Morningstar did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the underlying loans. Instead, interest payments are funded via (1) premium payments that the Ceding Insurer must make under the reinsurance agreement and (2) earnings on eligible investments. On the Closing Date, the ceding insurer will establish a cash and securities account, the premium deposit account. In case of the ceding insurer's default in paying coverage premium payments to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. TMIR 2023-1 transaction is issued with a 10-year term. The Notes are scheduled to mature on November 25, 2033, but will be subject to early redemption at the option of the Ceding Insurer (1) for a 10% clean-up call or (2) on or following the payment date in November 2028, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. (Additionally, there is a provision for the Ceding Insurers to issue a tender offer to reduce all or a portion of the outstanding Notes.) The Ceding Insurer of the transaction is Enact. The Bank of New York Mellon (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. Notes: All figures are in U.S. dollars unless otherwise noted. US BANK 2023-1: Moody's Assigns (P)Ba2 Rating to Cl. C Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the U.S. Bank Auto Credit-Linked Notes, Series 2023-1 (USCLN 2023-1) notes to be issued by U.S. Bank National Association (USB). USCLN 2023-1 is the first credit linked notes transaction issued by USB to transfer credit risk to noteholders through a hypothetical financial guaranty on a reference pool of auto loans originated and serviced by USB. The complete rating actions are as follows: Issuer: U.S. Bank National Association Class B Notes, Assigned (P)A2 (sf) Class C Notes, Assigned (P)Ba2 (sf) RATINGS RATIONALE The notes are fixed-rate and are unsecured obligations of USB. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be USB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. As a result, Moody's capped the ratings of the notes at USB's senior unsecured rating (A2 negative). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of USB as the servicer. Moody's expected median cumulative net loss expectation for USCLN 2023-1 is 0.65% and the loss at a Aaa stress is 4.75%. Moody's based its cumulative net credit loss expectation and loss at a Aaa stress on an analysis of the quality of the underlying collateral; the historical credit loss performance of similar collateral and managed portfolio performance; the ability of USB to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B notes and Class C notes are expected to benefit from 3.00% and 2.00% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. 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 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class C notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Moody's could upgrade Class B if UBS's senior unsecured rating is upgraded. Down Moody's could downgrade the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Moody's could downgrade the notes if USB's rating is downgraded considering the repurchase obligation from USB for loans not having a perfected lien. VELOCITY COMMERCIAL 2023-4: DBRS Finalizes B Rating on 3 Classes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed Certificates, Series 2023-4 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2023-4 (VCC 2023-4 or the Issuer) as follows: -- $136.6 million Class A at AAA (sf) -- $11.4 million Class M-1 at AA (low) (sf) -- $10.8 million Class M-2 at A (low) (sf) -- $16.2 million Class M-3 at BBB (sf) -- $28.0 million Class M-4 at BB (sf) -- $18.9 million Class M-5 at B (sf) -- $136.6 million Class A-S at AAA (sf) -- $136.6 million Class A-IO at AAA (sf) -- $11.4 million Class M1-A at AA (low) (sf) -- $11.4 million Class M1-IO at AA (low) (sf) -- $10.8 million Class M2-A at A (low) (sf) -- $10.8 million Class M2-IO at A (low) (sf) -- $16.2 million Class M3-A at BBB (sf) -- $16.2 million Class M3-IO at BBB (sf) -- $28.0 million Class M4-A at BB (sf) -- $28.0 million Class M4-IO at BB (sf) -- $18.9 million Class M5-A at B (sf) -- $18.9 million Class M5-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect 40.50% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 35.55%, 30.85%, 23.80%, 11.60% and 3.35% of CE, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. VCC 2023-4 is a securitization of a portfolio of newly originated and seasoned fixed and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2023-4 (the Certificates). The Certificates are backed by 652 mortgage loans with a total principal balance of $229,513,200 as of the Cut-Off Date (October 1, 2023). Approximately 65.7% of the pool comprises residential investor loans and about 34.3% of SBC loans. All loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC). The loans were underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (No Ratio). The lender reviews mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances over $750,000 for purchase transactions and over $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation will service all loans within the pool for a servicing fee of 0.30% per annum. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA (high) with a Negative trend by DBRS Morningstar) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class M-7, Class P, and Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each Class's target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each Class's target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net weighted average coupon shortfalls (Net WAC Rate Carryover Amounts). COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY The collateral for the SBC portion of the pool consists of 186 individual loans secured by 186 commercial and multifamily properties with an average cut-off date loan balance of $422,976. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, DBRS Morningstar applied its “North American CMBS Multi-Borrower Rating Methodology” (the CMBS Methodology). The CMBS loans have a weighted average (WA) fixed interest rate of 11.9%. This is approximately 10 basis points (bps) lower than the VCC 2023-3 transaction, 50 bps higher than the VCC 2023-2 transaction, 140 bps higher than the VCC 2023-1 transaction, 260 bps higher than the VCC 2022-5 transaction, and more than 360 bps higher than the interest rates of the VCC 2022-4, VCC 2022-3, and VCC 2022-2 transactions, highlighting the recent increase in interest rates. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, three loans, which represent 1.3% of the SBC pool, have an initial interest-only (IO) period ranging from 60 months to 120 months. Most SBC loans were originated between July 2023 and September 2023 (99.4% of the cut-off pool balance), with two loans originated between July 2015 and January 2016, resulting in a WA seasoning of 1.3 months. The SBC pool has a WA original term length of 360 months, or 30 years. Based on the current loan amount, which reflects 30 bps of amortization, and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 59.5%. However, DBRS Morningstar made LTV adjustments to 28 loans that had an implied capitalization rate more than 200 bps lower than a set of minimal capitalization rates established by the DBRS Morningstar Market Rank. The DBRS Morningstar minimum capitalization rates range from 5.0% for properties in DBRS Morningstar Market Rank 8 to 8.0% for properties in DBRS Morningstar Market Rank 1. This resulted in a higher DBRS Morningstar LTV of 64.1%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. DBRS Morningstar's research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in DBRS Morningstar's "Rating North American CMBS Interest-Only Certificates" methodology, the most significant risk to an IO cash flow stream is term default risk. As DBRS Morningstar noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one-third of the total default rate), and the term default rate was approximately 11%. DBRS Morningstar recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its rating, DBRS Morningstar estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for DBRS Morningstar to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The DBRS Morningstar CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, DBRS Morningstar would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and DBRS Morningstar expects this pool will have prepayments over the remainder of the transaction. DBRS Morningstar applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects DBRS Morningstar's opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, approximately more than 70.0% of the deal has less than a 1.0 times (x) Issuer net operating income (NOI) DSCR, which is a larger composition than previous VCC transactions in 2022. Additionally, although the DBRS Morningstar CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 720 for the SBC loans, which is relatively similar to prior transactions. With regard to the aforementioned concerns, DBRS Morningstar applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $422,976, a concentration profile equivalent to that of a transaction with 109 equal-size loans, and a top 10 loan concentration of 19.0%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial), with no exposure to higher-volatility property types, such as hotels or other lodging facilities. All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. As classified by DBRS Morningstar for modeling purposes, the SBC pool contains a significant exposure to retail (24.1% of the SBC pool) and office (14.4% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent 38.5% of the SBC pool balance. DBRS Morningstar applied a 20.0% reduction to the net cash flow (NCF) for retail properties and a 30.0% reduction to the NCF for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. DBRS Morningstar did not perform site inspections on loans within its sample for this transaction. Instead, DBRS Morningstar relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans DBRS Morningstar sampled, 20 were Average quality (33.4%), 47 were Average– (47.3%), and 13 were Below Average (19.3%). DBRS Morningstar assumed unsampled loans were Average – quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by DBRS Morningstar. Limited property-level information was available for DBRS Morningstar to review. Asset summary reports, property condition reports (PCRs), Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. DBRS Morningstar received and reviewed appraisals for the top 30 loans, which represent 39.9% of the SBC pool balance. These appraisals were issued between July 2023 and September 2023 when the respective loans were originated. DBRS Morningstar was able to perform a loan-level cash flow analysis on the top 30 loans. The NCF haircuts for the top 30 loans ranged from -3.1% to -53.2%, with an average of -15.4%. No ESA reports were provided nor required by the Issuer; however, all of the loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss (PML) information or earthquake insurance requirements are provided. Therefore, a loss-given default (LGD) penalty was applied to all properties in California to mitigate this potential risk. DBRS Morningstar received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 11.9%, which is indicative of the broader increased interest rate environment and represents a large increase over previous VCC deals. DBRS Morningstar generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by DBRS Morningstar. Furthermore, DBRS Morningstar received a 12-month pay history on each loan as of September 30, 2023. If any loan had more than two late pays within this period or was currently 30 days past due, DBRS Morningstar applied an additional stress to the default rate. This occurred for two loans, representing 0.5% of the SBC pool. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 466 mortgage loans with a total balance of approximately $150.8 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to No Ratio program guidelines for business-purpose loans. The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economics, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update," published September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The ratings reflect transactional strengths that, for residential investor loans, include the following: -- Improved underwriting standards, -- Robust loan attributes and pool composition, and -- Satisfactory third-party due-diligence review. The transaction also includes the following challenges: -- Residential investor loans underwritten to No Ratio lending programs, and -- Representations and warranties framework. The full description of the strengths, challenges, and mitigating factors is detailed in the related report. DBRS Morningstar incorporates a dynamic cash flow analysis in its rating process. A baseline of four prepayment scenarios under the Standard (The standard payment rate consists of voluntary prepayments only. Prepayment amount and default amount are applied to the loans independently) Intex convention and two default timing curves, and two interest rate stresses were applied to test the resilience of the rated classes. DBRS Morningstar ran a total of 16 cash flow scenarios at each rating level for this transaction. Additionally, WAC deterioration stresses were incorporated in the runs. DBRS Morningstar's credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. DBRS Morningstar's credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, DBRS Morningstar's ratings do not address the payment of any Net WAC Rate Carryover Amounts or Prepayment Interest Shortfalls based on its position in the cash flow waterfall. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2023-INV3: DBRS Gives (P)B Rating on B-2 Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2023-INV3 (the Notes) to be issued by Verus Securitization Trust 2023-INV3: -- $206.5 million Class A-1 at AAA (sf) -- $39.3 million Class A-2 at AA (high) (sf) -- $44.9 million Class A-3 at A (high) (sf) -- $31.9 million Class M-1 at BBB (sf) -- $21.2 million Class B-1 at BB (low) (sf) -- $10.3 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects 44.60% of credit enhancement provided by subordinate notes. The AA (high) (sf), A (high) (sf), BBB (sf), BB (low) (sf), and B (sf) ratings reflect 34.05%, 22.00%, 13.45%, 7.75%, and 5.00% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2023-INV3 (the Notes). The Notes are backed by 1,050 mortgage loans with a total principal balance of $372,729,912 as of the Cut-Off Date (November 1, 2023). VERUS 2023-INV3 represents the eleventh securitization issued by the Sponsor (VMC Asset Pooler, LLC) or a related Invictus Capital Partners, LP (Invictus) entity, backed entirely by business purpose investment loans, predominantly underwritten using DSCR. The originators for the mortgage pool are Hometown Equity Mortgage, LLC (22.9%) and other originators, each comprising less than 10.0% of the mortgage loans. Newrez LLC doing business as Shellpoint Mortgage Servicing (100%) is the servicer of the loans in this transaction. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal interest consisting of the Class B-3 and XS Notes representing at least 5% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will be the Master Servicer. Wilmington Savings Fund Society, FSB will act as the Indenture and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) and Deutsche Bank National Trust Company will act as the Custodian. On or after the earlier of (1) the Payment Date occurring in November 2026 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Note Owner(s) representing 50.01% or more of the Class XS Notes (Optional Redemption Right Holder), may redeem all of the outstanding Notes at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts, and (B) the class balances of the related Notes less than 90 days delinquent with accrued unpaid interest plus fair market value of the loans 90 days or more delinquent and real estate owned properties. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) the proceeds to be distributed to the appropriate holders of regular or residual interests. The principal and interest (P&I) Advancing Party will fund advances of delinquent P&I on any mortgage until such loan becomes 90 days delinquent. The Advancing Party or Servicer has no obligation to advance P&I on a mortgage approved for a forbearance plan during its related forbearance period. The Servicers, however, are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the Class A-1, Class A-2, and Class A-3 Notes (Senior Classes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the notes. For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Excess spread can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3. The Class A-1, Class A-2, and Class A-3 fixed rate coupons step up by 1.00% on and after the payment date in December 2027 (step-up date). Of note, on and after the distribution date in December 2027, interest and principal otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay any Class A Cap Carryover amounts. Notes: All figures are in U.S. dollars unless otherwise noted. VOYA CLO 2023-1: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Voya CLO 2023-1, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2023-1, Ltd A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Voya CLO 2023-1, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.18, versus a maximum covenant, in accordance with the initial expected matrix point of 26.75. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.63% versus a minimum covenant, in accordance with the initial expected matrix point of 75.5%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB-sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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. CRITERIA VARIATION There were no criteria variations in this transaction. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. WELLS FARGO 2021-C60: DBRS Confirms B(low) Rating on L-RR Certs --------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-C60 issued by Wells Fargo Commercial Mortgage Trust 2021-C60 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-B at AA (sf) -- Class C at AA (low) (sf) -- Class X-D at AA (low) (sf) -- Class D at A (high) (sf) -- Class E-RR at A (low) (sf) -- Class F-RR at BBB (high) (sf) -- Class G-RR at BBB (sf) -- Class H-RR at BB (high) (sf) -- Class J-RR at BB (high) (sf) -- Class K-RR at BB (low) (sf) -- Class L-RR at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which generally remains in line with DBRS Morningstar's expectations since issuance. As of the October 2023 remittance, 60 of the original 61 loans remain outstanding, with a total trust balance of $738.2 million, representing minimal collateral reduction of 1.4% since issuance. Twenty-nine loans representing 60.3% of the pool are interest-only (IO) for the full term, while an additional 11 loans (14.3% of the pool) have partial IO terms remaining. The pool's property type concentration is relatively diverse, with retail and multifamily being the largest concentrations, representing 28.5% and 22.8%, respectively. There are eight loans, representing 19.7% of the current pool balance, on the servicer's watchlist, and two small loans in special servicing, representing 1.7% of the pool balance; DBRS Morningstar liquidated one of these loans in its analysis. Clara Point Apartments (Prospectus ID#40, 0.8% of the pool), is secured by the borrower's fee-simple interest in a 56-unit garden multifamily property in Augusta, Georgia. The loan transferred to special servicing in October 2022 because of payment default and the current workout strategy is foreclosure. Occupancy declined to 71% as of September 2022 from 93% at YE2021 after being affected by damage from a fire, a hurricane, and a hailstorm. The borrower has confirmed that the majority of the repairs have been complete, but several units remain off-line. The property's April 2023 appraised value of $5.0 million, is well below the issuance value of $8.0 million, and represents a loan-to-value ratio (LTV) of 115.3%. In its analysis for this review, DBRS Morningstar liquidated this loan from the trust with a haircut to the most recent appraisal value, resulting in losses in excess of 40%. The largest loan in the pool, Velocity Industrial Portfolio (Prospectus ID#1, 8.8% of the current pool balance), is secured by the borrower's fee-simple interest in Velocity Industrial Portfolio, a two-property, 1.1 million square-foot (sf) industrial portfolio in Lansdale, Pennsylvania. The YE2022 debt service coverage ratio (DSCR) and occupancy were reported to be healthy at 2.46 times (x) and 89.0%, respectively; however, the loan is being monitored on the servicer's watchlist because of recent and upcoming tenant rollover risk. According to the March 2023 rent roll, occupancy remained relatively flat at 89.0%, after, quickly, one tenant space was backfilled and another renewed, comprising nearly 15.0% of the net rentable area (NRA), with respective lease expirations in July and December 2022. Near-term rollover includes the fourth-largest tenant, Merck Sharp & Dohme Corp., occupying 8.8% of NRA with a scheduled lease expiration in December 2023 and Genesis Engineers LLC occupying 3.3% of NRA with a scheduled lease expiration date in September 2023. The loan was, however, structured with a $4.0 million reserve to mitigate scheduled lease rollover risk. As of the October 2023 reporting, there was $4.7 million held in total reserves. Given the strong historical performance of the property coupled with the generally positive outlook for the industrial sector and significant reserve structures in place, DBRS Morningstar expects the borrower will be able to stabilize operations. Another loan that DBRS Morningstar is monitoring is the Gramercy Plaza (Prospectus ID#5, 3.7% of the pool), which is secured by the borrower's fee-simple interest in a 157,008-sf suburban office property in Torrance, California. The full term, IO loan has historically reported strong performance metrics with DSCRs above 3.0x since issuance; however, according to the June 2023 rent roll, occupancy declined to 78% from 91% in December 2022 after the former third-largest tenant, Pioneer Electronics (15.7% of the NRA) vacated at its December 2022 lease expiration. According to the Q2 2023 Reis submarket performance trends for the South Bay office market, the overall vacancy rate has declined mildly over the past couple quarters to 14.9%, while average asking rent has increased slightly to $32.85 per square foot. In addition to the relatively stable submarket metrics, mitigating factors include the October 2023 reserve balance in excess of $4.0 million, Pioneer Electronics was paying below market rent, and the property had a low going-in LTV of 60.4% with no exposure to tenant rollover prior to 2026. Given the general uncertainty around the office sector and the recent increase in vacancy, however, DBRS Morningstar analyzed this loan with a stressed LTV and a probability of default penalty resulting in an expected loss that was more than double the deal average. At issuance, one loan—The Grace Building (6.8% of the current pool balance)—exhibited credit characteristics consistent with an investment-grade shadow rating of A (sf). With this review, DBRS Morningstar confirms that the characteristics of this loan remain consistent with the investment-grade shadow rating. Notes: All figures are in U.S. dollars unless otherwise noted. WFLD 2014-MONT: DBRS Confirms B(low) Rating on Class D Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-MONT issued by WFLD 2014-MONT Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at BBB (sf) -- Class C at BB (sf) -- Class D at B (low) (sf) All trends are Stable. The 10-year interest-only loan is secured by 835,597 square feet (sf) of the 1.3 million-sf Westfield Montgomery Mall in Bethesda, Maryland, located 15 miles north of Washington, D.C. The loan sponsor is Unibail-Rodamco-Westfield, which had previously announced its intention to sell its U.S. portfolio and exit the market by YE2023. Plans to divest its holdings have slowed amid increasing foot traffic to brick-and-mortar retail as well as increasing interest rates. The credit rating confirmations and Stable trends reflect a transaction performance that has remained in line with DBRS Morningstar's expectations since the last rating action, given the stable-to-improving trends observed in the underlying collateral's reported tenant sales and cash flow, as described in further detail below. In November 2022, DBRS Morningstar downgraded Classes B, C, and D because of sustained cash flow declines observed year-over-year since 2019. DBRS Morningstar also pointed to the sponsor's announcement that it intended to divest its portfolio of U.S. retail assets, coupled with a general lack of liquidity for this property type, as evidence for increased refinance risk at the loan's scheduled maturity in August 2024. Since the November 2022 rating action, property cash flow and tenant sales have continued to stabilize. Additionally, the sponsor is moving forward with plans to redevelop the vacant Sears pad, pointing to increasing foot traffic and ongoing investment in the asset. Despite these improvements, DBRS Morningstar remains cautious regarding the loan's near-term maturity given the current interest rate environment and likelihood that additional capital will be required to refinance or retire the current debt. As part of this review, DBRS Morningstar derived an updated value of $367.3 million, which is indicative of a loan to value ratio (LTV) of 95.3%. The mall is anchored by tenants Macy's, Macy's Home, and Nordstrom, which are not part of the loan collateral; however, Nordstrom operates on a ground lease expiring in October 2025. Additionally, there is a vacant Sears box at the property that the sponsor purchased in 2017 with the intention of redeveloping and renovating the property and surrounding area. As per the March 2023 rent roll, the collateral was 91.0% occupied, up from the YE2021 figure of 76.6% and relatively in line with the 92.0% at issuance. The largest collateral tenants include American Multi-Cinema (7.3% of the net rental area (NRA), lease expiry in March 2034), Forever 21 (2.4% of the NRA, lease expired in April 2023), and Alex Baby & Toys (2.0% of the NRA, lease expiry in April 2025). While the rent roll does not list any extension options for Forever 21, the store appears to be open according to the Westfield Montgomery website. Upcoming rollover risk among the remaining collateral tenants is minimal as tenants occupying only 4.4% of the collateral NRA have lease expirations through YE2024. The servicer reported a YE2022 net cash flow (NCF) of $28.1 million and debt service coverage ratio (DSCR) of 2.10 times (x) compared with the YE2021 figures of $22.0 million and 1.65x, respectively. Although cash flow has improved over the prior reporting year, it remains below the pre-pandemic figure of $33.6 million as of YE2019 and the issuer's underwritten figure of $35.7 million. According to the tenant sales report for the trailing 12 months (T-12) ended June 30, 2023, in-line tenants occupying less than 10,000 sf reported sales of $734 per square foot (psf). When Apple and Tesla are removed from the total, in-line sales were reported at $554 psf, a marked improvement compared with in-line sales of $481 psf for the T-12 ended June 30, 2020. DBRS Morningstar believes it is unlikely the property will be able to recapture pre-pandemic performance prior to loan maturity. For purposes of this review, DBRS Morningstar derived an NCF of $27.5 million, based on a haircut to the YE2022 reported NCF of $28.1 million. Using a capitalization rate of 7.5%, DBRS Morningstar concluded a value of $367.3 million, representing a variance of -45.9% from the appraised value of $680.0 million at issuance. The 2023 DBRS Morningstar value implies an LTV of 95.3%, compared with the DBRS Morningstar LTV of 103.7% in 2022 and the LTV of 51.5% on the appraised value at issuance. DBRS Morningstar also maintained positive adjustments to the LTV sizing benchmarks totaling 4%, to give credit to property quality and desirable location within the submarket. DRBS Morningstar recognizes that the lack of amortization and high leverage point of the transaction could pose an elevated refinance risk as the loan approaches maturity. In a refinance scenario, takeout rates will probably be higher than the current interest rate of 3.7%. Prospective buyers will likely need to front capital to complete a purchase of the property based on the DBRS Morningstar LTV. DBRS Morningstar addressed these concerns in its November 2022 downgrade of Classes B, C and D. In confirming the credit ratings of all classes with the current review, DBRS Morningstar notes that its expectations for the loan remain largely unchanged. The DBRS Morningstar rating assigned to Class A is higher than the results implied by the LTV sizing benchmarks by more than three notches. The variance is warranted given the continued stabilization of loan performance, improving sales and occupancy, and the relatively low leverage point for the Class A balance. Notes: All figures are in U.S. dollars unless otherwise noted. WILLIS ENGINE V: Fitch Affirms 'BBsf' Rating on Series C Notes -------------------------------------------------------------- Fitch Ratings has affirmed the ratings of the series A and B notes of Willis Engine Structured Trust III (WEST III), the series A and B notes of Willis Engine Structured Trust IV (WEST IV), and the series A, B, and C notes of Willis Engine Structured Trust V (WEST V). The Rating Outlook on all series of notes is Stable. Entity/Debt Rating Prior ----------- ------ ----- Willis Engine Structured Trust IV Series A 97064EAA6 LT Asf Affirmed Asf Series B 97064EAC2 LT BBBsf Affirmed BBBsf Willis Engine Structured Trust V Series A 97064FAA3 LT Asf Affirmed Asf Series B 97064FAB1 LT BBBsf Affirmed BBBsf Series C 97064FAC9 LT BBsf Affirmed BBsf Willis Engine Structured Trust III Series A 2017-A 97063QAA0 LT BBBsf Affirmed BBBsf Series B 2017-A 97063QAB8 LT BBsf Affirmed BBsf TRANSACTION SUMMARY These transactions, along with the rest of the portfolio of aircraft and engine 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. The ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structures to withstand stress scenarios commensurate with their respective ratings within the framework of Fitch's new criteria and related asset model. The ratings also consider lease terms, lessee credit quality and performance, updated engine values, and Fitch's assumptions and stresses, which inform its modeled cash flows and coverage levels. Overall Market Recovery The global commercial aviation market continues to recover with total revenue passenger kilometers (RPKs) recovering to 96% of pre-COVID levels as of August 2023 per data reported by IATA. International RPKs have reached 88% of pre-COVID levels, while domestic RPKs have now exceeded pre-COVID levels by 9%. 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 engines that support older aircraft, all of which would cause downward pressure on future cashflows needed to meet debt service. KEY RATING DRIVERS Asset Quality and Appraised Pool Value WEST III, IV and V include mostly in-demand engines that support narrow body (NB) airframes representing 90%, 73% and 70% (by value) of the WEST III, IV and V pools respectively. The remaining portion of each pool is split between engines that support widebody (WB) and regional jet (RJ) airframes, with WB engines representing 4%, 19% and 24% of each respective pool, and RJs engines representing 6%, 8% and 6% of each respective pool. On-lease assets (by value) improved to 83% from 78% for WEST III and to 86% from 69% for WEST IV versus the prior review. On-lease assets for WEST V decreased to 73% from 84%. The mean maintenance-adjusted base values (MABVs) are $297 million for WEST III, $391 million for WEST IV and $375 million for WEST V, based on January 2023 appraisals for WEST III and IV and December 2022 appraisals for WEST V. Using mean MABV and applying Fitch's depreciation rates since the appraisal date, the loan-to-value (LTV) for each of the notes has changed since Fitch's last review in November 2022 as follows: - WEST III: A note 72% to 59%; B note 83% to 68%; - WEST IV: A note 65% to 60%; B note 75% to 69%; - WEST V: A note 64% to 67%; B note 73% to 77%; C note 76% to 80%. The appraisers for the three transactions are IBA Group Limited (IBA), AVITAS, Inc. (Avitas), and for WEST III and IV, BK Associates Inc. (BK), and, for WEST V, Morten Beyer & Agnew Inc. (MBA). For each of the transactions, the Maintenance Reserve Account is funded at 100% of target. Fitch applies depreciation assumptions based on the three phases of an engine's life cycle. Phase 1 generally ends when the supported aircraft type exits production. During Phase 1, Fitch applies a 0% deprecation rate. Phase 2 is characterized by a gradual decline in the size of the in-service fleet of the supported aircraft, as older aircraft of the type are retired and the operator base fragments. The length of Phase 2 can vary from a few years to 10 years depending on market characteristics for the supported aircraft. The length of phase 2 is largely dependent on demand for the supported aircraft. Fitch generally assumes Phase 2 lengths of five to seven years. Fitch applies a 5% deprecation rate to Phase 2 engines. Phase 3 marks the rapid deterioration in engine value as the aircraft supported by the engines begin to be retired and market demand for the engines deteriorate. During Phase 3, Fitch assumes significant value deterioration occurs, consistent with assumptions for aircraft in the final years of their assumed life. Fitch applies a 10% annual depreciation to Phase 3 engines. Stable Lessee Credit The credit profiles of the airline and other engine lessees in the pools have remained stable or improved since the prior review in December 2022. Nevertheless, some lessees remain under stress. The proportion of lessees with assumed Issuer Default Ratings (IDRs) of 'CCC' or below (weighted by asset value) increased in WEST III and WEST IV to 30% from 25% and to 30% from 27%, respectively; in WEST V it decreased to 25% from 32%. The IDR assumptions reflect the lessees' ongoing credit profiles and fleets in the current operating environment. Pool Concentration Asset effective count concentration is acceptable for WEST III, IV and V with effective asset counts of 32, 36, and 36, respectively. Pursuant to Fitch's criteria, the agency stresses cash flows based on the effective asset count. Concentration haircuts vary by rating level and are only applied at stresses higher than 'CCCsf'. Each of the WEST transactions have effective asset counts well above the threshold at which concentration haircuts are applied. Transaction Performance Lease collections have increased versus the prior review. Rent collections over the past 12 months are 24%, 35% and 6% higher than the previous 12 months for WEST III, IV and V, respectively. Maintenance cash inflows have also increased in the past 12 months as airlines are utilizing the engines at higher rates with inflows approximately 330%, 230% and 175% higher than the prior 12 months for WEST III, IV and V, respectively. The debt service coverage ratios (DSCRs) for WEST III, IV and V are currently at 2.2x, 2.2x and 2.5x, respectively. The DSCR is above the rapid amortization trigger (1.1x) and the cash trapping trigger (1.15x) for all three transactions. All the notes for WEST III, IV and V are on schedule or ahead of scheduled principal balances. Operation and Servicing Risk Willis Lease Finance Corp. (WLFC, not rated by Fitch) acts as sponsor, servicer and administrative agent to the transactions. Fitch believes WLFC is an adequate servicer to service these transactions based on its experience as a lessor, and its servicing capabilities of its owned and managed portfolio including prior ABS transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are possible if engine values and lease rates decline more than forecasted, if lessee payment performance deteriorates, thereby reducing cash flows, or if engine utilization rates decline. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Potential upgrades are possible if engine values and lease rates are stronger than forecasted and/or net maintenance cashflows are higher than forecasted, among other factors. Rating upgrades are limited as Fitch caps the aircraft and engine ABS ratings at 'Asf'. This is due to heavy servicer reliance, historical asset and performance risks and volatility, and the transactions pronounced exposure to exogenous risks. This was evidenced by the effects of the events of Sept. 11, 2001, the 2008-2010 credit crisis and the global pandemic, on demand for air travel. Finally, the aviation market cyclicality risks are compounded because when lessee default probability is highest engine values and lease rates are typically depressed. Fitch also considers jurisdictional concentrations per the 'Structured Finance and Covered Bonds Country Risk Rating Criteria,' which could result in lower rating caps. For classes rated below 'Asf', upgrades are also limited given ongoing risks to transaction performance. DATA ADEQUACY The data used in determining the ratings was provide by the servicer. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] DBRS Confirms 10 Credit Ratings From 3 Exeter Transactions -------------------------------------------------------------- DBRS, Inc. upgraded four credit ratings and confirmed 10 credit ratings from three Exeter Automobile Receivables Trust transactions. The Affected Ratings Are Available at https://bit.ly/40RswI8 Here is the list of the Issuers: Exeter Automobile Receivables Trust 2021-4 Exeter Automobile Receivables Trust 2022-4 Exeter Automobile Receivables Trust 2022-1 The credit rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - September 2023 Update, published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The credit rating actions are the result of collateral performance to date and DBRS Morningstar's assessment of future performance assumptions. -- The transactions' capital structures and the form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the credit ratings. Notes: The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance October 22, 2023. [*] DBRS Puts 185 Tranches in 46 CLOs Under Review -------------------------------------------------- DBRS, Inc. placed its public credit ratings on 185 tranches in 46 collateralized loan obligations (CLOs) Under Review with Developing Implications. The Affected Ratings are available at https://bit.ly/3SX381C The Issuers are: VCP CLO II, Ltd. Granville USD Ltd. NPC Funding IX, Ltd. Whitney Funding, LLC Tidal Notes Issuer LLC ABPCIC Funding IV, LLC Ripple Notes Issuer LLC Gemini Notes Issuer LLC Cerberus RR Levered LLC TPR Funding 2022-1, LLC Jordan Notes Issuer LLC Element Notes Issuer LLC ABPCI Pacific Funding LP Cerberus PSERS Levered LLC Cornhusker Funding 1C LLC Cornhusker Funding 1B LLC Cornhusker Funding 1A LLC Chestnut Notes Issuer LLC Parliament Funding III LLC BTC Holdings Fund III, LLC Manitoulin USD Ltd., Algonquin 2022-1 Manitoulin USD Ltd., Algonquin 2022-2 Cerberus SWC Levered II LLC Kawartha CAD LTD., Boreal 2021-1 Cerberus Redwood Levered B LLC BlackRock DLF X CLO 2022-1, LLC Kawartha CAD LTD., Boreal 2022-2 BlackRock DLF IX 2019-G CLO, LLC Cerberus 2112 Levered LLC Manitoulin USD Ltd., Muskoka 2019-1 Cerberus Redwood Levered A II LLC Manitoulin USD Ltd., Algonquin 2023-1 TIAA Churchill Middle Market CLO I Ltd. Brightwood Fund III Static 2021-1, LLC Manitoulin USD Ltd., Algonquin 2022-4 Manitoulin USD Ltd., Muskoka 2022-1 Cerberus ND Levered LLC CBAM CLO Management LLC (CBAM 2017-1) CBAM CLO Management LLC (CBAM 2017-4) Cerberus Onshore Levered IV LLC BlackRock Shasta Senior Loan Fund VII, LLC BlackRock DLF IX 2020-1 CLO, LLC Manitoulin USD Ltd., Algonquin 2022-3 Cerberus Loan Funding XXIV L.P. Kawartha CAD LTD., Boreal 2022-1 Portman Ridge Funding 2018-2 Ltd. RATING RATIONALE On October 22, 2023, DBRS Morningstar finalized its "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology) and DBRS Morningstar CLO Insight Model (v.1.0.0.0) (the CLO Insight Model; collectively, the CLO Methodology, including the CLO Insight Model). The CLO Methodology, including the CLO Insight Model, presents the criteria that DBRS Morningstar uses to assign new credit ratings and monitor outstanding credit ratings in the CLO asset class globally. The CLO Methodology, including the CLO Insight Model, supersedes two existing DBRS Morningstar methodologies: "Rating CLOs and CDOs of Large Corporate Credit" (published on October 6, 2023) and "Cash Flow Assumptions for Corporate Credit Securitizations" (published on February 7, 2023), and the related public predictive model, "DBRS Morningstar CLO Asset Model" (collectively, the Superseded CLO Methodologies, including the CLO Asset Model). Accordingly, DBRS Morningstar subsequently has withdrawn and archived the Superseded CLO Methodologies, including the CLO Asset Model. The rationale for the credit ratings being placed Under Review with Developing Implications is to allow for DBRS Morningstar to review the credit ratings using the CLO Methodology, including the CLO Insight Model. Credit ratings placed Under Review with Developing Implications may be upgraded, confirmed, or downgraded by a subsequent rating committee. Notes: The principal methodology applicable to each of the affected credit ratings is the Global Methodology for Rating CLOs and Corporate CDOs and the DBRS Morningstar CLO Insight Model. [*] S&P Takes Various Actions on 405 Classes From 13 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of the ratings on 405 classes from 13 U.S. RMBS prime and prime jumbo transactions. The review yielded 66 upgrades, of which 19 were previously on CreditWatch positive, and 339 affirmations, of which 14 were previously on CreditWatch positive. A list of Affected Ratings can be viewed at: https://rb.gy/gexsvj S&P said, "All of the transactions within this review had one or more classes that were placed on CreditWatch positive on Oct. 17, 2023, following the revision to our 'B' foreclosure frequency for an archetypal pool of U.S. mortgage loans to 2.50% from 3.25%--the level prior to the COVID-19 pandemic and our April 2020 update. The revision was based on our benign view of the state of the U.S. residential mortgage and housing market as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting. "In addition to our revised 'B' foreclosure frequency, we considered changes in collateral performance, credit enhancement levels, payment mechanics, and other credit drivers. The upgrades primarily reflect the revised archetypal foreclosure frequency assumption, a growing percentage of credit support, low delinquencies, and very low accumulative losses to date. "The affirmations reflect our view that the projected collateral performance relative to our projected credit support on these classes remains relatively consistent with our prior projections. "For all transactions, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance." Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Loan modifications; -- Priority of principal payments; -- Priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large-balance loan exposure/tail risk. [*] S&P Takes Various Actions on 50 Classes From Three US RMBS Deal ------------------------------------------------------------------- S&P Global Ratings completed its review of the ratings on 50 classes from three U.S. RMBS prime jumbo transactions. The review yielded 20 upgrades and 30 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/idizey S&P said, "We considered changes in collateral performance, credit enhancement levels, payment mechanics, and other credit drivers. The upgrades primarily reflect a growing percentage of credit support, low delinquencies, and very low accumulative losses to date. "The affirmations reflect our view that the projected collateral performance relative to our projected credit support on these classes remains relatively consistent with our prior projections. "For all transactions, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance." Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Loan modifications; -- Priority of principal payments; -- Priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large-balance loan exposure/tail risk. [*] S&P Takes Various Actions on 99 Ratings From 15 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed a review of its ratings on 99 classes from 15 U.S. RMBS non-qualified mortgage (non-QM) transactions. The review yielded 45 upgrades and 54 affirmations. S&P also removed 31 ratings from CreditWatch where they were placed with positive implications on Oct. 17, 2023. A list of Affected Ratings can be viewed at: https://rb.gy/cfmfjs S&P said, "The transactions in this review had one or more classes that were placed on CreditWatch positive on Oct. 17, 2023, following the revision of our 'B' foreclosure frequency for an archetypal pool of U.S. mortgage loans to 2.50% from 3.25%--the level prior to the COVID-19 pandemic and our April 2020 update. The revision was based on our benign view of the state of the U.S. residential mortgage and housing market, as demonstrated through general national level home price behavior, unemployment rates, mortgage performance, and underwriting. "In addition to our revised 'B' foreclosure frequency, we considered changes in collateral performance, credit enhancement levels, payment mechanics, and other credit drivers. The upgrades primarily reflect the revised archetypal foreclosure frequency assumption, the growing percentage of credit support, the low delinquency levels, and the very low accumulative losses to date. The affirmations reflect our view that the classes' projected collateral performance relative to our projected credit support remains relatively consistent with our prior projections. "For all transactions, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance." Analytical Considerations S&P incorporates various considerations into its 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 or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends, -- Historical interest shortfalls or missed interest payments, -- Loan modifications, -- Priority of principal payments, -- Priority of loss allocation, -- Available subordination and/or credit enhancement floors, and -- Large balance loan exposure or tail risk. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. 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