/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/231231.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 31, 2023, Vol. 27, No. 364 Headlines ABPCI DIRECT XVI: S&P Assigns BB- (sf) Rating on Cl. E Notes ACREC 2023-FL2 LLC: DBRS Confirms B(low) Rating on Class G Notes AFFIRM ASSET 2023-B: DBRS Confirms BB Rating on Class E Notes ATLAS SENIOR VII: S&P Lowers Class F-R Notes Rating to 'CCC+ (sf)' ATLAS SENIOR XXII: S&P Assigns BB- (sf) Rating on Class E Notes BAMLL COMMERCIAL 2020-BOC: Fitch Lowers Rating on Cl. E Certs to B+ BANK5 2023-5YR4: Fitch Assigns 'B-sf' Rating on Class J-RR Certs BENCHMARK 2023-B40: Fitch Assigns 'B-sf' Rating on Two Tranches BLACKROCK DLF IX 2019-G: DBRS Confirms B Rating on Class W Notes BLACKROCK DLF IX 2020-1: DBRS Confirms B Rating on Class W Notes BREAN ASSET 2023-RM7: DBRS Gives Prov. B Rating on Class M4 Notes BWAY COMMERCIAL 2022-26BW: DBRS Confirms BB(low) Rating on E Certs BX COMMERCIAL 2021-IRON: DBRS Confirms B(low) Rating on 2 Classes CALCON MUTUAL 2023-1: Fitch Assigns 'B-sf' Rating on Cl. B-2 Certs CARLYLE US 2023-5: Fitch Assigns Final BB-sf Rating on Cl. E Notes CARVANA AUTO 2023-N4: DBRS Finalizes BB(high) Trust Rating CIFC 2023-II: Fitch Assigns 'BB-sf' Final Rating on Class E Notes CLNC 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes COMM 2022-HC: DBRS Confirms BB Rating on Class HRR Certs EMPOWER CLO 2023-3: S&P Assigns BB- (sf) Rating on Cl. E Notes FLATIRON CLO 24: Fitch Assigns 'BB-sf' Rating on Class E Notes GUGGENHEIM MM 2023-6: S&P Assigns BB- (sf) Rating on Cl. E Notes HALCYON LOAN 2015-2: Moody's Cuts Rating on $10MM Cl. F Notes to C HERTZ VEHICLE III: DBRS Confirms BB Rating on 6 Classes Notes HOME PARTNERS 2021-3: DBRS Confirms BB Rating on Class F Certs JP MORGAN 2023-HE3: Fitch Assigns B(EXP)sf Rating on Cl. B-2 Certs KKR CLO 43: Moody's Assigns B3 Rating to $200,000 Class F-R Notes KKR CLO 44: Moody's Assigns (P)B3 Rating to $250,000 Class F Notes KSL COMMERCIAL 2023-HT: DBRS Gives (P) BB(high) Rating on HRR Certs MADISON PARK LXI: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes MAGNETITE LTD XXIX: Moody's Ups Rating on $26.125MM E Notes to Ba2 MANUFACTURED HOUSING 2000-3:S&P Affirms 'CC' Rating on IIA-2 Certs MARANON LOAN 2023-2: S&P Assigns BB- (sf) Rating on Cl. E Notes MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certs MIDOCEAN CREDIT XIII: Fitch Assigns 'BB-sf' Rating on Class E Notes MSC MORTGAGE 2012-C4: DBRS Confirms C Rating on 3 Classes Certs MSWF COMMERCIAL 2023-2: Fitch Assigns 'B-' Rating on Cl. G-RR Certs ONE VOYA 2016-1: S&P Lowers Class D-R Notes Rating to 'B (sf)' PALMER SQUARE 2020-3: S&P Assigns B- (sf) Rating on E-R2 Notes PARK BLUE 2023-IV: Fitch Assigns 'BB+sf' Rating on Class E Notes PARK BLUE 2023-IV: Moody's Assigns B3 Rating to Class F Notes PPM CLO 6-R: Fitch Assigns 'BBsf' Rating on Class E-R Notes PPM CLO 6-R: Moody's Assigns B3 Rating to $500,000 Class F-R Notes RIN V LLC: Moody's Assigns Ba3 Rating to $8.75MM Class E Notes RR 24 LTD: Fitch Assigns BB+sf Rating on D-R Notes, Outlook Stable RR 24 LTD: Moody's Assigns B3 Rating to $700,000 Class E-R Notes SANTANDER BANK 2023-B: Moody's Assigns B3 Rating to Class F Notes SBALR COMMERCIAL 2020-RR1: DBRS Cuts Rating to C on 3 Classes SIXTH STREET XVI: S&P Assigns BB- (sf) Rating on Class E-R Notes SLC STUDENT 2006-2: Moody's Lowers Rating on Cl. B Notes to Ba1 SOUND POINT 37: Fitch Assigns 'BB-sf' Final Rating on Class E Notes SREIT COMMERCIAL 2021-MFP2: DBRS Confirms B(low) Rating on G Certs START LTD: S&P Places 'B-(sf)' Class C Notes Rating on Watch Pos. TRINITAS CLO XXV: S&P Assigns BB- (sf) Rating on Class E Notes UBS COMMERCIAL 2017-C3: Fitch Affirms CCC Rating on Cl. G-RR Certs UNISON TRUST 2023-2: DBRS Finalizes BB(low) Rating on B Notes WFRBS COMMERCIAL 2013-C13: Moody's Cuts Cl. F Certs Rating to Caa3 WINDHILL CLO 1: S&P Assigns BB- (sf) Rating on Class E Notes [*] DBRS Reviews 1,305 Classes From 136 US RMBS Transactions [*] DBRS Reviews 401 Classes From 20 US RMBS Transactions [*] DBRS Reviews 636 Classes From 23 US RMBS Transactions [*] S&P Takes Various Action on 158 Classes From 56 U.S. RMBS Deals [*] S&P Takes Various Actions on 244 Ratings From 14 US RMBS Deals [*] S&P Takes Various Actions on 91 Ratings From 14 U.S. RMBS Deals [*] S&P Takes Various Actions on 93 Ratings From 15 US RMBS Deals ********* ABPCI DIRECT XVI: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to ABPCI Direct Lending Fund CLO XVI L.P.'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 AB Private Credit Investors 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 ABPCI Direct Lending Fund CLO XVI L.P. Class A, $180.00 million: AAA (sf) Class A-L, $48.00 million: AAA (sf) Class B, $36.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $28.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Partnership interests, $49.44 million: Not rated ACREC 2023-FL2 LLC: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by ACREC 2023-FL2 LLC (the Issuer) as follows: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class D-E Notes at BBB (sf) -- Class D-X Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class E-E Notes at BBB (low) (sf) -- Class E-X Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which has generally remained in line with DBRS Morningstar's expectations since issuance as the trust is solely secured by multifamily collateral. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The initial collateral consisted of 15 floating-rate mortgage loans secured by 18 mostly transitional properties with a cut-off balance totaling $534.2 million. All loans in the pool had some seasoning at issuance, having been originated in 2021 and 2022 with most loans in a period of transition with plans to stabilize performance and improve values of the underlying assets. As of the November 2023 remittance, there has been no change to the pool composition since issuance. The transaction is static; however, there is a two-year Replenishment Period, whereby the Issuer can purchase funded loan participation interests into the trust. The Replenishment Period is scheduled to end with the February 2025 Payment Date. As of November 2023, the Replenishment Account had no balance. The transaction is concentrated by property type as all 15 loans are secured by multifamily properties. The pool is primarily secured by properties in suburban markets, with 10 loans, representing 68.9% of the pool, with a DBRS Morningstar Market Rank of 3, 4, or 5. An additional four loans, representing 23.3% of the pool, are secured by properties in tertiary markets, with a DBRS Morningstar Market Rank of 2, while one loan, representing 7.9% of the pool, is secured by a property with a DBRS Morningstar Market Rank of 6, denoting an urban market. Leverage across the pool remains unchanged as of the November 2023 reporting when compared with issuance metrics. The current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 73.0%, with a current WA stabilized LTV of 64.0%. DBRS Morningstar recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the current rising interest rate or widening capitalization rate environment. As such, in the analysis for this review, DBRS Morningstar applied upward LTV adjustments across 10 loans, representing 68.8% of the current trust balance. Through November 2023, the lender had advanced cumulative loan future funding of $23.6 million to nine of the 15 outstanding individual borrowers to aid in property stabilization efforts. The largest advance ($4.5 million) has been made to the borrower of the Brandon Portfolio loan, which is secured by a portfolio of two multifamily properties in Brandon, Florida, totaling 285 units. The borrower's business plan is to complete a significant capital expenditure (capex) project totaling $7.3 million across the portfolio. The borrower appears to be progressing with its capex plan as according to the Q2 2023 Quarterly Asset Review report provided by the collateral manager, the borrower had completed clubhouse upgrades as well as interior upgrades to 110 units with additional unit upgrades in progress. The properties had a combined occupancy rate of 87.0% with an average rental of $1,588 per unit as of September 2023. The achieved rental rate is in line with the lender's stabilized expectation. An additional $2.8 million of loan future funding remains available to the borrower. An additional $14.5 million allocated to seven individual borrowers remains available. The largest portion ($4.6 million) is allocated to the borrower of the Galleria Courtyards loan, which is secured by a multifamily property in Smyrna, Georgia. Total loan future funding of $8.4 million is available to the borrower to complete its capex plan, which consists of upgrading all 240 unit interiors and property exteriors. According to the Q2 2023 update from the collateral manager, only 96 units had been upgraded at that time, suggesting the borrower may be behind schedule in terms of unit upgrades. As of October 2023, the property was 88.8% occupied with an average rental rate of $1,698 per unit, which represents a $378 rental premium over the in-place average rental rate at loan closing in December 2021. Three loans are scheduled to mature in the next six months, representing 17.4% of the pool balance. According to the collateral manager, two borrowers are expected to exercise available extensions options, which will require borrowers to purchase replacement interest rate cap agreements and to rebalance the loans if performance does not meet required minimum thresholds. The remaining loan is secured by a stabilized property, and the borrower is expected to execute its exit strategy prior to loan maturity. As of November 2023 reporting, there are no specially serviced or delinquent loans nor are there any loans on the servicer's watchlist. Servicer reporting notes that six loans, representing 42.1% of the pool balance, have been modified; however, the modifications relate to the individual loan's floating rate benchmark transition to the Secured Overnight Financing Rate (SOFR) from LIBOR, which DBRS Morningstar views as credit neutral. The credit quality of these loans remains consistent from issuance. Notes: All figures are in U.S. dollars unless otherwise noted. AFFIRM ASSET 2023-B: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. confirms its ratings on the following notes issued by Affirm Asset Securitization Trust 2023-B (Affirm 2023-B): -- $790,290,000 Class A Notes at AAA (sf) -- $66,110,000 Class B Notes at AA (sf) -- $56,310,000 Class C Notes at A (sf) -- $43,390,000 Class D Notes at BBB (sf) -- $43,900,000 Class E Notes at BB (sf) Initial notes totaling $750 million were issued (Initial Notes) on September 19, 2023, the Initial Closing Date. The transaction includes a feature known as Expandable Notes, whereby the Issuer may issue Additional Notes (up to a maximum $1,500,000,000 of the total Notes outstanding) at any point during the Revolving Period. On or about December 15, 2023 (the Additional Notes Closing Date), the Issuer will be issuing an additional $250 million of Additional Notes for a total Note issuance of $1 billion. The terms of the Additional Notes of each Class will be the same as those of the Initial Notes of that Class, except that the interest due on the Additional Notes shall accrue from December 15, 2023 and shall be payable starting on the first Payment Date following the Additional Notes Closing Date. The ratings on the notes are based on DBRS Morningstar's review of the following considerations: (1) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns September 2023 Update, published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (2) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, the Yield Supplement Overcollateralization Amount, and excess spread create credit enhancement levels that are commensurate with the ratings. -- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) stress scenarios in accordance with the terms of the Affirm 2023-B transaction documents. (3) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for receivables that are permissible in the transaction. -- Concentration limits designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the revolving period and begin amortization. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (Affirm). (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lender. -- All loans in the initial pool included in Affirm 2023-B are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The loan pool only includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- Loans originated to borrowers in Iowa will be eligible to be included in the Receivables to be transferred to the Trust. These loans will be originated under the ALS entity using Affirm's state license in Iowa. -- Loans originated to borrowers in West Virginia will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations that will enable it to operate the bank partner platform in West Virginia. -- Affirm has obtained a supervised lending license from Colorado, permitting Affirm to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor. -- Loans originated to borrowers in Vermont above the state usury cap will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations in the state of Vermont. -- Loans originated to borrowers in Connecticut with a Contract Rate above the state usury cap will be ineligible to be included in the Receivables to be transferred to the Trust until Affirm obtains the required licenses and registrations in the state of Connecticut. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and legal opinions that address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the portion of Note Interest Shortfall attributable to interest on unpaid Note Interest for each of the rated notes. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. ATLAS SENIOR VII: S&P Lowers Class F-R Notes Rating to 'CCC+ (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class E-R and F-R debt from Atlas Senior Loan Fund VII Ltd., a U.S. CLO managed by Crescent Capital Group L.P. S&P also removed these ratings from CreditWatch, where it placed them with negative implications on Oct. 24, 2023. At the same time, S&P affirmed its ratings on the class A-1-R2, B-R2, C-R, and D-R debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the November 2023 trustee report. S&P said, "Since our November 2021 rating actions, which were based on the August 2021 trustee report, the class A-1R2 debt has seen a cumulative paydown of $4.28 million that reduced the outstanding balance to 98.23% of the original balance. These paydowns were a result of junior coverage test failures as the transaction enters amortization at the November 2023 payment date." Following are the changes in the reported overcollateralization (O/C) ratios since the August 2021 trustee report: -- The class A/B O/C ratio declined to 127.90% from 131.27%. -- The class C O/C ratio declined to 115.71% from 118.80%. -- The class D O/C ratio declined to 109.00% from 111.94%. -- The class E O/C ratio declined to 103.89% from 106.71%. -- The class F O/C ratio declined to 101.92% from 104.69%. Despite the paydowns, all the O/C ratios declined. This is attributable to a combination of an increase in defaults, increased haircuts following an increase in the portfolio's exposure to 'CCC'-rated or lower-quality assets. The class E and F O/C coverage ratio is failing as of the November 2023 trustee reports, and despite interest proceeds being diverted to cure the coverage test, it continues to fail. S&P said, "The collateral portfolio's credit quality has deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $38.17 million reported in the November 2023 trustee report, compared with $21.03 million reported in the August 2021 trustee report. Over the same period, the par amount of defaulted collateral has increased to $6.58 million from $1.82 million." However, despite the slightly larger concentrations in the 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 4.11 years reported in the November 2023 trustee report, compared with 4.72 years reported at the time of our November 2021 rating actions. The lowered ratings reflect the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class E-R and F-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 notes could results in further ratings changes. S&P said, "On a standalone basis, the results of the cash flow analysis pointed to a lower rating on the class F-R debt than its rating action suggests. At this time, we believe the class F-R debt is consistent with our definition of 'CCC' category risk; however, we limited the downgrade to one notch based on the class's existing credit enhancement. Additionally, we also believe that this debt's credit support may benefit from future paydowns, since the transaction has just entered the amortization phase as of November 2023. However, any increase in defaults, 'CCC'-rated asset exposure, or par losses could lead to negative rating actions in the future. "Although our cash flow analysis indicated higher ratings for the class B-R2 and C-R debt, the transaction currently has a relatively high exposure to 'CCC'-rated collateral obligations, defaulted assets, and distressed prices; therefore, we limited the upgrade on some classes to offset potential credit migration in the underlying collateral. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions to 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. “Atlas Senior Loan Fund VII 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. 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 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 debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered And Removed From CreditWatch Atlas Senior Loan Fund VII Ltd. Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Class F-R to 'CCC+ (sf)' from 'B-(sf)/Watch Neg' Ratings Affirmed Atlas Senior Loan Fund VII Ltd. Class A-1-R2: AAA (sf) Class B-R2: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) Other Outstanding Class Atlas Senior Loan Fund VII Ltd. Class A-2-R: Not rated ATLAS SENIOR XXII: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Atlas Senior Loan Fund XXII Ltd./Atlas Senior Loan Fund XXII 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 Crescent Capital Group L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Atlas Senior Loan Fund XXII Ltd./Atlas Senior Loan Fund XXII LLC Class A1, $217.00 million: AAA (sf) Class AJ, $14.00 million: AAA (sf) Class B, $35.00 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D (deferrable), $19.25 million: BBB (sf) Class E (deferrable), $12.25 million: BB- (sf) Subordinated notes, $33.75 million: Not rated BAMLL COMMERCIAL 2020-BOC: Fitch Lowers Rating on Cl. E Certs to B+ ------------------------------------------------------------------- Fitch Ratings has downgraded six classes of BAMLL Commercial Mortgage Securities Trust 2020-BOC Commercial Mortgage Pass-Through Certificates Series 2020-BOC and assigned Negative Outlooks following the downgrades. Entity/Debt Rating Prior ----------- ------ ----- BAMLL 2020-BOC A 05551JAA8 LT AA-sf Downgrade AAAsf B 05551JAE0 LT A-sf Downgrade AA-sf C 05551JAG5 LT BBB-sf Downgrade A-sf D 05551JAJ9 LT BB-sf Downgrade BBB-sf E 05551JAL4 LT B+sf Downgrade BBsf X 05551JAC4 LT BBB-sf Downgrade A-sf KEY RATING DRIVERS The downgrades reflect the imminent deterioration of property occupancy and net cash flow (NCF) following the recently announced departure of the single tenant at its upcoming 2025 lease expiration, coupled with weakening submarket fundamentals, which have contributed to a lower Fitch sustainable property NCF from issuance. Fitch's analysis also incorporated a higher stressed capitalization rate of 9.0%, up from 8.5% at issuance, to factor increased office sector and submarket performance concerns. The Negative Outlooks account for further potential downgrades of up to one category should occupancy and/or market conditions deteriorate beyond Fitch's view of sustainable performance, and leasing activity at the property and submarket remain limited. The collateral, which comprises two office buildings, is entirely net-leased to Microsoft Corporation (AAA/F1+/Stable) through June 2025 for the Bravern I property and through August 2025 for the Bravern II property. Microsoft has indicated it will not be renewing its leases at expiration; the buildings have already been vacated and are predominantly dark. There are no termination or contraction options for either building. Microsoft is reducing its presence in the Bellevue market having confirmed intentions to vacate office space at City Center Plaza, Advanta Office Commons, and Lincoln Square. The servicer-reported YE 2022 NCF debt service coverage ratio (DSCR) is 2.64x A cash flow sweep has been triggered since July 2023 due to the physical occupancy of the collateral falling below 375,000 sf (approximately 47% of NRA). As of the November 2023 remittance reporting, $11.1 million has been collected in reserves; the total reserve balance will be capped at approximately $30 million ($40 psf) prior to Microsoft's lease expiration. While the collected reserves are expected to offset costs for re-tenanting the space, Fitch anticipates significant expenditures beyond what will be reserved to further stabilize performance and improve prospects for a sale or refinance. Fitch's updated sustainable property NCF of $26.5 million is 15.6% below Fitch's issuance NCF of $31.4 million, largely due to higher vacancy and leasing cost assumptions. Fitch's analysis reflects the current in-place base rent, which is in line with the submarket, with the pass-through of expenses as a fully net-lease structure. Fitch lowered its sustainable long-term occupancy assumption to 85%, accounting for elevated submarket availability and aligning with the submarket vacancy forecast in 2027, according to Costar. Fitch's capital expenditures are estimated at $4.19 psf, reflecting $0.30 psf for replacement reserves plus $3.88 psf for tenant improvements and leasing commissions. As of 3Q23, Costar reports the submarket vacancy, availability rate and average asking rent were 10.3%, 29.1% and $56.21 psf, respectively. This has worsened from vacancy and rental levels of 3.2% and $51.91, respectively, at the time of issuance. High-Quality Office Collateral: The Bravern Office Commons is a 749,694-sf, class A office property located in downtown Bellevue, WA. Developed in 2009, the property consists of two buildings (Bravern I and Bravern II) and is part of a mixed-use development that includes approximately 305,000sf of luxury retail space (non-collateral) and 455 high-end residential units (non-collateral). The loan collateral includes a seven-level, approximately 3,130-stall, subterranean parking garage. Fitch assigned a property quality grade of 'B+' at issuance. Full Term, Interest-Only Loan: The loan is interest only for the seven-year term, maturing January 2027, with a fixed rate coupon of 3.20%. In its analysis, Fitch applied an upward loan-to-value (LTV) hurdle adjustment due to the low coupon. Fitch Leverage: The $304 million mortgage loan has a Fitch debt service coverage ratio and loan-to-value of 0.87x and 103.3%, respectively. The sponsor acquired the property in December 2019 for $608 million ($811psf). Institutional Sponsorship: Australian Retirement Trust, formed through the merger of QSuper and Sunsuper in Q1-2022, is one of Australia's largest superannuation benefits fund with over AUD240 billion (USD 158.0 billion) in retirement savings. At issuance, Invesco had served as investment advisor to QSuper, pursuant to an investment advisory and management agreement. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of up to one category to classes may occur should property NCF and occupancy and/or market conditions deteriorate beyond Fitch's view of sustainable performance, with limited leasing progress and/or new leases are signed at rates significantly below market rates. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely given the single-event risk and the current ratings reflect Fitch's view of sustainable performance, but is possible with significant and sustained leasing that contributes to stabilize performance, and the prospect for refinance is more certain. The Negative Outlooks could be revised to Stable if property performance and market conditions stabilize and capital market activity indicates positive sales trends in the Bellevue office market. 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. BANK5 2023-5YR4: Fitch Assigns 'B-sf' Rating on Class J-RR Certs ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to BANK5 2023-5YR4 commercial mortgage pass-through certificates, series 2023-5YR4 as follows: - $520,886,000a class A-3 'AAAsf'; Outlook Stable; - $0a class A-3-1 'AAAsf'; Outlook Stable; - $0a class A-3-2 'AAAsf'; Outlook Stable; - $0ab class A-3-X1 'AAAsf'; Outlook Stable; - $0ab class A-3-X2 'AAAsf'; Outlook Stable; - $66,971,000a class A-S 'AAAsf'; Outlook Stable; - $0a class A-S-1 'AAAsf'; Outlook Stable; - $0a class A-S-2 'AAAsf'; Outlook Stable; - $0ab class A-S-X1 'AAAsf'; Outlook Stable; - $0ab class A-S-X2 'AAAsf'; Outlook Stable; - $587,857,000b class X-A 'AAAsf'; Outlook Stable; - $38,136,000a class B 'AA-sf'; Outlook Stable; - $0a class B-1 'AA-sf'; Outlook Stable; - $0a class B-2 'AA-sf'; Outlook Stable; - $0ab class B-X1 'AA-sf'; Outlook Stable; - $0ab class B-X2 'AA-sf'; Outlook Stable; - $32,556,000a class C 'A-sf'; Outlook Stable; - $0a class C-1 'A-sf'; Outlook Stable; - $0a class C-2 'A-sf'; Outlook Stable; - $0ab class C-X1 'A-sf'; Outlook Stable; - $0ab class C-X2 'A-sf'; Outlook Stable; - $15,849,000c class D 'BBBsf'; Outlook Stable; - $15,849,000bc class X-D 'BBBsf'; Outlook Stable; - $10,195,000cd class E-RR 'BBB-sf'; Outlook Stable; - $7,441,000cd class F-RR 'BB+sf'; Outlook Stable; - $11,162,000cd class G-RR 'BB-sf'; Outlook Stable; - $11,162,000cd class J-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $29,765,334cd class K-RR. (a) Exchangeable Certificates: The class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest, comprising 9.370% of the certificates. The ratings are based on information provided by the issuer as of Dec. 19, 2023. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 63 commercial properties having an aggregate principal balance of $744,123,334 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings, LLC, Wells Fargo Bank, N.A., Bank of America, N.A. and JPMorgan Chase Bank, N.A. The master servicer is Wells Fargo Bank, N.A., and the special servicer is KeyBank, National Association. The trustee and certificated administrator is Computershare Trust Company, N.A. The certificates follow a standard sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75.6% of the loans by balance, cash flow analysis of 96.2% of the pool and asset summary reviews on 100% of the pool. Since Fitch published its expected ratings on Nov. 27, 2023, class A-2-1, along with its exchangeable certificates, and class A-2-2 were removed from the transaction structure by the issuer. At the time the expected ratings were published, the class A-2-1, class A-2-2 and class A-3 initial certificate balances were unknown, and were expected to total $520,886,000 in the aggregate. Fitch has withdrawn the expected ratings of 'AAA(EXP)sf' from each of the class A-2-1, class A-2-1-1, class A-2-1-2, class A-2-1-X1, class A-2-1-X2 and class A-2-2 because the class was removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Higher Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 92.1% is worse than the 2023 YTD average of 88.4% but better than the 2022 average of 99.3%. The pool's Fitch net cash flow (NCF) debt yield (DY) of 10.6% is in line with the 2023 YTD average of 10.8% but better than the 2022 average of 9.9%. Investment Grade Credit Opinion Loan: One loan, Nvidia Santa Clara representing 9.4% of the pool, received an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. The pool's total credit opinion percentage is lower than the 2023 YTD and 2022 averages of 18.8% and 14.4%, respectively. Excluding this credit opinion loan, the pool's Fitch LTV and DY are 94.4% and 10.4%, respectively, compared to the equivalent conduit 2023 YTD LTV and DY averages of 95.2% and 10.5%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 66.5% of the pool, higher than the 2023 YTD and 2022 averages of 63.3% and 55.2%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.9. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Zero Amortization: 100% of the pool is comprised of interest-only loans, which is worse than both the 2023 YTD and 2022 averages of 83.1% and 77.5%, respectively. As a result, the pool is expected to have zero principal paydown by maturity of the loans. By comparison, the average scheduled paydown for Fitch-rated U.S. Multiborrower transactions during YTD 2023 and 2022 were 1.6% and 3.3%, respectively. Shorter Duration Loans: The pool is 100.0% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'BB-sf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BBsf' / 'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2023-B40: Fitch Assigns 'B-sf' Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has assigned final 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 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). Since Fitch published its expected ratings on Dec. 6, 2023, no changes have occurred. The ratings are based on information provided by the issuer as of Dec. 11, 2023. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 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 9.5% 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'/'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, LLC. 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. BLACKROCK DLF IX 2019-G: DBRS Confirms B Rating on Class W Notes ---------------------------------------------------------------- DBRS, Inc. confirmed the following credit ratings on the Class A-1, Class A-2, Class B, Class C, Class D, Class E, and Class W Notes (together, the Secured Notes) issued by BlackRock DLF IX 2019-G CLO, LLC (the Issuer), pursuant to the Amended and Restated Note Purchase and Security Agreement (the NPSA) dated December 23, 2020, as amended by the Amendment Agreement (the Amendment), dated August 18, 2023, among the Issuer; U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent, Collateral Administrator, Information Agent, and Note Agent; U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as Custodian and Document Custodian and the Purchasers referred to therein: Class A-1 Notes: AAA (sf) Class A-2 Notes: AA (sf) Class B Notes: A (high) (sf) Class C Notes: A (sf) Class D Notes: BBB (sf) Class E Notes: BB (sf) Class W Notes: B (sf) At the same time, DBRS Morningstar removed the Under Review with Developing Implications status of the credit ratings where they were placed on November 9, 2023. The credit ratings on the Class A-1 and Class A-2 Notes address the timely payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of October 16, 2031. The credit ratings on the Class B, Class C, Class D, Class E, and Class W Notes address the ultimate payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of October 16, 2031. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of DBRS Morningstar's review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs," released on October 22, 2023. The Reinvestment Period end date is October 16, 2025. The Stated Maturity is October 16, 2031. DBRS Morningstar monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include: Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of October 16, 2023, the Issuer is in compliance with all performance metrics. DBRS Morningstar confirmed the rating on the Secured Notes as the current transaction performance is within DBRS Morningstar's expectation. Some of the performance metrics that DBRS Morningstar reviewed are listed below: Collateral Quality Tests Minimum Weighted Average Spread: Subject to Collateral Quality Matrix; 6.25% Minimum Weighted Average Coupon: Subject to Collateral Quality Matrix; 6.00% Maximum Risk Score: Subject to Collateral Quality Matrix; 41.88% Minimum Weighted Average Recovery Rate Test: Subject to Collateral Quality Matrix; 47.5% Minimum Diversity Score Test; Subject to Collateral Quality Matrix; 30 Coverage Tests Class A-2 Overcollateralization Ratio: 143.97% Class B Overcollateralization Ratio: 132.18% Class C Overcollateralization Ratio: 125.71% Class D Overcollateralization Ratio: 119.01% Class E Overcollateralization Ratio: 110.28% Class A-2 Interest Coverage: 145.00% Class B Interest Coverage: 140.00% Class C Interest Coverage: 120.00% Class E Interest Coverage: 115.00% Class D Interest Coverage: 110.00% Class W Interest Coverage: 100.00% In its review, DBRS Morningstar also considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (4) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BlackRock Capital Investment Advisors, LLC. (5) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance" methodology. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured floating-rate Middle Market loans and (2) the adequate diversification of the portfolio of collateral obligations (the current DScore of 41 compared with test level of 30). Some challenges were identified as follows: (1) the weighted-average credit quality of the underlying obligors may fall below investment grade and may not have public ratings and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. The transaction is performing according to the contractual requirements of the NPSA. There were two defaults registered in the underlying portfolio to date with total principal balance of $2.7 million. Considering the transaction performance, its legal aspects, and structure, DBRS Morningstar confirmed its credit ratings on the Secured Notes issued by BlackRock DLF IX 2019-G CLO, LLC. To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by DBRS Morningstar. Credit estimates are not credit ratings; rather, they represent a model-driven default probability for each obligor that DBRS Morningstar uses when rating the Secured Notes. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF IX 2020-1: DBRS Confirms B Rating on Class W Notes ---------------------------------------------------------------- DBRS, Inc. confirmed the following credit ratings on the Class A-1, Class A-2, Class B, Class C, Class D, Class E, and Class W Notes (together, the Secured Notes) issued by BlackRock DLF IX 2020-1 CLO, LLC (the Issuer), pursuant to the Note Purchase and Security Agreement (the NPSA) dated July 21, 2020, among BlackRock DLF IX 2020-1 CLO, LLC, as Issuer; U.S. Bank National Association, as Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein: Class A-1 Notes: AAA (sf) Class A-2 Notes: AAA (sf) Class B Notes: AA (low) (sf) Class C Notes: A (high) (sf) Class D Notes: BBB (high) (sf) Class E Notes: BB (high) (sf) Class W Notes: B (sf) At the same time, DBRS Morningstar removed the Under Review with Developing Implications of the credit ratings where they were placed on November 9, 2023. The credit ratings on the Class A-1 and Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of July 21, 2030. The credit ratings on the Class B, Class C, Class D, Class E, and Class W Notes address the ultimate payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of July 21, 2030. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of DBRS Morningstar's review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs," released on October 22, 2023. The Reinvestment Period end date is July 21, 2024. The Stated Maturity is July 21, 2030. DBRS Morningstar monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include: Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of October 10, 2023, the Issuer is in compliance with all performance metrics. DBRS Morningstar confirmed the rating on the Secured Notes as the current transaction performance is within DBRS Morningstar's expectation. Some of the performance metrics that DBRS Morningstar reviewed are listed below: Collateral Quality Tests Minimum Weighted Average Spread: Subject to Collateral Quality Matrix; 5.75% Minimum Weighted Average Coupon: Subject to Collateral Quality Matrix; 6.00% Maximum Risk Score: Subject to Collateral Quality Matrix; 38.00 Minimum Weighted Average Recovery Rate Test: Subject to Collateral Quality Matrix; 47.5% Minimum Diversity Score Test; Subject to Collateral Quality Matrix; 30 Coverage Tests Class A Overcollateralization Ratio: 143.97% Class B Overcollateralization Ratio: 134.18% Class C Overcollateralization Ratio: 127.71% Class D Overcollateralization Ratio: 120.03% Class E Overcollateralization Ratio: 117.55% Class A Interest Coverage: 150.00% Class B Interest Coverage: 140.00% Class C Interest Coverage: 130.00% Class E Interest Coverage: 110.00% Class D Interest Coverage: 110.00% In its review, DBRS Morningstar also considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (4) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BlackRock Capital Investment Advisors, LLC. (5) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance" methodology. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured floating-rate Middle Market loans and (2) the adequate diversification of the portfolio of collateral obligations (the current DScore of 41 compared with test level of 30). Some challenges were identified as follows: (1) the weighted-average credit quality of the underlying obligors may fall below investment grade and may not have public ratings and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. The transaction is performing according to the contractual requirements of the NPSA. There were no defaults registered in the underlying portfolio to date. Considering the transaction performance, its legal aspects and structure, DBRS Morningstar confirmed its credit ratings on the Secured Notes issued by BlackRock DLF IX 2020-1 CLO, LLC. To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by DBRS Morningstar. Credit estimates are not credit ratings; rather, they represent a model-driven default probability for each obligor that DBRS Morningstar uses when rating the Secured Notes. Notes: All figures are in U.S. dollars unless otherwise noted. BREAN ASSET 2023-RM7: DBRS Gives Prov. B Rating on Class M4 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2023-RM7 (the Notes) to be issued by Brean Asset-Backed Securities Trust 2023-RM7: -- $147.6 million Class A1 at AAA (sf) -- $26.0 million Class A2 at AAA (sf) -- $173.6 million Class AM at AAA (sf) -- $7.4 million Class M1 at AA (sf) -- $1.9 million Class M2 at A (sf) -- $1.1 million Class M3 at BBB (sf) -- $5.4 million Class M4 at B (sf) Class AM is an exchangeable note. This class can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) credit rating reflects 112.6% of cumulative advance rate. The AA (sf), A (sf), BBB (sf), and B (sf) ratings reflect 117.3%, 118.6%,119.3%, and 122.8% of cumulative advance rates, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the September 30, 2023, cut-off date, the collateral has approximately $154.2 million in current unpaid principal balance (UPB) from 298 performing, two in default for insurance, and one in default for occupancy fixed-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, townhomes, multifamily (two- to four-family) properties, cooperatives, planned unit developments, and manufactured homes. About 72.6% of the loans by UPB were originated in 2023, 16.7% in 2022, and the rest between 2021 and 2018. All loans in this pool have a fixed interest rate with a 9.428% weighted-average coupon. The transaction uses a structure in which cash distributions are made sequentially to each rated note until the rated amounts with respect to such notes are paid off. No subordinate note shall receive any payments until the balance of senior notes has been reduced to zero. The note rate for the Class A Notes will reduce to 0.25% if the Home Price Percentage (as measured using the Standard & Poor's CoreLogic Case-Shiller National Index) declines by 30% or more compared with the value on the cut-off date. If the Notes are not paid in full or redeemed by the issuer on the Expected Repayment Date in November 2028, the issuer will be required to conduct an auction within 180 calendar days of the Expected Repayment Date to offer all the mortgage assets and use the proceeds, net of fees and expenses from auction, to be applied to payments to all amounts owed. If the proceeds of the auction are not sufficient to cover all the amounts owed, the issuer will be required to conduct an auction within six months of the previous auction. If, on any Payment Date (1) the average one-month conditional prepayment rate over the immediately preceding six-month period is equal to or greater than 25%, or (2) if the average per annum increase in the Case-Shiller Index, or, to the extent the Case-Shiller is no longer published, the Home Price Index, over the immediately preceding 12-month period is less than or equal to 0% then on such date, 50% of available funds remaining after payment of fees and expenses and interest to the Class A Notes will be deposited into the Refunding Account, which may be used to purchase additional mortgage loans. DBRS Morningstar's credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amount and Interest Accrual Amounts. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. BWAY COMMERCIAL 2022-26BW: DBRS Confirms BB(low) Rating on E Certs ------------------------------------------------------------------ DBRS Limited confirmed the credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2022-26BW issued by BWAY Commercial Mortgage Trust 2022-26BW as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X at BBB (high) (sf) -- Class D at BBB (sf) -- Class E at BB (low) (sf) All trends are Stable. The rating confirmations reflect collateral performance that remains in line with DBRS Morningstar's issuance expectations as evidenced by the subject's improving cash flow from the previous year, stable occupancy rate, and low tenant rollover risk into 2024. The transaction is secured by 26 Broadway, a 29-story, 839,712-square foot (sf) office property in Manhattan's Financial District. The $290.0 million whole loan includes $222.2 million held within the trust with $67.8 million held in companion loans and an additional $40.0 million of mezzanine debt. The interest-only (IO) loan is structured with a fixed-rate for the entirety of its 10-year term. As of the June 2023 rent roll, the property was 80.5% occupied compared with 78.7% as of September 2022 and 82.2% at issuance. The largest tenants include the New York City Department of Education (34.3% of net rentable area (NRA), lease expires in January 2039 and March 2041), Live Primary (8.8% of the NRA, lease expiry in December 2027), and New York Film Academy (5.2% of NRA, lease expiry in June 2030). At issuance, DRBS Morningstar noted Live Primary would be paying reduced rent through Q1 2023 because of a former bankruptcy filing in 2020. The loan was originally structured with a Live Primary Rent Replication Reserve of $1.15 million to mitigate the reduced rent. In its analysis at issuance, DBRS Morningstar also increased its tenant improvements/leasing commission costs to reflect the concerns surrounding the tenant's probability of renewal as well as its customized co-working buildouts. The remaining tenancy is quite granular and there is limited near-term rollover with leases representing only 5.2% of the NRA scheduled to expire in 2024. According to the June 2023 rent roll, the property is achieving an average rental rate of $47.10 per square foot (psf), which is well below the Reis-reported Q3 2023 submarket asking rate of $61.35 psf but in line with the submarket effective rate of $49.05. The submarket vacancy rate is currently 14.9%, up significantly from 10.4% at issuance. Reis projects vacancy will fluctuate between 14.6% and 15.3% over the next five years. Despite the increased submarket vacancy rate, New York City office fundamentals are better positioned than most U.S. markets to stabilize over the loan term. The loan has been on the servicer's watchlist for low debt service coverage ratio (DSCR) since September 2022, however, performance has improved over the past year as Live Primary has commenced full rent payments and other scheduled rent steps have been realized. According to the financials for the trailing nine months ended September 30, 2023, the subject's annualized net cash flow (NCF) was $16.1 million, implying a whole-loan DSCR of 0.97 times (x), up from theYE2022 figures of $13.7 million and 0.77x, respectively. At issuance, DBRS Morningstar concluded NCF and DSCR of $16.3 million and 1.11x, respectively. DBRS Morningstar derived a value of $232.8 million based on a capitalization rate of 7.0% , resulting in a DBRS Morningstar loan-to-value ratio of 124.5%. The DBRS Morningstar value represents a -49.9% variance from the issuer's appraised value of $465.0 million. DBRS Morningstar also made qualitative adjustments totaling 3.5% to account for low cash flow volatility, Class B property quality, and market fundamentals. Given the low concentration of annual rollover, credit tenancy, and improved financials over the past year, DBRS Morningstar expects the subject property to continue to perform in-line with issuance expectations. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2021-IRON: DBRS Confirms B(low) Rating on 2 Classes ----------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-IRON issued by BX Commercial Mortgage Trust 2021-IRON as follows: -- Class A at A (low) (sf) -- Class X-NCP at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) -- Class HRR at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the transaction. Although there has been relatively limited seasoning with minimal updates to the financial reporting since the transaction closed in February 2021, the loan continues to exhibit healthy credit metrics, with the servicer-reported financials for the trailing 12 (T-12) month period ended June 30, 2023, reflecting occupancy, revenue, and net cash flow (NCF) figures that remain consistent with DBRS Morningstar's expectations. The transaction is secured by a portfolio of 14 industrial properties with a combined 2.3 million square feet throughout California, New Jersey, Pennsylvania, Maryland, and Virginia, with the largest concentration in California. The collateral consists of function bulk warehouse products. The portfolio was part of a sale-leaseback to Iron Mountain, Inc. (Iron Mountain) and serves as secure document storage and tape storage facilities for Iron Mountain's record retention and storage clients. Iron Mountain solely occupies 100% of the net rentable area on two triple-net leases with annual 3.0% rent escalations and lease expiration dates in August 2030 and November 2030, respectively. There are no termination options during the loan term, and Iron Mountain has four successive five-year renewal options available. The $232 million floating-rate interest-only (IO) loan, along with $194.3 million in sponsor equity from the loan sponsor BREIT Operating Partnership L.P., an affiliate of The Blackstone Group, Inc., funded the $420 million acquisition of the portfolio. The loan had an initial two-year initial term and was structured with five one-year extension options for a fully extended maturity date of February 2028. The borrower exercised its first option extending maturity through February 2024 but has not yet exercised the second extension option; however, DBRS Morningstar expects that the borrower will be able to exercise the extension option as the loan meets the refinancing requirements. 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 transaction features a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 30.0% of the original principal balance, where individual properties may be released from the trust at a price of 105.0% of the allocated loan amount (ALA). Proceeds are applied sequentially for the remaining 70.0% of the pool balance with the release price increasing to 110.0% of the ALA. DBRS Morningstar applied a penalty to the transaction's capital structure to account for the pro rata nature of certain prepayments and for the weak deleveraging premium. As of the November 2023 reporting, there have been no property releases, and the trust remains in a pro rata payment schedule. According to the financial reporting for the T-12 period ended June 30, 2023, the portfolio generated an NCF of $18.3 million (a debt service coverage ratio (DSCR) of 1.38 times (x)), a slight decline from the YE2022 figure of $18.7 million (a DSCR of 2.69x). The decline in the DSCR was primarily driven by a significant increase in debt service obligations, given the loan's floating-rate structure. At issuance, DBRS Morningstar derived a NCF of $16.7 million (a DSCR of 2.69x) and applied a capitalization rate of 7.00% to arrive at a value of $233.5 million. This resulted in a DBRS Morningstar loan-to-value (LTV) ratio of 99.3% compared with the LTV of 54.5% based on the appraised value at issuance of $425.6 million. DBRS Morningstar considers the LTV ratio on the trust debt to be high. When combined with the lack of amortization, the high LTV ratio could potentially result in elevated refinance risk and/or loss severities in an event of default. In addition, the sponsor has the right to incur future mezzanine debt on the portfolio subject to a maximum appraisal LTV ratio of 57.0% and an aggregate debt yield of 7.98% or greater. As of this review, the servicer has confirmed that no additional mezzanine debt has been incurred. In its analysis, DBRS Morningstar maintained positive qualitative adjustments to the final LTV sizing benchmarks totaling 7.5% for cash flow volatility, property quality, and market fundamentals to account for strong cash flow stability attributable to the two absolute triple-net Iron Mountain leases, strong functionality metrics, and positioning across strong-performing gateway industrial markets. Notes: All figures are in U.S. dollars unless otherwise noted. CALCON MUTUAL 2023-1: Fitch Assigns 'B-sf' Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned ratings to the residential mortgage-backed certificates issued by Calcon Mutual Mortgage 2023-1 (CCMM 2023-1). Entity/Debt Rating Prior ----------- ------ ----- Calcon Mutual Mortgage 2023-1 A-1-A LT AAAsf New Rating AAA(EXP)sf A-1-B LT AA+sf New Rating AA+(EXP)sf A-1 LT AA+sf New Rating AA+(EXP)sf A-2 LT A+sf New Rating A+(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates 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 (versus 7.6% on a national level as of 1Q23, down 0.2% since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. 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 sequentially 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. CARLYLE US 2023-5: Fitch Assigns Final BB-sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Carlyle US CLO 2023-5, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2023-5, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2a LT AAAsf New Rating AAA(EXP)sf A-2b LT AAAsf New Rating 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 Carlyle US CLO 2023-5, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.8, versus a maximum covenant, in accordance with the initial expected matrix point of 27.1. 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 97.29% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.93% versus a minimum covenant, in accordance with the initial expected matrix point of 73.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 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. 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. CARVANA AUTO 2023-N4: DBRS Finalizes BB(high) Trust Rating ---------------------------------------------------------- DBRS, Inc. finalizes its provisional ratings on the following classes of notes issued by Carvana Auto Receivables Trust 2023-N4 (the Issuer) as follows: -- $127,530,000 at AAA (sf) -- $38,700,000 at AA (sf) -- $26,380,000 at A (sf) -- $17,600,000 at BBB (high) (sf) -- $28,270,000 at BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, a fully funded reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (3) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Carvana, LLC (Carvana) and Bridgecrest Credit Company, LLC and considers the entities to be an acceptable originator and servicer, respectively, of auto loans. (4) The operational history of Carvana and the strength of the overall company and its management team. -- Company management has considerable experience in the consumer lending business. -- Carvana has a technology-driven platform that focuses on providing the customer with high-level experience, selection, and value. Its website and smartphone app provide the consumer with vehicle search and discovery (currently showing more than 34,000 vehicles online); the ability to trade or sell vehicles almost instantaneously; and real-time, personalized financing. Carvana has developed underwriting policies and procedures for use across the lending platform that leverages technology where appropriate to validate customer identity, income, employment, residency, creditworthiness, and proper insurance coverage. -- Carvana has developed multiple proprietary risk models to support various aspects of its vertically integrated automotive lending business. All proprietary risk models used in Carvana's lending business are regularly monitored and tested. The risk models are updated from time to time to adjust for new performance data, changes in customer and economic trends, and additional sources of third-party data. (5) The credit quality of the collateral, which includes Carvana-originated loans with Deal Scores of 49 or lower. -- As of the November 11, 2023 Cut-off Date, the collateral pool for the transaction is primarily composed of receivables due from nonprime obligors with a weighted-average (WA) FICO score of 581, WA annual percentage rate of 21.75%, and WA loan-to-value ratio of 101.9%. Approximately 51.87%, 28.85%, and 19.28% of the pool include loans with Carvana Deal Scores greater than or equal to 30, between 10 and 29, and between 0 and 9, respectively. Additionally, 1.61% is composed of obligors with FICO scores greater than 751, 36.80% consists of FICO scores between 601 and 750, and 61.59% is from obligors with FICO scores less than or equal to 600 or with no FICO score. -- DBRS Morningstar analyzed the performance of Carvana's auto loan and retail installment contract originations and static pool vintage loss data broken down by Deal Score to determine a projected CNL expectation for the CRVNA 2023-N4 pool. (6) The DBRS Morningstar CNL assumption is 15.05% based on the cut-off date pool composition. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update," published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (7) Carvana's financial condition as reported in its annual report on Form 10-K filed as of February 23, 2023. (8) The legal structure and expected presence of legal opinions, which address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Carvana, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 50.50% of initial hard credit enhancement provided by the subordinated notes in the pool (44.15%), the reserve account (1.25%), and initial OC (5.10%). The ratings on the Class B, C, D, and E Notes reflect 35.10%, 24.60%, 17.60%, and 6.35% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Accrued Note Interest and the related Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations that are not financial obligations. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CIFC 2023-II: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to CIFC Funding 2023-II, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2023-II, Ltd. A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D1 LT BBB-sf New Rating BBB-(EXP)sf D2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Sub notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY CIFC Funding 2023-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset 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'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.6, versus a maximum covenant, in accordance with the initial target matrix point of 25.6. 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 95.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.5% versus a minimum covenant, in accordance with the initial target matrix point of 73.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% 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 (Negative): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'A+sf' for class C, 'Asf' for class D; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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. CLNC 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by CLNC 2019-FL1, Ltd. as follows: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the increased credit support to the bonds as a result of successful loan repayment, as there has been collateral reduction of 51.2% since issuance. The collateral reduction serves as a mitigant to the increased concentration of loans secured by office properties across the transaction, as the borrowers of these loans are likely to face difficulties in securing refinance capital or selling the properties at respective loan maturity. As of November 2023 reporting, there are six loans secured by office properties in the transaction, representing 39.8% of the current trust balance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. The pool's collateral initially consisted of 21 floating-rate loans secured by cash-flowing assets, many of which were in a period of transition with plans to stabilize and improve asset values. At issuance, the cut-off balance was $1.0 billion, with an additional $124.9 million of available future funding commitments held outside of the trust. The transaction included a 24-month reinvestment period, which expired in October 2021. Following this date, the bonds began to amortize sequentially with loan repayments and scheduled loan amortization. As of the November 2023 remittance, there were 15 loans in the transaction with a current trust balance of $491.0 million. Since DBRS Morningstar's previous credit rating action in March 2023, three loans (The Blanchard Building, Fairmont Claremont, and 1201 Connecticut), totaling $197.7 million, have been repaid from the transaction. In addition, the Issuer completed a credit risk exchange and substituted the aforementioned 1201 Connecticut loan with the $52.3 million Hilton Inverness loan, which is secured by a 302-key, full-service resort hotel in Englewood, Colorado. Only three of the original 21 loans, which represent 27.0% of the current trust balance, remain in the transaction. Beyond the office concentration noted above, there are seven multifamily properties, representing 39.3% of the current pool balance, followed by one hotel property, representing 10.7% of the current pool balance, and one mixed-use property, representing 10.2% of the current pool balance. In comparison with the pool composition in March 2023, seven loans, representing 41.7% of the trust, were secured by office properties; seven loans, representing 30.5% of the trust, were secured by multifamily properties; two loans, representing 12.0% of the trust, were secured by a mixed-use property; and one loan, representing 15.8% of the trust, was secured by a hotel. In terms of property location, the transaction is concentrated by properties in suburban markets, which DBRS Morningstar defines as markets with a DBRS Morningstar Market Rank of 3, 4, or 5. As of November 2023, there were 13 loans, representing 87.3% of the cumulative loan balance, secured by properties in suburban markets. The remaining two loans, representing 12.7% of the cumulative loan balance, are in urban markets, defined by DBRS Morningstar as markets with a DBRS Morningstar Market Rank of 6, 7, or 8. These markets historically have shown greater liquidity and demand. The collateral pool exhibits similar leverage from issuance with a current weighted-average (WA) appraised loan-to-value ratio (LTV) of 71.6% and a WA stabilized LTV of 65.4%. In comparison, these figures were 68.3% and 66.5%, respectively, at closing. As the majority of individual property appraisals were conducted between 2019 and 2022, it's possible that select property values may have decreased given the current interest rate and capitalization rate environment. In the analysis for this review, DBRS Morningstar applied upward LTV adjustments across eight loans, representing 66.4% of the current trust balance. Through November 2023, the lender had advanced cumulative loan future funding of $42.4 million to 10 of the outstanding individual borrowers. The largest advance ($13.6 million) was made to the borrower of the Central Park Plaza loan. The loan, which represents the largest loan in the pool (12.7% of the current pool balance), is secured by a six-building office complex totaling 302,471 square feet in San Jose, California. The borrower used advanced loan proceeds to fund various capital expenditures to improve the property's overall quality as well as to fund leasing costs. Since completing its capital expenditure program, the property has maintained stable performance as the property was 92.5% occupied as of the September 2023 rent roll. The loan matures in August 2024 after the sponsor exercised its fourth extension option. Despite the improvement in recent property performance, DBRS Morningstar remains concerned with the borrower's ability to effectuate its exit strategy given the lack of available financing options for loans secured by office properties. Given these factors, DBRS Morningstar applied an increased stabilized LTV in its analysis, resulting in an increased loan expected loss greater than the overall pool expected loss. An additional $27.5 million of unadvanced loan future funding allocated to 12 individual borrowers remains outstanding. The largest portion of unadvanced future funding dollars ($6.2 million) is allocated to the borrower of the 360 Wythe Avenue loan, which is secured by a Class A, mixed-use building in the Williamsburg neighborhood of Brooklyn, New York. The loan is currently on the servicer's watchlist for the November 2023 maturity; however, according to an update from the collateral manager, the lender and borrower agreed to a loan amendment in Q4 2023, which allowed the borrower to extend the loan's maturity date to November 2024 in exchange for the borrower depositing fresh equity into the interest reserve and purchasing a new interest rate cap agreement. As of the September 2023 rent roll, the multifamily portion was 96.4% occupied while the commercial space was 32.6% occupied, though recent positive leasing activity is expected to increase the commercial occupancy rate. According to the financials for the trailing 12-month period ended September 30, 2023, the loan reported a debt service coverage ratio (DSCR) of 0.50 times (x) and a debt yield of 4.0%. In its analysis, DBRS Morningstar applied increases to both the as-is LTV and the stabilized LTV; however, the resulting loan expected loss still remained below the overall pool expected loss. As of November 2023, there were no loans in special servicing; however, there were seven loans on the servicer's watchlist, representing 49.9% of the pool balance. The largest loan on the servicer's watchlist is the aforementioned Hilton Inverness loan, which is being monitored for upcoming maturity risk as the loan is scheduled to mature in February 2024; however, the loan is structured with one 12-month extension option subject to a minimum 1.40x net operating income DSCR and the borrower purchasing a new interest rate cap agreement. The borrower is expected to exercise the option as property performance currently meets the performance test. In its analysis, DBRS Morningstar applied an upward LTV adjustment, with the resulting loan expected loss in excess of the overall expected loss for the pool. An additional four loans, representing 27.0% of the pool balance, have been modified. The modified terms for individual loans have generally included changes in the floating interest rate spreads and maturity extensions. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2022-HC: DBRS Confirms BB Rating on Class HRR Certs -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2022-HC issued by COMM 2022-HC Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The credit rating confirmations reflect DBRS Morningstar's overall outlook of the transaction, which remains in line with issuance expectations. Although there has been relatively limited seasoning with minimal updates to the financial reporting since the transaction closed in January 2022, the servicer-reported financials for YE2022 and the trailing-12 months (T-12) ended June 30, 2023 reflect stable to improving occupancy, revenue, and net cash flow (NCF) figures as the sponsor works toward achieving its business plan of leasing up vacant space and stabilizing the property. The loan is secured by the borrower's fee-simple interest in Hudson Commons, a 697,960-square-foot (sf), Class A, LEED Platinum office tower located on Ninth Avenue between West 34th Street and West 35th Street in the Penn Station submarket of Manhattan, New York. The property was built in 1962 and renovated between 2012 and 2018 by the seller, a joint venture of Cove Property Group LLC and The Baupost Group LLC. Renovations of more than $800.0 million primarily consisted of upgrading and reinforcing the existing structure, in addition to constructing an additional 17-story, 304,301-sf glass office tower directly above the existing structure. The property is split into two condominium units that both serve as collateral for the loan: the original nine-story podium base and the additional 17-story glass tower. The transaction sponsorship is a joint venture between CommonWealth Partners LLC and the California Public Employees' Retirement System, which purchased the property for approximately $1.03 billion ($1,480 per square foot (psf)). Whole loan proceeds of $507.0 million, along with $588.0 million of borrower equity (53.7% of the cost), were used facilitate the acquisition of the property, fund a $35.5 million leasing reserve, a $7.9 million free rent reserve, and cover closing costs. The loan is interest-only (IO) throughout its five-year term with a scheduled maturity date in January 2027. As of the June 2023 rent roll, the property was 77.7% occupied, unchanged from YE2022, but higher than the issuance figure of 72.7%. There has been positive leasing momentum at the property with Sprinklr, a software company based in New York City, signing a lease for 23,623 sf that is scheduled to commence in Q2 2024, implying the physical occupancy rate at the property will increase to 81.1% in the near term. According to Reis, the Penn Station submarket reported a Q3 2023 vacancy rate of 7.8% with an average asking rental rate of $80 psf, compared with the subject's in-place rate of $100 psf. FZN US Platform Co Inc. (FZN) (5.1% of the net rentable area (NRA); lease expiration in June 2034) and Fireblocks, Inc (1.4% of the NRA; lease expiration in September 2025) signed new leases in 2022, with initial rates of $174 psf and $122 psf, respectively. FZN received 20 months of rent abatements that are scheduled to expire in June 2024, suggesting the property's average rental rate will likely continue to trend upward. The largest tenants are Peloton Interactive, Inc. (Peloton; 48.1% of NRA), and Lyft, Inc. (Lyft; 14.4% of NRA) with scheduled lease expirations in December 2035 and November 2029, respectively. Both Peloton and Lyft have termination or contraction options in their respective leases. Lyft's first termination option is in December 2026 when the tenant can terminate its entire space with 18 months' notice and a termination fee of $6.5 million ($65 psf). Peloton's first contraction option is in December 2030 when the tenant can terminate portions of its lease with 15 to 27 months' notice and a termination fee equal to the amount of principal remaining unpaid at a rate of 10% per annum compounding monthly. Both of these options are outside of the loan term. Peloton listed approximately 100,000 sf of its space for sublease as the fitness company looks to downsize its physical footprint. Both tenants have invested significantly in their spaces, with Peloton investing $167.9 million ($500 psf) and Lyft investing $17.6 million ($175 psf) in addition to their tenant improvement packages. In addition, the loan is structured with strong cash sweep provisions should Peloton or Lyft choose to exercise their early termination options. According to the T-12 months ended June 30, 2023 financial reporting, the property generated NCF of $27.5 million (a debt service coverage ratio (DSCR) of 1.52 times (x)), an improvement from the YE2022 figure of $26.5 million (a DSCR of 1.46x) but below DBRS Morningstar's stabilized NCF derived at issuance of $40.0 million (a DSCR of 1.53x). While the collateral has yet to stabilize and the physical vacancy rate remains elevated, tenant abatements have yet to burn off and the sponsor continues to work toward its business plan of leasing-up vacant space. To achieve the DBRS Morningstar stabilized occupancy rate of 92.5%, management needs to lease-up approximately 130,000 sf at a total cost of approximately $21.6 million ($166 psf) based on DBRS Morningstar's tenant improvement and leasing assumptions at issuance, which is below the remaining $27.3 million of reserves dedicated to accretive leasing costs. Despite the generally challenging economic conditions, coupled with the adoption of remote and hybrid work, that continues to place downward pressure on the office sector, the property benefits from its superior quality, strong institutional sponsorship, its location in a premier New York office market, and the lack of significant rollover risk during the five-year loan term. In addition, the loan includes strong structural features including, but not limited to, upfront reserves and cash management provisions. DBRS Morningstar's ratings are based on a value analysis completed at issuance that considered a capitalization rate of 6.5% which was applied to the DBRS Morningstar NCF of $40.0 million, resulting in a DBRS Morningstar value of $616.1 million and a whole loan-to-value ratio (LTV) of 82.3%. The DBRS Morningstar value represents a 40.8% haircut to the appraiser's value of $1.0 billion. In addition, the DBRS Morningstar stabilized value of $886 psf is significantly lower than the appraiser's comparable office sales, which averaged $1,207 psf across eight transactions that DBRS Morningstar deemed comparable at issuance. It is also approximately 30.0% below the $1,146 psf invested by the seller to gut renovate the property. DBRS Morningstar maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 3.75% to account for low cash flow volatility, strong property quality, and market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. EMPOWER CLO 2023-3: S&P Assigns BB- (sf) Rating on Cl. E Notes -------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 FLATIRON CLO 24: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Flatiron CLO 24 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Flatiron CLO 24 Ltd. A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Flatiron CLO 24 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by NYL Investors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.35, versus a maximum covenant, in accordance with the initial expected matrix point of 25.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.89% versus a minimum covenant, in accordance with the initial expected matrix point of 73.65%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between '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 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. GUGGENHEIM MM 2023-6: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Guggenheim MM CLO 2023-6 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 Guggenheim Corporate Funding 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 Guggenheim MM CLO 2023-6 LLC Class A, $183.0 million: AAA (sf) Class A loans, $92.5 million: AAA (sf) Class B, $47.5 million: AA (sf) Class C (deferrable), $38.0 million: A (sf) Class D (deferrable), $28.5 million: BBB- (sf) Class E (deferrable), $28.5 million: BB- (sf) Subordinated notes, $57.0 million: Not rated HALCYON LOAN 2015-2: Moody's Cuts Rating on $10MM Cl. F Notes to C ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating on the following notes issued by Halcyon Loan Advisors Funding 2015-2 Ltd.: US$28,750,000 Class C-R Secured Deferrable Floating Rate Notes due 2027 (current outstanding balance of $14,545,943), Upgraded to Aaa (sf); previously on May 27, 2021 Upgraded to Aa1 (sf) Moody's has also downgraded the ratings on the following notes: US$26,000,000 Class E Secured Deferrable Floating Rate Notes due 2027 (current outstanding balance of $28,329,929), Downgraded to Ca (sf); previously on May 27, 2021 Downgraded to Caa3 (sf) US$10,000,000 Class F Secured Deferrable Floating Rate Notes due 2027 (current outstanding balance of $14,074,890), Downgraded to C (sf); previously on August 19, 2020 Downgraded to Ca (sf) Halcyon Loan Advisors Funding 2015-2 Ltd., originally issued in June 2015 and partially refinanced in October 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2019. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the Class C over-collateralization (OC) ratio since November 2022. The Class B-R notes were fully paid down by $16 million and Class C-R notes have been paid down by approximately 49% or $14.2 million since that time. Based on the trustee's November 2023 [1] report, the OC ratios for the Class C-R notes are reported at 363.58% versus November 2022[2] level of 199.50%. The downgrade rating actions on the Class E and Class F notes reflect 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 ratios for the Class E notes and Class F notes are approximately 69.93% and 58.96% respectively versus November 2022 levels of 85.78% and 76.61%. 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: $52,074,518 Defaulted par: $8,723,119 Diversity Score: 17 Weighted Average Rating Factor (WARF): 3814 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.09% Weighted Average Recovery Rate (WARR): 47.79% Weighted Average Life (WAL): 2.02 years Par haircut in OC tests and interest diversion test: 2.9% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. HERTZ VEHICLE III: DBRS Confirms BB Rating on 6 Classes Notes ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on 24 securities issued by six Hertz Vehicle Financing III LLC transactions as follows: -- Series 2021-1, Class A Notes at AAA (sf) -- Series 2021-1, Class B Notes at A (sf) -- Series 2021-1, Class C Notes at BBB (sf) -- Series 2021-1, Class D Notes at BB (sf) -- Series 2021-2, Class A Notes at AAA (sf) -- Series 2021-2, Class B Notes at A (sf) -- Series 2021-2, Class C Notes at BBB (sf) -- Series 2021-2, Class D Notes at BB (sf) -- Series 2023-1, Class A Notes at AAA (sf) -- Series 2023-1, Class B Notes at A (sf) -- Series 2023-1, Class C Notes at BBB (sf) -- Series 2023-1, Class D Notes at BB (sf) -- Series 2023-2, Class A Notes at AAA (sf) -- Series 2023-2, Class B Notes at A (sf) -- Series 2023-2, Class C Notes at BBB (sf) -- Series 2023-2, Class D Notes at BB (sf) -- Series 2023-3, Class A Notes at AAA (sf) -- Series 2023-3, Class B Notes at A (sf) -- Series 2023-3, Class C Notes at BBB (sf) -- Series 2023-3, Class D Notes at BB (sf) -- Series 2023-4, Class A Notes at AAA (sf) -- Series 2023-4, Class B Notes at A (sf) -- Series 2023-4, Class C Notes at BBB (sf) -- Series 2023-4, Class D Notes at BB (sf) The confirmations are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update," published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. -- The fleet mix remains strong, with a high portion of vehicles from investment-grade manufacturers. -- Gains above book value remain strong, with residual gains well over 100% in recent months. -- The pool is in compliance with all concentration limits. Notes: The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance. HOME PARTNERS 2021-3: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. reviewed 14 classes from two U.S. single-family rental transactions. Of the 14 classes reviewed, DBRS Morningstar confirmed 14 credit ratings as follows: Home Partners of America 2021-3 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (sf) STAR 2021-SFR2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (sf) -- Single-Family Rental Pass-Through Certificate, Class E confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (low) (sf) The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. DBRS Morningstar's confirmations are based on the following analytical consideration: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: The principal methodology applicable to the credit ratings is Rating and Monitoring U.S. Single-Family Rental Securitizations. JP MORGAN 2023-HE3: Fitch Assigns B(EXP)sf Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to JP Morgan Mortgage Trust 2023-HE3 (JPMMT 2023-HE3). Entity/Debt Rating ----------- ------ JPMMT 2023-HE3 A-1 LT AAA(EXP)sf Expected Rating M-1 LT AA(EXP)sf Expected Rating M-2 LT A(EXP)sf Expected Rating M-3 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating BX LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates backed by a second lien, prime, open home equity line of credit (HELOC) on residential properties to be issued by J.P. Morgan Mortgage Trust 2023-HE3 (JPMMT 2023-HE3) as indicated above. This is the third transaction rated by Fitch that includes prime-quality second lien HELOCs with open draws off the JPMMT shelf and the third, second lien HELOC transaction off the JPMMT shelf. The loans associated with the draws allocated to the participation certificate are 3,002 nonseasoned, performing, prime-quality second lien HELOC loans with a current outstanding balance (as of the cutoff date) of $257.82 million. The collateral balance based on the maximum draw amount is $322.76 million, as determined by Fitch. As of the cutoff date, 100% of the HELOC lines are open or on a temporary freeze, and may be opened in the future. The aggregate available credit line amount, as of the cutoff date, is expected to be $45.39 million, per transaction documents. As of the cutoff date, weighted average utilization of the HELOCs is 91.1%, per the transaction documents. The main originators in the transaction are loanDepot.com, LLC and United Wholesale Mortgage. All other originators make up less than 10% of the pool. The loans are serviced by Specialized Loan Servicing LLC and loanDepot.com, LLC. Distributions of principal are based on a modified sequential structure, subject to the transaction's performance triggers. Interest payments are made sequentially to all classes, except B-4, which is a principal-only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMorgan Mortgage Acquisitions Corp. (JPMMAC). This transaction will not use a variable funding note (VFN) structure, rather, it will use participation certificates. JPMMT 2023-HE3 is only entitled to cash flows based on the amount drawn as of the cutoff date. The remaining available draws will be allocated to the JPMorgan participation certificate (JPM PC) if they are drawn in the future. See the Highlights section of the presale for a description. In Fitch's analysis, Fitch assumes 100% of the HELOCs are 100% drawn on day one. As a result, all Fitch determined percentages are based off the maximum HELOC draw amount. The servicers, Specialized Loan Servicing LLC and loanDepot.com, LLC, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans, adjusted based on the prime rate, none of which reference Libor. The A-1, M-1, M-2, and M-3 certificates are floating rate and use SOFR as the index; they are capped at the net weighted average coupon (WAC). The annual rate on the B-1, B-2 and B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. The B-4 certificates are entitled to distributions of principal only and will not receive any distributions of interest. There is no exposure to Libor in this transaction. The transaction will comply with both US risk retention and EU/UK risk retention requirements. 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 10.0% 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. High-Quality Prime Mortgage Pool (Positive): The participation interest is in a fixed pool of draws related to 3,002 prime-quality, performing, adjustable-rate open-ended HELOCs that have two-, three-, five- or 10-year interest-only periods and maturities of up to 30 years. The open-ended HELOCs are secured by second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, site condos and townhouses, totaling $323 million (includes maximum HELOC draw amount). The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of five months, according to Fitch, and two months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 746, as determined by Fitch, indicative of very high credit-quality borrowers. About 45.5%, as determined by Fitch, of the loans have a borrower with an original FICO score equal to or above 750. The original WA combined loan to value (CLTV) ratio, as determined by Fitch, of 66.8%, translates to a sustainable loan to value (sLTV) ratio of 73.9%. The transaction documents stated a WA drawn LTV of 16.7% and a WA drawn CLTV of 65.5%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV over 80%. Of the pool loans, 39.8% were originated by a retail or correspondent channel with the remaining 60.2% being originated by a broker channel. 100% of the loans are underwritten to full documentation. Based on Fitch's review of the documentation, Fitch considered 98.9% of the loans to be fully documented. Of the pool, 97.9% comprise loans where the borrower maintains a primary or secondary residence; the remaining 2.1% are investor loans. Single-family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 94.6% of the pool (94.1%, per the transaction documents). Condominiums and site condos make up 4.0% (4.3% per the transaction documents), while multifamily homes make up 1.5% of the pool (1.6% per the transaction documents). The pool consists of loans with the following loan purposes, according to Fitch: purchases (2.4%), cash-out refinances (97.5%) and rate-term refinances (0.1%). The transaction documents show 97.6% of the pool to be cash-out refinances. Fitch considers a loan a rate term refinance if the cash-out amount is less than $5,000 (there was one loan with a cash-out amount less than $5,000) which explains the difference in the cash-out amount percentages. None of the loans in the pool are over $1.0 million, and the maximum draw amount is $500,000. Of the pool loans, 39.8% are concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (14.7%), followed by Riverside-San Bernardino-Ontario, CA MSA (5.9%) and San Diego-Carlsbad-San Marcos, CA MSA (5.3%). The top three MSAs account for 26% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Second-Lien HELOC Collateral (Negative): The entirety of the collateral pool consists of second-lien HELOC loans originated by loanDepot.com LLC, United Wholesale Mortgage and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans, after controlling for credit attributes, no additional penalty was applied. Modified Sequential Structure with No Advancing of DQ P&I (Mixed): The proposed structure is a modified-sequential structure in which principal is distributed pro rata to the A-1, M-1, M-2 and M-3 classes to the extent the performance triggers are passing. To the extent triggers are failing, principal is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses, and cap carryover amounts. The transaction has a lockout feature benefitting more senior classes if performance deteriorates. If the applicable credit support percentage of the M-1, M-2 or M-3 class is less than the sum of (i) 150% of the original applicable credit support percentage for that class plus (ii) 50% of the non-performing loan percentage plus (iii) the charged-off loan percentage, then that class is locked out of receiving principal payments and the principal payments are redirected to the most senior class. To the extent any class of certificates is a locked-out class, each class of certificates subordinate to such locked-out class will also be a locked-out class. Due to this lockout feature, the M classes will be locked out, starting day one. The A-1 and M classes are floating rate classes based on the SOFR index and are capped at the net WAC. The annual rate on the B-1, B-2 and B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. Class B-4 is a principal-only class and is not entitled to receive interest. If no excess spread is available to absorb losses, losses will be allocated to all classes reverse sequentially, starting with class B-4. The servicer will not advance delinquent monthly payments of P&I. 180-Day Chargeoff Feature (Positive): Loans that become 180 days delinquent based on the MBA delinquency method, except for those in a forbearance plan, will be charged off. The 180-day chargeoff feature will result in losses being incurred sooner, while a larger amount of excess interest is available to protect against losses. This compares favorably to a delayed liquidation scenario where the loss occurs later in the life of the deal and less excess is available. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.93% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KKR CLO 43: Moody's Assigns B3 Rating to $200,000 Class F-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to four classes of CLO refinancing notes (the "Refinancing Notes") issued by KKR CLO 43 Ltd. (the "Issuer"). Moody's rating action is as follows: US$2,500,000 Class X Senior Secured Floating Rate Notes Due 2036, Assigned Aaa (sf) US$238,500,000 Class A-1-R Senior Secured Floating Rate Notes Due 2036, Assigned Aaa (sf) US$11,750,000 Class A-2-R Senior Secured Floating Rate Notes Due 2036, Assigned Aaa (sf) US$200,000 Class F-R Senior Secured Deferrable Floating Rate Notes Due 2036, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 94% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 6% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. KKR Financial Advisors II, 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 four year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $385,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2961 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.75% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. KKR CLO 44: Moody's Assigns (P)B3 Rating to $250,000 Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued by KKR CLO 44 Ltd. (the "Issuer" or "KKR 44"). Moody's rating action is as follows: US$310,000,000 Class A-1 Senior Secured Floating Rate Notes due 2036, Assigned (P)Aaa (sf) US$10,000,000 Class A-2 Senior Secured Floating Rate Notes due 2036, Assigned (P)Aaa (sf) US$250,000 Class F Senior Secured Deferrable Floating Rate Notes due 2036, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. KKR 44 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Moody's expect the portfolio to be fully ramped as of the closing date. KKR Financial Advisors II, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue four other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2745 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. KSL COMMERCIAL 2023-HT: DBRS Gives (P) BB(high) Rating on HRR Certs ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2023-HT (the Certificates) to be issued by KSL Commercial Mortgage Trust 2023-HT (KSL 2023-HT). -- Class A at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. KSL 2023-HT is secured by the fee-simple and/or leasehold interests in 19 hospitality properties across six states and Washington, D.C. The portfolio consists of 3,102 total keys, including seven properties (732 keys, representing 29.0% of allocated loan amount (ALA)) as independent brands; six properties (1,228 keys, representing 38.5% of ALA) operating under the Marriott brand family; three properties (549 keys, representing 15.3% of ALA) operating under the Hilton brand family; two properties (365 keys, representing 11.3% of ALA) operating under the Hyatt brand family; and one property (228 keys, representing 5.9% of ALA) operating under the IHG brand family. The properties were constructed between 1904 and 2015 and have a weighted-average (WA) year built of 1990 and WA renovation year of 2020. The subject financing of $736.0 million, along with a $204.0 million mezzanine loan, $375.6 million equity infusion from the transaction sponsor, and $47.4 million of rolled preferred equity from the seller, Hersha Hospitality Trust, will facilitate the $1.18 billion acquisition price, establish a $25.5 million up front property improvement plan (PIP) reserve, and cover closing and financing costs totaling approximately $157.4 million. The loan is a two-year floating-rate (one-month Secured Overnight Financing Rate (SOFR) plus 3.668% per annum) interest-only (IO) mortgage loan with three one-year extension options. The Borrower is expected to purchase an interest rate cap agreement through December 15, 2025, with a one-month Term SOFR strike price of 3.9%. The transaction sponsor is an affiliate of KSL Capital Partners (KSL). KSL is a private equity firm specializing in equity and debt investing in U.S. and international travel and leisure enterprises, spread across five primary sectors: hospitality, recreation, clubs, real estate, and travel services. KSL has been an industry leader for its 30 years of operations by strategically acquiring lodging and leisure-oriented assets and implementing management to help drive cash flow. Since 2005, KSL has raised more than $21 billion worth of capital commitments that focus solely on its travel and leisure endeavors, investing in more than 150 businesses across the world. Since 2016, approximately $194.6 million in capex was invested in the properties. An additional $34.6 million ($30,687 per key) of planned capex is budgeted for six of the properties for 2024 through 2026. The planned capex is part of brand-mandated PIPs over the fully extended five-year loan term, which will partially be funded by the PIP reserve. In addition, the loan has been structured with a $10.0 million line of credit from the sponsor to fund the remaining portion of the planned renovations. Once/if performed, these improvements would allow the portfolio to maintain its competitive position and improve its overall financial performance. DBRS Morningstar applied a $10.0 million value adjustment to recognize the PIP shortfall during the initial loan term. The top-three properties by net cash flow (NCF) for the trailing 12-month (T-12) period ended October 31, 2023, are The Envoy Hotel, Autograph Collection, which represents approximately 9.8% of the T-12 October 2023 NCF; The Cadillac Hotel & Beach Club, Autograph Collection, which represents approximately 9.7% of the T-12 October 2023 NCF; and the Hilton Garden Inn New York-Midtown East, which represents approximately 9.1% of the T-12 October 2023 NCF. No other property represents more than 9.0% of portfolio NCF. The 19 properties average approximately 163 keys and the largest hotel, The Cadillac Hotel & Beach Club, Autograph Collection, contains 357 keys, or approximately 11.5% of the total aggregate keys in the portfolio. The portfolio is located across six states and Washington, D.C., with the largest concentration by ALA in New York and Florida, which account for approximately 35.0% and 24.3% of the loan balance by ALA, respectively. The third-largest concentration is in Pennsylvania, which accounts for approximately 11.5% of the loan balance by ALA, with no other state accounting for more than 10.0% of the loan balance by ALA. Most of these markets represent a DBRS Morningstar Market Rank of 7 or 8 with a WA Market Rank of 6.1. The locations within these markets are primarily high-barrier-to-entry urban markets that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. The overall portfolio appraised value is $1.49 billion, which equates to a moderate appraised total debt LTV of 63.2% (61.3% LTV based on the $1.53 bulk sale value). In 2019, prior to the Coronavirus Disease (COVID-19) pandemic, the portfolio averaged 82.6% occupancy and reported WA average daily rate (ADR) and revenue per available room (RevPAR) of $249.31 and $205.88, respectively. While occupancy has declined, the sponsor has been successful in recovering ADR to above its pre-pandemic historical average. As of the T-12 period ended October 31, 2023, WA RevPAR penetration for the portfolio was 102.1% based on occupancy of 72.8%, ADR of $292.34, and RevPAR of $212.96. Based on a stabilized occupancy of 74.5% and ADR of $291.42, DBRS Morningstar concluded RevPAR of $216.97. DBRS Morningstar's concluded NCF and value for the portfolio reflect a stabilized occupancy assumption of 74.5%, which is above the portfolio's 72.8% occupancy for the T-12 period ended October 31, 2023, but still well below the 82.6% achieved in 2019. The portfolio NCFs of $85.9 million and $84.2 million reported as of YE2022 and the T-12 period ended October 31, 2023, respectively, are significantly higher than the -$11.2 million and $46.7 million NCFs reported as of YE2020 and YE2021, respectively. The portfolio NCF decline from YE2022 to the T-12 period is the result of ongoing renovations at a number of the properties, particularly the Winter Haven Hotel, which is completely closed and not reopening until the end of November 2023. As of the T-12 ended October 31, 2023, the portfolio has surpassed pre-pandemic RevPAR levels by 3.4%, which is depressed as several of the properties have not been able to capitalize on on-going renovations. DBRS Morningstar elected to stabilize the portfolio and assumed occupancy generally in line with 2024 projections for the stabilizing assets, given that these figures are more conservative compared with the assets' pre-pandemic performance, the nationally recognized brand affiliation of the properties as well as their steady pre-pandemic operating history, experienced management by nationally recognized management companies, strong overall locations, and KSL's sponsorship. Although certain assets in the portfolio that are more reliant on business and group demand experience a slower recovery, those that are more focused on transient customers continue to see rapid improvement. DBRS Morningstar's credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this Press Release. DBRS Morningstar's credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Yield Maintenance Premium. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. MADISON PARK LXI: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Madison Park Funding LXI, Ltd. Entity/Debt Rating ----------- ------ Madison Park Funding LXI, Ltd. A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Madison Park Funding LXI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Credit Suisse Asset Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.81% first-lien senior secured loans and has a weighted average recovery assumption of 74.46%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for the class B notes, between 'B+sf' and 'BBB+sf' for the class C notes, between less than 'B-sf' and 'BB+sf' for the class D notes, and between less than 'B-sf' and 'B+sf' for the class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for the class B notes, 'A+sf' for the class C notes, 'A-sf' for the class D notes; and 'BBB+sf' for the class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. MAGNETITE LTD XXIX: Moody's Ups Rating on $26.125MM E Notes to Ba2 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Magnetite XXIX, Limited: US$60,500,000 Class B Senior Secured Floating Rate Notes due 2034 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on March 18, 2021 Assigned Aa2 (sf) US$27,500,000 Class C Deferrable Mezzanine Floating Rate Notes due 2034 (the "Class C Notes"), Upgraded to A1 (sf); previously on March 18, 2021 Assigned A2 (sf) US$33,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2034 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on March 18, 2021 Assigned Baa3 (sf) US$26,125,000 Class E Deferrable Mezzanine Floating Rate Notes due 2034 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on March 18, 2021 Assigned Ba3 (sf) Magnetite XXIX, Limited, originally issued in March 2021 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2024. RATINGS RATIONALE These rating actions reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in January 2024. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF), higher weighted average spread (WAS), diversity score, and performing par compared to the respective covenant levels. Moody's modeled a WARF of 2852 compared to its current covenant level of 2864, WAS of 3.35% compared to the covenant level of 3.20%, diversity score of 82 compared to the covenant level of 65, and performing par of $553.7 million compared to the target level of $550 million. 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: $553,666,947 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2852 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.35% Weighted Average Coupon (WAC): 5.22% Weighted Average Recovery Rate (WARR): 47.08% Weighted Average Life (WAL): 4.43 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. MANUFACTURED HOUSING 2000-3:S&P Affirms 'CC' Rating on IIA-2 Certs ------------------------------------------------------------------ S&P Global Ratings completed its review of 21 ratings from 15 Conseco Finance Corp.-related manufactured housing ABS transactions issued between 1999 and 2002 and three ratings from two GreenPoint Credit LLC-related manufactured housing ABS transactions issued in 2000. S&P raised eight ratings and affirmed 16 ratings. The rating actions reflect the transactions' collateral performance to date, S&P's views regarding future collateral performance, the transactions' structures, and the credit enhancement available. Furthermore, its analysis incorporated secondary credit factors such as credit stability, payment priorities under certain scenarios, and sector- and issuer-specific analyses. S&P said, "The upgrades reflects our assessment of the growth in credit enhancement for the affected classes in the form of subordination, which we expect will mitigate the impact of losses being higher than originally expected for these pools. We also took into consideration the relatively short estimated time horizon for the notes to be paid in full." Table 1 Collateral Performance (%) As of the December 2023 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. 1999-1 298 3.16 22.68 6.09 1999-2 297 3.04 23.62 5.33 2000-6 276 3.93 34.75 8.36 2001-1 272 3.76 34.26 11.71 2001-2 269 4.25 35.93 9.09 2001-3 267 4.69 32.95 7.86 2001-4 264 4.66 29.27 10.83 2002-1 260 4.84 29.57 9.59 2002-2 258 4.68 28.22 6.65 Mo.--Month. Delinq.--Delinquencies. CNL--Cumulative net loss. Table 2 CNL Expectations (%) Prior Revised Revised lifetime lifetime CNL exp. CNL exp. Series As of Nov. 2022 As of Dec. 2023 1999-1 24.00-25.00 23.50-24.50 1999-2 25.00-26.00 24.50-25.50 2000-6 37.25-38.25 36.50-37.50 2001-1 36.50-37.50 36.00-37.00 2001-2 39.00-40.00 38.50-39.50 2001-3 36.25-37.25 35.00-36.00 2001-4 32.50-33.50 31.75-32.75 2002-1 32.75-33.75 32.00-33.00 2002-2 31.00-32.00 29.75-30.75 CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. S&P said, "The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect our view that our projected credit support will remain insufficient to cover our projected losses for these classes. As defined in our criteria, the 'CCC (sf)' level ratings reflect our view that the related classes are still vulnerable to nonpayment and are dependent upon favorable business, financial, and economic conditions in order to be paid interest and/or principal according to the terms of each transaction. Additionally, the 'CC (sf)' ratings reflect our view that the related classes remain virtually certain to default. Each transaction was initially structured with overcollateralization (O/C) and subordination. However, due to higher-than-expected losses, the O/C on each of these transactions has been depleted to zero, and many of the subordinated classes have experienced principal write-downs. S&P said, "For Manufactured Housing Contract Trust Pass-Through Certificates Series 2000-4, we affirmed our 'AA (sf)' rating on the class A-3 certificates based on our 'AA' financial strength rating on Assured Guaranty Municipal Corp. (Assured), the bond insurer, to pay any principal or interest shortfalls that may arise. Assured has made claims payments on principal and interest payment shortfalls that have occurred since the November 2014 determination date, and we believe that Assured will continue to honor its obligations to make up any shortfalls in principal and/or interest payments. "We will continue to monitor the performance of the transactions relative to their cumulative net loss expectations and the available credit enhancement. We will take rating actions as we consider appropriate." Ratings list RATING TRANSACTION CLASS TO FROM Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-1 A-7 BBB- (sf) B (sf) Manufactured Housing Contract Sr/Sub Pass-Through Certificates Series 2002-2 M-1 BBB (sf) B (sf) Manufactured Housing Contract Sr/Sub Pass-Thru Certs Series 2001-3 A-4 BB (sf) B- (sf) Manufactured Housing Contract Sr/Sub Pass-Thru Cert Series 2001-4 M-1 CCC+(sf) CCC (sf) Manufactured Housing Contract Sr/Sub Pass-thru Cert Series 2002-1 M-2 CCC- (sf) CCC- (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-2 A-6 B- (sf) CCC- (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-2 A-7 B- (sf) CCC- (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-3 A-8 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-3 A-9 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-4 A-7 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-4 A-8 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-4 A-9 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-5 A-5 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-thru Trust 1999-5 A-6 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-Thru Trust 1999-6 A-1 CC (sf) CC (sf) Manufactured Housing Contract Senior/Subordinate Pass-Through Certificates Series 2000-3 A CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-Thru Cert Series 2000-5 A-6 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-Thru Cert Series 2000-5 A-7 CC (sf) CC (sf) Manufactured Housing Contract Sr/Sub Pass-Thru Cert Series 2000-6 A-5 CC- (sf) CCC- (sf) Manufactured Housing Contract Sr/Sub Pass-Thru Cert Series 2001-1 A-5 CCC (sf) CCC- (sf) Manufactured Housing Contract Sr/Sub Pass-Thru Cert Series 2001-2 A CCC (sf) CCC- (sf) Manufactured Housing Contract Trust Pass-Thru Cert Series 2000-3 IA CC (sf) CC (sf) Manufactured Housing Contract Trust Pass-Thru Cert Series 2000-3 IIA-2 CC (sf) CC (sf) Manufactured Housing Contract Trust Pass-Thru Cert Series 2000-4 A-3 AA (sf) AA (sf) MARANON LOAN 2023-2: S&P Assigns BB- (sf) Rating on Cl. E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Maranon Loan Funding 2023-2 Ltd./Maranon Loan Funding 2023-2 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Maranon 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 Maranon Loan Funding 2023-2 Ltd./Maranon Loan Funding 2023-2 LLC Class A-1, $222.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B, $44.00 million: AA (sf) Class C (deferrable), $32.00 million: A- (sf) Class D (deferrable), $20.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Variable dividend notes, $44.60 million: Not rated MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certs --------------------------------------------------------- DBRS Limited confirmed all credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued by MCAP CMBS Issuer Corporation, Series 2014-1 (the Issuer) as follows: -- Class D at AAA (sf) -- Class E at AAA (sf) -- Class F at BBB (low) (sf) -- Class G at B (sf) All trends are Stable. The credit rating confirmations reflect the minimal changes in DBRS Morningstar's expectations since the last credit rating action in December 2022. There have been no loan payoffs or liquidations since the last review, and minimal amortization. Given the concentration of the pool, with only three loans remaining, DBRS Morningstar's credit ratings are based on a recoverability analysis, which indicate a low likelihood of losses to the investment-grade rated classes. The remaining three loans report a healthy weighted-average (WA) debt service coverage ratio of nearly 1.90 times (x) and WA debt yield of 16.4% based on the YE2022 financials. According to the November 2023 remittance, the transaction is concentrated with only three of the original 32 loans remaining in the pool with an aggregate principal trust balance of $11.9 million, representing a 94.7% collateral reduction since issuance. All three loans are current, and no updated appraisals have been reported since issuance. DBRS Morningstar's analysis concluded that, based on the most recent reporting, the underlying assets would have to sustain significant declines in performance or reductions to the issuance appraised values of more than 50% in aggregate for the rated bonds to be at risk of default. The three loans, all of which have 50% or more sponsor recourse, are scheduled to mature in 2024. As noted above, recent and historical credit metrics indicate they are healthy candidates for refinance. However, DBRS Morningstar's credit ratings are somewhat constrained by the minimal credit support offered given the thin junior tranche sizing, further supporting the credit rating confirmations. Based on the most recent servicer reporting, all three loans continued to exhibit stable performance. The only underlying asset with scheduled lease rollover during the remaining loan term is 3571–3609 Sheppard Ave East (Prospectus ID#11, 50.7% of the pool), which is secured by an office/retail property, located in Scarborough, Ontario. According to the August 2023 rent roll, only the basement lease is scheduled to expire within the next 12 months. The 175 Rue de Rotterdam loan (Prospectus ID#15, 39.7% of the pool) and the 5498 Boulevard Henri-Bourassa loan (Prospectus ID#32; 9.7% of the pool) are secured by single-tenant properties fully occupied on long-term leases. Annual improvements in cash flow have primarily been driven by scheduled rent steps. As noted at the time of DBRS Morningstar's last credit rating action, only one loan, 1121 Centre Street NW (Prospectus ID#7, previously 20.5% of the pool), has been liquidated from the trust since deal closing, which resulted in a loss of $3.2 million in May 2022. The loan was formerly secured by a Class B mid-rise office building in Calgary, and was sold in October 2020 for $6.8 million, with proceeds from the sale used to pay down the trust loan, outstanding advances, and other fees. A balance of $3.3 million remained in the trust following the sale and was recourse to the borrowing entity and guarantor. Ultimately, the Issuer sold the personal guarantee for $123,000, eventually resulting in the aforementioned loss of $3.2 million. The loss, which was in line with DBRS Morningstar's expectations, was contained to the nonrated Class H certificate. Notes: All figures are in Canadian dollars unless otherwise noted. MIDOCEAN CREDIT XIII: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XIII Ltd. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO XIII 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 Notes LT NRsf New Rating NR(EXP)sf 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. MSC MORTGAGE 2012-C4: DBRS Confirms C Rating on 3 Classes Certs --------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2012-C4 issued by MSC Mortgage Securities Trust, 2012-C4 as follows: -- Class D at BBB (high) (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) The trend on Class D is Stable. Classes E, F, and G are assigned credit ratings that do not generally carry a trend in Commercial Mortgage Backed Securities (CMBS) credit ratings. The credit ratings are reflective of DBRS Morningstar's loss expectations for the transaction's only remaining loan, Shoppes at Buckland Hills (Prospectus ID#1; 100% of the pool), which has remained unchanged since the last rating action in December 2022. DBRS Morningstar's analysis continues to indicate that disposition of the asset will likely result in a significant loss to the remaining trust. The loan is secured by 562,600 square feet (sf) within a 1.3 million-sf regional mall in Manchester, Connecticut. The loan transferred to special servicing in November 2020 because of monetary default after the borrower (an affiliate of Brookfield Property Partners (Brookfield)) submitted a hardship letter indicating that debt service and operating shortfalls would not be funded. Following failed negotiations, the borrower and special servicer entered into a consensual receivership in August 2021. As of the most recent update from the servicer, the receiver is attempting to stabilize property operations while evaluating various disposition strategies. As of the November 2023 remittance, the loan remains delinquent. The mall's anchors, none of which act as collateral for the subject loan, are Macy's, Macy's Men's & Home, and JCPenney. A fourth anchor pad has remained vacant since the former tenant, Sears, closed in 2021. Collateral occupancy rate has increased to 87.1% as per the August 2023 rent roll, up from the September 2022 rate of 79.2%, but down from the YE2020 rate of 96.2%. The decline in occupancy was caused by the departure of the former largest collateral tenant, Dick's Sporting Goods (formerly occupied 14.2% of the net rentable area (NRA)), at its lease expiration in January 2022. Since then, half of the Dick's former space has been backfilled by Bob's Stores (7.1% of the NRA), which took occupancy in November 2022 but remains in a free-rent period as of the August 2023 rent roll. The other largest collateral tenants at the property include Fairfield Inn & Suites (8.9% of the NRA on a ground lease expiring in December 2025), Dave & Busters (4.6% of the NRA, lease expiry in September 2029), and Barnes and Noble Booksellers (4.4% of the NRA, lease expiry in January 2024). There is moderate rollover risk in 2024 as 43 tenants, totaling approximately 21.7% of the NRA, have scheduled lease expirations, including the fourth-largest tenant, Barnes and Noble. However, the servicer has noted that renewal negotiations of the Barnes and Noble lease are ongoing. A tenant sales report indicated in-line sales of $402.78 per square foot (psf) for the trailing 12 months (T-12) ended July 31, 2023, compared with $415.92 psf for the T-12 ended August 31, 2022.. The loan has been reporting a debt service coverage ratio (DSCR) below breakeven since the onset of the pandemic, with the DSCR reported at 0.50 times (x) for the T 6 ended June 30, 2023, down from 0.72x as of June 2022 and 0.86x at YE2020. The most recent appraisal dated December 2022 valued the property at $72.2 million. Although that figure represents a 20.5% increase from the November 2021 appraised value of $59.6 million, it also represents a variance of -61.8% from the issuance appraised value of $189.0 million. The December 2022 appraised value accounts for the vacant Dick's Sporting Goods space as well as the noted concentration of month-to-month tenants, which represent 18.7% of the NRA according to the appraiser. Given that the loan is delinquent and in receivership, with the timing of disposition as yet unknown, and given the continued underperformance of the asset and upcoming lease rollovers, DBRS Morningstar tested different liquidation scenarios to determine the recoverability of the remaining bonds. DBRS Morningstar determined that the asset could withstand a reduction of up to 62% to the most recent appraised value before losses would fully erode Classes E, F, and G, which are currently rated C (sf), and the unrated Class H. The ratings are constrained because of unpaid interest, which remains outstanding in all classes below the Class D certificate, and the uncertain timing of disposition. Additionally, DBRS Morningstar notes the increasing propensity of interest shortfalls to Class D because of the delinquency of the sole remaining loan. Should the Class D bond be shorted interest, DBRS Morningstar may consider a downgrade of the rating, which was today confirmed at BBB (high) (sf). As of the November 2023 remittance, the Class D bond maintains approximately $92 million, or 89.6%, of credit support. Notes: All figures are in U.S. dollars unless otherwise noted. MSWF COMMERCIAL 2023-2: Fitch Assigns 'B-' Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to MSWF Commercial Mortgage Trust 2023-2, Commercial Mortgage Pass-Through Certificates, Series 2023-2 as follows: - $2,741,000 class A-1 'AAAsf'; Outlook Stable; - $69,432,000 class A-2 'AAAsf'; Outlook Stable; - $6,496,000 class A-SB 'AAAsf'; Outlook Stable; - $561,457,000a class A-5 'AAAsf'; Outlook Stable; - $0b class A-5-1 'AAAsf'; Outlook Stable; - $0bc class A-5-X1 'AAAsf'; Outlook Stable; - $0b class A-5-2 'AAAsf'; Outlook Stable; - $0bc class A-5-X2 'AAAsf'; Outlook Stable; - $640,126,000c class X-A 'AAAsf'; Outlook Stable; - $188,609,000c class X-B 'AA-sf'; Outlook Stable; - $121,167,000 class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $38,865,000 class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $28,577,000 class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $24,005,000cd class X-D 'BBB-sf'; Outlook Stable; - $17,146,000cd class X-F 'BB-sf'; Outlook Stable; - $14,860,000d class D 'BBBsf'; Outlook Stable; - $9,145,000d class E 'BBB-sf'; Outlook Stable; - $17,146,000d class F 'BB-sf'; Outlook Stable; - $11,431,000de class G-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $33,149,874de class H-RR 'NR'. a) Since Fitch published its expected ratings on Dec. 4, 2023, the balance for class A-5 was finalized. At the time the expected ratings were published, the initial certificate balance of class A-5 was expected to be $561,457,000 in the aggregate, subject to a 5% variance. The final class balance for class A-5 is $561,457,000. b) Exchangeable Certificates. Class A-5, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-1, A-5-X1, A-5-2 and A-5-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. c) Notional amount and interest only. d) Privately placed and pursuant to Rule 144A. e) Horizontal-risk retention interest. Additionally, at the time the presale was issued, class X-B (which is tied to the classes A-S, B, and C) was rated 'A-sf(EXP)', reflecting class C, the lowest rated tranche. Since Fitch published its expected ratings, the class C pass-through rate was finalized and will be variable rate (WAC), equal to the weighted average of the net mortgage interest rates on the mortgage loan, and therefore its payable interest will not have an impact on the IO payments for class X-B. Fitch updated class X-B to 'AA-sf' (from A-sf(EXP) at the time of the presale) reflecting the lowest tranche (class B) whose payable interest has an impact on the IO payments. This is consistent with Appendix 4 of Global Structured Finance Rating Criteria. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 46 loans secured by 100 commercial properties having an aggregate principal balance of $914,466,875 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, Morgan Stanley Mortgage Capital Holdings LLC, Starwood Mortgage Capital LLC and Bank of America, National Association. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be Argentic Services Company LP. Since Fitch published its expected ratings on Dec. 4, 2023, class A-4 and its related classes were removed from the transaction structure by the issuer. At the time the expected ratings were published, class A-4 had a notional balance of $125,000,000. Fitch has withdrawn the expected ratings of 'AAA(EXP)sf' from class A-4 and its related classes because the classes were removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 82.6% 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 12.2% is higher than the YTD 2023 and 2022 averages of 10.8% and 9.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 92.1 % and 10.8%, respectively, compared with the equivalent conduit YTD 2023 LTV and DY averages of 91.6% and 10.8%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 56.6% of the pool, which is lower than the 2023 YTD average of 63.3% and higher than the 2022 average of 55.2%. The pool's effective loan count of 21.4 is higher than the 2023 YTD average of 20.9 and below the 2022 average of 25.9. Investment-Grade Credit Opinion Loans: Three loans representing 24.7% of the pool received an investment-grade credit opinion. 60 Hudson (9.8% of the pool) received a standalone credit opinion of 'AAAsf*', Fashion Valley Mall (8.2% of the pool) received a standalone credit opinion of 'AAAsf*', CX - 250 Water Street (6.7%) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is higher 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 Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+sf' / '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 Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recomputation 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. ONE VOYA 2016-1: S&P Lowers Class D-R Notes Rating to 'B (sf)' -------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D-R debt from Voya CLO 2016-1 Ltd., a U.S. CLO originally issued in February 2016 that refinanced in February 2018, and is managed by Voya Alternative Asset Management LLC. S&P also removed it from CreditWatch with negative implications, where S&P placed it in October 2023. At the same time, S&P affirmed its ratings on the class A-2-R, B-R, C-R, and D-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 said, "We had placed the class D-R debt on CreditWatch on Oct. 24, 2023, primarily due to its declining overcollateralization (O/C) levels and preliminary indicative cash flow results. Our previous rating actions on the transaction were in September 2020. "Since our September 2020 rating action, the class A-1-R debt had total paydowns of $39.32 million that reduced its outstanding balance to 95.01% of its original balance." Since the July 2020 trustee report, which S&P used for its previous rating actions, the reported O/C ratios are as follows: -- The class A (class A-1-R and A-2-R, collectively) O/C ratio improved to 130.90% from 129.10%. -- The class B-R O/C ratio was unchanged at 117.20% -- The class C-R O/C ratio declined to 109.10% from 110.00%. -- The class D-R O/C ratio declined to 103.20% from 104.70% and is currently failing. While paydowns continued, which helped the senior O/C ratios, the transaction appears to have incurred some reduction in its portfolio par value based on the various trades. S&P said, "In addition, the collateral portfolio's credit quality has slightly deteriorated since our September 2020 rating actions. Collateral obligations with ratings in the default category have increased, with $5.92 million reported as of the November 2023 trustee report, compared with $5.60 million reported as of the July 2020 trustee report. Over the same period, even though the trustee report indicates that the dollar values of the collateral obligations with the ratings in the 'CCC' category has declined, their exposure as a percentage of the portfolio now stands at 8.79%, compared to 8.70% as of the last rating action. "We lowered the class D-R debt rating and removed it from CreditWatch negative because it did not have passing cash flow results at its previous rating. The lowered rating reflects our 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-R, B-R, and C-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." Voya CLO 2016-1 Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. S&P said, "Our cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment 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 Voya CLO 2016-1 Ltd. Class D-R to 'B (sf)' from 'B+ (sf)/Watch Neg' Ratings Affirmed Voya CLO 2016-1 Ltd. Class A-1-R: AAA (sf) Class A-2-R: AA (sf) Class B-R: A (sf) Class C-R: BBB- (sf) PALMER SQUARE 2020-3: S&P Assigns B- (sf) Rating on E-R2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 replacement debt and new class X debt from Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC, a CLO originally issued in December 2020, which was first refinanced in December 2021 and is managed by Palmer Square Europe Capital Management LLC. On the Dec. 21, 2023, refinancing date, the proceeds from the replacement debt were used to redeem the original debt. As a result, S&P withdrew its ratings on the original debt and assigned ratings to the replacement debt. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-R2 and E-R2 debt was issued at a higher spread over three-month term SOFR than the original debt. -- The original class A-1b-R and A-2-R debt was combined into the newly issued class A-2-R2 debt. -- The non-call date was extended three years while the stated maturity and reinvestment periods were extended five years. -- Class X debt was issued in connection with this refinancing. These notes will be paid down using interest proceeds during the span of 19 payment dates beginning with the payment date in May 2024. -- There were no additional subordinated notes issued in connection with the proposed refinancing. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC Class X, $2.00 million: AAA (sf) Class A-1-R2, $248.00 million: AAA (sf) Class A-2-R2, $56.00 million: AA (sf) Class B-R2 (deferrable), $24.00 million: A (sf) Class C-R2 (deferrable), $24.00 million: BBB- (sf) Class D-R2 (deferrable), $13.60 million: BB- (sf) Class E-R2 (deferrable), $7.40 million: B- (sf) Ratings Withdrawn Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC Class A-1a-R: to NR from AAA (sf) Class A-1b-R: to NR from AAA (sf) Class A-2-R: to NR from AA (sf) Class B-R (deferrable): to NR from A (sf) Class C-R (deferrable): to NR from BBB- (sf) Class D-R (deferrable): to NR from BB- (sf) Class E-R (deferrable): to NR from B- (sf) Other Outstanding Ratings Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC Subordinated notes, $31.10 million: NR NR--Not rated. PARK BLUE 2023-IV: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Park Blue CLO 2023-IV, Ltd. Entity/Debt Rating ----------- ------ Park Blue CLO 2023-IV, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT A+sf New Rating C-2 LT A+sf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Park Blue CLO 2023-IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Centerbridge Credit Funding Advisors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $470 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.83% first-lien senior secured loans and has a weighted average recovery assumption of 74.44%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-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 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 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. PARK BLUE 2023-IV: Moody's Assigns B3 Rating to Class F Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Park Blue CLO 2023-IV, Ltd. (the "Issuer" or "Park Blue 2023-IV"). Moody's rating action is as follows: US$296,100,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$1,175,000 Class F Deferrable Mezzanine Floating Rate Notes due 2037, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Park Blue 2023-IV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of first lien last out loans, second lien loans, unsecured loans and bonds. The portfolio is approximately 80% ramped as of the closing date. Centerbridge Credit Funding Advisors, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued seven other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $470,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2995 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8.10 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. PPM CLO 6-R: Fitch Assigns 'BBsf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to PPM CLO 6-R Ltd. Entity/Debt Rating ----------- ------ PPM CLO 6-R Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-1-R LT Asf New Rating C-2-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BBsf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating X LT NRsf New Rating TRANSACTION SUMMARY PPM CLO 6-R Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PPM Loan Management Company 2, 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+/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 94.75% first-lien senior secured loans and has a weighted average recovery assumption of 75.05%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-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 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes; 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-R, 'A+sf' for class C-R, 'Asf' for class D-R, and 'BBB+sf' for class E-R. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitchand/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 rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. PPM CLO 6-R: Moody's Assigns B3 Rating to $500,000 Class F-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes (the "Refinancing Notes") issued by PPM CLO 6-R Ltd. (the "Issuer"). Moody's rating action is as follows: US$4,000,000 Class X Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$252,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$500,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. PPM CLO 6-R Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of loans that are not senior secured. The portfolio is approximately 100% ramped as of the closing date. PPM Loan Management Company 2, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and one subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: addition of a reinvestment period; extensions of the stated maturity and non-call period; addition of certain collateral quality tests; changes to the overcollateralization test levels; and introduction of the base matrix and modifiers. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2756 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.0% 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. RIN V LLC: Moody's Assigns Ba3 Rating to $8.75MM Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued and two classes of loans 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, Definitive Rating Assigned Aaa (sf) US$50,000,000 Class A-1-L Loans maturing 2035, Definitive Rating Assigned Aaa (sf) US$45,500,000 Class A-2-L Loans maturing 2035, Definitive Rating Assigned Aaa (sf) US$45,500,000 Class B Floating Rate Senior Notes due 2035, Definitive Rating Assigned Aa2 (sf) US$21,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2035, Definitive Rating Assigned A3 (sf) US$14,875,000 Class D Deferrable Floating Rate Mezzanine Notes due 2035, Definitive Rating Assigned Baa3 (sf) US$8,750,000 Class E Deferrable Floating Rate Mezzanine Notes due 2035, Definitive Rating Assigned 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). The portfolio is 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 issued 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(TM), 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. RR 24 LTD: Fitch Assigns BB+sf Rating on D-R Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to RR 24 LTD Refinancing Notes. Entity/Debt Rating Prior ----------- ------ ----- RR 24 Ltd A-1a-R LT NRsf New Rating NR(EXP)sf A-1b-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AA+sf New Rating AA+(EXP)sf B-R LT A+sf New Rating A+(EXP)sf C-1-R LT BBB+sf New Rating BBB+(EXP)sf C-2-R LT BBB-sf New Rating BBB-(EXP)sf D-R LT BB+sf New Rating BB+(EXP)sf E-R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY RR 24 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC that originally closed in December 2022. The original notes will be refinanced on Dec. 21, 2023 from proceeds of new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 million of primarily first lien senior secured leveraged loans, which is an upsize of approximately $100 million compared with the current portfolio. 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 96.82% first-lien senior secured loans and has a weighted average recovery assumption of 74.17%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 2.1-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 is nine 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-1b-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'BB-sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BBB-sf' for class C-1-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and between less than 'B-sf' and 'BBsf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-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 A-2-R, 'A+sf' for the class B-R, 'A+sf' for class C-1-R, 'Asf' for class C-2-R, and 'BBB+sf' for class D-R. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. RR 24 LTD: Moody's Assigns B3 Rating to $700,000 Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by RR 24 LTD (the "Issuer"). Moody's rating action is as follows: US$434,000,000 Class A-1a-R Senior Secured Floating Rate Notes Due 2036, Definitive Rating Assigned Aaa (sf) US$700,000 Class E-R Secured Deferrable Floating Rate Notes Due 2036, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Redding Ridge 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 two year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. Thereafter, the manager may not reinvest and all proceeds received will be used to amortize the notes in sequential order. In addition to the issuance of the Refinancing Notes and six other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: addition of a reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $700,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 3142 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 5.82 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. SANTANDER BANK 2023-B: Moody's Assigns B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the Santander Bank Auto Credit-Linked Notes, Series 2023-B (SBCLN 2023-B) notes 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 $10,392,000, 5.644%, Class A-2 Notes, Definitive Rating Assigned Aaa (sf) $25,980,000, 5.640%, Class B Notes, Definitive Rating Assigned Aa3 (sf) $36,372,000, 5.933%, Class C Notes, Definitive Rating Assigned A3 (sf) $40,528,000, 6.663%, Class D Notes, Definitive Rating Assigned Baa3 (sf) $21,823,000, 8.408%, Class E Notes, Definitive Rating Assigned Ba3 (sf) $46,763,000, 12.240%, Class F Notes, Definitive Rating Assigned 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, 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. SBALR COMMERCIAL 2020-RR1: DBRS Cuts Rating to C on 3 Classes ------------------------------------------------------------- DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2020-RR1 issued by SBALR Commercial Mortgage 2020-RR1 Trust as follows: -- Class A-S to AA (high) (sf) from AAA (sf) -- Class B to B (high) (sf) from AA (low) (sf) -- Class C to CCC (sf) from A (low) (sf) -- Class D to C (sf) from BBB (low) (sf) -- Class E to C (sf) from BB (low) (sf) -- Class F to C (sf) from CCC (sf) In addition, DBRS Morningstar confirmed its credit ratings on the remaining classes as follows: -- Class A-3 at AAA (sf) -- Class A-AB at AAA (sf) -- Class X-A at AAA (sf) With these credit rating actions, the credit ratings on Classes B, C, D, E, and F have been removed from Under Review with Negative Implications, where they were placed on September 1, 2023. In addition, DBRS Morningstar changed the trends on Classes A-3, A-AB, A-S, and X-A to Negative from Stable while Class B, which did not previously carry a trend, has also been assigned a Negative trend. Classes C, D, E, and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Lastly, DBRS Morningstar also discontinued the credit rating on Class X-B, as one of its reference obligations is now rated CCC (sf). The credit rating downgrades and Negative trends reflect DBRS Morningstar's loss projections for the pool, which are primarily associated with the transaction's largest loan group, Emerald Bronx Multifamily Portfolio (the Emerald portfolio; Prospectus ID#s 2, 3, 4, 5, 6, 10, 11, and 13; 30.5% of the pool). In May and June 2023, six of the eight loans within the group (representing 22.5% of the pool) transferred to special servicing because of imminent monetary default. Broker Opinion of Values (BOVs) dated June and August 2023 for the properties backing the six defaulted loans have been publicly reported in the transaction remittance data, and those reflected sharp value declines from the issuance appraised values, suggesting considerable losses could be realized at resolution. Currently, all eight loans within the Emerald portfolio are specially serviced, all of which are flagged as delinquent, per the November 2023 reporting. Furthermore, another loan in special servicing, Clarion Suites Anchorage (Prospectus ID#7; 3.7% of the pool), is in default and is also expected to be liquidated from the pool at a loss, as further detailed below. As of the November 2023 reporting, 52 of the original 59 loans remain in the pool with an aggregate principal balance of $360.0 million, representing collateral reduction of 10.0% since issuance, as a result of loan amortization, loan repayments, and the liquidation of one loan from the trust. There are 19 loans, representing 28.5% of the pool, on the servicer's watchlist, and eight loans, representing 31.0% of the pool, in special servicing. To date, one loan has been liquidated from the trust with realized loss totaling $1.1 million, which was contained to the nonrated Class G certificate. The transaction is highly exposed to rent-stabilized, workforce housing, located in New York City (NYC), which represents 37.1% of the current pool balance, as both the Emerald portfolio and another group of loans, Gutman and Hoffman Multifamily Portfolio (Gutman portfolio; Prospectus ID#s 9 and 12; 6.6% of the pool), are collateralized by that property type. In the analysis for this review, DBRS Morningstar assumed a liquidation scenario for the Emerald portfolio loans (based on the provided BOVs) and the Clarion Suites Anchorage loan (based on a haircut to the most recent appraisal). Although both loans within the Gutman portfolio are current and the reported cash flows are relatively in line with the issuance figures, DBRS Morningstar considered a stressed scenario for those two loans based on an as-is value decline for the underlying properties. This analysis was considered appropriate given the notes in the BOVs for the Emerald portfolio properties cited increased challenges for rent-stabilized assets located in NYC. The Housing Stability & Tenant Protection Act of 2019, high inflation rates, increasing operating expenses – which continue to outpace permitted rental increases for rent stabilized apartments, and an inability to collect rents have critically impaired the value of rent-stabilized assets in NYC over the past five years. The scenarios analyzed for this review resulted in an aggregate forecasted loss projection in excess of $50.0 million, which would fully erode Classes D, E, F, and G and reduce the Class C balance by 45.0%. The Emerald portfolio comprises eight loans secured by smaller portfolios of multifamily properties, typically classified as workforce housing. In total, the portfolio consists of 28 properties and 747 units located within multiple neighborhoods in the Bronx. As previously noted, seven of the eight loans are specially serviced, having transferred between May and August 2023 for imminent monetary default with the sponsor, Emerald Equity Group citing nonpaying tenants and inflated expenses as the source of the payment issues. The servicer initially noted that legal counsel was in the process of drafting a loan modification while discussions with the sponsor regarding plans for correcting various property condition and general performance issues across the portfolio were ongoing. Ultimately, the execution of that forbearance agreement was unsuccessful as the guarantor was unwilling to sign off on the representations and warranties, indicating that unconditional releases must be provided. As such, the special servicer no longer believes the proposed forbearance agreement is viable and has instructed its legal counsel to move forward with filing receiver applications and foreclosure motions. DBRS Morningstar notes that the sponsor is having difficulty outside of the subject portfolios, with other defaults reported since 2020. In addition, the subject financing represented an $8.7 million cash out, with equity of just more than $500,000 remaining. The BOVs for the properties backing the defaulted loans indicate weighted-average (WA) value declines of approximately 55.0% when compared with the issuance appraised values. When considering these values in a hypothetical liquidation scenario, with a haircut to the most recent BOVs, the resulting liquidated loss amounts suggest a WA loss severity approaching 45.0% could be realized at disposition. Updated appraisals for the 28 properties within the Emerald portfolio have not been ordered by the special servicer, to date. In addition, the master servicer noted that the special servicer has yet to calculate an appraisal reduction for any of the delinquent Emerald portfolio loans (most of which last paid in February and March 2023). As such, the master servicer is advancing full principal and interest due. The terms of the Pooling and Servicing Agreement require an updated appraisal be obtained within 60 days of the loan going 120 days delinquent. If an updated appraisal is not available, the terms call for the servicer to calculate an appraisal reduction based on a 25% reduction of the loan's principal balance. Given the sponsor's inability to address deferred maintenance issues and stabilize cash flows across the portfolio, as well as the property type and market specific difficulties noted in the BOVs, DBRS Morningstar notes that the updated appraisals, once obtained, are unlikely to come in significantly higher than the BOVs provided to date. However, should values come in significantly higher and/or the underlying properties' performance materially improve on a sustained basis, DBRS Morningstar will evaluate the potential impact to credit risk for the transaction accordingly. The Clarion Suites Anchorage loan is secured by a 112-room limited-service hotel in Anchorage, Alaska. The loan transferred to the special servicer in October 2020 and the lender subsequently modified the loan to interest-only (IO) payments for one year. While the loan modification provided temporary relief, performance failed to recover with the lender ultimately obtaining a final foreclosure judgment. The asset became real estate owned in December 2021. The hotel had an outstanding property improvement plan (PIP) that the borrower did not begin addressing before the Coronavirus Disease (COVID-19) pandemic, likely contributing to the declines in operational performance and value. The PIP cost estimate provided in July 2022, totaled approximately $2.2 million. According to the most recent servicer reporting, a portion of the PIP has been completed with the next phase scheduled to begin in January 2024. As part of the 20-year franchise agreement signed with Choice Hotels at issuance, the bulk of the PIP was required to be complete by January 2024; however, extensions and waivers have been provided by Choice Hotels to allow for more time to address various incomplete PIP items. The servicer has funded all outstanding interest on advances, to date and has been funding monthly debt service payments from operating proceeds each month for the past 12 months. Operating performance has improved from the lows reported during the pandemic, with the property reporting trailing-twelve months ended October 31, 2023, occupancy rate, average daily rate, and revenue per available room metrics of 64.7%, $194.12, and $125.68, respectively, which compare favorably with the YE2022 figures of 57.5%, $163.6, and $94.1. However, reported net cash flow (NCF) remains subdued with the YE2022 figure of $970,563, 42.7% lower than the issuance figure of $1.7 million. The most recent appraisal, dated March 2022, valued the property at $16.0 million, substantially lower than the issuance appraisal value of $22.0 million; however, given that occupancy and NCF at the property have remained stressed for an extended period, DBRS Morningstar notes that the collateral's as-is value has likely declined further, elevating the credit risk to the trust. Based on a haircut to the most recent appraisal, DBRS Morningstar projects a loss severity approaching 20.0% will be realized at liquidation. Notes: All figures are in U.S. dollars unless otherwise noted. SIXTH STREET XVI: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement debt and the new class X debt from Sixth Street CLO XVI Ltd./Sixth Street CLO XVI LLC, a CLO originally issued in November 2020 that is managed by Sixth Street CLO XVI Management LLC. At the same time, S&P withdrew its ratings on the original class A-1a, A-1b, A-2, B, C, D, and E debt following payment in full on the Dec. 21, 2023, refinancing date. The replacement debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement debt were issued at a higher weighted average cost of debt than the original debt. -- The stated maturity and reinvestment period were extended by approximately 4.25 years. -- The non-call period was updated to Jan. 20, 2026. -- The weighted average life test was updated to eight years after the refinancing date. -- The required minimum overcollateralization tests were updated for the replacement class B-R, C-R, D-R, and E-R debt, whereas the interest coverage tests were unchanged. -- The replacement class A-1-R debt were issued at a floating spread, replacing the current class A-1a and A-1b notes' floating spread and fixed coupon, respectively. -- The class X debt were added to the capital stack and will be paid down using interest proceeds during the first eight payment dates beginning with the April 2024 payment date. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class X, $2.00 million: Three-month CME term SOFR + 1.30% -- Class A-1-R, $248.00 million: Three-month CME term SOFR + 1.79% -- Class A-2-R, $8.00 million: Three-month CME term SOFR + 1.95% -- Class B-R, $48.00 million: Three-month CME term SOFR + 2.45% -- Class C-R, $24.00 million: Three-month CME term SOFR + 2.90% -- Class D-R, $24.00 million: Three-month CME term SOFR + 4.65% -- Class E-R, $14.00 million: Three-month CME term SOFR + 7.42% Original debt -- Class A-1a, $235.00 million: Three-month CME term SOFR + 1.32% + CSA(i) -- Class A-1b, $5.00 million: 1.66% -- Class A-2, $6.00 million: Three-month CME term SOFR + 1.65% + CSA(i) -- Class B, $57.00 million: Three-month CME term SOFR + 1.85% + CSA(i) -- Class C, $22.50 million: Three-month CME term SOFR + 2.40% + CSA(i) -- Class D, $24.50 million: Three-month CME term SOFR + 3.70% + CSA(i) -- Class E, $14.00 million: Three-month CME term SOFR + 7.32% + CSA(i) (i)CSA--Credit spread adjustment, which equals 0.26161%. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sixth Street CLO XVI Ltd./Sixth Street CLO XVI LLC Class X, $2.00 million: AAA (sf) Class A-1-R, $248.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Ratings Withdrawn Sixth Street CLO XVI Ltd./Sixth Street CLO XVI LLC Class A-1a to NR from 'AAA (sf)' Class A-1b to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Outstanding Debt Sixth Street CLO XVI Ltd./Sixth Street CLO XVI LLC Subordinated notes, $39.10 million: NR NR--Not rated. SLC STUDENT 2006-2: Moody's Lowers Rating on Cl. B Notes to Ba1 --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 24 classes of notes issued from ten FFELP loan securitizations, nine of which are sponsored and administered by Navient Solutions, LLC (Navient) and one of which is sponsored and administered by Collegiate Funding of Delaware, L.L.C. The securitizations are backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. The complete rating actions are as follows: Issuer: Collegiate Funding Services Education Loan Trust 2005-B Cl. A-4, Downgraded to Baa2 (sf); previously on Nov 23, 2022 Downgraded to Aa3 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLC Student Loan Trust 2006-2 Cl. B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLC Student Loan Trust 2007-2 Cl. A-3, Downgraded to Baa2 (sf); previously on Jul 29, 2021 Downgraded to A2 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Student Loan Trust 2003-1 Class A-5A, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Class A-5B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Class A-5C, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Class B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Student Loan Trust 2003-4 Class A5-A, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Class A5-B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Class A5-C, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Class A5-D, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Class A5-E, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Class B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Student Loan Trust 2003-7 Cl. A-5A, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. A-5B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Student Loan Trust 2005-7 Cl. B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Student Loan Trust 2006-9 Cl. A-6, Downgraded to A2 (sf); previously on Nov 1, 2016 Downgraded to Aa2 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Student Loan Trust 2007-5 Cl. A-6, Downgraded to Baa3 (sf); previously on Apr 19, 2022 Downgraded to Baa1 (sf) Cl. B-2, Downgraded to Ba1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: SLM Student Loan Trust 2010-1 Class B Notes, Downgraded to B1 (sf); previously on Oct 6, 2023 Baa3 (sf) Placed Under Review for Possible Downgrade RATINGS RATIONALE The rating actions reflect the latest performance and Moody's updated expected loss on the tranches across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss for a tranche using 28 cashflow scenarios with weights accorded to each scenario. The rating actions also resolve the downgrade reviews announced on October 6, 2023 on certain notes. The rating downgrades to Ba1 on the Class B notes in Collegiate Funding Services Education Loan Trust 2005-B, SLC Student Loan Trust 2006-2, SLC Student Loan Trust 2007-2, SLM Student Loan Trust 2005-7, and SLM Student Loan Trust 2006-9, the Cl. B-2 notes in SLM Student Loan Trust 2007-5, the Class A-5A, Class A-5B, Class A-5C and Class B notes in SLM Student Loan Trust 2003-1, the Class A5-A, Class A5-B, Class A5-C, Class A5-D, Class A5-E and Class B notes in SLM Student Loan Trust 2003-4 and the Class A-5A, Class A-5B and Class B notes in SLM Student Loan Trust 2003-7, as well as the rating downgrade to B1 on the Class B notes in SLM Student Loan Trust 2010-1, reflect the uncertainty regarding the sponsor's willingness and ability to support the notes by paying them off prior to their legal final maturity dates. Based on Moody's cashflow modeling projection, in Moody's most likely scenario that does not consider sponsor support, these notes will not pay off prior to their legal final dates. The transaction documents include a 10% optional call provision which, if exercised by the sponsor, would pay down the notes. In addition, Navient had also previously amended SLM Student Loan Trust 2007-5 and SLM Student Loan Trust 2010-1, SLM Student Loan Trust 2003-1, SLM Student Loan Trust 2003-4 and SLM Student Loan Trust 2003-7 to allow for 10% additional purchase of collateral and/or to establish a revolving credit facility that enables the trust to borrow money from Navient Corporation on a subordinated basis, in order to pay off their notes ahead of their final maturity dates. Although some sponsors have previously supported other similar transactions by exercising the optional call provision or doing additional loan purchases, more recently, certain deals were not supported due to limited current market interest in FFELP loans. The rating downgrades to Ba1 reflect the higher likelihood for these notes to miss pay off by their legal final maturity dates should the relevant sponsor not exercise the optional call provision prior to those dates. For the Class B notes in SLM Student Loan Trust 2010-1, Moody's analysis also considered the potential suspension of interest payments on these notes due to the increased likelihood of failure of the Class A notes to pay down by their legal final maturity date and the low likelihood of the recoupment of those payments prior to the Class B notes' legal final maturity date. The rating downgrades on the Class A-4 notes from Collegiate Funding Services Education Loan Trust 2005-B, the Class A-6 notes from SLM Student Loan Trust 2007-5, the Class A-3 notes of SLC Student Loan Trust 2007-2 and the Class A-6 notes of SLM Student Loan Trust 2006-9 are a result of Moody's analysis indicating that these tranches will not pay off by final maturity dates in some of Moody's 28 cash flow scenarios, thus causing the tranches to incur expected losses that are higher than the expected loss benchmarks set in Moody's idealized loss tables for the prior ratings. Due to the significant increases in forbearance from March 2020 to March 2021, the weighted average remaining term of the underlying pools is largely unchanged, increasing the risk of notes not paying down by their legal final maturity dates. The rating action on the Class A-3 notes of SLC Student Loan Trust 2007-2 and the Class A-6 notes of SLM Student Loan Trust 2006-9 also considers the impact of a data format change introduced by Navient in 2018. For such bonds with long dated legal final maturities (more than five years), Moody's makes adjustments to model outputs to normalize the impact of the collateral data format on modeled cashflows. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Securities Backed by FFELP Student Loans" published in April 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. Moody's could also downgrade the rating further if sponsor's willingness or ability to support the notes by paying off the outstanding amount of the notes by their legal final maturity date is diminished. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if it were to downgrade the rating on the United States government. SOUND POINT 37: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Sound Point CLO 37, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Sound Point CLO 37, 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 Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Sound Point CLO 37, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.4, versus a maximum covenant, in accordance with the initial target matrix point of 24.7. 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 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.6% versus a minimum covenant, in accordance with the initial target matrix point of 72.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 40.1% of the portfolio balance in aggregate while the top five obligors can represent up to 9.0% 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 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 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 the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SREIT COMMERCIAL 2021-MFP2: DBRS Confirms B(low) Rating on G Certs ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-MFP2 issued by SREIT Commercial Mortgage Trust 2021-MFP2 as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, as evidenced by the increasing average rental rates and revenues since issuance. The portfolio is backed by multifamily properties in generally desirable markets and performance remains in line with DBRS Morningstar's expectations at issuance. The transaction is secured by the borrower's fee-simple interest in a portfolio of nine garden-style multifamily properties, totaling 3,441 units across North Carolina (58.0% of the allocated loan amount (ALA)) and Florida (42.0% of the ALA). Loan proceeds of $633.8 million along with $380.1 million of sponsor equity funded the borrower's acquisition of the portfolio, covered closing costs, and funded a $6.9 million upfront capex reserve. The reserve was established to fund renovations to help maintain the overall quality of the properties. The interest-only floating-rate loan has an initial maturity in December 2023, with three one-year extension options for a fully extended maturity date of November 2026. As per the issuance documents, the borrower is required to purchase an interest rate cap agreement for each extension. As of this review, the first extension option has been exercised with an updated maturity date of November 2024. The loan has a partial pro rata/sequential-pay structure that allows for pro rata paydowns for the first 20.0% of the original principal balance, with customary debt yield and loan-to-value ratio (LTV) tests. The prepayment premium for the release of individual assets is 105% of the ALA for the first 20% of the principal amount, and 110% of the ALA thereafter. DBRS Morningstar considers the release premium to be weaker than the generally credit-neutral standard of 115.0%. To date, there have been no property releases. As of the June 2023 rent roll, the portfolio was 93.2% occupied with a weighted-average (WA) rental rate of $1,672 per unit, compared with the issuance occupancy rate of 95.5% and WA rental rate of $1,368 per unit. As per Reis, the Q3 2023 WA vacancy rate was 5.4% with an market rental rate of $1,673 per unit, relatively in line with the subject's performance. According to the most recent financials, the annualized trailing six-month (T-6) ended June 30, 2023 ,net cash flow (NCF) was reported at $40.1 million with a debt service coverage ratio (DSCR) of 0.91 times (x), compared with the YE2022 NCF of $37.8 million and DSCR of 1.59x. Despite the increase in NCF, DSCR declined as a result of an increase in debt service payments given the floating-rate nature of the loan amid the current interest rate environment. Additionally, DBRS Morningstar also notes the increasing insurance costs for properties in areas prone to climate risk in Florida. Although the subject portfolio has not experienced any significant increase in insurance costs, with YE2022 insurance costs reported approximately 5.0% higher than issuance, DBRS Morningstar notes the likelihood that this line item may pose concerns in the coming years. Although the interest rate cap agreement mitigates against large swings in the interest rate, the significant cost to the borrower is also a consideration. In addition, DBRS Morningstar notes that the refinance risks have increased from issuance given the current interest rate environment and low in-place coverage. The sponsor's significant equity contribution to close the subject transaction, as well as the overall desirability of the collateral portfolio should provide motivation for additional capital injection to continue purchasing the required rate caps and to secure a replacement loan at the final maturity in 2026. At issuance, DBRS Morningstar derived a value of $470.8 million based on the DBRS Morningstar NCF of $31.8 million and a capitalization rate of 6.75%, resulting in a DBRS Morningstar LTV of 134.6% compared with the LTV of 65.0% based on the appraised value at issuance. Positive qualitative adjustments totaling 5.75% were applied to the LTV Sizing Benchmarks to reflect the low cash flow volatility, desirable property quality, and favorable market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. START LTD: S&P Places 'B-(sf)' Class C Notes Rating on Watch Pos. ----------------------------------------------------------------- S&P Global Ratings placed nine ratings on four aircraft asset-backed securitization (ABS) transactions on CreditWatch with positive implications. The CreditWatch positive placements primarily reflect the significant principal payment received by the transactions from the sale of aircraft, rent, and end-of-lease payment. The CreditWatch positive placements also reflect the below, among other things, for the specific transactions. Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 The recent sale of the 2017-vintage Boeing 787-9 aircraft MSN 37175, which is on lease to Air Canada, enabled the transaction to pay off the class AA notes in its entirety and substantially pay down the class A and B notes on the November 2023 payment date. MAPS 2019-1 Ltd. As a result of the sale of one narrowbody aircraft in the third quarter and the strong lease rent cashflows, the class A notes received a significant amount of principal payment since S&P's last review in July 2023. START Ltd. The recent sale of one narrowbody aircraft, a significant end-of-lease payment, and a fully leased aircraft portfolio generated strong cashflows to pay down the class A and B notes. Consequently, the class A notes are back on their scheduled targeted principal balance. Zephyrus Capital Aviation Partners 2018-1 Ltd. As a result of the sale of one widebody aircraft in the third quarter and the regular lease rent revenues, the class A notes received a significant amount of principal payment. Ratings list RATING ISSUER NAME SERIES CLASS TO FROM Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 2016 A A (sf)/Watch Pos A (sf) Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 2016 B BBB (sf)/Watch Pos BBB (sf) MAPS 2019-1 Ltd 2019-1 A BBB- (sf)/Watch Pos BBB- (sf) MAPS 2019-1 Ltd 2019-1 B B- (sf)/Watch Pos B- (sf) MAPS 2019-1 Ltd 2019-1 C CCC+ (sf)/Watch Pos CCC+ (sf) START Ltd. A BBB+ (sf)/Watch Pos BBB+ (sf) START Ltd. B BB- (sf)/Watch Pos BB- (sf) START Ltd. C B- (sf)/Watch Pos B- (sf) Zephyrus Capital Aviation Partners 2018-1 Ltd. 2018-1 A BBB- (sf)/Watch Pos BBB- (sf) TRINITAS CLO XXV: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trinitas CLO XXV Ltd./Trinitas CLO XXV 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 Trinitas Capital 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 Trinitas CLO XXV Ltd./Trinitas CLO XXV LLC Class A-1, $242.00 million: AAA (sf) Class A-2, $14.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C-1 (deferrable), $6.50 million: A+ (sf) Class C-2 (deferrable), $13.50 million: A+ (sf) Class D-1 (deferrable), $20.00 million: BBB+ (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $39.83 million: Not rated UBS COMMERCIAL 2017-C3: Fitch Affirms CCC Rating on Cl. G-RR Certs ------------------------------------------------------------------ Fitch Ratings has downgraded and removed from Rating Watch Negative (RWN) one class, and affirmed 12 classes of UBS Commercial Mortgage Trust 2017-C3 commercial mortgage pass-through certificates. The Rating Outlooks for classes B, C, D-RR, E-RR, F-RR and X-B remain Negative and class A-S has been assigned a Stable Outlook after the downgrade. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C3 A-2 90276GAP7 LT AAAsf Affirmed AAAsf A-3 90276GAR3 LT AAAsf Affirmed AAAsf A-4 90276GAS1 LT AAAsf Affirmed AAAsf A-S 90276GAW2 LT AA+sf Downgrade AAAsf A-SB 90276GAQ5 LT AAAsf Affirmed AAAsf B 90276GAX0 LT AA-sf Affirmed AA-sf C 90276GAY8 LT A-sf Affirmed A-sf D-RR 90276GAA0 LT BBBsf Affirmed BBBsf E-RR 90276GAC6 LT BBB-sf Affirmed BBB-sf F-RR 90276GAE2 LT B-sf Affirmed B-sf G-RR 90276GAG7 LT CCCsf Affirmed CCCsf X-A 90276GAU6 LT AAAsf Affirmed AAAsf X-B 90276GAV4 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS The downgrade and RWN resolution of class A-S reflects the impact of Fitch's updated "U.S. and Canadian Multiborrower CMBS Rating Criteria," published on Dec. 8, 2023, which assesses expected losses on defeased loans in rating cases higher than the sovereign Long-Term Issuer Default Rating (United States; AA+/F1+/Stable). The transaction has a defeasance concentration of 29.6% with a weighted average remaining term of 3.6 years. The affirmations reflect stable performance and loss expectations since the prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.69%. Eleven loans are Fitch Loans of Concern (FLOCs; 32.3% of the pool), which include three loans (12.4%) currently in special servicing. The Negative Outlooks account for the potential for downgrade should an outsized loss be incurred on The Center 78 loan and with increased loss expectations from further performance deterioration on the FLOCs and special serviced loans. Since the prior rating action in July 2023, the pool has paid down an additional 0.5% to $610.0 million as of the November 2023 distribution date, totaling 16.2% since issuance. Additionally, the Embassy Suites - Santa Ana loan (5.8% of the pool) returned to the master servicer in August 2023. FLOCs: The largest contributor to overall loss expectations is the OKC Outlets loan (5.5%), which is secured by a 394,240-sf outlet center located in Oklahoma City, OK. The loan transferred to special servicing in May 2022 for maturity default and was modified in April 2023. Terms of the modification included a $3 million equity infusion to paydown the loan and an additional $1 million escrowed to reserves. The term increased by 24 months to May 2024, with an additional extension option to 2026 with another equity contribution of $3 million. As of YE 2022, collateral occupancy was 95% with NOI DSCR of 2.19x, an improvement from 88% and 2.14x, respectively, at YE 2021. Total sales were $140.7 million ($380 psf) psf as of YE 2022 compared with $147.2 million ($400 psf) as of YE 2021. Fitch's 'Bsf' rating case loss of 22% prior to concentration adjustments is based on a discount to the most recent appraisal value. The second largest contributor to loss expectations is the Crowne Plaza Memphis Downtown loan (2.3%), which is secured by a 230-key full-service hotel located in Memphis, TN. Performance has deteriorated since issuance, and the loan transferred to special servicing in June 2023. From a revenue standpoint, the hotel has posted figures in line with issuance levels; however, aggregate expenses are 62% higher than the originator's underwritten expense, resulting in a NOI DSCR of 0.03x as of YE 2022. Departmental expenses were 54% higher than expenses underwritten at issuance. STR reported running 12-month occupancy, ADR and RevPAR of 52.3%, $152, and $79, respectively, as of December 2022, which compares with 80.6%, $104 and $84 at issuance in 2017. Fitch's 'Bsf' rating case loss of 44% prior to concentration adjustments is based on an 11.25% cap rate to the YE 2022 NOI, and factors a higher probability of default to account for sustained underperformance. The Center 78 (4.6%) loan is secured by a 372,672-sf suburban office building in Warren NJ. Performance continues to deteriorate, with occupancy falling to 68% due to the second largest tenant (13.6% NRA) vacating at lease expiration in October 2023. With the departure, cash flow is insufficient to cover debt service. The largest tenant GSK (fka GlaxoSmithKline) which represents 39% of the building NRA has a lease expiration in February 2027. Fitch's 'Bsf' rating case loss of 10% prior to concentration adjustments reflects a 10% cap rate and 20% stress to the YE 2022 NOI. Fitch also conducted an additional scenario that applies a 'Bsf' sensitivity case loss of 29% on this loan which factors a higher probability of default given the occupancy declines and elevated vacancy in the submarket. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' and 'AAsf' category rated classes are not expected given expected continued amortization, but could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to 'Asf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs, including The Center 78. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are not expected, but possible with significantly increased credit enhancement from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' and 'Bsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to distressed ratings are possible with significantly higher values on FLOCs. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. UNISON TRUST 2023-2: DBRS Finalizes BB(low) Rating on B Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Notes issued by Unison Trust 2023-2 (UNSN 2023-2 or the Transaction): -- $91.8 million Class A at BBB (sf) -- $21.6 million Class B at BB (low) (sf) The BBB (sf) rating reflects credit enhancement of 54.7% for the Class A notes, and the BB (low) (sf) rating reflects credit enhancement of 44.0% for the Class B notes. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without the homeowners having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property. Some HEI programs include a returns cap, but no caps exist in UNSN 2023-2. Like reverse mortgage loans, the HEI underwriting approach is asset-based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Investment Amount and any Originator return is primarily subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return, if applicable. As of the cut-off date, 46 contracts in the Transaction are first-lien contracts, representing roughly $3.81 million in current intrinsic value; 814 are second-lien contracts, representing roughly $72.04 million in current intrinsic value; 161 are third-lien contracts, representing roughly $17.25 million in current intrinsic value; and two are fourth-lien contracts, representing roughly $0.12 million in current intrinsic value. Of the pool, 4.08% of the contracts by original investment amount are first lien and have a weighted-average (WA) original sensitivity ratio of 4.03, 77.28% are second-lien contracts and have a WA sensitivity ratio of 3.96, 18.50% of the pool are third-lien contracts with a WA sensitivity ratio of 4.00, and the remaining 0.13% of the pool are fourth-lien contracts and have a WA sensitivity ratio of 4.00. This brings the entire transaction's WA sensitivity ratio to 3.97. To better understand the impact and mechanics of sensitivity ratio, please see the example below, in the Contract Mechanics—Worked Example section in the related presale report. The current unadjusted loan-to-value ratio (LTV) of the pool is 40.42% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA original Option-to-Value of 15.50% and a WA original Loan-plus-Option-to-Value of 72.17%. The Transaction uses a sequential structure in which cash distributions are first made to reduce the Interest Amount and Cap Carryover Amount on the Class A Notes. Payments are then made to the Note Amount of the Class A Notes until such notes reduced to zero. With respect to the Class B Notes, payments are first made to reduce the Interest Amount and Cap Carryover Amount as long as these payments don't exceed the Class B Interest Payment Cap. Payments will not be made to the Class B Notes unless and until an Optional Redemption, Clean-Up Call, Mandatory Call Date, or Indenture Default. Upon an Optional Redemption, Clean-Up Call, Mandatory Call Date, or Indenture Default, payments are made to the aggregate Note Amount on the outstanding Notes. DBRS Morningstar's credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amount, Interest Amount, and Cap Carryover Amount. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2013-C13: Moody's Cuts Cl. F Certs Rating to Caa3 ------------------------------------------------------------------ Moody's Investors Service has affirmed the rating on one class and downgraded the rating on two classes in WFRBS Commercial Mortgage Trust 2013-C13, Commercial Mortgage Pass-Through Certificates, Series 2013-C13, as follows: Cl. D, Affirmed Ba2 (sf); previously on Mar 14, 2023 Downgraded to Ba2 (sf) Cl. E, Downgraded to B3 (sf); previously on Mar 14, 2023 Downgraded to B1 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Mar 14, 2023 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating on class Cl. D was affirmed because of 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. The class will also benefit from priority of principal proceeds from any loan payoffs or liquidations. The ratings on two P&I classes, Cl. E and Cl. F, were downgraded due to increased risk of losses and interest shortfalls driven primarily by the significant exposure to loans in special servicing, and loans with significant tenant concentration exposure. Three loans, representing 100% of the pool are in special servicing, including the 301 South College Street loan (86.6%), whose largest tenant has announced they will vacate the property. Moody's rating action reflects a base expected loss of 46.8% of the current pooled balance, compared to 11.5% at Moody's last review. Moody's base expected loss plus realized losses is now 4.9% of the original pooled balance, compared to 4.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the December 15, 2023 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $87.8 million from $876.7 million at securitization. The certificates are collateralized by three mortgage loans ranging in size from 5.8% to 86.6% 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 1, compared to 8 at Moody's last review. As of the December 2023 remittance report, loans representing 86.6% were nonperforming, 7.6% were in foreclosure, and 5.8% were REO. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $2 million (for an average loss severity of 1%). The three remaining loans are currently in special servicing. The largest specially serviced loan is the 301 South College Street Loan ($76 million – 86.6% of the pool), which represents a pari passu portion of a $156.8 million mortgage loan. The loan is secured by a 988,646 SF Class A office tower located in the central business district (CBD) of Charlotte, North Carolina. The property was 47% leased as of March 2023 compared to 55% in September 2022 and 99% in March 2020. The largest tenant, Wells Fargo, downsized their space significantly from 687,000 SF (or 69% of the net rentable area (NRA)) to 202,000 SF (approximately 20% of the NRA) when they renewed through 2032. However, the tenant subsequently announced that it will fully vacate the property. The lower occupancy caused the NOI DSCR to decline to 0.62X in December 2022 from 2.17X in 2020. An excess cash reserve is in-place for the terminated or upcoming vacant space which has a current balance of $13.1 million as of the November 2023 remittance. The borrower previously made a significant capital improvement to the property during the pandemic by renovating / modernizing the mall and plaza level (lobby-common area) of the building. The loan transferred to special servicing in January 2023 and failed to pay off at its scheduled maturity in May 2023. Special commentary indicates the borrower has expressed interest to convey title back to the lender and is pursuing a foreclosure action. The second largest specially serviced loan is the Johnson City Town Center Loan ($6.6 million – 7.6% of the pool), which is secured by a anchored retail center in Johnson City, New York. The loan transferred to special servicing in March 2023 for maturity default after the borrower was unable to pay off the loan at maturity. The property was anchored by Christmas Tree Shops (34,627 SF) prior to them filing bankruptcy in May 2023 and then closing the store in August 2023. A foreclosure was filed in July 2023. The lender is tracking the foreclosure process while discussing workout alternatives with the borrower. The third largest specially serviced loan is the Holiday Inn - Ames Loan ($5.1 million – 5.8% of the pool), which is secured by a 75-key full service hotel located in Ames, Iowa. The loan transferred to special servicing July 2020 due to performance deteriorating significantly in relation to business disruptions from the pandemic. The loan is currently REO. Moody's estimates an aggregate $41.1 million loss for the specially serviced loans (46.8% expected loss on average). As of the December 2023 remittance statement cumulative interest shortfalls were $599,913. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. WINDHILL CLO 1: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Windhill CLO 1 Ltd./Windhill CLO 1 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle-market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by PGIM Inc. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Windhill CLO 1 Ltd./Windhill CLO 1 LLC Class A-N, $222.00 million: AAA (sf) Class A-F, $10.00 million: AAA (sf) Class B, $36.00 million: AA (sf) Class C, $36.00 million: A (sf) Class D, $24.00 million: BBB- (sf) Class E, $24.00 million: BB- (sf) Subordinated notes, $44.35 million: Not rated [*] DBRS Reviews 1,305 Classes From 136 US RMBS Transactions ------------------------------------------------------------ DBRS, Inc. reviewed 1,305 classes from 136 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of seasoned, non-qualified mortgage, net interest margin, and home equity line of credit collateral. In addition, some of the transactions are fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Of the 1,305 classes reviewed, DBRS Morningstar upgraded credit ratings on 468 classes and confirmed credit ratings on 836 classes. One of the credit ratings was downgraded to 'D' and subsequently 'Discontinued'. The Issuers are: - New Residential Mortgage Loan Trust 2017-1 - Soundview CI-17 & Soundview Asset Holdings CI-17 Corp., Series 2006-3 - Soundview CI-10 & Soundview Asset Holdings CI-10 Corp., Series 2006-2 - Soundview CI-7 & Soundview Asset Holdings CI-7 Corp., Series 2005-CTX1 - Soundview CI-21 & Soundview Asset Holdings CI-21 Corp., Series 2006-WF2 - Soundview CI-13 & Soundview Asset Holdings CI-13 Corp., Series 2006-RS3 - Soundview CI-18 & Soundview Asset Holdings CI-18 Corp., Series 2006-EQ1 - Soundview CI-19 & Soundview Asset Holdings CI-19 Corp., Series 2006-WF1 - Soundview CI-16 & Soundview Asset Holdings CI-16 Corp., Series 2006-KS5 - Soundview CI-11 & Soundview Asset Holdings CI-11 Corp., Series 2006-OPT1 - Soundview CI-12 & Soundview Asset Holdings CI-12 Corp., Series 2006-OPT2 - Soundview CI-14 & Soundview Asset Holdings CI-14 Corp., Series 2006-OPT3 - Soundview CI-15 & Soundview Asset Holdings CI-15 Corp., Series 2006-OPT5 - First Franklin CI-17 & First Franklin Asset Holdings CI-17 Corp., Series 2006-FF16 - Meritage CI-4 & Meritage Asset Holdings CI-4 Corp., Series 2005-2 - First Franklin CI-16 & First Franklin Asset Holdings CI-16 Corp., Series 2006-FF8 - Bear Stearns Structured Products Inc. RAMP 2005-RZ3 NIM Trust, Series BSSP 2005-26 - Bear Stearns Structured Products Inc. RAMP 2005-RZ4 NIM Trust, Series BSSP 2005-33 - First Franklin CI-15 & First Franklin Asset Holdings CI-15 Corp., Series 2005-FFH4 - New Century Cayman 2005-B & New Century Asset Holdings 2005-B Corp. - Fremont CI-6 - Fremont CI-7 - Fremont CI-8 - MFA 2022-NQM1 Trust - PRKCM 2021-AFC2 Trust - SB Finance CI-05-ARW4 - OBX 2018-1 Trust - Verus Securitization Trust 2021-8 - MFA 2020-NQM3 Trust - Argent NIM Trust 2005-WN5 - Arroyo Mortgage Trust 2022-1 - BNC NIMS Trust 2007-3 - Alliance NIM Trust 2007-OA1 - Deephaven Residential Mortgage Trust 2022-1 - Arroyo Mortgage Trust 2021-1R - Angel Oak Mortgage Trust I 2019-2 - DSLA NIM CI-3 Corp. - GreenPoint NIM Trust 2005-HE1 - SB Finance NIM Trust 2006-NC1 - SB Finance NIM Trust 2005-HE4 - Galton Funding Mortgage Trust 2017-1 - SB Finance NIM Trust 2007-AMC1 - Fremont NIM Trust 2005-D - Verus Securitization Trust 2021-R1 - Angel Oak Mortgage Trust I, LLC 2019-1 - Galton Funding Mortgage Trust 2019-H1 - Angel Oak Mortgage Trust I, LLC 2018-3 - Bunker Hill Loan Depositary Trust 2019-3 - Saluda Grade Alternative Mortgage Trust 2022-INV1 - Starwood Mortgage Residential Trust 2022-2 - Velocity Commercial Capital Loan Trust 2022-1 - Velocity Commercial Capital Loan Trust 2021-4 - Velocity Commercial Capital Loan Trust 2023-1 - Homeward Opportunities Fund Trust 2020-2 - New Residential Mortgage Loan Trust 2017-6 - New Residential Mortgage Loan Trust 2019-6 - New Residential Mortgage Loan Trust 2019-2 - New Residential Mortgage Loan Trust 2017-3 - New Residential Mortgage Loan Trust 2020-1 - New Residential Mortgage Loan Trust 2018-3 - New Residential Mortgage Loan Trust 2018-2 - New Residential Mortgage Loan Trust 2019-5 - New Residential Mortgage Loan Trust 2018-1 - New Residential Mortgage Loan Trust 2017-5 - New Residential Mortgage Loan Trust 2018-4 - New Residential Mortgage Loan Trust 2019-1 - New Residential Mortgage Loan Trust 2019-3 - New Residential Mortgage Loan Trust 2019-4 - New Residential Mortgage Loan Trust 2018-5 - HASCO NIM Trust, 2005-OPT1 - BRAVO Residential Funding Trust 2022-NQM1 - FREED Mortgage Trust 2022-HE1 - Soundview NIM 2005-KS3 Trust - New Residential Mortgage Loan Trust 2019-NQM4 - New Residential Mortgage Loan Trust 2019-NQM5 - Fremont CI-4 Series 2005-1 - Securitized Asset Backed NIM 2007-BR5 - Equifirst NIM Securitization Trust 2007-1 - Ameriquest NIM Trust 2006-M3 - Nomura Home Equity Loan NIM 2006-HE3 - Nomura Home Equity Loan NIM 2006-FM2 - Securitized Asset Backed NIM Trust 2006-HE1 - Securitized Asset Backed NIM Trust 2006-FR4 - Securitized Asset Backed NIM Trust 2007-WF1 - Securitized Asset Backed NIM Trust 2007-BR1 - Securitized Asset Backed NIM Trust 2006-WF3 - Securitized Asset Backed NIM Trust 2005-FR4 - Securitized Asset Backed NIM Trust 2006-HE2 - Securitized Asset Backed NIM Trust 2006-KS8 - Securitized Asset Backed NIM Trust 2007-NC1 - Securitized Asset Backed NIM Trust 2007-BR2 - Securitized Asset Backed NIM Trust 2006-NC2 - Securitized Asset Backed NIM Trust 2006-KS9 - Securitized Asset Backed NIM Trust 2007-NC2 - Securitized Asset Backed NIM Trust 2005-FR5 - Securitized Asset Backed NIM Trust 2006-NC3 - Securitized Asset Backed NIM Trust 2005-OP2 - Securitized Asset Backed NIM Trust 2007-BR3 - Securitized Asset Backed NIM Trust 2006-FR2 - Securitized Asset Backed NIM Trust 2007-BR4 - Securitized Asset Backed NIM Trust 2005-HE1 - Securitized Asset Backed NIM Trust 2005-FR3 - Securitized Asset Backed NIM Trust 2006-FR1 - Securitized Asset Backed NIM Trust 2006-FR3 - Securitized Asset Backed NIM Trust 2006-WM1 - HarborView NIM CI-3 Corp. - HarborView NIM CI-4 Corp. - HarborView NIM CI-6 Corp. - Sharps SP I LLC Net Interest Margin 2007-HE5N - HarborView NIM CI-5 Corp. - SASCO NIM Company 2006-BC6 & SASCO ARC Corporation - SASCO NIM Company 2007-BC2 & SASCO ARC Corporation - GreenPoint CI-1 & GreenPoint Asset Holdings CI-1 Corp., Series 2005-HE4 - Bear Stearns Structured Products Inc. NIM Trust 2006-3 - Bear Stearns Structured Products Inc. NIM Trust 2006-6 - Long Beach Asset Holdings Corp. CI 2006-2 - Long Beach Asset Holdings Corp. CI 2006-3 - Bear Stearns Structured Products Inc. NIM Trust 2007-N3 - Bear Stearns Structured Products Inc. NIM Trust 2006-24 - Bear Stearns Structured Products Inc. NIM Trust 2006-16 - Bear Stearns Structured Products Inc. NIM Trust 2006-21 - Bear Stearns Structured Products Inc. NIM Trust 2007-N1 - Bear Stearns Structured Products Inc. NIM Trust 2005-27 - Bear Stearns Structured Products Inc. NIM Trust 2006-17 - Bear Stearns Structured Products Inc. NIM Trust 2007-N5 - Bear Stearns Structured Products Inc. NIM Trust 2007-N2 - Bear Stearns Structured Products Inc. NIM Trust 2006-22 - Bear Stearns Structured Products Inc. NIM Trust 2005-29 - Bear Stearns Structured Products Inc. NIM Trust 2006-18 - Bear Stearns Structured Products Inc. NIM Trust 2005-32 - Bear Stearns Structured Products Inc. NIM Trust 2006-19 - Bear Stearns Structured Products Inc. NIM Trust 2006-23 - Bear Stearns Structured Products Inc. NIM Trust 2006-20 - Bear Stearns Structured Products Inc. NIM Trust 2006-11 - Bear Stearns Structured Products Inc. NIM Trust 2006-10 - Long Beach Asset Holdings Corp. CI 2005-WL1 The Affected Ratings are available at https://bit.ly/3NyWTO4 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at the new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. [*] DBRS Reviews 401 Classes From 20 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 401 classes from 20 U.S. residential mortgage-backed security (RMBS) transactions. Out of 20 transactions, one transaction is classified as non-QM, and all other transactions are classified as Prime. Of the 401 classes reviewed, DBRS Morningstar upgraded 26 credit ratings and confirmed 375 credit ratings. The Affected Ratings Are Available at https://bit.ly/3twwBW0 The Issuers are: - J.P. Morgan Mortgage Trust 2013-3 Mortgage Pass-Through Certificates, Series 2013-3 - OBX 2019-INV2 Trust - J.P. Morgan Mortgage Trust 2018-4 - PMT Loan Trust 2013-J1 - J.P. Morgan Mortgage Trust 2019-2 - J.P. Morgan Mortgage Trust 2015-6 - J.P. Morgan Mortgage Trust 2018-3 - J.P. Morgan Mortgage Trust 2018-8 - J.P. Morgan Mortgage Trust 2017-6 - J.P. Morgan Mortgage Trust 2015-1 - J.P. Morgan Mortgage Trust 2017-3 - J.P. Morgan Mortgage Trust 2014-2 - Verus Securitization Trust 2022-2 - J.P. Morgan Mortgage Trust 2019-INV3 - J.P. Morgan Mortgage Trust 2021-LTV2 - J.P. Morgan Mortgage Trust 2018-7FRB - J.P. Morgan Mortgage Trust 2019-LTV1 - J.P. Morgan Mortgage Trust 2014-IVR3 - J.P. Morgan Mortgage Trust 2016-3 - J.P. Morgan Mortgage Trust 2016-1 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 636 Classes From 23 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 636 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions. The 23 transactions are generally classified as prime transactions. Of the 636 classes reviewed, DBRS Morningstar upgraded 63 credit ratings and confirmed 573 credit ratings. The Affected Ratings Are Available at https://bit.ly/48uvULO The Issuers are: CSMC Trust 2014-IVR3 CSMC 2018-J1 Trust MFA 2021-AEINV2 Trust CIM Trust 2019-INV1 RATE Mortgage Trust 2021-HB1 CSMC Trust 2015-WIN1 CIM Trust 2020-J2 CSMC Trust 2015-2 CSMC 2017-HL2 Trust CSMC Trust 2014-OAK1 CSMC Trust 2014-IVR1 CSMC Trust 2014-SAF1 CSMC 2017-HL1 Trust CIM Trust 2018-INV1 EverBank Mortgage Loan Trust 2018-1 MetLife Securitization Trust 2020-INV1 Flagstar Mortgage Trust 2018-3INV Flagstar Mortgage Trust 2017-2 GS Mortgage-Backed Securities Trust 2021-PJ2 GS Mortgage-Backed Securities Trust 2020-PJ2 GS Mortgage-Backed Securities Trust 2021-PJ1 Mello Mortgage Capital Acceptance 2022-INV1 Galton Funding Mortgage Trust 2018-2 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. The credit rating actions are the result of DBRS Morningstar's application of its "U.S. RMBS Surveillance Methodology," published on March 3, 2023. Notes: The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology. [*] S&P Takes Various Action on 158 Classes From 56 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 158 ratings from 56 U.S. RMBS transactions issued between 2001 and 2007. The review yielded 35 upgrades, eight downgrades, 107 affirmations, five discontinues, and three withdrawals. A list of Affected Ratings can be viewed at: https://rb.gy/h04jg7 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, -- A small loan count, and -- The assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than S&P had previously anticipated. In addition, most of these classes are receiving all of the principal payments or are next in the payment priority when the more senior class pays down. The affirmations reflect S&P's 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. S&P said, "We withdrew our ratings on three classes from one transaction 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, in accordance with our surveillance and withdrawal policies, we discontinued three ratings from three transactions with observed interest shortfalls, missed interest, and/or principal payments during recent remittance periods. We had previously lowered our ratings on these classes to 'D (sf)' (default) because of principal losses, accumulated interest shortfalls, missed interest payments, and/or credit-related reductions in interest due to loan modifications. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria." [*] S&P Takes Various Actions on 244 Ratings From 14 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of the ratings on 244 classes from 14 U.S. RMBS credit risk transfer (CRT) transactions. The review yielded upgrades on 190 ratings, 63 of which were also removed from CreditWatch positive, and affirmations on 29 ratings, 10 of which were also removed from CreditWatch positive. In addition, 25 ratings were discontinued, 16 of which were removed from CreditWatch positive. A list of Affected Ratings can be viewed at: https://rb.gy/68317q S&P said, "All of the transactions within this review had one or more classes that were placed on CreditWatch positive on Oct. 17, 2023, following the revision to our 'B' foreclosure frequency for an archetypal pool of U.S. mortgage loans to 2.50% from 3.25%--the level prior to the COVID-19 pandemic and our April 2020 update. The revision was based on our benign view of the state of the U.S. residential mortgage and housing market as demonstrated through general national level home price behavior, unemployment rates, mortgage performance, and underwriting. "In addition to our revised 'B' foreclosure frequency, we considered changes in collateral performance, credit enhancement levels, payment mechanics, and other credit drivers. The upgrades primarily reflect the revised archetypal foreclosure frequency assumption, a growing percentage of credit support, low delinquencies, and very low accumulative losses to date. "The affirmations reflect our view that the projected collateral performance relative to our projected credit support on these classes remains relatively consistent with our prior projections. "For all transactions, we used the same mortgage operational assessment, due diligence, and self-employment 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; and -- Available subordination and/or credit enhancement floors. [*] S&P Takes Various Actions on 91 Ratings From 14 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of the ratings on 91 classes from 14 U.S. RMBS non-qualified mortgage (non-QM) transactions. The review yielded 39 upgrades, 23 of which were previously on CreditWatch positive, and 52 affirmations, four of which were previously on CreditWatch positive. A list of Affected Ratings can be viewed at: https://rb.gy/tr57sx 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 and/or a growing percentage of credit support, lower delinquencies, and very low accumulative losses to date. "The affirmations reflect our view that the projected collateral performance relative to our projected credit support on these classes remains relatively consistent with our prior projections. "For all transactions, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance." Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- The priority of principal payments; -- The priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large balance loan exposure/tail risk. [*] S&P Takes Various Actions on 93 Ratings From 15 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of the ratings on 93 classes from 15 U.S. residential mortgage-backed securities (RMBS) non-qualified mortgage (non-QM) transactions. The review yielded 54 upgrades, of which 29 were previously on CreditWatch positive, and 39 affirmations, of which two were previously on CreditWatch positive. A list of Affected Ratings can be viewed at: https://rb.gy/8103ir 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 assumption for an archetypal pool of U.S. mortgage loans to 2.50% from 3.25%--the level prior to the COVID-19 pandemic and our April 2020 update. The revision was based on our benign view of the state of the U.S. residential mortgage and housing market as demonstrated through general national level home price behavior, unemployment rates, mortgage performance, and underwriting. "In addition to our revised 'B' foreclosure frequency, we considered changes in collateral performance, credit enhancement levels, payment mechanics, and other credit drivers. The upgrades primarily reflect the revised archetypal foreclosure frequency assumption, a growing percentage of credit support, low delinquencies, and/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; -- Priority of principal payments; -- Priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large-balance loan exposure/tail risk. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2023. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***