/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/231217.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 17, 2023, Vol. 27, No. 350 Headlines ACC TRUST 2021-1: Moody's Lowers Rating on Class D Notes to Caa3 AGL CLO 28: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes AUXILIOR TERM 2023-1: Moody's Assigns Ba2 Rating to Class E Notes BARINGS MIDDLE 2023-I: S&P Assigns BB- (sf) Rating on Cl. D Notes BARINGS MIDDLE 2023-II: S&P Assigns B- (sf) Rating on Cl. E Notes BBCMS MORTGAGE 2023-5C23: Fitch Gives B- Rating on 2 Tranches BENCHMARK 2023-B40: Fitch Assigns B-(EXP)sf Rating on Two Tranches BENEFIT STREET XI: Moody's Cuts Rating on $9.6MM E Notes to Caa2 BRAVO RESIDENTIAL 2023-NQM8: Fitch Gives 'Bsf' Rating on B-2 Notes CALCON MUTUAL 2023-1: Fitch Gives B-(EXP)sf Rating on Cl. B-2 Certs CANADIAN COMMERCIAL 2022-5: DBRS Cuts G Certs Rating to B(low) CLOVER CREDIT III: Moody's Ups Rating on $23.5MM D Notes From Ba1 COMM 2012-CCRE4: Moody's Lowers Rating on 2 Tranches to Ca CREDIT SUISSE 2004-4: Moody's Hikes Cl. B-1 Debt Rating to 'Caa1' CSMC 2021-GATE: DBRS Confirms B(low) Rating on Class F Certs DRYDEN 37: Moody's Cuts Rating on $8.75MM Class FR Notes to Caa2 DTP COMMERCIAL 2023-STE2: Moody's Assigns (P)Ba1 Rating to E Certs ELMWOOD CLO 24: S&P Assigns BB- (sf) Rating on Class E Notes EMPOWER CLO 2023-3: S&P Assigns Prelim BB- (sf) Rating on E Notes GLS AUTO 2022-1: S&P Affirms BB- (sf) Rating on Class E Notes GS MORTGAGE 2012-GCJ9: Moody's Lowers Rating on Cl. X-B Certs to Ca GS MORTGAGE 2021-DM: DBRS Confirms B(low) Rating on Class F Certs GSF 2021-1: DBRS Confirms BB(low) Rating on Class E Notes GUARDIA 1 LTD: Moody's Ups Rating on $17.5MM Cl. D Notes From Ba2 HARTWICK PARK: S&P Assigns BB-(sf) Rating on $10.50MM Cl. E Notes INVESCO US 2023-4: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes INVESCO US 2023-4: Fitch Assigns 'BB-sf' Rating on Class E Notes JP MORGAN 2012-C8: DBRS Confirms B Rating on Class X-B Certs MERRILL LYNCH 2008-C1: Moody's Cuts Rating on Cl. G Certs to Ca MIDOCEAN CREDIT XIII: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes MORGAN STANLEY 2013-C8: Fitch Lowers Rating on Cl. F Certs to CCsf MORGAN STANLEY 2023-20: Fitch Assigns 'BB-sf' Rating on Cl. E Notes MSDB TRUST 2017-712F: S&P Lowers Class C Certs Rating to 'BB+(sf)' NLT TRUST 2023-1: Fitch Assigns 'B(EXP)' Rating on Class B-2 Notes PALMER SQUARE 2021-2: Moody's Ups Rating on $24.5MM D Notes to Ba1 PRIME STRUCTURED 2021-1: DBRS Hikes D Certs Rating to BB(high) RACE POINT IX: S&P Affirms BB+ (sf) Rating on Class C-R Notes RACE POINT VIII: S&P Affirms 'B- (sf)' Rating on Class E-R Notes RCKT MORTGAGE 2021-4: Moody's Ups Rating on Cl. B-4 Certs to Ba2 REGATTA XXVI FUNDING: Fitch Assigns 'BB-' Rating on Class E Notes RIN V LLC: Moody's Assigns (P)Ba3 Rating to $8.75MM Class E Notes SANTANDER BANK 2023-B: Moody's Assigns (P)B3 Rating to Cl. F Notes SLM STUDENT 2004-1: Fitch Lowers Rating on Class B Notes to BBsf SYMPHONY CLO 37: Moody's Gives (P)B3 Rating to $125,000 F-R Notes TSTAT LTD 2022-1: Fitch Assigns 'B+sf' Rating on Class F Notes US BANK 2023-1: Moody's Assigns Ba2 Rating to $24.61 Class C Notes VENTURE XVII: Moody's Cuts Rating on $8.5MM F-RR Notes to Caa2 WFRBS COMMERCIAL 2012-C9: DBRS Confirms B(high) Rating on F Certs [*] DBRS Takes Rating Actions on 76 Freddie Mac Transactions [*] Moody's Hikes Rating on $296.6MM of US RMBS Issued 2004-2007 [*] Moody's Takes Action on $101.6MM of US RMBS Issued 1998-2007 [*] Moody's Takes Action on $86MM of US RMBS Issued 2004-2007 [*] Moody's Upgrades Rating on $178MM of US RMBS Issued 2005-2007 [*] S&P Takes Various Actions on 152 Classes From 24 US RMBS Deals [*] S&P Takes Various Actions on 156 Classes From 29 US RMBS Deals [*] S&P Takes Various Actions on 198 Ratings From 16 US RMBS Deals ********* ACC TRUST 2021-1: Moody's Lowers Rating on Class D Notes to Caa3 ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of five classes of notes from two ACC Trust and two U.S. Auto Funding Trust (USAUT) asset-backed securitizations and upgraded the rating of the Class D notes from U.S. Auto Funding Trust 2020-1. For ACC Trusts, the notes are backed by pools of closed-end retail automobile leases to non-prime borrowers originated by RAC King, LLC, the parent company of American Car Center (ACC) and serviced by Westlake Portfolio Management, LLC ("WPM"). For U.S. Auto Funding Trusts, the securitizations are backed by non-prime retail automobile loan contracts originated by U.S. Auto Sales, Inc., an affiliate of U.S. Auto Finance Inc. and serviced by WPM. The complete rating actions are as follows: Issuer: ACC Trust 2021-1 Class D Notes, Downgraded to Caa3 (sf); previously on Sep 26, 2023 Downgraded to Caa2 (sf) Issuer: ACC Trust 2022-1 Class C Notes, Downgraded to Ca (sf); previously on Sep 26, 2023 Downgraded to Caa3 (sf) Issuer: U.S. Auto Funding Trust 2020-1 Class D Notes, Upgraded to Ba1 (sf); previously on Oct 3, 2023 B2 (sf) Placed Under Review for Possible Upgrade Issuer: U.S. Auto Funding Trust 2021-1 Class D Notes, Downgraded to Ca (sf); previously on Sep 7, 2023 Downgraded to Caa2 (sf) Issuer: U.S. Auto Funding Trust 2022-1 Class B Notes, Downgraded to B2 (sf); previously on Sep 7, 2023 Downgraded to Ba2 (sf) Class C Notes, Downgraded to C (sf); previously on Sep 7, 2023 Downgraded to Caa3 (sf) RATINGS RATIONALE The downgrade actions are primarily driven by material declines in credit enhancement available for the affected notes as a result of weak pool performance, including high loss levels and delinquencies that remain elevated. The upgrade action considers the credit enhancement available to the notes, and Moody's current loss expectations based on the recent performance trends on the underlying pool. Class D notes from U.S. Auto Funding Trust 2020-1 began receiving principal payments in October 2023. The notes also benefit from a non-declining reserve account currently sized at 24% of the remaining note balance. The downgrade actions consider high net loss rates and still elevated delinquencies for the underlying pools. Cumulative net loss-to-liquidation remained stable at 38% in October from August for ACC Trust 2021-1 (ACC 2021-1), and at 58% for ACC Trust 2022-1 (ACC 2022-1) over the same period, though higher than the 31% and 41% levels observed in February for ACC 2021-1 and ACC 2022-1, respectively. Cumulative net loss-to-liquidation increased to 44% in October from 39% in August for USAUT 2021-1, and to 61% from 51% for USAUT 2022-1 over the same period. For USAUT 2020-1, cumulative net loss-to-liquidation increased to 35% in October from 33% in August. Credit enhancement levels continue to decline for these securitizations. Overcollateralization (OC) levels in ACC 2021-1 declined to 5.2% of the current pool balance as of the November payment date from 32.3% as of the March payment date. ACC 2022-1, USAUT 2021-1, and USAUT 2022-1 are currently undercollateralized, with the total note balances exceeding the pool balances by 38.7%, 0.3%, and 22.2%, respectively. OC has decreased for USAUT 2020-1 to 42.1%, which is lower than 45.9% in March but higher than the closing level of 20.6%. On March 10, 2023, WPM, took over the servicing of the ACC leases and is responsible for processing the lease payments and handling all lease-related customer service needs. Additionally, effective May 22, 2023, WPM was appointed as successor servicer for the USAUT transactions, replacing USASF Servicing LLC (USASF) following USASF's servicing default. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. In Moody's analysis, Moody's considered increases in remaining expected losses on the underlying pools to evaluate the resiliency of the ratings amid the uncertainty surrounding the pools' performance. ACC Trust 2021-1: 38% ACC Trust 2022-1: 57% U.S. Auto Funding Trust 2020-1: 36% U.S. Auto Funding Trust 2021-1: 45% U.S. Auto Funding Trust 2022-1: 56% 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 Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. AGL CLO 28: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 28 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 28 Ltd. A LT NR(EXP)sf Expected Rating A-J LT AAA(EXP)sf Expected Rating A-L1 Loans LT NR(EXP)sf Expected Rating A-L2 Loans LT NR(EXP)sf Expected Rating A-L2 Notes LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C-1 LT A(EXP)sf Expected Rating C-2 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 AGL CLO 28 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management 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 23.81, versus a maximum covenant, in accordance with the initial expected matrix point of 27. 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 99.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.95% versus a minimum covenant, in accordance with the initial expected matrix point of 74.2%. Portfolio Composition (Neutral): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Positive): The transaction has a 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. 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 'BBBsf' and 'AA+sf' for class AJ, between 'BB+sf' and 'A+sf' for class B, between 'B-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class AJ notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, '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. AUXILIOR TERM 2023-1: Moody's Assigns Ba2 Rating to Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Auxilior Term Funding 2023-1, LLC (XCAP 2023-1, the issuer). The transaction is the first securitization sponsored by Auxilior Capital Partners, Inc. (Auxilior), a small and medium-ticket independent equipment finance company. The notes are 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, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A1 (sf) Class D Notes, Definitive Rating Assigned Baa1 (sf) Class E Notes, Definitive Rating Assigned 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) 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. The class A notes, class B notes, class C notes, class D notes and Class E notes benefit from 22.35%, 17.35%, 12.95%, 9.25% and 4.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists 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. BARINGS MIDDLE 2023-I: S&P Assigns BB- (sf) Rating on Cl. D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Barings Middle Market CLO 2023-I Ltd./Barings Middle Market CLO 2023-I LLC's floating-rate debt. The debt issuance is a CLO transaction governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Barings LLC. The ratings reflect S&P's assessment 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 Barings Middle Market CLO 2023-I Ltd./ Barings Middle Market CLO 2023-I LLC Class X, $4.65 million: AAA (sf) Class A-1, $235.40 million: AAA (sf) Class A-1L, $25.00 million: AAA (sf) Class A-2, $53.50 million: AA (sf) Class B (deferrable), $41.80 million: A (sf) Class C (deferrable), $21.00 million: BBB- (sf) Class D (deferrable), $32.50 million: BB- (sf) Subordinated notes, $46.55 million: Not rated BARINGS MIDDLE 2023-II: S&P Assigns B- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Barings Middle Market CLO 2023-II Ltd./Barings Middle Market CLO 2023-II LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Barings LLC, a subsidiary of MassMutual. 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 notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Barings Middle Market CLO 2023-II Ltd./ Barings Middle Market CLO 2023-II LLC Class A-1, $243.00 million: AAA (sf) Class A-2, $32.35 million: AA (sf) Class B, $32.45 million: A (sf) Class C, $24.25 million: BBB- (sf) Class D, $24.35 million: BB- (sf) Class E, $8.50 million: B- (sf) Subordinated notes, $36.85 million: Not rated BBCMS MORTGAGE 2023-5C23: Fitch Gives B- Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2023-5C23 Commercial Mortgage Pass-Through Certificates, Series 2023-5C23 as follows: - $107,017,000a class A-2 'AAAsf', Outlook Stable; - $397,907,000a class A-3 'AAAsf'; Outlook Stable; - $504,924,000b class X-A 'AAAsf'; Outlook Stable; - $71,230,000 class A-S 'AAAsf'; Outlook Stable; - $38,771,000 class B 'AA-sf'; Outlook Stable; - $28,853,000 class C 'A-sf'; Outlook Stable; - $9,016,000bc class X-F 'BBsf'; Outlook Stable; - $7,214,000bc class X-G 'BB-sf'; Outlook Stable; - $11,721,000bc class X-H 'B-sf'; Outlook Stable; - $12,623,000c class D 'BBBsf'; Outlook Stable; - $12,623,000c class E 'BBB-sf'; Outlook Stable; - $9,016,000c class F 'BBsf'; Outlook Stable; - $7,214,000c class G 'BB-sf'; Outlook Stable; - $11,721,000c class H 'B-sf' Outlook Stable. Fitch does not rate the following class: - $24,345,000cd class J-RR. (a) Since Fitch published its expected ratings on Nov. 13, 2023, the balances for class A-2 and class A-3 were finalized. At the time the expected ratings were published, the initial balances of classes A-2 and A-3 were expected to be $504,924,000 in the aggregate, subject to a 5.0% variance. The classes above reflect the final ratings and deal structure. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal Risk Retention Interest classes. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 31 loans secured by 33 commercial properties with an aggregate principal balance of $721,320,00 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, UBS AG, Argentic Real Estate Finance 2 LLC, Bank of Montreal, German American Capital Corporation, LMF Commercial, LLC and BSPRT CMBS Finance, LLC. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association; the special servicer is LNR Partners, LLC ;and the trustee and certificate administrator is Computershare Trust Company, National Association. The certificates will follow a standard sequential paydown structure. Fitch has withdrawn the expected rating of 'BBB-sf(Exp)' for class X-D because the class was removed from the deal structure by the issuer and will not be issued. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Higher Leverage than Recent Transactions: The pool has higher leverage than U.S. Private Label Multiborrower transactions rated by Fitch during 2023 but lower leverage than Fitch-rated transactions in the prior year. The pool's Fitch loan-to value ratio (LTV) of 92.0% is higher than the 2023 YTD average of 88.4% but still better than the 2022 average of 99.3%. The pool's Fitch NCF debt yield (DY) of 10.1% is worse than the YTD 2023 average of 10.8% but slightly better than the 2022 average of 9.9%. Investment-Grade Credit Opinion Loan: One loan representing 9.1% of the pool received an investment grade credit opinion. Piazza Alta received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is well below the 2023 YTD and 2022 averages of 18.8% and 14.4%, respectively. High Loan Concentration: The pool is more highly concentrated than recently rated Fitch transactions. The largest 10 loans make up 69.3% of the pool, higher than the 2023 YTD and 2022 averages of 63.0% and 55.2%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Geographically Concentrated Pool: The pool has a higher geographic concentration compared to recently rated Fitch transactions. The pool's effective MSA count of 5.3 is well below the 2023 YTD average of 13.4. The largest three MSAs represent 69.6% of the pool, with 31.2% of the pool located in the New York City MSA alone. Pools that have a greater concentration by geographic region are at greater risk of losses, all else equal. Fitch therefore raises the overall losses for pools with effective geographic counts below 15 MSAs. Shorter-Duration Loans: Loans with five-year terms comprise 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'Bsf'/'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 10% NCF Increase: 'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2023-B40: Fitch Assigns B-(EXP)sf Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2023-B40 Mortgage Trust, commercial mortgage pass-through certificates series 2023-B40 as follows: - $3,687,000 class A-1 'AAAsf'; Outlook Stable; - $159,218,000 class A-2 'AAAsf'; Outlook Stable; - $153,802,000 class A-5 'AAAsf'; Outlook Stable; - $5,422,000 class A-SB 'AAAsf'; Outlook Stable; - $322,129,000a class X-A 'AAAsf'; Outlook Stable; - $46,018,000 class A-S 'AAAsf'; Outlook Stable; - $21,859,000 class B 'AA-sf'; Outlook Stable; - $16,681,000 class C 'A-sf'; Outlook Stable; - $84,558,000a class X-B 'A-sf'; Outlook Stable; - $11,505,000b class D 'BBBsf'; Outlook Stable; - $5,177,000b class E 'BBB-sf'; Outlook Stable; - $16,682,000ab class X-D 'BBB-sf'; Outlook Stable; - $11,505,000b class F 'BB-sf'; Outlook Stable; - $11,505,000ab class X-F 'BB-sf'; Outlook Stable; - $8,053,000b class G 'B-sf'; Outlook Stable; - $8,053,000ab class X-G 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $17,257,368b class H; - $17,257,368ab class X-H; - $24,220,230bc Combined VRR Interest. a) Notional amount and interest-only. b) Privately placed and pursuant to Rule 144A. c) An "eligible vertical interest" in the form of a "single vertical security" with an initial principal balance of approximately $24,220,230 (the "combined VRR interest"). TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 20 loans secured by 34 commercial properties having an aggregate principal balance of $484,404,598 as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, JPMorgan Chase Bank, National Association and Bank of America, 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 LNR Partners, LLC, a Florida limited liability company. KEY RATING DRIVERS Lower Leverage Compared with Recent Transactions: The pool has lower leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 84.6% is lower than the YTD 2023 and 2022 averages of 88.4% and 99.3%, respectively. The pool's Fitch net cash flow (NCF) debt yield (DY) of 11.3% is higher than the YTD 2023 and 2022 averages of 10.8% and 9.9%, respectively. High Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 72.6% of the pool, which is higher than the 2023 YTD average of 63.3% and the 2022 average of 55.2%. The pool's effective loan count of 16.7 is lower than the 2023 YTD average of 20.9 and the 2022 average of 25.9. Fitch Property Type Concentration: Loans secured by office properties represent 43.3% of the pool, higher than the YTD 2023 and 2022 averages of 28.4% and 36.2%, respectively. Loans secured by retail properties represent 25.4% of the pool, between the YTD 2023 and 2022 averages of 31.3% and 23.3%, respectively. Additionally, loans secured by multifamily properties represent only 12.4% of the pool by balance, between the YTD 2023 and 2022 averages of 6.1% and 13.3%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 7.3% of the pool received an investment-grade credit opinion. Fashion Valley Mall (5.2%) received a standalone credit opinion of 'AAAsf*' and Nvidia Santa Clara (2.1%) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is lower than the YTD 2023 and 2022 averages of 18.8% and 14.4%, 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'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'Bsf'/' 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'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'Bsf'/'BBsf'. BENEFIT STREET XI: Moody's Cuts Rating on $9.6MM E Notes to Caa2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Benefit Street Partners CLO XI, Ltd. (the "CLO" or "Issuer"): US$38,400,000 Class B Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Upgraded to Aa2 (sf); previously on March 11, 2022 Upgraded to A1 (sf) Moody's has also downgraded the rating on the following notes: US$9,600,000 Class E Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Downgraded to Caa2 (sf); previously on September 9, 2020 Downgraded to Caa1 (sf) The CLO, originally issued in April 2017 and partially refinanced in March 2020 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 April 2022. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since November 2022. The Class A-1-R notes have been paid down by approximately 26.3% or $99.6 million since November 2022. Based on the trustee's November 2023 report [1], the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 138.67%, 124.66%, 113.22% and 106.79%, respectively, versus November 2022 [2] reported levels of 131.20%, 120.69%, 111.75% and 106.56%, respectively. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration observed in the underlying CLO portfolio. Based on the trustee's November 2023 report [3], the OC ratio with respect to the Class E notes is at 104.53%, versus November 2022 [4] reported level of 104.71%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is at 2861, compared to 2773 in November 2022 [5]. The current WARF also fails the trigger of 2837. 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: $471,511,473 Defaulted par: $2,210,455 Diversity Score: 66 Weighted Average Rating Factor (WARF): 2698 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.25% Weighted Average Recovery Rate (WARR): 46.67% Weighted Average Life (WAL): 3.1 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS or net interest income and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BRAVO RESIDENTIAL 2023-NQM8: Fitch Gives 'Bsf' Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2023-NQM8 (BRAVO 2023-NQM8) Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2023-NQM8 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes issued by BRAVO Residential Funding Trust 2023-NQM8 (BRAVO 2023-NQM8) as indicated above. The notes are supported by 720 loans with a total balance of approximately $322 million as of the cutoff date. Approximately 70% of the loans in the pool were originated by Citadel (dba Acra Lending), 13% by ClearEdge Lending LLC, and the remaining loans by multiple originators, each of which originated less than 10% of the mortgage loans. The loans will be serviced by Citadel Servicing Corporation, primarily subserviced by ServiceMac, and Select Portfolio Servicing, Inc. (SPS). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values of this pool as 8.5% above a long-term sustainable level, versus 7.6% on a national level, as of 1Q23, down 0.2% since 4Q22. Housing affordability is at its worst in decades driven by high interest rates and elevated home prices. Home prices increased 0.9% yoy nationally, as of July 2023, despite modest regional declines but are still supported by limited inventory. Non-Qualified Mortgage Credit Quality (Mixed): The collateral consists of 720 loans totaling $322 million and seasoned at around three months in aggregate, calculated by Fitch as the difference between the origination date and the cutoff date. The borrowers have a moderate credit profile, a 723 model FICO and a 42.9% debt to income (DTI) ratio, including mapping for debt service coverage ratio (DSCR) loans, and moderate leverage of 76.7% for a sustainable loan to value (sLTV) ratio. Of the pool, 56.5% of loans are treated as owner-occupied, while 43.5% are treated as an investor property or second home, which include loans to foreign nationals or loans where the residency status was not confirmed. Additionally, 2.8% of the loans were originated through a retail channel. Of the loans, 59.9% are non-qualified mortgages (non-QMs), while the Ability to Repay (ATR)/Qualified Mortgage Rule is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 96.2% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 51.5% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ability to repay. Additionally, 25.8% of the loans are a DSCR (including 0.8% no ratio) product, while the remainder comprise a mix of asset depletion, profit and loss, 12- or 24-month tax returns, award letter and written verification of employment (WVOE) products. Separately, 3.9% (28 loans) were originated to foreign nationals or the borrower residency status of the loans could not be confirmed. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes, while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 notes until they are reduced to zero. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100bps increase to the fixed coupon but are limited by the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC in its analysis. Additionally, on or after December 2027, the unrated class B-3 interest allocation will redirect toward the senior cap carryover amount for as long as there is an unpaid cap carryover amount. This increases the P&I allocation for the senior classes as long as class B-3 is not written down and helps ensure payment of the 100bps step up. As additional analysis to its rating stresses, Fitch factored a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (the historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut, given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but, ultimately, will not default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. No P&I Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of P&I. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities are less for this transaction than for those where the servicer is obligated to advance P&I. The downside to this is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement (CE) to pay timely interest to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.5% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 49bps as a result of the diligence review. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CALCON MUTUAL 2023-1: Fitch Gives B-(EXP)sf Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by CalCon Mutual Mortgage 2023-1 (CCMM 2023-1). Entity/Debt Rating ----------- ------ Calcon Mutual Mortgage 2023-1 A-1 LT AA+(EXP)sf Expected Rating A-1-A LT AAA(EXP)sf Expected Rating A-1-B LT AA+(EXP)sf Expected Rating A-2 LT A+(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is expected to close on Dec. 6, 2023. The notes are supported by 1,384 prime credit quality conventional loans with a total balance of approximately $576 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.6% above a long-term sustainable level (vs. 7.6% on a national level as of 1Q23, down 0.2% since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 0.9% yoy nationally as of July 2023 despite modest regional declines, but are still being supported by limited inventory. High-Quality Mortgage Pool (Positive): The collateral consists primarily of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately 17 months in aggregate (calculated as the difference between the cutoff date and origination date). The average loan balance is $416,312. The collateral comprises primarily conforming loans. Borrowers in this pool have strong credit profiles (a 742 model FICO) but lower than Fitch has observed from other prime-credit quality securitizations. The sustainable loan to value ratio (sLTV) is 87.6%, and the mark-to-market (MTM) combined LTV ratio (CLTV) is 78.0%. Fitch treated 100% of the loans as full documentation collateral, and all the loans are qualified mortgages (QMs). Of the pool, 95.7% are loans for which the borrower maintains a primary residence, while 4.3% are for second homes. Additionally, 99.1% of the loans were originated through a retail channel. Sequential Payment Structure (Positive): The deal is structured with a sequential payment waterfall for both interest and principal. Interest collections are distributed sequentially to all classes with any remaining amounts flowing to the excess cashflow waterfall. Principal collections can first be used to ensure timely interest to the A-1-A and A-1-B bonds followed by paydown of each bond sequentially. Subsequent payments are paid sequential first as a payment of interest (to the extent needed) followed by principal paydown. Any excess cashflow can be used to repay losses, cover coupon cap shortfalls or is leaked as excess to the subordinate bonds. Fitch's stress included an interest rate haircut on the collateral pool, which limited the amount of excess cashflow available to support the bonds. No Advances of P&I (Mixed): Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 41.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Opus Capital Markets Consultants, LLC. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for a 27% sample of the pool (by loan count) and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: - A 5% reduction to each loan's probability of default if diligence was adequately completed. This adjustment resulted in a 10bps reduction to the 'AAAsf' expected loss. ESG CONSIDERATIONS Calcon Mutual Mortgage 2023-1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to R&W framework without compensating mitigants from other aspects of the transaction framework, which has a negative impact on the credit profile, and is relevant to the rating in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CANADIAN COMMERCIAL 2022-5: DBRS Cuts G Certs Rating to B(low) -------------------------------------------------------------- DBRS Limited downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2022-5 issued by Canadian Commercial Mortgage Origination Trust 5 as follows: -- Class G to B (low) (sf) from B (sf) DBRS Morningstar also confirmed its credit ratings on the following classes: -- Class A at AAA (sf) -- Class A-J at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) The trends on Classes G and F were changed to Negative from Stable. All remaining trends are Stable. The credit rating downgrade and Negative trends reflect the expected credit deterioration at the bottom of the capital stack since issuance, primarily stemming from the sole specially serviced loan, CALM Building (Prospectus ID#10, 3.6% of the pool balance). DBRS Morningstar also has concerns about 100 Dundas London (Prospectus ID#7, 3.9% of the pool balance), following the loss of the property's largest tenant. The CALM Building is secured by a Class B mixed-use property, consisting of office and retail space, in Québec City. While the November 2023 reporting shows the loan on the servicer's watchlist, the servicer has indicated the loan was transferred to special servicing in May 2023 following a series of defaults, including delinquency on both principal and interest payments and real estate taxes from both 2022 and 2023. The borrower's real estate portfolio is currently in receivership after a covenant associated with an unsecured operating credit facility was breached, leading creditors to register a lien across the borrower's real estate portfolio. Raymond Chabot Grant Thornton was appointed as receiver in June 2023 and has engaged CBRE as broker to market the subject property for sale. According to the July 2023 appraisal, the subject was valued at $17.0 million, down from the issuance value of $27.3 million and below the estimated total loan exposure when accounting for outstanding advances and other expenses. At issuance, the property was 100% occupied; however, several tenants that were affiliated with the sponsor have vacated the subject, with occupancy estimated to be around 60%. Considering the transaction recently closed in December 2022, there is limited financial reporting available. Given the challenged office sector and low investor appetite for that property type, coupled with the significant drop in occupancy and value decline, the credit risk has significantly increased from issuance. For this review, DBRS Morningstar analyzed the loan with a liquidation scenario, resulting in a loss severity in excess of 30.0%. In addition to the credit erosion indicated from the projected loss, the capital structure of the transaction is noteworthy as the more junior tranches carry small balances, providing little cushion to mitigate any additional loss and/or performance volatility for the remaining loans in the pool, thereby supporting the credit rating downgrade and Negative trends. DBRS Morningstar noted concerns related to the 100 Dundas London loan at issuance, which is secured by a Class A office property in downtown London, Ontario. The former largest tenant, Bell Canada (39.1% of the net rentable area), vacated at its March 2022 lease expiration, resulting in an in-place occupancy rate of 56.0%. The borrower was in discussions with prospective tenants, but it appears that the space continues to be vacant as per the May 2023 rent roll. According to CBRE, the London Office market reported a Q3 2023 vacancy rate of 23.0%. DBRS Morningstar had applied the in-place vacancy in its analysis at issuance, which resulted in a net cash flow variance of 23.0% from the issuer's net cash flow. As such, the loan's expected loss was nearly triple the pool's expected loss. As of the October 2023 remittance, 34 of the original 35 loans remain in the pool with a trust balance of $471.0 million, representing a collateral reduction of 4.8% since issuance. In terms of the property concentration, loans backed by industrial and multifamily properties represent the largest concentration at 33.4% and 23.3% of the pool balance, respectively, while office loans represent 11.1% of the pool balance. There are no defeased loans or loans on the servicer's watchlist. Most of the loans in the pool are amortizing throughout the term of the loan and have some form of recourse. Notes: All figures are in Canadian dollar unless otherwise noted. CLOVER CREDIT III: Moody's Ups Rating on $23.5MM D Notes From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Clover Credit Partners CLO III, Ltd.: US$17,000,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C-1 Notes"), Upgraded to Aa1 (sf); previously on July 12, 2023 Upgraded to Aa3 (sf) US$8,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate Notes due 2029 (the "Class C-2 Notes"), Upgraded to Aa1 (sf); previously on July 12, 2023 Upgraded to Aa3 (sf) US$23,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on July 27, 2020 Downgraded to Ba1 (sf) Clover Credit Partners CLO III, Ltd., originally issued in September 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2021. RATINGS RATIONALE The rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2022. The Class A Senior Secured Floating Rate Notes have been paid down by approximately 63.8% or $129.3 million since then. Based on the trustee's October 2023 report[1], the OC ratios for the Class C notes and the Class D notes are currently 137.57% and 118.09%, respectively, versus October 2022 [2] levels of 121.86% and 112.16%, respectively. 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: $196,009,051 Defaulted par: $1,337,582 Diversity Score: 42 Weighted Average Rating Factor (WARF): 2909 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.11% Weighted Average Recovery Rate (WARR): 48.12% Weighted Average Life (WAL): 3.2 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. COMM 2012-CCRE4: Moody's Lowers Rating on 2 Tranches to Ca ---------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on five classes in COMM 2012-CCRE4 Mortgage Trust, Commercial Pass-Through Certificates, Series 2012-CCRE4 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jan 31, 2023 Affirmed Aaa (sf) Cl. A-M, Downgraded to Ba1 (sf); previously on Jan 31, 2023 Downgraded to Baa2 (sf) Cl. B, Downgraded to Ca (sf); previously on Jan 31, 2023 Downgraded to Caa2 (sf) Cl. C, Downgraded to C (sf); previously on Jan 31, 2023 Affirmed Caa3 (sf) Cl. D, Affirmed C (sf); previously on Jan 31, 2023 Affirmed C (sf) Cl. X-A*, Downgraded to Ba1 (sf); previously on Jan 31, 2023 Downgraded to Baa1 (sf) Cl. X-B*, Downgraded to Ca (sf); previously on Jan 31, 2023 Downgraded to Caa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on Cl. A-3 was affirmed due to its credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, and Moody's stressed debt service coverage ratio (DSCR), are within acceptable ranges. Furthermore, the class has already paid down 97% from its original principal balance and will benefit from priority of principal proceeds from any loan payoffs or liquidations. The rating on Cl. D was affirmed because the rating is consistent with realized plus Moody's expected losses. Cl. D has already experienced a 71% realized loss based on its original balance due to previously liquidated loans. The rating on three P&I classes, Cl. A-M, Cl. B and Cl. C, were downgraded due to the performance and anticipated losses from the two remaining loans, both of which have been previously extended after passing their original loan maturity dates. The remaining loans include The Prince Building (51% of the pool), which has been in special servicing since October 2022 but has remained current under its loan extension. The loan is secured by an office property with a net operating income (NOI) decline since 2022 due to lower revenue and occupancy. The other loan (Eastview Mall and Commons – 49% of the pool) was previously extended to September 2024 and is secured by a regional mall in which the recent NOI has remained significantly lower than at securitization and the most recent appraisal from 2022 valued the property 52% lower than the outstanding loan balance. The trust has also previously experienced significant losses due to previously liquidated loans. In Moody's rating analysis Moody's also analyzed loss and recovery scenarios to reflect the recovery value, the current cash flow and timing to ultimate resolution on the remaining loans and properties in the pool. The rating on one interest only (IO) class, Cl. X-A, was downgraded due to both paydowns of higher rated referenced classes and a decline in the credit quality of its outstanding reference classes. Cl. X-A originally referenced all classes senior to and including Cl. A-M, however, the deal has paid down 78% since securitization and its only outstanding reference classes include Cl. A-3 and Cl. A-M. The rating on one IO class, Cl. X-B, was downgraded based on a decline in the credit quality of its referenced classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 42.9% of the current pooled balance, compared to 30% at Moody's last review. Moody's base expected loss plus realized losses is now 18.9% of the original pooled balance, compared to 16.5% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, or significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool or an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 51% of the pool is in special servicing and Moody's has identified additional troubled loans representing 49% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the November 17, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 77.9% to $245 million from $1.1 billion at securitization. The certificates are collateralized by two remaining mortgage loans that have extended maturity dates in 2024 after failing to payoff at their original maturities in 2022. As of the November 2023 remittance statement, one loan (51% of the pool), was in special servicing and both loans were current on their debt service payments. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $104.8 million. Most of the loss to the trust comes from two liquidated retail loans, Emerald Square Mall and Fashion Outlets of Las Vegas. As of the November 2023 remittance statement cumulative interest shortfalls were $10 million and impacted up to Cl. B. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The specially serviced loan and the largest loan in the pool is the Prince Building loan ($125 million -- 51% of the pool), which represents a pari passu portion of a $200 million whole loan. The loan is secured by a 354,600 square foot (SF) mixed-use office and retail property located in the SoHo neighborhood of New York City. The property was originally built in 1897 and renovated in 2009. The office portion makes up 78% of the net rentable area (NRA) and the largest tenants include Group Nine Media and ZocDoc. The retail component makes up the remaining 22% of NRA, and the largest retail tenants include an Equinox sports club and Forever 21. The loan transferred to the special servicer in October 2022 due to maturity default and was subsequently extended through October 2023 with an additional one year extension through 2024. The most recent servicer commentary indicates the borrower has exercised this extension option. As of June 2023, the property was 80% occupied, which is below the average occupancy of 95% between 2012 and 2022 and the June 2023 annualized NOI would represent a 17% decline from year-end 2022. Furthermore, the NOI has generally remained below original expectations at securitization since 2017. The property was most recently appraised in August 2023 at 25% below the original appraisal value but above the outstanding loan amount. The non-specially serviced loan is the Eastview Mall and Commons Loan ($120 million – 49% of the pool) which represents a pari passu portion of a $210 million whole loan. The loan is secured by a 725,300 SF portion of a 1.4 million SF regional mall (Eastview Mall) and an 86,370 SF portion of a 341,000 SF power center (Eastview Commons) located adjacent to the mall, which is located in Victor, NY, 15 miles southeast of Rochester. The mall portion is anchored by non-collateral Macy's, JC Penny, Von Maur and Dicks Sports stores. The Dicks Sports backfilled a Sears store that had closed. The non-collateral portion also includes a former Lord & Taylor space that closed in 2021. The Mall collateral is anchored by a 13 screen Regal Cinemas, Raymour & Flanagan and LL Bean. It also includes an Apple store, the only one within a 60 mile radius. The Eastview Commons portion includes non-collateral Home Depot and Target stores, and collateral tenants Best Buy, Staples and Old Navy. The loan originally transferred to the special servicer in May 2020 due to the coronavirus pandemic but then shortly returned to the master servicer in July 2020. However, the loan transferred back to the special servicer in June 2022 ahead of its original maturity in September 2022 and the maturity date was subsequently extended through September 2024, with one additional one year extension option. As of June 2023, the collateral was 89% occupied, which is comparable to the average of occupancy of 88% between 2012 and 2022. The property's NOI has remained significant below levels at securitization since 2019 and the annualized September 2023 NOI was 23% below the NOI in 2012. The property's most recent appraisal from 2022 valued the property 52% lower than the outstanding loan balance. The loan remains current based on the loan extensions, however, given the property's recent performance and market conditions the loan will likely face heightened refinance risk at its extended maturity date and Moody's is anticipating a significant loss on this loan. CREDIT SUISSE 2004-4: Moody's Hikes Cl. B-1 Debt Rating to 'Caa1' ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three bonds from two US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-4 Cl. B-1, Upgraded to Caa1 (sf); previously on Jun 21, 2019 Upgraded to Caa3 (sf) Cl. M-1, Upgraded to A1 (sf); previously on Aug 6, 2018 Upgraded to A2 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A3 Cl. M-1, Upgraded to Aa3 (sf); previously on Jun 10, 2019 Upgraded to A2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and an increase in credit enhancement available to the bonds. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly n the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CSMC 2021-GATE: 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-GATE issued by CSMC 2021-GATE: -- 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) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is backed by a mixed-use property which has exhibited performance improvements in the last year, with occupancy and cash flows anticipated to increase over the next several years. The transaction is secured by three Class A office buildings totaling 1.7 million square feet (sf), including Gateway Center I, Gateway Center II, and Gateway Center IV; an 86,400-sf retail concourse; and two parking garages and a surface lot in downtown Newark, New Jersey. The properties are part of a larger complex known as the Gateway Center with proximity to the Prudential Center arena and the New Jersey Performing Arts Center, and access to Newark Penn Station, which serves as a hub for Amtrak, NJ Transit, and the PATH trains to Manhattan. The sponsors, Onyx, Garrison, Taconic, and Axonic, all of which are real estate investment companies, began acquiring the assets in 2019 with the aim of unifying the ownership and renovating the buildings and concourse. Whole loan proceeds of $325.0 million consist of a $285.0 million mortgage loan and a $40.0 million mezzanine loan that is not part of the trust. Loan proceeds went toward paying off existing debt of $235.6 million and funding upfront reserves totaling $77.3 million. At issuance, the sponsors reserved $28.8 million for capital improvements to upgrade the common areas, retail concourse, and lobby area, which the borrowers intended to complete in 2022. The borrower also reserved $25.8 million for unfunded tenant improvement/leasing commission (TI/LC) obligations for existing tenants and $22.7 million for accretive TIs/LCs over the loan term. According to the November 2023 loan-level reserve report, the capital improvement reserve had $1.0 million remaining, indicating that most of the renovations have likely been completed, with $5.2 million remaining in unfunded TI/LC obligations for existing tenants and $21.7 million remaining in accretive TI/LC funds. The interest-only loan has an initial two-year term with three one-year extension options for a fully extended maturity date in December 2026. The loan is currently scheduled to mature in December 2023; however, the servicer reports the borrower intends to exercise the first extension option, which will extend the loan maturity to December 2024. Each extension option will be conditional upon, among other things, no events of default and the purchase of a cap rate agreement for each extension term providing a minimum debt service coverage ratio (DSCR) of 1.15 times (x) and a minimum debt yield of 7.5% on the second extension and 8.0% on the third extension. DBRS Morningstar notes the cost to purchase a rate cap has significantly increased since issuance, given the increase in interest rates since 2021. As of June 2023, the portfolio reported an occupancy rate of 62.9%, falling from 67.0% in December 2022 following the lease expiration of a number of smaller tenants; however, occupancy is likely to increase drastically over the near term. The borrower has inked a new 25-year lease with New Jersey Transit Corporation (NJTC) for approximately 407,000 sf (23.9% of the net rentable area (NRA)) with staggered commencement dates beginning no later than January 2024 without a delivery extension date. The tenant will use the space for its headquarters and will receive a 12 month rent abatement from the date of delivery on each of the five spaces (ranging from 9,000 sf to 180,000 sf). NJTC will pay an initial base rent of $39.00 per square foot (psf) through the first 36 months, at which point the rental rate will increase 2.0% each year through lease expiration in 2049. According to the July 2023 lease agreement, the sponsors have agreed to provide approximately $135 psf in TI allowances for the NJTC space and a new HVAC system, representing the equivalent of nearly $70 million in concessions to the tenant, which will occupy the space with limited capital investment. As of November 2023, the largest tenants include Broadridge Securities (9.4% of NRA; with a lease expiration in September 2032), Prudential Insurance (Prudential; 9.3% of NRA; with a lease expiration in December 2025), and McCarter & English, LLP (6.8% of NRA; with a lease expiration in December 2034). While Prudential has an upcoming lease expiration prior to the loan's fully extended maturity, the tenant has two five-year renewal options and the terms of the loan includes a cash sweep trigger tied to the 2025 lease expiry, with swept funds to be allocated to the capital expenditure and TI reserves. Prudential has been in place since 1998 and is affiliated with one of the sponsors, which may incentivize the tenant to renew the lease at expiration. The annualized net cash flow (NCF) for the period ended June 30, 2023, was $9.1 million (a DSCR of 0.37x), below the $10.8 million figure at YE2022 (a DSCR of 0.69x), largely a result of increased expenses. The decline in the DSCR was primarily driven by a significant increase in debt service obligations, given the loan's floating-rate structure; however, NCF and the DSCR should improve drastically once NJTC has taken occupancy. For this review, DBRS Morningstar maintained its NCF derived at issuance of $17.2 million, which gave no credit to additional cash flow upside. While DBRS Morningstar maintains a positive outlook on this transaction given the recent leasing momentum, the tenant may not begin paying rent until 2025. Utilizing a capitalization rate of 7.5%, DBRS Morningstar determined an as-is value of approximately $229.8 million, reflecting a 49.5% haircut to the appraiser's as-is value of $455.2 million. This resulted in a DBRS Morningstar loan-to-value (LTV) ratio of 124.0% based on the $285.0 million mortgage loan, which increases substantially to an all-in DBRS Morningstar LTV of 141.4% when factoring in the mezzanine debt. DBRS Morningstar maintained positive qualitative adjustments to the final LTV sizing benchmarks used for this credit rating analysis, totaling 2.0%, to account for cash flow volatility and property quality. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 37: Moody's Cuts Rating on $8.75MM Class FR Notes to Caa2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Dryden 37 Senior Loan Fund: US$62,300,000 Class BR Senior Secured Floating Rate Notes due 2031 (the "Class BR Notes"), Upgraded to Aaa (sf); previously on February 9, 2023 Upgraded to Aa1 (sf) US$51,100,000 Combination Notes due 2031 (current rated balance of $17,074,092), Upgraded to Aaa (sf); previously on February 9, 2023 Upgraded to Aa1 (sf) Moody's has also downgraded the rating on the following notes: US$8,750,000 Class FR Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class FR Notes"), Downgraded to Caa2 (sf); previously on October 6, 2020 Confirmed at B3 (sf) Dryden 37 Senior Loan Fund, originally issued in March 2015 and refinanced in December 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The upgrade rating action on the Class BR notes is primarily a result of deleveraging of the senior notes since February 2023. The Class AR notes have been paid down by approximately 5.66% or $18.1 million since then. Additionally, the notes benefited from a shortening of the weighted average life (WAL). The upgrade rating action on the Combination Notes is primarily a result of the reduction of the Combination Notes' rated balance and an increase in the Combination Notes rated balance collateralization coverage. The rated balance has been reduced by $7.1 million or 29% since February 2023, and is now fully covered by the Class BR Notes component. The downgrade rating action on the Class FR 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 FR notes is currently at 102.58% versus February 2023 level of 104.80%. Moody's rating of the Combination Securities addresses only the ultimate receipt of the Combination Securities Rated Balance by the holders of the Combination Securities. Moody's rating of the Combination Securities does not address any other payments or additional amounts that a holder of the Combination Securities may receive pursuant to the underlying documents. 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: $459,918,256 Defaulted par: $14,115,110 Diversity Score: 92 Weighted Average Rating Factor (WARF): 2689 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.36% Weighted Average Coupon (WAC): 3.93% Weighted Average Recovery Rate (WARR): 46.80% Weighted Average Life (WAL): 4.13 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. DTP COMMERCIAL 2023-STE2: Moody's Assigns (P)Ba1 Rating to E Certs ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, to be issued by DTP Commercial Mortgage Trust 2023-STE2, Commercial Mortgage Pass-through Certificates, Series 2023-STE2: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba1 (sf) Cl. HRR, Assigned (P)Ba2 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first-lien mortgage on the borrower's fee simple interest in 10 anchored retail centers located across nine states, totaling 3.4 million SF. Moody's ratings are based on the credit quality of the loans 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 Securitizations 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 portfolio consists of 10 anchored retail centers located across nine states and 10 distinct markets. Together, the properties offer approximately 3,393,341 SF of aggregate NRA. Individual properties average 339,334 SF in size, ranging from a low of 112,253 SF to a high of 690,571 SF. As of October 2023, the portfolio was 95.9% leased to 189 distinct tenants. The top tenants include: AMC Theatre (231,800 SF; 10.4% in-place base rent), Ross Dress for Less (181,294 SF; 4.6% in-place base rent), Dick's Sporting Goods (182,754 SF; 4.4% in-place base rent), Lowe's (260,554 SF; 4.3% in-place base rent), Kohl's (237,169 SF; 4.2% in-place base rent), Best Buy (141,368 SF; 4.0% in-place base rent), Marshalls (130,317 SF; 3.0% in-place base rent), Michael's (96,806 SF; 2.5% in-place base rent), Old Navy (84,095 SF; 2.5% in-place base rent) and ULTA (54,887 SF; 2.3% in-place base rent). The properties were either developed or re-developed at various points between 1978 and 2015. They were acquired by the sponsor between 1993 and 2012, who invested a total of $29.0 million ($8.54 PSF) into the portfolio to maintain or improve competitiveness from 2018 through 2023. 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 1.48x, which is lower than Moody's first mortgage stressed DSCR at a 9.25% constant is 1.07x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 94.3% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 83.8% using a cap rate adjusted 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 pool's weighted average property quality grade is 2.33. Notable strengths of the transaction include: strong anchor tenancy, granular tenant roster, experienced sponsorship, geographic diversity and cross collateralization. Notable concerns of the transaction include: AMC tenant exposure within the top 3 properties in the portfolio, interest-only mortgage loan profile, rollover risk, secondary/tertiary market exposure, 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. ELMWOOD CLO 24: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC's floating-rate debt. The debt issuance is a collateralized loan obligation (CLO) securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC Class A-1, $320.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $50.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $19.25 million: BB- (sf) Subordinated notes, $42.00 million: Not rated EMPOWER CLO 2023-3: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Empower CLO 2023-3 Ltd./Empower CLO 2023-3 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 Empower Capital Management LLC. The preliminary ratings are based on information as of Dec. 7, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Empower CLO 2023-3 Ltd./Empower CLO 2023-3 LLC Class A, $206.00 million: AAA (sf) Class A loans, $50.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $19.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $40.29 million: Not rated GLS AUTO 2022-1: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on 21 classes of notes and affirmed its ratings on 12 classes of notes from 12 GLS Auto Receivables Issuer Trust (GCAR) transactions. At the same time, S&P placed its ratings on the class E notes from GCAR 2022-2 and 2022-3 on CreditWatch with negative implications following worse-than-expected performance. The 14 ABS transactions are backed by subprime retail auto loan receivables originated and serviced by Global Lending Services LLC. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for each transaction, except for GCAR 2022-2 and 2022-3, and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates baseline forecasts for U.S. GDP and unemployment. Considering all these factors, S&P's believe the notes' creditworthiness are consistent with the rating actions. S&P said, "The GCAR 2019-2, 2019-3, 2019-4, 2020-1, 2020-2, 2020-3, 2020-4, and 2021-1 transactions are performing better than our prior CNL expectations. As a result, we revised and lowered our expected CNLs for these transactions. GCAR 2021-2 is performing in line with our prior CNL expectation, and we maintained our expected CNL for this transaction. GCAR 2021-3, 2021-4, and 2022-1, which are experiencing higher gross losses and lower recovery rates, are performing worse than our prior CNL expectations. These transactions have higher pool factors and are more exposed to the prevailing adverse economic headwinds and possibly weaker recovery rates. Based on these factors, and taking into consideration our expectations for each transaction's future performance, we revised and raised our expected CNLs for these transactions. "GCAR 2022-2 and 2022-3 performance is trending worse than our original CNL expectations. Cumulative gross losses for both series are significantly higher than prior GCAR series at similar months of performance, which, coupled with lower cumulative recoveries, are resulting in elevated CNLs. For series 2022-2, we observed that the transaction's overcollateralization amount was below its specified target for the August, September, and October performance months. The series was previously at its overcollateralization target but within the last few months, excess spread was insufficient to cover net losses resulting in a decline in the required overcollateralization amount. Although series 2022-3 is at its target overcollateralization as of the October 2023 performance month, its performance is trending similarly to series 2022-2, and continued elevated net losses pose a risk to its target overcollateralization. "Given the relative weaker performance, prevailing adverse economic headwinds, and possibly continued weaker recovery rates for both GCAR 2022-2 and 2022-3, we placed our 'BB- (sf)' ratings on the class E notes on CreditWatch with negative implications." Table 1 Collateral performance (%)(i) Pool 60+ day Current Current Current Series Mo. factor delinq. Ext. CGL CRR CNL 2019-2 54 0.08 14.30 3.29 22.80 50.30 11.33 2019-3 51 12.72 12.69 3.59 21.18 51.62 10.25 2019-4 48 14.46 11.05 3.77 18.98 52.66 8.98 2020-1 45 16.59 11.02 3.62 18.49 53.12 8.67 2020-2 41 19.56 10.02 4.09 18.11 53.93 8.34 2020-3 39 20.98 9.43 3.50 14.78 53.73 6.84 2020-4 35 26.32 8.70 3.72 13.48 53.52 6.26 2021-1 32 28.46 9.87 3.89 15.19 52.33 7.24 2021-2 29 36.09 8.56 4.33 15.50 50.81 7.62 2021-3 26 40.81 8.17 4.17 14.90 44.38 8.28 2021-4 23 47.60 7.65 3.88 13.85 41.19 8.15 2022-1 20 52.02 7.34 3.91 13.88 39.17 8.44 2022-2 17 61.37 6.75 4.32 13.38 36.21 8.54 2022-3 14 67.97 6.92 3.71 10.61 36.41 6.75 (i)As of the November 2023 distribution date. Mo.--Month. Delinq.--Delinquencies. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 GCAR 2022-2 overcollateralization Current Target Target Current Target Mo.(i) (%)(ii) (%)(iii (%)(iii) ($ mil.) ($ mil.) (iv) (iii) Jun-22 9.72 12.50 1.50 73.05 105.34 Jly-22 10.52 12.50 1.50 77.79 103.86 Aug-22 11.41 12.50 1.50 85.85 102.21 Sep-22 11.94 12.50 1.50 84.63 100.02 Oct-22 12.23 12.50 1.50 84.26 97.58 Nov-22 12.37 12.50 1.50 82.88 95.15 Dec-22 12.47 12.50 1.50 81.23 92.85 Jan-23 12.70 12.50 1.50 80.34 90.54 Feb-23 13.04 12.50 1.50 79.90 88.06 Mar-23 13.56 12.50 1.50 80.35 85.49 Apr-23 14.07 12.50 1.50 81.06 83.43 May-23 14.55 12.50 1.50 81.08 81.08 Jun-23 14.62 12.50 1.50 78.79 78.79 Jly-23 14.70 12.50 1.50 76.56 76.56 Aug-23 14.72 12.50 1.50 73.96 74.24 Sep-23 14.85 12.50 1.50 72.12 72.13 Oct-23 14.88 12.50 1.50 69.62 69.94 (i)As of the monthly collection period. (ii)Percentage of the current collateral pool balance. (iii)The target overcollateralization amount on any distribution date for series 2022-2 is equal to the sum of 12.50% of the current pool balance and 1.50% of initial collateral balance. (iv)Amount of overcollateralization for the collection month. GCAR--GLS Auto Receivables Issuer Trust. Mo.--Month. Table 3 GCAR 2022-3 overcollateralization Current Target Target Current Target Mo.(i) (%)(ii) (%)(iii) (%)(iii) ($ mil.) ($ mil.) (iv) (iii) Sep-22 7.38 10.30 1.50 24.65 39.50 Oct-22 8.26 10.30 1.50 27.18 38.98 Nov-22 9.12 10.30 1.50 29.56 38.48 Dec-22 9.72 10.30 1.50 30.85 37.77 Jan-23 10.13 10.30 1.50 31.32 36.93 Feb-23 10.41 10.30 1.50 31.25 36.01 Mar-23 10.83 10.30 1.50 31.43 34.98 Apr-23 11.11 10.30 1.50 31.31 34.11 May-23 11.74 10.30 1.50 31.99 33.16 Jun-23 12.22 10.30 1.50 32.29 32.29 Jly-23 12.28 10.30 1.50 31.48 31.48 Aug-23 12.36 10.30 1.50 30.49 30.49 Sep-23 12.43 10.30 1.50 29.65 29.65 Oct-23 12.51 10.30 1.50 28.80 28.80 (i)As of the monthly collection period. (ii)Percentage of the current collateral pool balance. (iii)The target overcollateralization amount on any distribution date for series 2022-3 is equal to the sum of 10.30% of the current pool balance and 1.50% of initial collateral balance. (iv)Amount of overcollateralization for the collection month. GCAR--GLS Auto Receivables Issuer Trust. Mo.--Month. Table 4 CNL expectations (%) Original Prior revised lifetime lifetime Revised Series CNL exp. CNL exp.(i) CNL exp.(ii) 2019-2 19.25-20.25 12.50 up to 12.00 2019-3 19.25-20.25 12.00 11.50 2019-4 18.50-19.50 11.75 10.50 2020-1 18.50-19.50 11.75 10.50 2020-2 21.50-22.50 11.75 10.75 2020-3 21.50-22.50 11.75 9.25 2020-4 21.25-22.25 11.75 9.50 2021-1 19.50-20.50 12.75 11.25 2021-2 19.00-20.00 13.50 13.50 2021-3 16.75-17.75 14.50 15.00 2021-4 16.75-17.25 16.00 16.50 2022-1 16.25-17.25 17.50 18.00 2022-2 16.25-17.25 N/A N/A(iii) 2022-3 16.25-17.25 N/A N/A(iii) (i)Revised in October 2022 for all series except for 2021-1, which was revised in August 2022, and 2021-4 and 2022-1, which were revised in April 2023. (ii)As of November 2023. (iii) Will be revised when S&P resolves the CreditWatch placement, and S&P has sufficient data to project future losses more accurately. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction contains a sequential principal payment structure--in which the notes are paid principal by seniority--that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement consisting of a non-amortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the November 2023 distribution date, each transaction, except for series 2022-2, is at its specified target overcollateralization level. All transactions are at their specified reserve level. S&P said, "For those series where we have raised and affirmed our ratings, we believe that the total credit support as a percentage of the amortizing pool balance, as of the collection period ended Oct. 31, 2023, compared with our current expected loss expectations, is commensurate with each rating." Table 5 Hard credit support(i) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2019-2 D 8.75 29.17 2019-3 C 16.95 100.14 2019-3 D 7.50 25.86 2019-4 C 16.15 88.57 2019-4 D 6.85 24.26 2020-1 C 15.70 88.87 2020-1 D 5.50 27.37 2020-2 C 21.95 81.10 2020-2 D 13.10 35.85 2020-3 D 18.55 74.24 2020-3 E 9.95 33.25 2020-4 C 25.95 98.01 2020-4 D 16.30 61.34 2020-4 E 7.50 27.90 2021-1 C 25.25 94.94 2021-1 D 12.50 50.14 2021-1 E 4.80 23.08 2021-2 C 24.70 76.10 2021-2 D 11.70 40.08 2021-2 E 4.10 19.03 2021-3 B 38.40 98.58 2021-3 C 24.20 63.79 2021-3 D 11.60 32.91 2021-3 E 4.75 16.13 2021-4 B 38.85 83.44 2021-4 C 25.85 56.13 2021-4 D 12.60 28.29 2021-4 E 6.75 16.00 2022-1 A 52.60 101.85 2022-1 B 40.75 79.07 2022-1 C 28.25 55.04 2022-1 D 15.60 30.72 2022-1 E 8.75 17.56 (i)As of the November 2023 distribution date. Consists of overcollateralization and a reserve account, and if applicable, subordination. Excludes excess spread, which can also provide additional enhancement. S&P said, "For the series with raised and affirmed ratings, we analyzed the current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our view, to raise or affirm the ratings on the notes. For other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given each transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended Oct. 31, 2023 (the November 2023 distribution date)." For the 2022-2 and 2022-3 series, each transaction's sequential principal payment structure has led to an increase in hard credit enhancement as a percentage of the current collateral pool balance. Table 6 Hard credit enhancement(i) Total hard Current total Current CE at hard CE Series Class rating issuance (%) (% of current) 2022-2 A-2 AAA (sf) 53.65 87.72 2022-2 B AA (sf) 42.00 68.73 2022-2 C A (sf) 30.50 49.99 2022-2 D BBB- (sf) 17.20 28.32 2022-2 E BB- (sf)(ii) 9.95 16.50 2022-3 A-2 AAA (sf) 52.85 80.85 2022-3 B AA (sf) 40.70 62.97 2022-3 C A (sf) 28.60 45.17 2022-3 D BBB- (sf) 15.30 25.60 2022-3 E BB- (sf)(ii) 7.40 13.98 (i)As of the November 2023 distribution date. (ii)Placed on CreditWatch negative as of the date of this report. CE--Credit enhancement. Although hard credit enhancement for GCAR 2022-2 and 2022-3's class E notes has increased since issuance, they are highly dependent on excess spread and are vulnerable to continued losses, which can exacerbate the decline in overcollateralization. S&P said, "Looking forward, we believe the evolving economic headwinds and potential negative impact on consumers could result in increased delinquencies and extensions, and ultimately defaults, which, if not offset by recoveries, are risks to excess spread and overcollateralization. As such, we placed our ratings on the class E notes from series 2022-2 and 2022-3 on CreditWatch negative. Although we have not taken any action on the remaining classes from either series, unless remedied, continued performance deterioration and erosion of overcollateralization could cause us to revisit our stance on these classes." S&P said, "We will continue to monitor the performance of all outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes. For series 2022-2 and 2022-3, we plan to resolve the CreditWatch placements when we have sufficient data to more accurately project future losses, develop loss-timing forecasts, and conduct cash flow analyses." RATINGS RAISED GLS Auto Receivables Issuer Trust Rating Series Class To From 2019-2 D AAA (sf) A (sf) 2019-3 D AA (sf) A- (sf) 2019-4 D A+ (sf) BBB (sf) 2020-1 D A+ (sf) BBB (sf) 2020-2 C AAA (sf) AA+ (sf) 2020-2 D AA (sf) BBB+ (sf) 2020-3 D AAA (sf) AA (sf) 2020-3 E AA (sf) BBB+ (sf) 2020-4 D AAA (sf) AA- (sf) 2020-4 E AA- (sf) BBB+ (sf) 2021-1 D AAA (sf) A+ (sf) 2021-1 E BBB+ (sf) BBB (sf) 2021-2 C AAA (sf) AA+ (sf) 2021-2 D AA- (sf) A (sf) 2021-2 E BBB (sf) BB+ (sf) 2021-3 C AAA (sf) AA- (sf) 2021-3 D A (sf) BBB+ (sf) 2021-4 C AAA (sf) AA (sf) 2022-1 B AAA (sf) AA+ (sf) 2022-1 C AA+ (sf) A+ (sf) 2022-1 D BBB+ (sf) BBB (sf) RATINGS PLACED ON CREDIT WATCH NEGATIVE GLS Auto Receivables Issuer Trust Rating Series Class To From 2022-2 E BB- (sf)/Watch Neg BB- (sf) 2022-3 E BB- (sf)/Watch Neg BB- (sf) RATINGS AFFIRMED GLS Auto Receivables Issuer Trust Series Class Rating 2019-3 C AAA (sf) 2019-4 C AAA (sf) 2020-1 C AAA (sf) 2020-4 C AAA (sf) 2021-1 C AAA (sf) 2021-3 B AAA (sf) 2021-3 E BB (sf) 2021-4 B AAA (sf) 2021-4 D BBB+ (sf) 2021-4 E BB (sf) 2022-1 A AAA (sf) 2022-1 E BB- (sf) GS MORTGAGE 2012-GCJ9: Moody's Lowers Rating on Cl. X-B Certs to Ca ------------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class and downgraded the ratings on three classes in GS Mortgage Securities Trust 2012-GCJ9, Commercial Mortgage Pass-Through Certificates, Series 2012-GCJ9 as follows: Cl. D, Downgraded to B1 (sf); previously on May 2, 2023 Downgraded to Ba2 (sf) Cl. E, Downgraded to Caa1 (sf); previously on May 2, 2023 Downgraded to B2 (sf) Cl. F, Affirmed Caa3 (sf); previously on May 2, 2023 Downgraded to Caa3 (sf) Cl. X-B*, Downgraded to Ca (sf); previously on May 2, 2023 Downgraded to Caa3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes were downgraded due to increased risk of losses and interest shortfalls driven by the loan in special servicing. The largest performing loan, Gansevoort Park Avenue (48% of the pool), has already been extended after failing to pay off at its initial maturity date and had an NOI DSCR well below 1.00x through June 2023. Furthermore, the Jamaica Center loan (52% of the pool) has been in special servicing since 2020 and as of the November 2023 remittance statement was last paid through its February 2021 payment date. The rating on one P&I class was affirmed because the rating is commensurate with expected losses. The rating on one IO class (X-B) was downgraded due to the decline in the credit quality of its reference classes. Moody's rating action reflects a base expected loss of 35.6% of the current pooled balance, compared to 40.9% at Moody's last review. Moody's base expected loss plus realized losses is now 5.0% of the original pooled balance, compared to 5.4% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 52% of the pool is in special servicing and Moody's has identified additional troubled loans representing 48% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the November 10, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 91% to $121 million from $1.39 billion at securitization. The certificates are collateralized by two mortgage loans, which are 52% and 48% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of two, the same as at Moody's last review. As of the November 2023 remittance report, one loan representing 48% was current or within their grace period on their debt service payments and the other loan representing 52% was in foreclosure. One loan, constituting 48% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Five loans have been liquidated from the pool, contributing to an aggregate realized loss of $27 million (for an average loss severity of 61.3%). One loan, constituting 52% of the pool, is currently in special servicing. The loan transferred to special servicing after March 2020. The specially serviced loan is the Jamaica Center Loan ($63 million -- 52% of the pool), which is secured by a leasehold interest in a 215,800 square foot (SF), three-story mixed-use center located in the Jamaica neighborhood of Queens, NY. The improvements were constructed in 2002 and contain 95,295 SF of retail space, 83,000 SF of theater space, and 37,511 SF of office space. In addition, there is a two-level, below grade parking garage providing 375 parking spaces. The property is located in an infill location near multiple public transit options. The property is anchored by a Showcase Cinemas theatre, Old Navy and Walgreens, and also has two office tenants totaling 29% of the net rentable area (NRA). Per the special servicer, the property is now 100% leased. The NOI has declined significantly since securitization, as a result of a decline in revenues and a significant increase in expenses. The loan transferred to special servicing in September 2020 due to imminent default in relation to the coronavirus pandemic. The loan passed its initial maturity date in November 2022. The most recent appraisal from November 2022 valued the property 26% below the value at securitization. The special servicer is pursuing foreclosure. In November 2023, the master servicer deemed the loan non-recoverable. The loan is last paid through its February 2021 payment date and has amortized 22% since securitization. Moody's has also assumed a high default probability on the Gansevoort Park Avenue Loan and estimates an aggregate $42.6 million loss for the specially serviced and troubled loans (a 35% expected loss on average). The troubled loan is the Gansevoort Park Avenue loan ($57.7 million, 48% of the pool) which represents a pari passu portion of a $124.2 million senior mortgage. The loan is backed by the 249-key full-service boutique hotel located on East 29th Street and Park Avenue South in Manhattan, New York. The property was known as the Gansevoort Park Avenue at securitization, however, the property was sold for approximately $200,000,000 ($803,213 per key) and renamed Royalton Park Avenue in late 2017. The property's cash flow has generally declined annually since securitization due to lower revenues coupled with increased operating expenses. The property's performance was further significantly impacted by the pandemic and the hotel was temporarily closed and re-opened in September 2021. The asset has not been generating sufficient cash flow to cover debt service since 2020. The reported NOI for trailing twelve months period ending June 2023 was $4.2 million. The loan was previously modified in 2021, which included a two-year extension to June 2024 and a conversion to interest-only through the remainder of the term. The loan was current on its debt service payments as of the November 2023 remittance. As of the September 2023 STR, the hotel was outperforming its competitors in all categories. The servicer watchlist commentary indicates the borrower is currently in discussion to further modification of the loan ahead of its June 2024 maturity date. The most recent appraisal from June 2021 valued the property 65% below the value at securitization. Due to the continued depressed cash flow and upcoming maturity date, Moody's has identified this as a troubled loan. As of the November 2023 remittance statement cumulative interest shortfalls were $3.9 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. GS MORTGAGE 2021-DM: DBRS Confirms B(low) Rating on Class F Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-DM issued by GS Mortgage Securities Corporation Trust 2021-DM 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 credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. Although there has been relatively limited seasoning with minimal updates to the financial reporting since the transaction closed in November 2021, the loan continues to exhibit healthy credit metrics. The servicer' financials for YE2022 and Q2 2023 reflected occupancy, revenue, and net cash flow (NCF) figures that remain consistent with issuance. The collateral for the loan includes the borrower's fee-simple and leasehold interests in a portfolio of 18 suburban multifamily properties totaling 3,483 units in South Florida (58.8% of the allocated loan amount (ALA)), with one property in each of Salt Lake City (19.3% of the ALA) and Boston (22.1% of the ALA). All 16 of the properties in Florida are secured by affordable housing properties, of which five are age-restricted properties. Under the current legislation, 14 of the properties in Florida should receive 100% exemption of ad valorem taxes on all affordable units if the properties continue to meet all other statutory requirements for the affordable housing tax exemption. The transaction sponsor is Starwood Real Estate Property Trust, Inc., which is indirectly controlled by the experienced institutional private investment firm Starwood Capital Group. Loan proceeds of $529.8 million along with the borrower equity of approximately $392.8 million were used to acquire the property for $883.0 million and cover closing costs and transaction expenses. The interest-only floating-rate loan had an initial two-year term with three one-year extension options. The loan was originally scheduled to mature on November 8, 2023; however, the servicer noted that the borrower intends to exercise its first extension option and the loan was listed with a November 2024 maturity date per the November 2023 reporting 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. The borrower will be required to maintain a debt yield above 4.25% throughout the loan term or cash management provisions will be triggered. The transaction features a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 20.0% of the original principal balance, where individual properties may be released from the trust at a price of 105.0% of the ALA, with customary debt yield tests. Proceeds are applied sequentially for the remaining 80.0% 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 transaction's extension options include no performance triggers, financial covenants, or fees required for the borrower to exercise the one-year extensions. The loan continues to perform in line with DBRS Morningstar's expectations. As of the financials for the trailing six months ended June 30, 2023, the loan reported an annualized NCF of $34.7 million, above the YE2022 NCF figure of $33.4 million and the DBRS Morningstar NCF of $30.2 million. Despite the increase in cash flow, the debt service coverage ratio declined to 0.99 times (x) as of June 2023 from 2.84x at issuance because of the loan's floating-rate coupon and an increase in debt service. The increase in interest rate is partially mitigated by the presence of an interest rate cap, which, as mentioned above, the borrower is required to purchase in order to exercise each extension option. Historically, the portfolio has reported strong occupancy trends, with a weighted-average rate above 98.0% from YE2018 through YE2022. While the portfolio's average occupancy fell to 96.0% as of Q2 2023, rental rates showed improvement, contributing to a 6.3% increase in rental revenue when compared with YE2022 financials. According to the June 2023 rent rolls, the portfolio had an average rental rate of $1,610 per unit compared with $1,187 per unit at issuance. While effective gross income has experienced 13.1% growth when compared with the DBRS Morningstar NCF, operating expenses have also experienced growth of 9.4%, primarily driven by property insurance, utilities, and payroll and benefits. DBRS Morningstar's ratings are based on a value analysis completed at issuance, which considered a capitalization rate for the portfolio of 5.89%, resulting in a DBRS Morningstar value of $513.3 million and a loan-to-value (LTV) ratio of 103.2% on the mortgage loan. The DBRS Morningstar value represents a -42.8% haircut to the appraiser's value of $899.3 million. To account for the high leverage, DBRS Morningstar programmatically reduced its LTV benchmark targets for the transaction by 1.5% across the capital structure. DBRS Morningstar applied positive qualitative adjustments to its sizing, totaling 6.75%, to reflect the historically stable performance, property quality, and strong submarket fundamentals for the underlying portfolio. Notes: All figures are in U.S. dollars unless otherwise noted. GSF 2021-1: DBRS Confirms BB(low) Rating on Class E Notes --------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of notes issued by GSF 2021-1 (the Issuer): -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class X Notes at A (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (low) (sf) -- Class E Notes at BB (low) (sf) All trends are Stable. The rating confirmations and Stable trends reflect the continued stable performance of most of the underlying collateral, which generally remain in line with DBRS Morningstar's expectations since the last rating action. The transaction benefits from a relatively well distributed concentration of property types that collateralize the underlying loans as well as the overall steady financial performance of the loans in the pool. On November 3, 2023, DBRS Morningstar finalized its "North American CMBS Multi-Borrower Rating Methodology" (the Methodology) and CMBS Insight Model Version 1.2.0.0 (the Model). The Methodology and the Model present the framework for which DBRS Morningstar's credit ratings on North American commercial mortgage-backed security (CMBS) multi-borrower transactions are assigned and/or monitored. As noted in the press release, the updates to the Methodology were expected to have a neutral to positive impact on a limited number of multi-borrower conduit and small-balance transactions that include loans with five-year original terms. The probability of default (POD) assumptions for five-year original term loans with stabilized property cash flows (in conduit and agency transactions) are the same as for 10-year loans. The credit rating action is a result of the application of the above Methodology and Model, inclusive of consideration for updated performance data on the subject transaction. As of the October 2023 remittance, the pool consisted of 23 performing loans secured by traditional commercial real estate properties with a combined balance of $496.4 million. There were no loans on the servicer's watchlist or in special servicing. At closing in November 2021, the transaction featured a funding period whereby the Issuer could contribute loans to the pool up to the expected maximum balance of $500.0 million. The pool was originally intended to be funded within the first year with an allowable six-month extension option. Although the Issuer did not fund the pool within the originally expected time frame, the 100% funding target was reached with the July 2023 remittance when the trust reached a balance of $496.6 million, representing 99.3% of the originally planned $500 million pool balance. The transaction now pays sequentially. The fully funded transaction is concentrated by property type with office, multifamily, and industrial properties representing 23.9%, 22.9%, and 19.2% of the current pool balance, respectively. DBRS Morningstar notes an elevated risk profile for the Westview loan (Prospectus ID#12; 7.9% of the pool), which is secured by a 100,182-square foot (sf) office building in Austin, adjacent to the Texas State Capitol. In 2018, the subject property underwent a $32.0 million capital expenditure program to modernize the exterior, add 75,000 sf of space, and renovate and install creative office space. As of the June 2023 reporting, the subject was 92.4% occupied, which remains in line with the occupancy rate at the loan's contribution to the trust. As noted at issuance, the largest tenant was WeWork, which occupied three floors at the subject, accounting for 46.3% of the net rentable area (NRA) with a lease expiry in January 2032. In August 2023, the borrower secured an agreement with WeWork to modify its lease, which will allow the borrower to recapture and then re-lease one of WeWork's three floors (15.4% of the NRA). In exchange, the borrower has agreed to an 18-month base rent reduction of 10% or approximately $188,000 annually. In early November 2023, WeWork filed for Chapter 11 bankruptcy and in those filings identified approximately 70 leases it has requested to cancel as part of the bankruptcy proceedings. The bulk of the leases to be rejected are in New York and California—no leases in Austin or elsewhere in Texas have been included in any public filings or notices to date. WeWork has a total of eight locations in the Austin metropolitan statistical area (including the subject), and the June 2023 asset summary report provided by the servicer noted the subject property is one of the top performers in the Austin market. The tenants at the subject WeWork location are satellite offices of larger companies, most of which signed leases of longer than six months duration. The WeWork lease was structured with a $3.5 million guarantee for the first six years, which declined to $2.0 million thereafter to the end of the lease in 2032. In addition, there is a $1.5 million letter of credit (LOC) that reduces to $1.0 million in February 2025. The guarantee wasn't of high value before the bankruptcy filing and is now even less valuable; DBRS Morningstar has requested confirmation of the status of the LOC, but the bankruptcy filing has likely affect that credit as well. The loan reported net cash flow (NCF) of $3.8 million for the trailing 12 months ended June 30, 2023, compared with the DBRS Morningstar NCF of $2.9 million. When the renegotiated WeWork lease is factored in, the NCF and occupancy rate are expected to decline to $3.7 million and 77.0%, respectively. There is marginal rollover risk with only one tenant, representing 5.9% of the NRA, having a lease expiration in the next 12 months. According to a Q3 2023 Reis report, the Austin central business district submarket reported a vacancy rate of 24.5%, which has increased from the 22.5% rate in the previous quarter. WeWork is currently paying $35.63 per square foot (psf) at the subject property while the Q3 2023 Reis report notes an effective rent of $35.90 psf, limiting any upside rent potential as the borrower re-leases the fourth floor. Given the uncertainty surrounding the future of WeWork and the softening submarket conditions, the loan was analyzed with a stressed scenario to increase the expected loss, which was nearly three times the deal average in the model output. Notes: All figures are in U.S. dollars unless otherwise noted. GUARDIA 1 LTD: Moody's Ups Rating on $17.5MM Cl. D Notes From Ba2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Guardia 1, Ltd.: US$24,500,000 Class B-R Deferrable Fixed Rate Mezzanine Notes due 2037, Upgraded to Aa3 (sf); previously on October 20, 2021 Assigned A1 (sf) US$12,600,000 Class C-R Deferrable Fixed Rate Mezzanine Notes due2037, Upgraded to A2 (sf); previously on October 20, 2021 Assigned Baa1 (sf) US$17,500,000 Class D Deferrable Fixed Rate Junior Notes due 2037, Upgraded to Baa3 (sf); previously on October 20, 2021 Assigned Ba2 (sf) Guardia 1, Ltd., issued in November 2019 and refinanced in October 2021 is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate loans and bonds. At least 30.0% of the portfolio must consist senior secured loans, senior secured notes, and eligible investments, and up to 70.0% of the portfolio may consist of second lien loans, unsecured loans, bonds, subordinated bonds and unsecured bonds and up to 2% of the portfolio may consist of letters of credit. The transaction's reinvestment period will end in October 2024. RATINGS RATIONALE These rating actions reflect the benefit of shortening of the weighted average life (WAL) covenant which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. In particular, Moody's modeled a portfolio WAL of 5.25 years compared to 11 years at the time of deal's ramp-up. The notes also benefit from the deal approaching the end of its reinvestment period in October 2024, after which note repayments are expected to commence. Additionally, the deal currently reports passing all its covenants. 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: $345,317,263 Defaulted par: $0 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3194 Weighted Average Coupon (WAC): 4.35% Weighted Average Recovery Rate (WARR): 41.8% Weighted Average Life (WAL): 5.25 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, 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. HARTWICK PARK: S&P Assigns BB-(sf) Rating on $10.50MM Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Hartwick Park CLO Ltd./Hartwick 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 ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Hartwick Park CLO Ltd./Hartwick Park CLO LLC Class A, $172.50 million: Not rated Class A-L loans, $48.00 million: Not rated Class A-L notes, $0.00 million: Not rated Class B, $45.50 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D (deferrable), $21.00 million: BBB- (sf) Class E (deferrable), $10.50 million: BB- (sf) Subordinated notes, $30.30 million: Not rated INVESCO US 2023-4: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Invesco U.S. CLO 2023-4, Ltd. Entity/Debt Rating ----------- ------ Invesco U.S. CLO 2023-4, Ltd. A-1 LT AAA(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 Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Invesco U.S. CLO 2023-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 3 L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.21, versus a maximum covenant, in accordance with the initial expected matrix point of 26.24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.4% versus a minimum covenant, in accordance with the initial expected matrix point of 73.93%. 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 11.5% 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 matrix analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes; and as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. INVESCO US 2023-4: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2023-4, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Invesco U.S. CLO 2023-4, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Invesco U.S. CLO 2023-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 3 L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.21, versus a maximum covenant, in accordance with the initial expected matrix point of 26.24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.4% versus a minimum covenant, in accordance with the initial expected matrix point of 73.93%. 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 11.5% 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 WAL used for the transaction stress portfolio and matrix analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes; and as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. JP MORGAN 2012-C8: DBRS Confirms B Rating on Class X-B Certs ------------------------------------------------------------ DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2012-C8 issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 as follows: -- Class X-B at B (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect minimal changes in DBRS Morningstar's expectations since the last rating action in December 2022. One loan, Ashford Office Complex (Prospectus ID#5; 100% of the pool), which has been in special servicing since August 2022 following maturity default, remains in the pool. DBRS Morningstar's ratings are based on a recoverability analysis of the remaining asset that continues to indicate that disposition of the asset will likely result in a loss to the remaining trust. Ashford Office Complex is secured by three eight-story Class B office buildings totaling 570,000 square feet in the Energy Corridor of Houston. The loan's decline in performance dates back to 2017 when the in-place debt service coverage ratio fell below breakeven, driven by volatility in the oil and gas industry. Market fundamentals softened and credit metrics declined further amid the Coronavirus Disease (COVID-19) pandemic. Although new leases have been signed in the past year, the occupancy rate remains stressed at 57.1% as of June 2023, down from 61.0% at YE2022 and well below 92.3% at issuance. The subject property is located in a submarket with one of the highest vacancy rates in the U.S. Reis reported the West/Katy Freeway submarket's Q3 2023 average rental and vacancy rates at $28.30 per square foot (psf) and 26.9%, respectively, while office properties within a five-mile radius reported average rental and vacancy rates of $30.10 psf and 17.0%, respectively. In comparison, the collateral currently achieves an in-place average rental rate of $17.6 psf as of the July 2023 rent roll. From the time of the loan's transfer to special servicing in August 2022 through the spring of 2023, the servicer's commentary suggested ongoing discussions with the borrower regarding a maturity extension. However, beginning in May 2023, the servicer reported a receiver sale was to be scheduled and a loan assumption was being offered as part of the sale. The most recent commentary, dated November 2023, suggests that remains the disposition strategy but no other updates have been provided. The loan reported current on principal and interest payments as of the November 2023 remittance and there are relatively minimal servicer advances outstanding as of that report. The property was re-appraised in November 2022 at $59.7 million, a 25.6% decrease from the issuance appraised value of $80.2 million. The loan was current as of the October 2023 reporting. DBRS Morningstar expects that, in an assumption or liquidation scenario, the asset will be sold at a discount at the most recent appraised value given the collateral's year-over-year declines in net cash flow, soft submarket location, and the general lack of investor appetite for this property type. DBRS Morningstar analyzed this loan with a liquidation scenario and determined that the asset could withstand up to a 75% reduction in the reported appraised value before losses would exceed the unrated Class NR bond. However, given the exposure to a single, defaulted asset and the possibility that interest could be shorted in the future, the B (low) (sf) rating was maintained for the Class G certificate. Notes: All figures are in U.S. dollars unless otherwise noted. MERRILL LYNCH 2008-C1: Moody's Cuts Rating on Cl. G Certs to Ca --------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class and downgraded the rating on one class in Merrill Lynch Mortgage Trust 2008-C1, Commercial Mortgage Pass-Through Certificates, Series 2008-C1, as follows: Cl. G, Downgraded to Ca (sf); previously on Mar 4, 2020 Downgraded to Caa2 (sf) Cl. X*, Affirmed C (sf); previously on Mar 4, 2020 Affirmed C (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on Cl. G was downgraded due to higher realized losses as a result of recently liquidated loans. Cl. G has now experienced a 47% realized loss based on its original balance. The rating on the IO class was affirmed based on the credit quality of its referenced classes. As of the November 2023 remittance statement, the transaction's aggregate certificate balance has decreased by over 99% to $912,723 from $948 million at securitization. The certificates are collateralized by only one remaining mortgage loan, representing 100% of the pool, which has been defeased and is secured by US government securities. The remaining loan is fully amortizing and has a maturity date in December 2027. Twenty-one loans have been liquidated from the pool, contributing to an aggregate realized loss of approximately $80 million. The most recent loan liquidation occurred in the September 2023 remittance report and caused a $4.5 million loss on Cl. G, which is the sole remaining P&I class in the transaction Moody's does not anticipate losses from the remaining collateral in the current environment. Moody's base expected loss plus realized losses is now 8.5% of the original pooled balance, compared to 8.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns. Factors that could lead to a downgrade of the ratings include an increase in realized and expected losses or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. MIDOCEAN CREDIT XIII: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to MidOcean Credit CLO XIII Ltd. Entity/Debt Rating ----------- ------ MidOcean Credit CLO XIII 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 Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY MidOcean Credit CLO XIII Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager 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 23.3, versus a maximum covenant, in accordance with the initial expected matrix point of 24.5. 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 95.04% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.21% versus a minimum covenant, in accordance with the initial expected matrix point of 72.5%. 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 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes; and as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'A+sf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/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. MORGAN STANLEY 2013-C8: Fitch Lowers Rating on Cl. F Certs to CCsf ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed one class of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM), commercial mortgage pass-through certificates, series 2013-C8. Class D has paid in full. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2013-C8 D 61761QAN3 LT PIFsf Paid In Full BBB-sf E 61761QAQ6 LT BBsf Affirmed BBsf F 61761QAS2 LT CCsf Downgrade Bsf KEY RATING DRIVERS Pool Concentration; Adverse Selection: This transaction is concentrated with only three loans remaining, two of which are in special servicing and the other is 90+ days delinquent. Fitch performed a look-through analysis to determine the loans' expected recoveries and to assess the outstanding classes' ratings relative to credit enhancement (CE). The downgrade reflects this analysis as well as the class' reliance on recoveries from the special serviced assets with an uncertain timeline for resolution. The Negative Outlook reflects the potential for future downgrades should losses to the special-serviced assets exceed expectations or should values continue to deteriorate. Largest Contributor to Loss: The largest contributor to loss is The Atrium at Fashion Center (45%), which is a 173,073sf retail center located in Paramus, NJ. The loan transferred to special servicing in January 2023, due to imminent default as a result of the February 2023 loan maturity. According to servicer updates, a loan modification and extension were executed. The modification contemplates a one-year extension of the maturity date with two one-year options to extend the maturity date, the loan becomes interest-only during the extension period. The loan is pending a return to the master servicer. Occupancy was 71% as of June 2023, down from 100% at YE 2022. The decline in occupancy is attributed to Bed, Bath & Beyond vacating prior to lease expiration due to bankruptcy. Fitch's loss expectations of approximately 51% reflects a value of approximately $56/sf. The next largest contributor to loss is the 11451 Katy Freeway asset (41%), which is a 117,261sf office property located Houston, TX. The loan transferred to special servicing in August 2022. According to servicer updates, the special servicer is evaluating a potential loan assumption and modification. Occupancy was 91% as of June 2023, which is a slight decline from 94% at YE 2022. The largest tenants are GHD Services Inc (18% NRA; through September 2024) and Real Wealth Academy LLC (10% NRA; through September 2027). The servicer reported NOI DSCR was 1.26x at YE 2022, which is in line with prior years. Fitch's loss expectations of 46% reflects a value of approximately $100/sf. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'BBsf' rated classes would occur should losses from specially serviced loans/assets be larger than expected, or if performance continues to deteriorate. Further downgrades to the distressed class F would occur as losses are realized or become more imminent. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade to the 'BBsf' rated class is not likely unless the recoveries to the special serviced assets significantly exceed Fitch's expectations and the performance of the remaining loan(s) is significantly improved. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2023-20: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Morgan Stanley Eaton Vance CLO 2023-20, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Morgan Stanley Eaton Vance CLO 2023-20, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Morgan Stanley Eaton Vance CLO 2023-20, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Morgan Stanley Eaton Vance CLO Manager 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 24.3, versus a maximum covenant, in accordance with the initial 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 99.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.1% versus a minimum covenant, in accordance with the initial matrix point of 71.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1 notes, between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' 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-1 and A-2 notes as these notes are in the highest rating category of 'AAAsf'. At 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, 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. MSDB TRUST 2017-712F: S&P Lowers Class C Certs Rating to 'BB+(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from MSDB Trust 2017-712F, a U.S. CMBS transaction. At the same time, S&P affirmed one rating from the transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a fixed-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple interest in a 52-story, 543,386-sq.-ft. mixed-use (class A office and retail) building located at 712 Fifth Avenue in midtown Manhattan. Rating Actions The downgrades on classes B and C reflect: -- The lack of meaningful improvement in the property's occupancy rate since our last review in April 2023. -- S&P's expected-case valuation, which, while unchanged from its last review, is 19.0% lower than the valuation S&P derived at issuance due primarily to reported decreases in occupancy and net cash flow (NCF) at the property. -- S&P's view that, due to weakened office submarket fundamentals, the borrower will continue to face challenges re-tenanting vacant space in a timely manner. The affirmation on class A considers the comparatively moderate debt per sq. ft. (about $391 per sq. ft.), among other factors. S&P said, "In our April 2023 review, we assumed the property's occupancy rate would reach about 72.3% (increasing from 68.7% reported in the Feb. 28, 2023, rent roll) after considering known tenant movements, including those that were expected to move into the building in the second half of 2023. As a result, assuming a 72.3% occupancy rate, an S&P Global Ratings' gross rent of $120.50 per sq. ft. for the office space and $446.18 per sq. ft. for the retail space, and a 43.0% operating expense ratio, we derived a long-term sustainable NCF of $25.3 million. Using an S&P Global Ratings' capitalization rate of 6.25%, we arrived at an expected-case value of $405.2 million or $746 per sq. ft." As of the Sept. 30, 2023, rent roll, the property's occupancy rate was 66.9%. S&P expects the occupancy rate to increase to about 71.2% after considering three newly-signed leases comprising 4.3% of net rentable area (NRA) that commenced in November or December 2023 (with rent starting in mid- to late-2024). The three leases are TFMG Associates LLC (2.4% of NRA; September 2034 lease expiry), Clipway USA LLC (1.1%; October 2034), and AGC Equity Partners US LLC (0.8%; May 2031). The office and retail components were 80.4% and 21.1% leased, respectively. In S&P's current analysis, it also considered that, according to CoStar, roughly 21.1% of the building's NRA is currently on the market for sublease or potentially going dark. As a result, using a 71.2% occupancy rate, an S&P Global Ratings' gross rent of $116.24 per sq. ft. for the office space and $458.35 per sq. ft. for the retail space, and a 42.8% operating expense ratio, we derived a sustainable NCF of $25.3 million--the same as in our last review and 21.0% higher than the servicer-reported year-end 2022 NCF. This is mainly attributable to the servicer's figures including rent concessions. The servicer reported a NCF of $11.7 million for the six months ended June 30, 2023. Using an S&P Global Ratings' capitalization rate of 6.25% (unchanged from our last review), S&P arrived at an S&P Global Ratings' expected case value of $405.2 million (also unchanged), or $746 per sq. ft., which is 56.9% lower than the issuance appraisal value of $940.0 million. This yielded an S&P Global Ratings loan-to-value (LTV) ratio of 74.0% on the trust balance. Although the model-indicated ratings were lower than S&P's ratings on classes A, B, and C, it tempered its downgrades on classes B and C and affirmed our rating on class A because of certain qualitative considerations. These include: -- The property's desirable location in proximity to Central Park along Fifth Avenue in midtown Manhattan's Plaza District office submarket. -- The potential that the property's operating performance could improve above S&P's expectations. While CoStar identified subleasing activity at the property, the sponsor has signed new or renewal leases in the last few years. In addition, there is $5.5 million in lender-controlled reserve accounts. -- The relatively high 2017 appraised land value of $520.0 million. -- The relatively moderate debt per sq. ft. ($391 per sq. ft. for class A). -- The significant market value decline that would need to occur before these classes experience principal losses. -- The temporary liquidity support provided in the form of servicer advancing. -- The relative position of classes A and B in the payment waterfall. S&P said, "We will continue to monitor the leasing and performance of the property and loan. We may revisit our analysis and take further rating actions if we receive information that differs materially from our expectations, such as reported negative changes in the performance beyond what we already considered or the loan is transferred to special servicing.' Property-Level Analysis The loan collateral consists of a 52-story, 543,386-sq.-ft. mixed-use (class A office and retail) building located at 712 Fifth Ave., occupying the southwest corner of Fifth Avenue and 56th Street in midtown Manhattan's Plaza District office submarket. It is centrally located and accessible via multiple transportation modes. The office component, which was originally designed for residential use before converting to its current use mid-construction, was built in 1990 and was designed around the landmarked facades of the Coty and Rizzoli Buildings at the base of the property, where the retail component is situated. The building includes a five-story central atrium, boutique-sized floor plates, and has unobstructed panoramic views of midtown Manhattan and Central Park from the upper floors. At issuance, 85,917 sq. ft. of retail space on floors 1 through 4, the concourse, and lower levels 1 and 2 was leased to Henri Bendel as its flagship store through February 2021 at a rental rate that was well below the issuance appraiser's concluded weighted average retail rent. The tenant's parent company, L Brands, closed all its stores. On Jan. 31, 2019, Henri Bendel vacated the premises and paid an $8.6 million termination fee. The sponsor was able to partly backfill 17,925 sq. ft. of the vacant retail space to Harry Winston Inc. with a lease that commenced Jan. 1, 2022 (rent started in June 2022) and expires on Dec. 31, 2037, at a base rent of $446.18 per sq. ft. The remaining retail space is still unoccupied as of the Sept. 30, 2023, rent roll. In 1998, the current sponsors, Paramount Group Inc. and the Von Finck Family, acquired the leasehold interest in the property for $264.0 million and later purchased the fee interest for $11.0 million in 2015. In 2019, the sponsors invested capital to extensively renovate the building's lobby and more recently, in 2023, to renovate and reposition a portion of the building's retail space into a public, four-story atrium. The property's occupancy rate was 66.9% as of the Sept. 30, 2023, rent roll (we expect it to increase slightly to 71.2% after reflecting new leases that commenced in the latter part of 2023), compared with 68.7% in 2022, 67.2% in 2021, 67.5% in 2020, and 70.3% in 2019. The five largest tenants at the property comprised 24.5% of NRA and included: -- CVC Advisors U.S. Inc. (7.2% of NRA; 9.4% of gross rent, as calculated by S&P Global Ratings; September 2025 lease expiration). CoStar noted that the tenant may vacate and go dark as early as December 2023. -- Loeb Enterprises II LLC (5.7%; 5.3%; June 2026). According to CoStar, the tenant's space is currently marketed for sublease. -- Aberdeen Standard Investments Inc. (5.0%; 7.0%; January 2033). According to CoStar, the tenant has marketed its space for sublease, of which 9,124 sq. ft. on floor 50 has been subleased to a tenant in August 2023. -- OMI Management U.S. L.P. (4.2%; 7.3%; February 2028). -- Riverstone Equity Partners LP (3.6%; 4.7%; August 2029). The tenant reduced its footprint by 1.8% of NRA when the lease expired in August 2023. The property has notable rollover prior to the loan's 2027 maturity date in 2025 (17.9% of NRA; 22.8% of S&P Global Ratings in place gross rent) and 2026 (10.2%; 9.8%). The 2025 rollover is primarily attributable to CVC Advisors U.S. Inc. (7.2% of NRA; September 2025 expiry), Griffon Corp. (3.6%; August 2025), Douglas Elliman LLC (2.4%, which is currently being marketed for sublease, per CoStar; June 2025), Vector Group Inc. (1.7%; June 2025), and Bancorp Inc. (1.4%; June 2025). CoStar also noted that five other tenants are marketing their spaces for sublease or have recently subleased their space: Unifund Inc. (1.8%; July 2026), GSR Service USA LLC (1.8%; July 2027), Artisan Partners (1.2%; February 2034), IK Investment Partners LLC (0.6%; August 2027), and Sand Grove Capital Management L.P. (0.5%; March 2024). Per CoStar, The Plaza District office submarket continues to experience elevated vacancy and availability rates, and flat rent growth as office utilization remains well below pre-pandemic levels. This is mainly driven by lower demand for office space due to the widespread adoption of hybrid work arrangements. As of year-to-date December 2023, the four- and five-star office properties in the submarket had a 13.9% vacancy rate, 15.3% availability rate, and $93.41-per-sq.-ft. asking rent. This compares with an average asking rent of $95.91-per-sq.-ft. and an average vacancy rate of 10.6% for four- and five-star office properties at issuance in 2017. CoStar projects vacancy to increase to 16.1% in 2024 and 18.3% in 2025 and asking rent to contract to $91.20 per sq. ft. and $89.24 per sq. ft. for the same periods. This compares with the office collateral 's in-place 19.6% vacancy rate and $116.24-per-sq.-ft. gross rent, as calculated by S&P Global Ratings. Transaction Summary The 10-year IO mortgage loan had an initial and current balance of $300.0 million (according to the Nov. 13, 2023, trustee remittance report), pays an annual fixed interest rate of 3.39%, and matures on July 7, 2027. The borrower has a one-time right to obtain up to two mezzanine loans subject to an aggregate LTV ratio of less than or equal to 50.0% and aggregate debt yield that is greater than or equal to 8.75%. The loan is currently on the master servicer's watchlist due to a low reported occupancy and the master servicer, Wells Fargo Bank N.A., has reached out to the borrower for leasing updates. The borrower is current on its debt service payments through November 2023. The servicer reported a debt service coverage of 2.28x for the six months ended June 30, 2023, 2.03x as of year-end 2022, and 1.25x as of year-end 2021. To date, the trust has not incurred any principal losses. Ratings Lowered MSDB Trust 2017-712F Class B to 'A (sf)' from 'AA- (sf)' Class C to 'BB+ (sf)' from 'BBB (sf)' Rating Affirmed MSDB Trust 2017-712F Class A: 'AAA (sf)' NLT TRUST 2023-1: Fitch Assigns 'B(EXP)' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to NLT 2023-1 Trust. Entity/Debt Rating ----------- ------ NLT 2023-1 Trust A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes to be issued by NLT 2023-1 Trust, Mortgage-Backed Notes, Series 2023-1 (NLT 2023-1) as indicated above. The notes are supported by 547 loans with a balance of $172.33 million (this includes $1.3 million of deferred balances) as of the cutoff date. This will be the first NLT transaction rated by Fitch that has loans with exceptions to a government-sponsored entity (GSE) guidelines (scratch & dent [S&D] loans). The notes are secured by a pool of re-performing and performing, fixed-rate, adjustable-rate and step-rate, fully amortizing and interest-only (IO) mortgage loans primarily secured by first liens on one- to four-family residential properties, condominiums/co-ops, manufactured housing and planned unit developments. Based on the transaction documents, 92.5% of the pool comprises collateral that had a defect or exception to guidelines making it ineligible to remain in a GSE pool and the remaining 7.5% are performing loans seasoned six months or more, according to Fitch According to Fitch, 80.8% of the loans are nonqualified mortgages (non-QM, or NQM) as defined by the Ability to Repay (ATR) rule (the Rule), 0.0% are safe-harbor QM loans and the remaining are exempt from the QM rule as they are investment properties or were originated prior to the ATR rule taking effect in January 2014. The discrepancy in non-QM percentages is due to Fitch considering scratch and dent loans originated after January 2014 as non-QM loans. Per the transaction documents, CrossCountry Mortgage, LLC (CCM) originated 14.0% of the loans, Fairway Independent Mortgage Corporation (Fairway) originated 10.1%, and the remaining 75.9% were originated by various other third-party originators, each contributing less than 10%. Fitch assesses Fairway and CCM as 'Average' originators. The loans were aggregated by Nomura, which Fitch considers an 'Acceptable' aggregator. Fay Servicing LLC (Fay) will service 100% of the loans. Fitch rates Fay 'RSS2'. Fay has been the servicer on prior Fitch-rated S&D transactions. Fitch believes that Fay Servicing has the requisite controls and practices in place to effectively servicer S&D loans. There is no Libor exposure in this transaction. The majority of the loans in the collateral pool comprise fixed-rate mortgages, 4.78% of the pool comprises adjustable-rate mortgages (ARMs) and 0.59% are step-rate mortgages. The ARM and step-rate loans in the pool reference: the one-year constant Maturity Treasury and 30-day, six-month and one-year Secured Overnight Financing Rate (SOFR). The loans that were originated with an index based off of one-year or six-month Libor were transitioned to one-year or six-month SOFR indexes (this impacted 0.78% of the pool). The offered class A-1 notes do not have Libor exposure as the coupons are fixed rate and capped at the net weighted average coupon (WAC). The class A-2, A-3, M-1, B-1, B-2, B-3, and B-4 notes have coupons based on the net WAC. The class B and PT notes are exchangeable and will not have a note rate but are entitled on each payment date to receive the interest payment amount and interest carryforward amounts otherwise payable to the related initial exchangeable notes for such payment date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (vs. 9.42% on a national level as of 2Q23, up 1.82% since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 1.87% YoY nationally as of October 2023, despite modest regional declines, but are still being supported by limited inventory. Nonprime Credit Quality (Negative): The collateral consists of 547 first lien fixed-rate, adjustable-rate and step-rate, fully amortizing balloon and IO mortgages with maturities of up to 38 years totaling $172.3 million (including deferred balances). The pool is seasoned at 39 months, per the transaction documents (43 months, as determined by Fitch). The borrowers in this pool have relatively strong credit profiles with a Fitch-determined WA FICO score of 723 (727 WA original FICO and 729 WA updated FICO per the transaction documents) and a 39.8% Fitch-determined debt-to-income ratio (DTI), as well as moderate leverage, with an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 78.6%, translating to a Fitch-calculated sustainable LTV ratio (sLTV) of 73.8%. In Fitch's analysis, Fitch re-coded occupancy based on due diligence findings for some loans; as a result, Fitch will have more investor properties in its analysis than are shown in the transaction documents. Fitch's analysis considers 78.3% of the pool consisting of loans where the borrower maintains a primary residence (83.0% based on transaction documents), while 17.1% comprises investor properties (11.9% based on transaction documents) and 4.6% represents second homes (4.6% per transaction documents). In Fitch's analysis, Fitch re-coded property types based on due diligence findings; as a result, the percentages will not tie out to the property types in the transaction documents. In Fitch's analysis, the majority of the loans (76.4%) are to single-family homes and planned unit developments (PUDs); 9.4% are to condos; 1.9% are to co-ops; and 12.3% are to multifamily homes, manufactured housing and other property types. In the analysis, Fitch treated manufactured properties and properties coded as other occupancy types as multifamily; as a result, the probability of default (PD) was increased for these loans. In total, 76.6% of the loans were originated through a retail channel. According to Fitch, 80.8% of the loans are designated as non-QM loans and 0.0% are safe-harbor QM loans, while the remaining 19.2% are exempt from QM status as they were originated prior to the ATR rule taking effect in January 2014 or since the occupancy type is investor occupied. In Fitch's analysis, Fitch considered scratch and dent loans originated after January 2014 to be non-QM since they are no longer eligible to be in GSE pools; as a result, Fitch's non-QM, QM and loans exempt from QM percentages will not tie out to the transaction documents. The pool contains 21 loans over $1.0 million, with the largest loan at $2.4 million. Fitch determined that self-employed borrowers make up 27.3% of the pool and salaried borrowers make up 72.7%; Fitch's self-employed borrower number includes 6.5% unknowns; hence, it may differ from the transaction documents. About 17.1% of the pool comprises loans for investor properties, according to Fitch. According to Fitch, there are no second liens in the pool and 45 loans (7%) have subordinate financing. Around 22.2% of the pool is concentrated in California. The largest MSA concentration is in the New York City MSA (10.5%), followed by the Los Angeles MSA (7.8%), and the San Francisco MSA (5.0%). The top three MSAs account for 23.3% of the pool. As a result, there was no penalty for geographic concentration. According to Fitch, 98% of the pool is current as of the cut-off date. Overall, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Guideline Exception Loans (Negative): Of the collateral, 92.5% consists of loans that had defects or exceptions to guidelines at origination with a substantial portion originally underwritten to GSE guidelines. The exceptions ranged from those that are immaterial to Fitch's analysis (loan seasoning and mortgage insurance issues) to those that are handled by Fitch's model due to tape attributes (prior delinquencies and LTVs above guidelines) to loans with potential compliance exceptions that received loss adjustments (loans with miscalculated DTIs and potential ATR issues). In addition, loans with missing documentation may extend foreclosure timelines or increase loss severity (LS), which Fitch is able to account for in its loss analysis. Non-QM Loans with Less than Full Documentation (Negative): Approximately 36.1% of the pool was underwritten to less than full documentation, according to Fitch. Specifically, 85.9% was underwritten to conventional Fannie Mae/Freddie Mac guidelines, 9.1% was underwritten to FHA guidelines and 5.0% was underwritten to VA guidelines. Overall, Fitch increased the PD on non-full documentation loans to reflect the additional risk. In Fitch's analysis, Fitch considered less than full documentation loans as 16.0% stated documentation, 9.1% less than full documentation and 11.0% no documentation. The remaining 63.9% were considered full documentation. Due to due diligence findings and documentation treatment of certain loan documentation types, Fitch's documentation types will not match the documentation types in the transaction documents. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to underwriting and documentation of the borrower's ATR. Loan Count Concentration (Negative): The loan count for this pool (547 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the WA number (WAN) of loans is less than 300; in this pool, the WAN is 294. The loan count concentration for this pool results in a 1.06x penalty, which increases loss expectations by 10 basis points (bps) at the 'AAAsf' rating category. Sequential Deal Structure with No Advancing (Mixed): The transaction utilizes a sequential payment structure with no advancing of delinquent principal and interest. In a sequential structure, the subordinate classes do not receive principal until the senior classes are repaid in full. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class with no advancing. Losses will be allocated to the notes in reverse sequential order starting with class B-4. The transaction has excess interest, which will help protect the classes from losses if they are to occur. There is not advancing of delinquent principal and interest in this transaction. This results in a lower LS, since funds will not have to be paid out to the servicer for delinquent principal and interest amounts on which they advanced. However, the credit enhancement (CE) will be increased as principal funds will need to be used to pay interest if loans become delinquent. The coupons on the class A-1 notes are based on the lower of the net WAC or the stated coupon. The coupons on the class A-2, A-3, M-1, B-1, B-2, B-3, and B-4 notes are based on the net WAC. The class B and PT notes do not have a stated coupon but are paid interest based on the classes with which they are exchangeable. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.2%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on six areas: compliance review, credit review, valuation review, data integrity, servicing comment review and title review. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch did adjust the expected losses. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria". The sponsor, Nomura Corporate Funding Americas, LLS, engaged SitusAMC to perform the review. 100% of the loans were reviewed for compliance and they received initial and final grades for this subcategory. 82.8% of the loans reviewed received a credit and valuation review by SitusAMC and they received initial and final grades for these subcategories. For seasoned loans a payment history review was performed, a custodial reviewed was performed, a servicer comment review was performed and a tax and title search was performed. This is in addition to the servicer confirming the payment history and the current lien status. Fitch also received notes on exceptions based on the post close QC performed by the GSEs on 92.5% of the pool. Fitch took these notes into account during its analysis of the transaction. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans, and it increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered scratch and dent with material findings. For the remaining loans, Fitch did not consider the exceptions (if any) to be material due to the presence of compensating factors, such as having liquid reserves, a FICO above guideline requirements or LTVs or DTIs below guideline requirements. Therefore, no adjustments were needed to compensate for these occurrences on the non-scratch and dent loans. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS NLT 2023-1 Trust has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the reviewed originators and servicing parties did not have a material impact on the expected losses, the Tier 2 R&W framework with an unrated counterparty along with approximately 37% of the loans in the pool being underwritten by originators that have not been assessed by Fitch resulted in an increase in the expected losses and is relevant to the ratings. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PALMER SQUARE 2021-2: Moody's Ups Rating on $24.5MM D Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2021-2, Ltd.: US$42,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on July 18, 2022 Upgraded to Aa3 (sf) US$24,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Upgraded to A3 (sf); previously on July 18, 2022 Upgraded to Baa1 (sf) US$24,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Upgraded to Ba1 (sf); previously on April 21, 2021 Definitive Rating Assigned Ba2 (sf) Palmer Square Loan Funding 2021-2, Ltd., issued in April 2021, is a static cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2022. The Class A-1 notes have been paid down by approximately 34.5% or $110.7 million since then. Based on the trustee's November 2023 [1] report, the OC ratios for the Class B, Class C and Class D notes are reported at 125.80%, 117.91% and 110.94%, respectively, versus December 2022 [2] levels of 121.89%, 115.56% and 109.85%, respectively. Moody's notes that the November 2023 trustee-reported OC ratios do not reflect the November 2023 payment distribution, when $29.6 million of principal proceeds were used to pay down the Class A-1 Notes. Nevertheless, the credit quality of the portfolio has deteriorated since December 2022. Based on the trustee's November 2023 [3] report, the weighted average rating factor (WARF) is currently 2732 compared to 2623 in December 2022 [4]. 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." Performing par and principal proceeds balance: $430,457,112 Defaulted par: $281,241 Diversity Score: 62 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.21% Weighted Average Recovery Rate (WARR): 47.92% Weighted Average Life (WAL): 3.49 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. PRIME STRUCTURED 2021-1: DBRS Hikes D Certs Rating to BB(high) -------------------------------------------------------------- DBRS Limited upgraded its credit ratings on the following Mortgage-Backed Certificates, Series 2021-1 issued by Prime Structured Mortgage (PriSM) Trust: -- Mortgage-Backed Certificates, Series 2021-1, Class C (the Class C Certificates) to A (high) (sf) from A (sf) -- Mortgage-Backed Certificates, Series 2021-1, Class D (the Class D Certificates) to BBB (high) (sf) from BBB (sf) -- Mortgage-Backed Certificates, Series 2021-1, Class E (the Class E Certificates; together with the Class C Certificates, the Class D Certificates, the Upgraded Certificates) to BB (high) (sf) from BB (sf) In addition, DBRS Morningstar confirmed its credit ratings on the following certificates: -- Mortgage-Backed Certificates, Series 2021-1, Class A (the Class A Certificates) at AAA (sf) -- Mortgage-Backed Certificates, Series 2021-1, Class VFC (the Class VFC Certificates) at AAA (sf) -- Mortgage-Backed Certificates, Series 2021-1, Class IO (the Class IO Certificates) at AAA (sf) -- Mortgage-Backed Certificates, Series 2021-1, Class B (the Class B Certificates) at AA (sf) -- Mortgage-Backed Certificates, Series 2021-1, Class F (the Class F Certificates; together with the Class A Certificates, the Class VFC Certificates, the Class IO Certificates, the Class B Certificates, and the Upgraded Certificates, the Rated Certificates) at B (sf) The credit ratings on the Class A Certificates, the Class VFC Certificates (together with the Class A Certificates, the Senior Principal Certificates), the Class B Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates represent the timely payment of interest to the holders thereof and the ultimate payment of principal by the Rated Final Distribution Date under the respective credit rating stress. The credit rating on the Class IO Certificates is an opinion that addresses the likelihood of the Notional Amount of the Class IO Certificates' applicable reference certificates (i.e., the Senior Principal Certificates) being adversely affected by credit losses. The Mortgage-Backed Certificates, Series 2021-1, Class G (the Class G Certificates) and Mortgage-Backed Certificates, Series 2021-1, Class R (collectively with the Class G Certificates and the Rated Certificates, the Certificates) are not rated by DBRS Morningstar. The credit rating confirmations are based on the following factors: (1) The collateral comprises a pool of first-lien, fixed-rate, prime, B-20-compliant, uninsured Canadian residential mortgages with a maximum loan-to-value (LTV) ratio of 80% at origination. The total outstanding note balance was $559.3 million as of September 2023, representing a pool factor of 82.9%. The pass-through structure of the Certificates has resulted in higher subordination across the Rated Certificates. (2) Credit enhancement provided by subordination has built up since issuance, providing protection to the Certificates. (3) Credit performance since inception has been stable with no reported losses. The transaction benefits from strong asset quality consisting of prime conventional mortgages with high credit scores and low LTV ratios. Losses are allocated to the lowest-ranking Certificates outstanding. (4) TD Securities Inc., a wholly owned subsidiary of The Toronto-Dominion Bank (rated AA (high) with a Stable trend by DBRS Morningstar), is the Seller and Master Servicer and provides representations and warranties and is ultimately responsible for all the servicing obligations of the mortgages. First National Financial LP (rated BBB with a Stable trend by DBRS Morningstar), CMLS Financial Ltd., Paradigm Quest Inc., and MCAP Service Corporation, together ultimately servicing the Mortgage Loans as either Sub-Servicers or sub-sub-servicers, have extensive servicing experience in the Canadian residential mortgage market. The credit ratings on the Class D Certificates materially deviate from higher credit ratings implied by the quantitative results. DBRS Morningstar considers a material deviation to be a credit rating differential of three or more notches between the assigned credit rating and the credit rating implied by the quantitative results that is a substantial component of a credit rating methodology. The deviations are warranted as DBRS Morningstar recognizes the structural subordination of the Class D Certificates to the Class C Certificates. DBRS Morningstar monitors the performance of each transaction to identify any deviation from its expectations at issuance and to ensure that the credit ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers. Notes: All figures are in Canadian dollars unless otherwise noted. RACE POINT IX: S&P Affirms BB+ (sf) Rating on Class C-R Notes ------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D-R debt and removed it from CreditWatch with negative implications from Race Point IX CLO Ltd., a U.S. CLO managed by Bain Capital Credit L.P. S&P also affirmed its ratings on the class A-1A-2, A-2-R2, B-R, and C-R debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the November 2023, trustee report. S&P had placed the class D-R debt on CreditWatch on Oct. 24, 2023, primarily due to its failing overcollateralization (O/C) test and preliminary indicative cash flow results. Its previous rating action on the transaction was in April 2021, following its refinancing. Since S&P's April 2021 rating action, the class A-1A-2 debt had total paydowns of $35.03 million that reduced its outstanding balance to 87.64% of its original balance. The reported O/C ratios since the March 2021 trustee report, which S&P used for its previous rating actions are: -- The class A O/C ratio improved to 128.22% from 126.94%. -- The class B O/C ratio improved to 117.80% from 117.51%. -- The class C O/C ratio declined to 109.01% from 109.45%. -- The class D O/C ratio declined to 104.17% from 104.97%. While paydowns continued, the collateral portfolio's credit quality has slightly deteriorated since our April 2021 rating actions. Collateral obligations with ratings in the 'default' category have increased, with $4.21 million reported as of the November 2023 trustee report, compared with $2.33 million reported as of the March 2021 trustee report. Over the same period, even though the trustee report indicates that dollar value of the collateral obligations with the ratings in the 'CCC' category has declined, their exposure as a percentage of the portfolio now stands at 9.13%, compared to 8.91% as of the last rating action. As a result, while the senior O/C ratios experienced a positive change due to the lower balances of the senior notes, the junior O/C ratios declined due to a combination of par losses and increases in defaults and haircuts. S&P lowered the class D-R debt rating and removed it from CreditWatch negative as it was not passing the cash flows at its previous rating. The lowered rating reflects its cashflow results, deteriorated credit quality of the underlying portfolio, and the decrease in credit support available to the class D-R debt. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could result in further ratings changes. S&P said, "Although our cash flow analysis indicated higher ratings for the class A-2-R2 and B-R debt, our rating actions reflect additional sensitivity runs that considered the exposure to lower quality assets and distressed prices we noticed in the portfolio. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." Race Point IX CLO Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. S&P's cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment on any asset, our cash flow analysis considered the same. S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From Creditwatch Race Point IX CLO Ltd. Class D-R to 'B- (sf)' from 'B (sf)/Watch Neg' Ratings Affirmed Race Point IX CLO Ltd. Class A-1A-2: AAA (sf) Class A-2-R2: AA (sf) Class B-R: A (sf) Class C-R: BB+ (sf) RACE POINT VIII: S&P Affirms 'B- (sf)' Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings affirmed its ratings on Race Point VIII CLO Ltd. At the same time, S&P removed its rating on the class E-R debt from CreditWatch, where it was placed with negative implications on Oct. 24, 2023. The rating actions follow its review of the transaction's performance using data from the October 2023 trustee report. The transaction has paid down $93.68 million to the class A-R2 debt since our August 2020 review. The changes in the reported overcollateralization (O/C) ratios since the June 2020 trustee report include the following: -- The class A/B O/C ratio improved to 130.49% from 125.50%. -- The class C O/C ratio improved to 119.42% from 116.61%. -- The class D O/C ratio improved to 110.83% from 109.53%. -- The class E O/C ratio improved to 103.27% from 103.15%. Despite the O/C improvement, the class E-R O/C ratio is still failing its respective O/C test, which has a threshold of 103.60%. This and its preliminary cash flow results were among the key reasons for placing the class E-R debt rating on CreditWatch negative on Oct. 24, 2023. When compared to the August 2020 rating actions, the collateral portfolio's credit quality has improved slightly. The par amount of collateral obligations in the 'CCC' rating category has decreased slightly, but the concentration increased slightly to 10.91% ($62.37 million) of the performing balance as of the October 2023 trustee report, compared with 10.24% ($68.35 million) as of the June 2020 trustee report. The par amount of defaulted collateral decreased to $5.63 million from $14.64 million over the same period. The transaction has a very small exposure to long-dated assets (assets maturing after the CLO's stated maturity). According to the October 2023 trustee report, the balance of collateral with a maturity date after the transaction's stated maturity totaled $0.9 million (0.16% of the portfolio balance). S&P said, "In addition to its O/C, our preliminary cash flow analysis on the class E-R debt also indicated a failure at the time of the CreditWatch placement. However, our current full review factored the most recent portfolio, which indicated that the class benefitted from paydowns from the senior class. As a result, the class E-R debt cash flows are now passing at its current rating level. Although the class E-R O/C is still below its minimum required level, it has started to improve and the margin of failure is less than 40 basis points. Based on the class E-R debt passing cash flow results, continued paydowns of senior classes, and improved O/C, we affirmed the rating and removed it from CreditWatch negative." The affirmations of the class A-R2, B-R2, C-R2, and D-R2 debt reflect the adequate credit support at the current rating levels, though any further changes in the available credit support could result in further rating changes. S&P said, "On a standalone basis, the results of our cash flow analysis indicated higher ratings on the class B-R2, C-R2, and D-R2 debt within the same rating category. However, since the transaction currently has a relatively high exposure to 'CCC' rated collateral obligations, we further considered these three classes' cash flow cushions at the higher rating level and their current credit enhancement level. As a result, we affirmed the ratings to retain some cushions that could help offset any future potential negative credit migration in the underlying collateral. "Our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios, based on our criteria. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of our cash flow analysis and other qualitative factors, as applicable, demonstrated, in our view, that the outstanding rated classes have adequate credit enhancement available at the assigned rating levels." Race Point VIII CLO Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee (ARRC) recommended credit spread adjustment. Our cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, S&P's cash flow analysis considered the same. S&P will continue to review whether the ratings assigned to the debt remain consistent with the credit enhancement available to support them, and will take rating actions as S&P deems necessary. Ratings Affirmed Race Point VIII CLO Ltd. Class A-R2: AAA (sf) Class B-R2: AA (sf) Class C-R2: A (sf) Class D-R2: BBB- (sf) Rating Affirmed And Removed From CreditWatch Negative Race Point VIII CLO Ltd. Class E-R to 'B- (sf)' from 'B- (sf)'/Watch Neg RCKT MORTGAGE 2021-4: Moody's Ups Rating on Cl. B-4 Certs to Ba2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 15 bonds issued by RCKT Mortgage Trust 2021-4. The collateral backing this deal consists of prime jumbo mortgage loans. Complete rating actions are as follows: Issuer: RCKT Mortgage Trust 2021-4 Cl. A-21, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-22, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-23, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-12*, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-13*, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Sep 24, 2021 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A2 (sf); previously on Sep 24, 2021 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Sep 24, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Sep 24, 2021 Definitive Rating Assigned Ba3 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A2 (sf); previously on Sep 24, 2021 Definitive Rating Assigned A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. In Moody's analysis Moody's considered the additional risk of default on modified loans. Generally, Moody's apply a 7x multiple to the Probability of Default (PD) for private label modified mortgage loans and an 8x multiple to the PD for agency-eligible modified mortgage loans. However, Moody's may apply a lower multiple to the PD for loans that were granted short-term payment relief as long as there were no other changes to the loan terms, such as a reduced interest rate or an extended loan term, which can be used to lower the monthly payment on the loan. For loans granted short-term payment relief, servicers will generally defer the missed payments, which could be added as a non-interest-bearing balloon payment due at the end of the loan term. Alternatively, servicers could extend the maturity on the loan to match the number of missed payments. This transaction features a structural deal mechanism that the servicer and the securities administrator will not advance principal and interest to loans that are 120 days or more delinquent. The interest distribution amount will be reduced by the interest accrued on the stop advance mortgage loans (SAML) and this interest reduction will be allocated reverse sequentially first to the subordinate bonds, then to the senior support bond, and then pro-rata among senior bonds. Once a SAML is liquidated, the net recovery from that loan's liquidation is included in available funds and thus follows the transaction's priority of payment. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. REGATTA XXVI FUNDING: Fitch Assigns 'BB-' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Regatta XXVI Funding Ltd. Entity/Debt Rating Prior ----------- ------ ----- Regatta XXVI Funding Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Regatta XXVI Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $413 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 24.89, versus a maximum covenant, in accordance with the initial expected matrix point of 26.5. 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 99.64% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.52% versus a minimum covenant, in accordance with the initial expected matrix point of 72.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% 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 WAL used for the transaction stress portfolio and matrices analysis 1 and 2 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. The WAL used for matrices analysis 3 is the same as the WAL covenant. 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 a metric. The results under these sensitivity scenarios are as severe as between 'BBBsf' 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 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 and 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, 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. RIN V LLC: Moody's Assigns (P)Ba3 Rating to $8.75MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued and two classes of loans to be incurred by RIN V LLC (the "Issuer" or "RIN V"). Moody's rating action is as follows: US$125,000,000 Class A Floating Rate Senior Notes due 2035, Assigned (P)Aaa (sf) US$50,000,000 Class A-1-L Loans maturing 2035, Assigned (P)Aaa (sf) US$45,500,000 Class A-2-L Loans maturing 2035, Assigned (P)Aaa (sf) US$45,500,000 Class B Floating Rate Senior Notes due 2035, Assigned (P)Aa3 (sf) US$21,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2035, Assigned (P)A3 (sf) US$14,875,000 Class D Deferrable Floating Rate Mezzanine Notes due 2035, Assigned (P)Baa3 (sf) US$8,750,000 Class E Deferrable Floating Rate Mezzanine Notes due 2035, Assigned (P)Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt". On the closing date, the Class A-2-L Loans and the Class A Notes have a principal balance of $45,500,000 and $125,000,000, respectively. At any time, the Class A-2-L Loans may be converted in whole or in part to Class A Notes, thereby decreasing the principal balance of the Class A-2-L Loans and increasing, by the corresponding amount, the principal balance of the Class A Notes. The principal balance of the Class A Notes will not exceed $170,500,000, less the amount of any principal repayments. No Class A Notes or any other Class of Notes may be converted into Class A-1-L Loans or Class A-2-L Loans. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the project finance collateralized loan obligations' (PF CLO) portfolio and structure. RIN V is a managed cash flow PF CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 45% of the portfolio to be in project finance loans in the electricity (gas) contracted, merchant or power renewables sectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of second lien loans and permitted debt securities (i.e., senior secured bonds, senior secured notes, second priority senior secured note and high-yield bonds). Moody's expect the portfolio to be approximately 85% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the "Portfolio Advisor") 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 three year reinvestment period. Thereafter, the Portfolio Advisor may not reinvest and all proceeds received will be used to amortize the notes in sequential order. In addition to the Rated Debt, the Issuer will issue 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 debt in order of seniority. Moody's ratings of the Rated Debt also took into account the concentrated nature of the portfolio. The PF CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 45% of the portfolio's assets may be in the electricity (gas) contracted, merchant or power renewables sectors. The five largest sub-sectors could constitute up to 61% of the portfolio, with the largest sub-sector potentially being up to 45% of the portfolio. Additionally, the portfolio may have minimum of 50 obligors with the largest obligor potentially comprising up to 3.75% of the portfolio. Credit deterioration in a single sector or in a few obligors could have an outsized negative impact on the PF CLO portfolio's overall credit quality. Moody's analysis considered the potential for a concentrated portfolio. Moody's modeled the transaction by applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs Methodology" rating methodology published in November 2021 and by using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. Moody's also applied a default probability stress on the WARF covenant listed below for the project finance pool in accordance with Footnote 12 in "Project Finance and Infrastructure Asset CLOs Methodology." For project finance loans with a WARR of 75%, the default probability stress is 120% and for project finance loans with a WARR of 65%, the default probability stress is approximately 57.1%. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $350,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 2201 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 3102 Weighted Average Spread (WAS): 3.45% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65.0% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 42.1% Weighted Average Life (WAL): 7.0 years Permitted Debt Securities and Second Lien Loans: 4.0% Total Obligors: 50 Largest Obligor: 3.75% Largest 5 Obligors: 18.5% B2 Default Probability Rating Obligations: 17.0% B3 Default Probability Rating Obligations: 10.0% Project Finance Infrastructure Obligors: 50.0% Corporate Power Infrastructure Obligors: 16.0% Power Infrastructure Obligors: 48.5% Methodology Underlying the Rating Action: The methodologies used in these ratings were "Project Finance and Infrastructure Asset CLOs Methodology" published in November 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Portfolio Advisor's investment decisions and management of the transaction will also affect the performance of the Rated Debt. SANTANDER BANK 2023-B: Moody's Assigns (P)B3 Rating to Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the Santander Bank Auto Credit-Linked Notes, Series 2023-B (SBCLN 2023-B) notes to be issued by Santander Bank, N.A. (SBNA). SBCLN 2023-B is the second credit linked notes transaction issued by SBNA in 2023 to transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Santander Bank, N.A. Series: Santander Bank Auto Credit-Linked Notes, Series 2023-B Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa3 (sf) Class C Notes, Assigned (P)A3 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba3 (sf) Class F Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Santander Bank, N.A. or as a result of a FDIC conservator or receivership. This deal is unique in that the source of principal payments for the notes will be a cash collateral account held by a third party with a rating of A2 or P-1 by Moody's. SBNA will pay principal in the unlikely event that the cash collateral account does not have enough funds. The transaction also benefits from a Letter of Credit provided by a third party with a rating of A2 or P-1 by Moody's. As a result, the rated notes are not capped by the LT Issuer rating of Santander Bank, N.A. (Baa1). 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. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. 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 Santander Consumer USA Inc. as the servicer. Moody's median cumulative net loss expectation for the 2023-B reference pool is 3.00% and a loss at a Aaa stress of 12.00%. The median cumulative net loss at 3.00% for 2023-B is 0.75% higher than that assigned for 2023-A and the loss at a Aaa stress at 12.00% for 2023-B is 3.50% higher than that assigned for 2023-A, the last transaction Moody's rated. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Santander Consumer USA Inc. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2, Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit 12.50%, 11.25%, 9.50%, 7.55%, 6.50%, and 4.25% 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 B, Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. SLM STUDENT 2004-1: Fitch Lowers Rating on Class B Notes to BBsf ---------------------------------------------------------------- Fitch Ratings has affirmed the ratings of all outstanding classes of SLM Student Loan Trust (SLM) 2003-1. Fitch affirmed the class A-5 and A-6 notes of SLM 2004-1 and has downgraded the class B notes to 'BBsf' from 'BBBsf'. The Rating Outlooks for all outstanding notes of SLM 2003-1 remain Stable. The Outlooks for the class A-5 and A-6 notes of SLM 2004-1 have been revised to Stable from Negative. Following the downgrade, the class B notes have been assigned a Stable Outlook. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- SLM Student Loan Trust 2004-1 A-5 78442GKU9 LT BBBsf Affirmed BBBsf A-6 78442GKW5 LT BBBsf Affirmed BBBsf B 78442GKV7 LT BBsf Downgrade BBBsf SLM Student Loan Trust 2003-1 A-5A 78442GFK7 LT Bsf Affirmed Bsf A-5B 78442GFL5 LT Bsf Affirmed Bsf A-5C 78442GFM3 LT Bsf Affirmed Bsf B 78442GFJ0 LT Bsf Affirmed Bsf TRANSACTION SUMMARY SLM 2003-1: The senior and subordinate notes do not pass Fitch's base case cash flow stresses. The notes were affirmed at 'Bsf', one category higher than their current model-implied 'CCCsf' ratings. This is in line with Fitch's Federal Family Education Loan Program (FFELP) criteria and supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreements established by Navient, which allow the servicer to purchase loans from the trust. The Outlooks remain Stable. SLM 2004-1: The class A notes pass credit and maturity stresses in cash flow modeling up to 'Asf'. The notes face maturity risk (the risk of not being able to repay the principal due on the notes by the legal final maturity), although exposure to maturity risk has remained stable since the prior review despite the weighted average remaining term of the assets declining by only 1.16 months. This is reflected in the affirmation of the notes at 'BBBsf' and the revision of the Outlook to Stable from Negative. The downgrade of the class B notes to 'BBsf' from 'BBBsf' reflects that they only pass credit stresses up to the 'Bsf' level and face principal shortfalls at higher stresses. Fitch has noted an increase and stability in defaults at a higher level for the transaction. Fitch increased the sustainable constant default rate (sCDR) assumption to 2.50% from 2.25%. The rating of the notes is within one category of the model-implied rating, as is permitted by Fitch's FFELP criteria. For both transactions, Fitch modelled transaction-specific servicing fees instead of Fitch's criteria-defined assumption of $3.25 per borrower, per month due to the higher contractual servicing fees for these transactions. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Outlook Stable. Collateral Performance: SLM 2003-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 22.25% under the base case scenario and a default rate of 62.56% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining the sustainable constant default rate (sCDR) of 2.90% and the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 10.00% in cash flow modelling. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AAA' case. The trailing-twelve-month (TTM) levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 2.37% (2.58% at Nov. 30, 2022), 14.57% (12.63%) and 39.50% (37.19%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have declined and the 91-120 DPD have increased from one year ago and are currently 3.66% for 31 DPD and 2.01% for 91 DPD compared to 3.82% and 1.93% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.01%, based on information provided by the sponsor. SLM 2004-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 15.50% under the base case scenario and a default rate of 42.63% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is revising the sCDR upwards to 2.50% from 2.25%, as the trend in defaults has increased, and maintaining the sCPR of 8.00% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. The TTM levels of deferment, forbearance and IBR are 2.00% (2.15% at December 31, 2022), 9.36% (8.29%) and 18.90% (17.54%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have declined from one year ago and are currently 2.28% for 31 DPD and 0.90% for 91 DPD compared to 3.10% and 1.06% for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.21%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most current reporting period, for SLM 2003-1 and 2004-1, 85.08% and 96.56% of the trust student loans are indexed to SOFR (with the remainder indexed to 91-day T-bills). All notes are indexed to 90-day Average SOFR plus the spread adjustment of 0.26161%. Fitch applies its standard basis and interest rate stresses to both transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and for the class A notes, subordination provided by the class B notes. As of the most recent collection period, reported total parity is 100.00% for both SLM 2003-1 and 2004-1. Liquidity support is provided by reserve accounts currently sized at their floors of $3,083,057 and $3,007,834 for SLM 2003-1 and 2004-1, respectively. The transactions will continue to release cash as long as 100.00% total parity is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC (Navient). Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. SLM Student Loan Trust 2003-1 Current Ratings: class A 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2004-1 Current Ratings: class A-5 'BBBsf'; class A-6 'BBBsf'; class B 'Bsf' Current Model-Implied Ratings: class A-5 'AAAsf' (Credit Stress) / 'Asf' (Maturity Stress); class A-6 'AAAsf' (Credit Stress) / 'Asf' (Maturity Stress); class B 'Bsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'BBBsf'; class B 'Bsf'; - Default increase 50%: class A 'BBBsf'; class B 'BBsf'; - Basis spread increase 0.25%: class A 'BBBsf'; class B 'CCCsf'; - Basis spread increase 0.50%: class A 'BBBsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'BBsf'; class B 'Bsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'Bsf'; - IBR usage increase 25%: class A 'BBBsf'; class B 'Bsf'; - IBR usage increase 50%: class A 'BBBsf; class B 'Bsf'; - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SLM Student Loan Trust 2003-1 Credit Stress Sensitivity - Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity - CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term decrease 25%: class A 'CCCsf'; class B 'AAAsf'. SLM Student Loan Trust 2004-1 Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AAAsf'; class B 'Bsf'; - Basis Spread decrease 0.25%: class A 'AAAsf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'AAsf'; class B 'BBsf'; - IBR usage decrease 25%: class A 'AAsf'; class B 'Bsf'; - Remaining Term decrease 25%: class A 'AAAsf'; class B 'BBBsf'. 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. SYMPHONY CLO 37: Moody's Gives (P)B3 Rating to $125,000 F-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to three classes of CLO refinancing notes (the "Refinancing Notes") to be issued by Symphony CLO 37, Ltd. (the "Issuer"). Moody's rating action is as follows: US$285,000,000 Class A-1aR Senior Secured Floating Rate Notes due 2037 (the "Class A-1aR Notes"), Assigned (P)Aaa (sf) US$25,000,000 Class A-1bR Senior Secured Fixed Rate Notes due 2037 (the "Class A-1bR Notes"), Assigned (P)Aaa (sf) US$125,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2037 (the "Class F-R Notes"), Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist second-lien loans, unsecured loans and non-loan assets. Symphony Alternative Asset Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended reinvestment period. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3110 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 8 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. TSTAT LTD 2022-1: Fitch Assigns 'B+sf' Rating on Class F Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TSTAT 2022-1, Ltd. refinancing notes. Fitch has also upgraded the class D-2, E and F notes. The Rating Outlooks remain Stable. Entity/Debt Rating Prior ----------- ------ ----- TSTAT 2022-1, Ltd. A-1 872899AA7 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 872899AC3 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 872899AE9 LT PIFsf Paid In Full AA+sf B-R LT AA+sf New Rating C 872899AG4 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating D-1 872899AJ8 LT PIFsf Paid In Full BBB+sf D-1-R LT BBB+sf New Rating D-2 872899AL3 LT BBB+sf Upgrade BBB-sf E 87289RAA7 LT BB+sf Upgrade BB-sf F 87289RAC3 LT B+sf Upgrade B-sf TRANSACTION SUMMARY TSTAT 2022-1, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) managed by Trinitas Capital Management, LLC, that originally closed in August 2022. The CLO's secured notes were partially refinanced on Dec. 6, 2023 (the first refinancing date) from the proceeds of new secured notes. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.52% first-lien senior secured loans and has a weighted average recovery assumption of 75.44%. Portfolio Composition (Positive): The largest three industries comprise 35.5% of the portfolio balance in aggregate while the top five obligors represent 4.97% 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 does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans, as well as a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. KEY PROVISION CHANGES The refinancing is being implemented via the refinancing supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The non-call period for the refinancing notes will end in June 2024. FITCH ANALYSIS TSTAT 2022-1, Ltd. is a static pool CLO. The issuer is not permitted to purchase any loans after the closing date (other than rescue financing assets). As such, there are no collateral quality tests or concentration limitations, and Fitch's analysis is based on the latest portfolio from the trustee. The portfolio presented to Fitch from the trustee report as of Nov. 6, 2023 includes 212 assets from 192 primarily high yield obligors. The portfolio balance, including the amount of positive cash, was approximately $349.9 million. As per the latest trustee report, the transaction passes all of its coverage tests. The weighted average rating factor of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 42.8% of the current portfolio par balance; ratings for 56.7% of the portfolio were derived from using Fitch's IDR equivalency map. Defaulted assets, assets without a public rating or a Fitch credit opinion represent 0.5% of the current portfolio par balance. In lieu of a traditional stress portfolio, Fitch ran a maturity extension scenario on the current portfolio to account for the issuer's ability to extend the WAL of the portfolio to 5.18 years as a result of maturity amendments. The scenario also considers a one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook on the derived rating of the obligor, as described in Fitch's CLO and Corporate CDO Rating Criteria. Fitch generated projected default and recovery statistics of the Fitch Stressed Portfolio (FSP) using its portfolio credit model (PCM). The PCM default and recovery rate outputs for the FSP at the 'AAAsf' rating stress were 50.0% and 40.4%, respectively. The PCM default and recovery rate outputs for the FSP at the 'AA+sf' rating stress were 48.7% and 49.5%, respectively. The PCM default and recovery rate outputs for the FSP at the 'A+sf' rating stress were 43.3% and 59.1%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB+sf' rating stress were 37.1% and 68.7%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BB+sf' rating stress were 31.3% and 73.8%, respectively. The PCM default and recovery rate outputs for the FSP at the 'B+sf' rating stress were 26.9% and 78.1%, respectively. In the analysis of the current portfolio, the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2, E and F notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BBB+sf', 'BB+sf', and 'B+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 19.3%, 14.7%, 12.1%, 13.7%, 12.2%, 7.8%, 10.4%, and 10.1%, respectively. In the analysis of the FSP, the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2, E and F notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BBB+sf', 'BB+sf', and 'B+sf' rating thresholds in all nice cash flow scenarios with a minimum cushion of 14.7%, 10.5%, 9.4%, 11.5%, 9.6%, 5.4%, 8.3% and 7.3%, respectively. The Stable Outlook on the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2, E and F notes reflects the expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio. The class B-R notes and F notes are rated one notch below their model-implied ratings (MIR), respectively. This reflects insufficient break-even default rate cushion on Fitch-stressed portfolio at the MIRs, due to below-average credit enhancement relative to similar static transaction and current uncertain macro-economic conditions. 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 'AA-sf' and 'AAAsf' for class A-1-R, between 'A+sf' and 'AAAsf' for class A-2-R, between 'BBB+sf' and 'AA+sf' for class B-R, between 'BB+sf' and 'A+sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1-R, between less than 'B-sf' and 'BBB+sf' for class D-2, between less than 'B-sf' and 'BB+sf' for class E; and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R notes and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2, 'BBB+sf' for class E; and 'BBB+sf' for class F. 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. US BANK 2023-1: Moody's Assigns Ba2 Rating to $24.61 Class C Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the U.S. Bank Auto Credit-Linked Notes, Series 2023-1 (USCLN 2023-1) notes 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 $233,764,000, 6.789%, Class B Notes, Definitive Rating Assigned A2 (sf) $24,606,000, 9.785%, Class C Notes, Definitive Rating Assigned 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 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: Factors that would lead to an upgrade of the ratings: 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 USB's senior unsecured rating is upgraded. Factors that would lead to a downgrade of the ratings: Moody's could downgrade the notes if USB's senior unsecured rating is downgraded or if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. VENTURE XVII: Moody's Cuts Rating on $8.5MM F-RR Notes to Caa2 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Venture XVII CLO, Limited: US$47,000,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class C-RR Notes"), Upgraded to Aaa (sf); previously on March 30, 2022 Upgraded to Aa1 (sf) US$37,500,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class D-RR Notes"), Upgraded to A2 (sf); previously on February 13, 2023 Upgraded to A3 (sf) Moody's has also downgraded the rating on the following notes: US$8,500,000 Class F-RR Junior Secured Deferrable Floating Rate Notes due 2027 (the "Class F-RR Notes"), Downgraded to Caa2 (sf); previously on September 9, 2020 Downgraded to Caa1 (sf) Venture XVII CLO, Limited, originally issued in May 2014, partially refinanced in July 2017, and fully refinanced in April 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 April 2020. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2023. The Class A-RR notes have been paid down by approximately 51.7% or $134.7 million since that time. Based on Moody's calculation, the OC ratios for the Class C and Class D notes are currently 134.73% and 116.67%, respectively, versus February 2023 levels of 122.41% and 112.48%, respectively. The downgrade rating action on the Class F-RR notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class F notes is currently at 101.60%, compared to the February 2023 level of 103.55%. 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: $323,287,258 Defaulted par: $15,495,027 Diversity Score: 57 Weighted Average Rating Factor (WARF): 2423 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.12% Weighted Average Coupon (WAC): 9.95% Weighted Average Recovery Rate (WARR): 47.76% Weighted Average Life (WAL): 2.2 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. WFRBS COMMERCIAL 2012-C9: DBRS Confirms B(high) Rating on F Certs ----------------------------------------------------------------- DBRS Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by WFRBS Commercial Mortgage Trust 2012-C9: -- Class D at AAA (sf) -- Class E at AA (low) (sf) -- Class F at B (high) (sf) All trends are Stable. The credit rating confirmations reflect DBRS Morningstar's recoverability expectations, which remain unchanged since the last rating in November 2022. Since then, one loan has been disposed from the trust. There is only one loan remaining with a scheduled maturity date of October 2024. Chesterfield Towne Centre (Prospectus ID#1; 100% of the current trust balance), is secured by a 1.0 million-square-foot (sf) regional mall in North Chesterfield, Virginia. The loan, sponsored by Brookfield Properties Group, transferred to the special servicer in September 2022 after the borrower notified the lender that they would not be able to repay the loan upon maturity in October 2022. In August 2023, a retroactive forbearance was executed pushing the maturity to October 2023. The forbearance has been further extended to October 2024, according to servicer commentary. DBRS Morningstar notes the potential for future maturity extensions. As a mitigant, each extension has been conditional upon the borrower making a cash payment on the loan, which has contributed approximately $4.0 million in principal paydown of the loan balance over the past year. The loan is in cash management, and excess funds will be applied to further pay down the loan balance. The two largest tenants are JCPenney (14.0% of the net rentable area (NRA), operating on a ground lease through October 2050) and Macy's (14.0% of the NRA, with a lease through January 2026). According to the June 2023 rent roll, the property was 96.1% occupied; however, the physical occupancy rate is lower given that the former Sears anchor, which previously represented 14.0% of the NRA on an in-place ground lease through April 2046, closed in 2020. The improvements remain vacant, although rent is still being collected on the ground lease. The servicer reported net cash flow (NCF) for the trailing six-month (T-6) period ended June 30, 2023, was $5.8 million, down from $6.4 million for the same period one year prior. The annualized T-6 NCF implies a DSCR of 1.68 times (x), compared with 1.78x at YE2022, 1.66x at YE2021, and 1.52x at issuance. According to the tenant sales report for the T-12 period ended July 31, 2023, the property reported in-line sales of $415 per square foot (psf), down slightly from $428 psf for YE2022. The property is well located within a commercial corridor that includes prominent retailers such as Costco, Target, and Sam's Club. A July 2023 appraisal valued the property at $91.4 million, which is higher than the current outstanding loan amount of $83.1 million. The capital structure includes a first loss piece, unrated by DBRS Morningstar, with a current outstanding balance of $37.5 million. The property could withstand up to a 50% reduction in appraised value before the unrated bond is fully eroded. There is not a significant amount of lease rollover prior to the October 2024 maturity date, and aside from one anchor space going dark, property occupancy has remained consistent throughout the loan term. Although the subject is not considered the dominant mall in the market, steady sales and historical occupancy point to a stable consumer base. Given these factors, DBRS Morningstar believes this loan is well positioned to be resolved with minimal risk of loss to the rated bonds. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Takes Rating Actions on 76 Freddie Mac Transactions ------------------------------------------------------------ DBRS Morningstar, on November 3, 2023, finalized its "North American CMBS Multi-Borrower Rating Methodology" (the Methodology) and CMBS Insight Model Version 1.2.0.0 (the Model). The Methodology and the Model present the framework for which DBRS Morningstar's credit ratings on North American commercial mortgage-backed securities (CMBS) multi-borrower transactions are assigned and/or monitored. The Affected Ratings are available at https://bit.ly/41BeQBH The Issuers are: Freddie Mac Structured Pass-Through Certificates, Series K-729 Freddie Mac Structured Pass-Through Certificates, Series K-158 Freddie Mac Structured Pass-Through Certificates, Series K-098 Freddie Mac Structured Pass-Through Certificates, Series K-081 Freddie Mac Structured Pass-Through Certificates, Series K-048 Freddie Mac Structured Pass-Through Certificates, Series K-057 Freddie Mac Structured Pass-Through Certificates, Series K-063 Freddie Mac Structured Pass-Through Certificates, Series K-069 Freddie Mac Structured Pass-Through Certificates, Series K-724 Freddie Mac Structured Pass-Through Certificates, Series K-084 Freddie Mac Structured Pass-Through Certificates, Series K-042 Freddie Mac Structured Pass-Through Certificates, Series K-052 Freddie Mac Structured Pass-Through Certificates, Series K-055 Freddie Mac Structured Pass-Through Certificates, Series K-078 Freddie Mac Structured Pass-Through Certificates, Series K-734 FREMF 2014-K38 Mortgage Trust, Series 2014-K38 CFMT 2021-FRR1 NW RE-REMIC TRUST 2021-FRR1 RFM RE-REMIC TRUST 2022-FRR1 GAM RE-REMIC TRUST 2022-FRR3 GAM RE-REMIC TRUST 2021-FRR2 FREMF 2017-K61 Mortgage Trust, Series 2017-K61 FREMF 2022-K152 Mortgage Trust, Series 2022-K152 FREMF 2023-K158 Mortgage Trust, Series 2023-K158 FREMF 2023-K751 Mortgage Trust, Series 2023-K751 Series RR 2014-1 Trust GAM RE-REMIC TRUST 2021-FRR1 FREMF 2017-K64 Mortgage Trust, Series 2017-K64 FREMF 2019-K90 Mortgage Trust, Series 2019-K90 FREMF 2019-K92 Mortgage Trust, Series 2019-K92 FREMF 2019-K93 Mortgage Trust, Series 2019-K93 FREMF 2015-K42 Mortgage Trust, Series 2015-K42 FREMF 2017-K63 Mortgage Trust, Series 2017-K63 FREMF 2017-K69 Mortgage Trust, Series 2017-K69 FREMF 2015-K51 Mortgage Trust, Series 2015-K51 FREMF 2015-K48 Mortgage Trust, Series 2015-K48 FREMF 2016-K55 Mortgage Trust, Series 2016-K55 FREMF 2018-K84 Mortgage Trust, Series 2018-K84 FREMF 2016-K57 Mortgage Trust, Series 2016-K57 FREMF 2016-K52 Mortgage Trust, Series 2016-K52 FREMF 2018-K78 Mortgage Trust, Series 2018-K78 FREMF 2018-K81 Mortgage Trust, Series 2018-K81 FREMF 2019-K88 Mortgage Trust, Series 2019-K88 FREMF 2019-K89 Mortgage Trust, Series 2019-K89 FREMF 2018-K74 Mortgage Trust, Series 2018-K74 FREMF 2020-K106 Mortgage Trust, Series 2020-K106 FREMF 2017-K724 Mortgage Trust, Series 2017-K724 FREMF 2017-K729 Mortgage Trust, Series 2017-K729 FREMF 2019-K734 Mortgage Trust, Series 2019-K734 FREMF 2019-K735 Mortgage Trust, Series 2019-K735 FREMF 2020-K105 Mortgage Trust, Series 2020-K105 FREMF 2019-K101 Mortgage Trust, Series 2019-K101 FREMF 2019-K736 Mortgage Trust, Series 2019-K736 Freddie Mac Structured Pass-Through Certificates, Series K-061 Freddie Mac Structured Pass-Through Certificates, Series K-051 Freddie Mac Structured Pass-Through Certificates, Series K-077 FREMF 2018-K79 Mortgage Trust, Series 2018-K79 FREMF 2018-K86 Mortgage Trust, Series 2018-K86 FREMF 2018-K75 Mortgage Trust, Series 2018-K75 FREMF 2018-K77 Mortgage Trust, Series 2018-K77 FREMF 2018-K82 Mortgage Trust, Series 2018-K82 Freddie Mac Structured Pass-Through Certificates, Series K-101 Freddie Mac Structured Pass-Through Certificates, Series K-152 Freddie Mac Structured Pass-Through Certificates, Series K-751 Freddie Mac Structured Pass-Through Certificates, Series K-106 Freddie Mac Structured Pass-Through Certificates, Series K-090 Freddie Mac Structured Pass-Through Certificates, Series K-100 Freddie Mac Structured Pass-Through Certificates, Series K-105 Freddie Mac Structured Pass-Through Certificates, Series K-735 FREMF 2019-K98 Mortgage Trust, Series 2019-K98 Freddie Mac Structured Pass-Through Certificates, Series K-038 Freddie Mac Structured Pass-Through Certificates, Series K-088 FREMF 2019-K100 Mortgage Trust, Series 2019-K100 Freddie Mac Structured Pass-Through Certificates, Series K-736 Freddie Mac Structured Pass-Through Certificates, Series K-079 Freddie Mac Structured Pass-Through Certificates, Series K-086 Freddie Mac Structured Pass-Through Certificates, Series K-075 Freddie Mac Structured Pass-Through Certificates, Series K-082 Freddie Mac Structured Pass-Through Certificates, Series K-064 Freddie Mac Structured Pass-Through Certificates, Series K-074 Freddie Mac Structured Pass-Through Certificates, Series K-089 Freddie Mac Structured Pass-Through Certificates, Series K-093 Freddie Mac Structured Pass-Through Certificates, Series K-092 As noted in the press release, DBRS Morningstar deemed two of the updates to be material changes, both of which were expected to have a positive impact on the outstanding DBRS Morningstar credit ratings on Freddie Mac Agency transactions (K-Series), including ReREMICs of K-Series securities. These material updates were related to the probability of default (POD) assumptions used for five-year original term loans with stabilized property cash flows (in conduit and agency transactions), where the treatment will be the same as 10-year loans, and loans backed by multifamily properties in Freddie Mac K-Series transactions. With respect to the K-Series transactions, a POD factor of 80% was applied as an adjustment to the POD regression estimate. The update reflects the review of the stronger performance, in terms of delinquency, of agency multifamily loans relative to the historical multifamily cohort of predominantly nonagency multifamily loans on which the model was trained. As a result of the application of the above Methodology and Model, inclusive of consideration for updated transaction performance data, DBRS Limited (DBRS Morningstar) took rating actions on 297 classes from 38 Freddie Mac CMBS transactions, 169 classes from 38 Freddie Mac Structured Pass-Through Certificate transactions, and 87 classes from seven ReREMIC transactions. Of the 553 classes, DBRS Morningstar confirmed its credit ratings on 425 classes, upgraded 109 classes across 20 Freddie Mac transactions and 14 classes across three ReREMIC transactions, and discontinued five classes because of repayment. All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transactions, with the reported cash flows and other performance metrics for most loans generally in line DBRS Morningstar's expectations. The credit rating upgrades generally reflect the significantly increased credit support, whether through principal repayments or increased defeasance, as well as the lack of a significant concentration of loans showing performance declines since issuance. The rating actions reflect DBRS Morningstar's expanded review process as outlined in the "North American CMBS Surveillance Methodology" (March 16, 2023). Based on the October 2023 remittance reports, the affected transactions were analyzed to identify changes since the most recent DBRS Morningstar rating action for each. Applicable changes included developments such as loan repayments, increased defeasance, cash flow and/or occupancy changes for the collateral properties, new values for loans in special servicing, or additions to the servicer's watchlist. DBRS Morningstar also incorporated a stressed refinance analysis scenario for all loans, which considered the property's performance trajectory as well as interest rates in the current lending environment to identify loans that may have increased maturity default risk. Where loans were exhibiting performance declines from issuance and/or were reporting metrics that suggested increased refinance risk in the analysis, POD adjustments were made on a sliding scale, with the severity of the POD penalty increasing based on the specifics of the increased risks. In some cases, loss given default adjustments were also made, reflecting DBRS Morningstar's concerns surrounding potential performance-based value declines from the issuance figures. The analysis generally reflected that (1) all defeased loans were excluded from the Model runs and were liquidated at 100% recovery and (2) specially serviced loans that were expected to be resolved with a loss to the respective trusts were also excluded from the Model runs and were liquidated based on recent information, such as updated appraised values. The combination of these two actions resulted in a liquidated credit enhancement for the bond stack, which was compared with the multiple ranges referred to in the Methodology. DBRS Morningstar then overlayed this analysis with the aforementioned stressed refinance analysis scenario on a cumulative basis to measure each transaction's exposure to potential increased refinance risk. The credit rating actions included seven ReREMIC transactions collateralized by underlying Freddie Mac K-Series transactions, some of which are not rated by DBRS Morningstar. The credit ratings depend on the performance of the underlying transactions. In general, the performance of the Freddie Mac K-Series transactions exhibited healthy performance metrics evidenced by the weighted-average debt service coverage ratio (DSCR) in excess of 1.36 times based on the most recent financials. Based on the October 2023 remittance reports, only three Freddie Mac K-Series transactions have delinquent and/or specially serviced loans, with the largest concentration representing less than 3.0% of the subject pool balance. In addition, realized losses to date across all transactions have been generally minimal and total defeasance was 18.5% of the aggregate principal amount, with transaction-level defeasance concentrations ranging from 0.0% to 63.5%. Loans on the servicer's watchlist totaled 8.2% of the aggregate principal amount, ranging between 1.3% and 64.3% for the respective transaction pool balance. FREMF 2017-K724 Mortgage Trust, Series 2017-K724 has the highest watchlist concentration considering all loans are scheduled to mature by December 2023. When excluding this transaction, the high range of transaction-level watchlist concentration is only 17.2%. Generally, loans on the servicers' watchlists are being monitored for performance and nonperformance reasons, including deferred maintenance, upcoming maturity, a low DSCR, and/or a low occupancy rate. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Moody's Hikes Rating on $296.6MM of US RMBS Issued 2004-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 12 bonds from eight US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Aegis Asset Backed Securities Trust 2004-3 Cl. M1, Upgraded to Aaa (sf); previously on Dec 20, 2018 Upgraded to Aa1 (sf) Issuer: Argent Securities Inc., Series 2005-W5 Cl. A-1, Upgraded to Aaa (sf); previously on May 19, 2022 Upgraded to Aa1 (sf) Cl. A-2C, Upgraded to Baa2 (sf); previously on May 19, 2022 Upgraded to Ba2 (sf) Cl. A-2D, Upgraded to Baa2 (sf); previously on May 19, 2022 Upgraded to Ba2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-7 Cl. 2-A-3, Upgraded to B2 (sf); previously on Nov 22, 2016 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CH2 Cl. AV-1, Upgraded to Baa1 (sf); previously on Jun 27, 2022 Upgraded to Ba1 (sf) Cl. AV-5, Upgraded to Aaa (sf); previously on Jun 27, 2022 Upgraded to Aa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC4 Cl. A-1, Upgraded to B1 (sf); previously on Mar 10, 2023 Upgraded to Caa1 (sf) Issuer: Long Beach Mortgage Loan Trust 2005-3 Cl. I-A, Upgraded to Aa3 (sf); previously on Mar 7, 2023 Upgraded to A2 (sf) Issuer: Long Beach Mortgage Loan Trust 2006-WL3 Cl. I-A, Upgraded to Baa1 (sf); previously on Mar 10, 2023 Upgraded to Ba1 (sf) Issuer: Terwin Mortgage Trust 2006-7 Cl. I-A-2b, Upgraded to Baa1 (sf); previously on Dec 28, 2017 Upgraded to Ba1 (sf) Cl. I-A-2c, Upgraded to Caa1 (sf); previously on Oct 1, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $101.6MM of US RMBS Issued 1998-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 20 bonds and downgraded the rating from 1 bond from 14 US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities Trust 2007-1 Cl. A-3, Upgraded to A3 (sf); previously on Mar 8, 2023 Upgraded to Baa3 (sf) Issuer: Bear Stearns Asset-Backed Securities Trust 2003-SD3 Cl. A, Downgraded to A3 (sf); previously on Jul 5, 2012 Downgraded to A1 (sf) Issuer: Ocwen Residential MBS Corp. Mortgage Pass-Through, 1998-R3 A-1, Upgraded to Baa2 (sf); previously on Mar 8, 2023 Upgraded to Ba1 (sf) Issuer: RAAC Series 2005-SP2 Trust Cl. M-I-3, Upgraded to A2 (sf); previously on Mar 8, 2023 Upgraded to Baa2 (sf) Cl. M-I-4, Upgraded to Ba3 (sf); previously on Mar 8, 2023 Upgraded to B2 (sf) Issuer: RAAC Series 2005-SP3 Trust Cl. M-3, Upgraded to Aa1 (sf); previously on Mar 8, 2023 Upgraded to A1 (sf) Cl. M-4, Upgraded to A1 (sf); previously on Mar 8, 2023 Upgraded to Baa1 (sf) Issuer: RAAC Series 2006-RP1 Trust Cl. M-3, Upgraded to Baa2 (sf); previously on Mar 8, 2023 Upgraded to Ba2 (sf) Cl. M-4, Upgraded to Ba3 (sf); previously on Mar 8, 2023 Upgraded to B3 (sf) Issuer: RAAC Series 2006-RP4 Trust Cl. M-1, Upgraded to A2 (sf); previously on Jun 14, 2022 Upgraded to Baa1 (sf) Issuer: RAAC Series 2006-SP1 Trust Cl. M-1, Upgraded to Aa3 (sf); previously on Mar 8, 2023 Upgraded to A2 (sf) Issuer: RAAC Series 2006-SP3 Trust Cl. M-2, Upgraded to Baa2 (sf); previously on Mar 8, 2023 Upgraded to Ba3 (sf) Issuer: RAAC Series 2007-SP1 Trust Cl. M-2, Upgraded to B1 (sf); previously on Feb 20, 2018 Upgraded to Caa1 (sf) Issuer: RAAC Series 2007-SP2 Trust Cl. A-3, Upgraded to Aa1 (sf); previously on Mar 8, 2023 Upgraded to Aa3 (sf) Issuer: Structured Asset Securities Corp Trust 2007-TC1 Cl. M-2, Upgraded to Aa2 (sf); previously on Jun 14, 2022 Upgraded to A2 (sf) Cl. M-3, Upgraded to Baa1 (sf); previously on Jun 14, 2022 Upgraded to Ba1 (sf) Cl. M-4, Upgraded to Ba2 (sf); previously on Dec 24, 2018 Upgraded to B2 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Mar 5, 2009 Downgraded to C (sf) Issuer: Structured Asset Securities Corporation 2005-GEL4 Cl. M3, Upgraded to Ba1 (sf); previously on Feb 24, 2017 Upgraded to B1 (sf) Issuer: Terwin Mortgage Trust 2007-QHL1 Cl. A-1, Upgraded to Aa3 (sf); previously on Mar 8, 2023 Upgraded to A3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Apr 1, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The rating downgrade is primarily due to a deterioration in collateral performance and/or decline in credit enhancement available to the bonds. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $86MM of US RMBS Issued 2004-2007 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 10 bonds and downgraded the rating of one bond from seven US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. Complete rating actions are as follows: Issuer: Bayview Financial Mortgage Pass-Through Certificates, Series 2004-D Cl. B-1, Upgraded to Aaa (sf); previously on Mar 14, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to B1 (sf); previously on Dec 6, 2018 Upgraded to B3 (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-C Cl. B-1, Upgraded to Caa1 (sf); previously on Jun 2, 2022 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to A1 (sf); previously on Mar 14, 2023 Upgraded to A3 (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-A Cl. B-1, Upgraded to Baa2 (sf); previously on Mar 14, 2023 Upgraded to Ba2 (sf) Cl. B-2, Upgraded to B1 (sf); previously on Mar 14, 2023 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to Aa2 (sf); previously on Mar 14, 2023 Upgraded to A2 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1 Cl. B-2, Downgraded to B3 (sf); previously on Oct 16, 2018 Upgraded to B2 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1 Cl. A-4, Upgraded to Ba1 (sf); previously on Oct 16, 2018 Upgraded to B1 (sf) Issuer: Citigroup Mortgage Loan Trust 2007-SHL1 Cl. A, Upgraded to Baa1 (sf); previously on Jun 14, 2022 Upgraded to Baa3 (sf) Issuer: GSAMP Trust 2006-SD2 Cl. A-3, Upgraded to Baa3 (sf); previously on Jun 14, 2022 Upgraded to Ba2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrade of Class B-2 issued by C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1 is due to outstanding interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Upgrades Rating on $178MM of US RMBS Issued 2005-2007 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of eight bonds from six US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. Complete rating actions are as follows: Issuer: ChaseFlex Trust Series 2007-2 Cl. A-1, Upgraded to Ba1 (sf); previously on Oct 1, 2021 Upgraded to B1 (sf) Cl. A-2, Upgraded to B3 (sf); previously on Oct 1, 2021 Upgraded to Caa3 (sf) Issuer: Structured Asset Investment Loan Trust 2005-7 Cl. M2, Upgraded to A3 (sf); previously on Jul 7, 2022 Upgraded to Baa3 (sf) Issuer: Structured Asset Investment Loan Trust 2005-HE2 Cl. M2, Upgraded to Baa2 (sf); previously on Jun 11, 2018 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corp 2006-W1 Cl. A1, Upgraded to Ba2 (sf); previously on May 9, 2018 Upgraded to B2 (sf) Cl. A5, Upgraded to B3 (sf); previously on May 9, 2018 Upgraded to Caa3 (sf) Issuer: Terwin Mortgage Trust 2006-3 Cl. I-A-3, Upgraded to Caa2 (sf); previously on Jan 15, 2019 Upgraded to Caa3 (sf) Issuer: WaMu Asset-Backed Certificates, WaMu Series 2007-HE3 Trust Cl. I-A, Upgraded to Caa1 (sf); previously on Mar 7, 2014 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 152 Classes From 24 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 152 ratings from 24 U.S. RMBS transactions issued between 2002 and 2005. The review yielded 13 upgrades, 11 downgrades, 24 withdrawals, one discontinuance, and 103 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/js1do6 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 and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Increase or decrease in available credit support; -- A small loan count; -- Assessment of reduced interest payments due to loan modifications and other credit-related events; and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on 20 classes from nine transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our principal-only criteria, "Methodology For Surveilling U.S. RMBS Principal-Only Strip Securities For Pre-2009 Originations," published Oct. 11, 2016, which resulted in withdrawing four additional ratings from four transactions." [*] S&P Takes Various Actions on 156 Classes From 29 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 156 ratings from 29 U.S. RMBS transactions issued between 2003 and 2007. The review yielded 34 upgrades, six downgrades, 95 affirmations, and 21 withdrawals. A list of Affected Ratings can be viewed at: https://rb.gy/qeddiu Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. These considerations may include: -- Collateral performance or delinquency trends, -- An increase or decrease in available credit support, -- Historical missed interest payments or interest shortfalls, -- Available subordination and/or overcollateralization, -- Expected duration, -- Payment priority, -- Tail risk, -- A small loan count, and -- The assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. In addition, most of these classes are receiving all of the principal payments or are next in the payment priority when the more senior class pays down. The rating affirmations reflect S&P's view that its projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. [*] S&P Takes Various Actions on 198 Ratings From 16 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of the ratings on 198 classes from 16 U.S. RMBS non-qualified mortgage transactions. The review yielded 12 upgrades, eight of which were also removed from CreditWatch positive, and 186 affirmations, 24 of which were also removed from CreditWatch positive. A list of Affected Ratings can be viewed at: https://rb.gy/w5tt2i 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, and/or 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; -- The priority of principal payments; -- The priority of loss allocation; -- Available subordination and/or credit enhancement floors, and -- Large balance loan exposure/tail risk. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. 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