Fitch Ratings has assigned ratings and Rating Outlooks to
RATING ACTIONS
Entity / Debt
Rating
Prior
A
LT
AAAsf
New Rating
A-S
LT
AAAsf
New Rating
B
LT
AA-sf
New Rating
AA-(EXP)sf
C
LT
A-sf
New Rating
A-(EXP)sf
D
LT
BBBsf
New Rating
BBB(EXP)sf
E
LT
BBB-sf
New Rating
BBB-(EXP)sf
F
LT
BB-sf
New Rating
BB-(EXP)sf
G
LT
B-sf
New Rating
B-(EXP)sf
Preferred Shares
LT
NRsf
New Rating
NR(EXP)sf
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VIEW ADDITIONAL RATING DETAILS
The following class is not rated by Fitch:
(a) Privately placed and pursuant to Rule 144A.
(b) Horizontal risk retention interest, comprising 7.125% of the securities.
The approximate collateral interest balance as of the cutoff date is
An affiliate of the Issuer will own the class F and G notes and the Preferred Shares at closing.
The ratings are based on information provided by the issuer as of
Transaction Summary
The notes represent the beneficial ownership interest in the trust, primary assets of which are 15 loans secured by 22 commercial properties having an aggregate principal balance of
The servicer is
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 59.8% of the loans by balance, and cash flow analysis and asset summary reviews on 100% of the pool.
KEY RATING DRIVERS
Fitch
Lower Fitch Leverage: The pool has lower leverage compared to recent
Higher Pool Concentration: The pool is more concentrated than recently rated Fitch
Limited Amortization: Based on the scheduled balances at the end of the fully extended loan term, the pool will pay down by 0.1%, which is worse than the 2023 CRE CLO average of 1.7%. The pool has 14 IO loans (93.5% of the pool), which is worse than the 2023 CRE CLO average of 35.3%.
SUMMARY OF FINANCIAL ADJUSTMENTS
Cash Flow Modeling - This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade note holders, if needed. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria, '
Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF:
Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf';
10% NCF Decline: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'Bsf' / less than 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF:
Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf';
10% NCF Increase: 'AAAsf' / 'AAAsf' / '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
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on Fitch's ESG Relevance Scores, visit https://www.fitchratings.com/topics/esg/products#esg-relevance-scores.
Additional information is available on www.fitchratings.com
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