/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220130.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, January 30, 2022, Vol. 26, No. 29 Headlines AB BSL 1: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes BEAR STEARNS 2007-TOP26: Fitch Cuts Rating on Class C Debt to 'D' BELLEMEADE RE 2022-1: Moody's Gives (P)B3 Rating to Cl. M-2 Notes BENCHMARK 2022-B32: Fitch Assigns B- Rating on 2 Tranches BOYCE PARK: S&P Assigns Prelim BB- (sf) Rating on Class F Notes CENTERBRIDGE CREDIT II: Moody's Assigns Ba3 Rating to Cl. E Notes CITIGROUP COMMERCIAL 2018-B2: Fitch Affirms CCC Rating on 2 Classes COLT 2022-1: Fitch Gives 'B(EXP)' Rating to Class B-2 Certs CSAIL 2019-C15: Fitch Affirms B- Rating on Class G-RR Debt CSMC 2022-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes DEEPHAVEN 2022-1: S&P Assigns Prelim B- (sf) Rating on B-2 Notes ELLINGTON FINANCIAL 2022-1: Fitch Gives Final B Rating to B-2 Debt FANNIE MAE 2022-R01: S&P Assigns BB (sf) Rating on Cl. 1B-1 Notes FLAGSTAR MORTGAGE 2020-1INV: Moody's Hikes B-5 Debt Rating to Ba2 FREDDIE MAC 2022-DNA1: S&P Assigns B+ (sf) Rating on B-1B Notes GALLATIN IX 2018-1: Moody's Ups Rating on $8.5MM Cl. F Notes to B1 GS MORTGAGE 2013-GCJ12: Fitch Affirms CCC Rating on Class F Certs GS MORTGAGE 2020-GC45: DBRS Confirms B Rating on Class G-RR Certs GS MORTGAGE 2022-MM1: Moody's Gives (P)B3 Rating to Cl. B-5 Certs HALCYON LOAN 2013-2: Moody's Cuts Rating on $22.25MM E Notes to C JPMBB COMMERCIAL 2014-C24: Fitch Affirms CC Rating on 2 Tranches OBX 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes OBX TRUST 2022-INV1: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes SLM STUDENT 2007-7: S&P Lowers Class A-4 Notes Rating to 'D (sf)' TRK 2022-INV1: S&P Assigns Prelim B(sf) Rating on Class B-2 Certs WELLS FARGO 2017-RB1: DBRS Confirms B Rating on 3 Tranches [*] Moody's Hikes Ratings on $890.3MM of US RMBS Issued 2005-2007 [*] S&P Takes Various Actions on 76 Classes from 14 US RMBS Deals [*] S&P Takes Various Actions on 80 Classes from 10 US RMBS Deals ********* AB BSL 1: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A1-R, B-R, C-R, D-R, and E-R replacement notes from AB BSL CLO 1 Ltd., a CLO originally issued in December 2020 that is managed by AB Broadly Syndicated Loan Manager LLC. The preliminary ratings are based on information as of Jan. 24, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 27, 2022, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. S&P said, "At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm our ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class will be issued at a lower weighted average cost of debt than the original notes. -- The stated maturity and non-call period will be extended by two years. -- The reinvestment period will be extended by three years. -- All of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 94.61% have recovery ratings assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned AB BSL CLO 1 Ltd. Class A1-R, $252.000 million: AAA (sf) Class A2-AR, $4.000 million: Not rated Class A2-BR, $4.000 million: Not rated Class B-R, $44.000 million: AA (sf) Class C-R (deferrable), $24.000 million: A (sf) Class D-R (deferrable), $24.000 million: BBB- (sf) Class E-R (deferrable), $16.000 million: BB- (sf) Subordinated notes, $43.425 million: Not rated BEAR STEARNS 2007-TOP26: Fitch Cuts Rating on Class C Debt to 'D' ----------------------------------------------------------------- Fitch Ratings has taken various actions on already distressed bonds across two U.S. CMBS transactions. DEBT RATING PRIOR ---- ------ ----- Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 C 07388VAK4 LT Dsf Downgrade Csf D 07388VAL2 LT Dsf Affirmed Dsf E 07388VAM0 LT Dsf Affirmed Dsf F 07388VAN8 LT Dsf Affirmed Dsf G 07388VAP3 LT Dsf Affirmed Dsf H 07388VAQ1 LT Dsf Affirmed Dsf J 07388VAR9 LT Dsf Affirmed Dsf K 07388VAS7 LT Dsf Affirmed Dsf L 07388VAT5 LT Dsf Affirmed Dsf M 07388VAU2 LT Dsf Affirmed Dsf N 07388VAV0 LT Dsf Affirmed Dsf O 07388VAW8 LT Dsf Affirmed Dsf GSMS 2014-GC18 D 36252RAG4 LT Dsf Downgrade CCsf E 36252RAK5 LT Dsf Downgrade Csf F 36252RAN9 LT Dsf Downgrade Csf X-C 36252RAA7 LT Dsf Downgrade Csf KEY RATING DRIVERS Fitch has downgraded four classes of GS Mortgage Securities Trust 2014-GC18 to 'Dsf'. Three of these classes realized principal losses following the disposition of the Wyoming Valley Mall loan. Per the January 2022 remittance report, class D suffered $33.9 million in losses, class E suffered $22.3 million in losses and class F suffered $12.5 million in losses. Class X-C has also been downgraded as this class references class E, which is being downgraded to 'Dsf'. Class D was previously rated 'CCsf,' and classes E, X-C and F were previously rated 'Csf,' indicating default was probable and inevitable, respectively. Additionally, Fitch has downgraded one class of Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 to 'Dsf' as the class has realized a principal loss. Per the January 2022 remittance report, class C suffered $0.1 million in losses. Class C was previously rated 'Csf,' indicating default was inevitable. Fitch has also affirmed 11 classes of Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 at 'Dsf' as a result of previously incurred losses. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- No further negative rating changes are expected as these bonds have incurred principal losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. -- Today's actions are limited to the bonds that have incurred losses. Any remaining bonds in GS Mortgage Securities Trust 2014-GC18 and Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 have not been analyzed as part of this review. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS GSMS 2014-GC18 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to the underperforming malls, as a result of changing consumer preference to shopping, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. BELLEMEADE RE 2022-1: Moody's Gives (P)B3 Rating to Cl. M-2 Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to four classes of mortgage insurance credit risk transfer notes issued by Bellemeade Re 2022-1 Ltd. Bellemeade Re 2022-1 Ltd. is the first transaction issued in 2022 under the Bellemeade Re program, which transfers to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Arch Mortgage Insurance Company (Arch) and United Guaranty Residential Insurance Company (UGRIC) (each, a subsidiary of Arch Capital Group Ltd., and collectively, the ceding insurer) on a portfolio of residential mortgage loans. The notes are exposed to the risk of claims payments on the MI policies, and depending on the notes' priority, may incur principal and interest losses when the ceding insurer makes claims payments on the MI policies. On the closing date, Bellemeade Re 2022-1 Ltd. (the issuer) and the ceding insurer will enter into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes will be deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account will also be available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account will be used to purchase eligible investments and will be subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee will liquidate assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the coverage level B-2 (or B-3 following a class B-2 reopening) is written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. In this transaction, the notes' coupon is indexed to SOFR. Based on the transaction's synthetic structure, the particular choice of benchmark has no credit impact. Interest payments to the notes are made from income earned on the eligible investments in the reinsurance trust account and the coverage premium from the ceding insurer, which prevents the notes from incurring interest shortfalls as a result of increases in the benchmark index. Issuer: Bellemeade Re 2022-1 Ltd. The complete rating actions are as follows: Cl. M-1A, Assigned (P)Baa2 (sf) Cl. M-1B, Assigned (P)Baa3 (sf) Cl. M-1C, Assigned (P)Ba3 (sf) Cl. M-2, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expect this insured pool's aggregate exposed principal balance to incur 2.39% losses in a base case scenario and 16.21% losses under loss a Aaa stress scenario. The aggregate exposed principal balance is the aggregate product of (i) loan unpaid balance, (ii) the MI coverage percentage of each loan, and (iii) one minus existing quota share reinsurance percentage. Nearly all of loans (except 63 loans) have 7.5%, 8.75% or 33.5% existing quota share reinsurance covered by unaffiliated third parties, hence 92.5%, 91.25% or 66.50%, respectively, pro rata share of MI losses of such loans will be taken by this transaction. For the rest of loans having zero existing quota share reinsurance, the transaction will bear 100% of their MI losses. In addition, Moody's considered that for this transaction, similar to other mortgage insurance credit risk transfer deals, payment deferrals are not claimable events and thus are not treated as losses; rather they would only result in a loss if the borrower ultimately defaults after receiving the payment deferral and a mortgage insurance claim is filed. Moody's calculated losses on the pool using US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included, but were not limited to, adjustments for origination quality. Collateral Description The reference pool consists of 118,891 prime, fixed- and adjustable-rate, one- to four-unit, first-lien fully-amortizing conforming mortgage loans with a total insured loan balance of approximately $37 billion. All loans in the reference pool had a loan-to-value (LTV) ratio at origination that was greater than 80%, with a weighted average of 91.8%. The borrowers in the pool have a weighted average (WA) FICO score of 750, a WA debt-to-income ratio of 36.3% and a WA mortgage rate of 3.0%. The WA risk in force (MI coverage percentage) is approximately 17.0% of the reference pool total unpaid principal balance. The aggregate exposed principal balance is the portion of the pool's risk in force that is not covered by existing third-party reinsurance. Approximately 0.1% (by unpaid principal balance) of the mortgage loans have a MI coverage effective date on 2020, and there are 99.9% of loans having MI coverage effective date on 2021. The WA LTV of 91.8% is far higher than those of recent private label prime jumbo deals, which typically have LTVs in the high 60's range, however, it is in line with those of recent MI CRT transactions. All but one insured loans in the reference pool were originated with LTV ratios greater than 80%. 100% of insured loans were covered by mortgage insurance at origination with 98.7% covered by BPMI and 1.3%% covered by LPMI based on unpaid principal balance. Underwriting Quality Moody's took into account the quality of Arch's insurance underwriting, risk management and claims payment process in Moody's analysis. Arch's underwriting requirements address credit, capacity (income), capital (asset/equity) and collateral. It has a licensed in-house appraiser to review appraisals. Lenders submit mortgage loans to Arch for insurance either through delegated underwriting or non-delegated underwriting program. Under the delegated underwriting program, lenders can submit loans for insurance without Arch re-underwriting the loan file. Arch issues an MI commitment based on the lender's representation that the loan meets the insurer's underwriting requirement. Arch does not allow exceptions for loans approved through its delegated underwriting program. Lenders eligible under this program must be pre-approved by Arch. Under the non-delegated underwriting program, insurance coverage is approved after full-file underwriting by the insurer's underwriters. For Arch's overall portfolio, approximately 57% of the loans are insured through delegated underwriting and 43% through non-delegated. Arch follows the GSE underwriting guidelines via DU/LP but applies additional overlays. Servicers provide Arch monthly reports of insured loans that are 60-day delinquent prior to any submission of claims. Claims are typically submitted when servicers have taken possession of the title to the properties. Claims are submitted by uploading or entering on Arch's website, electronic transfer or paper. Arch performs an internal quality assurance review on a sample basis of delegated and non-delegated underwritten loans to ensure that (i) the risk exposure of insured mortgage loans is accurately represented, (ii) lenders submitting loans via delegated underwriting program are adhering to Arch's guidelines, and (iii) internal underwriters are following guidelines and maintaining consistent underwriting standards and processes. Arch has a solid quality control process to ensure claims are paid timely and accurately. Similar to the above procedure, Arch's claims management reviews a sample of paid claims each month. Findings are used for performance management as well as identified trends. In addition, there is strong oversight and review from internal and external parties such as GSE audits, Department of Insurance audits, audits from an independent account firm, and Arch's internal audits and compliance. Arch is also SOX compliant. PwC, an independent account firm, performs a thorough audit of Arch's claim payment process. Third-Party Review Arch engaged Opus Capital Markets Consultants, LLC, to perform a data analysis and diligence review of a sampling of mortgage loans files submitted for mortgage insurance. This review included validation of credit qualifications, verification of the presence of material documentation as applicable to the mortgage insurance application, updated valuation analysis and comparison, and a tape-to-file data integrity validation to identify possible data discrepancies. The scope does not include a compliance review. The review sample size was small (only 0.27% of the total loans in the initial reference pool as of the cut-off date, or 325 by loan count). In spite of the small sample size and a limited TPR scope for Bellemeade Re 2022-1 Ltd., Moody's did not make an additional adjustment to the loss levels because, (1) approximately 33.2% of the loans in the reference pool have gone through full re-underwriting by the ceding insurer, (2) the underwriting quality of the insured loans is monitored under the GSEs' stringent quality control system, and (3) MI policies will not cover any costs related to compliance violations. Scope and results. The third-party due diligence scope focuses on the following: Appraisals: The third-party diligence provider reviewed property valuation on 325 loans in the sample pool. A Freddie Mac Home Value Explorer (HVE) was ordered on the entire population of 325 files. If the resulting value of the AVM was less than 90% of the value reflected on the original appraisal, or if no results were returned, a Broker Price Opinion (BPO) was ordered on the property. If the resulting value of the BPO was less than 90% of the value reflected on the original appraisal, an Appraisal Review appraisal was ordered on the property. Among the 325 loans, three loans were not assigned any grade by the third-party review firm, and all other loans were graded A. The third-party diligence provider was not able to obtain property valuations these two mortgage loans due to the inability to complete the appraisal review assignment during the due diligence review period. Credit: The third-party diligence provider reviewed credit on 325 loans in the sample pool, 319 loans were rated level A, five loans were rated level B and one loan was rated level C. Data integrity: The third-party review firm was provided a data file with loan level data, which was audited against origination documents to determine the accuracy of data found within the data tape. There are 3 discrepancies, in which all discrepancies are on the maturity date data field. Reps & Warranties Framework The ceding insurer does not make any representations and warranties to the noteholders in this transaction. Since the insured mortgages are predominantly GSE loans, the individual sellers would provide exhaustive representations and warranties to the GSEs that are negotiated and actively monitored. In addition, the ceding insurer may rescind the MI policy for certain material misrepresentation and fraud in the origination of a loan, which would benefit the MI CRT noteholders. Transaction Structure The transaction structure is very similar to other MI CRT transactions that Moody's have rated. At closing, the ceding insurer will retain the coverage levels A, B-2, B-3, and the unfunded percentage of coverage levels M-1A through B-1, if any. After closing, the ceding insurer will maintain the 50% minimal retained share of coverage of coverage level B-3 throughout the transaction. The offered notes benefit from a sequential pay structure. The transaction incorporates structural features such as a 10-year bullet maturity and a sequential pay structure for the non-senior tranches, resulting in a shorter expected weighted average life on the offered notes. Funds raised through the issuance of the notes are deposited into a reinsurance trust account and are distributed either to the noteholders, when insured loans amortize or MI policies terminate, or to the ceding insurer for reimbursement of claims paid when loans default. Interest on the notes is paid from income earned on the eligible investments and the coverage premium from the ceding insurer. Interest on the notes will accrue based on the outstanding balance of the notes, but the ceding insurer will only be obligated to remit coverage premium based on each note's coverage level. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. The rated M-1A, M-1B, M1-C, M-2 and B-1 notes have credit enhancement levels of 6.25%, 5.25%, 3.25%, 2.75% and 2.50% respectively. The credit risk exposure of the notes depends on the actual MI losses incurred by the insured pool. The loss is allocated in a reverse sequential order. MI loss is allocated starting from coverage level B-3, while investment losses are allocated starting from class B-2 note. So long as the senior coverage level is outstanding, and no performance trigger event occurs, the transaction structure allocates principal payments on a pro-rata basis between the senior and non-senior reference tranches. Principal is then allocated sequentially amongst the non-senior tranches. Principal payments are all allocated to senior reference tranches when trigger event occurs. A trigger event with respect to any payment date will be in effect if the coverage level amount of coverage level A for such payment date has not been reduced to zero and either (i) the preceding three month average of the sixty-plus delinquency amount for that payment date equals or exceeds 75.0% of coverage level A subordination amount or (ii) the subordinate percentage (or with respect to the first payment date, the original subordinate percentage) for that payment date is less than the target CE percentage (minimum C/E test: 8.50%). Premium Deposit Account (PDA) The premium deposit account will benefit the transaction upon a mandatory termination event (e.g. the ceding insurer fails to pay the coverage premium and does not cure, triggering a default under the reinsurance agreement), by providing interest liquidity to the noteholders for 70 days while the assets of the reinsurance trust account are being liquidated to repay the principal of the notes. On the closing date, the ceding insurer will establish a cash and securities account (the PDA) but no initial deposit amount will be made to the account by the ceding insurer unless the premium deposit event is triggered. The premium deposit event will be triggered if the rating of the notes exceed the insurance financial strength (IFS) rating (the lower of IFS rating rated by Moody's and S&P) of the ceding insurer or the ceding insurer's IFS rating falls below Baa2. If the note ratings exceed that of the ceding insurer, the insurer will be obligated to deposit into the premium deposit account the coverage premium only for the notes that exceeded the ceding insurer's rating. If the ceding insurer's rating falls below Baa2, it is obligated to deposit coverage premium for all reinsurance coverage levels. The required PDA amount for each class of notes and each month is equal to the excess, if any, of (i) the coupon rate of the note multiplied by (a) the applicable funded percentage, (b) the coverage level amount for the coverage level corresponding to such class of notes and (c) a fraction equal to 70/360, over (ii) two times the investment income collected on the eligible investments. Moody's believe the PDA arrangement does not establish a linkage between the ratings of the notes and the IFS rating of the ceding insurer because, 1) the required PDA amount is small relative to the entire deal, 2) the risk of PDA not being funded could theoretically occur if the ceding insurer suddenly defaults, causing a rating downgrade from investment grade to default in a very short period; which is a highly unlikely scenario, and 3) even if the insurer becomes insolvent, there would be a strong incentive for the insurer's insolvency regulator to continue to make the interest payments to avoid losing reinsurance protection provided by the deal. Claims Consultant To mitigate risks associated with the ceding insurer's control of the trust account and discretion to unilaterally determine the MI claims amounts (i.e. ultimate net losses), the ceding insurer will engage Opus Capital Markets, as claims consultant, to verify MI claims and reimbursement amounts withdrawn from the reinsurance trust account once the coverage level B-2 (or B-3 following a class B-2 reopening) have been written down. The claims consultant will review on a quarterly basis a sample of claims paid by the ceding insurer covered by the reinsurance agreement. In verifying the amount, the claims consultant will apply a permitted variance to the total paid loss for each MI Policy of +/- 2%. The claims consultant will provide a preliminary report to the ceding insurer containing results of the verification. If there are findings that cannot be resolved between the ceding insurer and the claims consultant, the claims consultant will increase the sample size. A final report will be delivered by the claims consultant to the trustee, the issuer and the ceding insurer. The issuer will be required to provide a copy of the final report to the noteholders and the rating agencies. Unlike RMBS transactions where there is typically some level of independent third party oversight by the trustee, the master servicer and/or the securities administrator, MI CRT transactions typically do not have such oversight. For example, the ceding insurer not only has full control of the trust account but can also determine, at its discretion, the MI claims amount. The ceding insurer will then direct the trustee to withdraw the funds to reimburse for the claims paid. Since the trustee is not required to verify the MI claims amount, there could be a scenario where funds are withdrawn from the reinsurance trust account in excess of the amounts necessary to reimburse the ceding insurer. As such, Moody's believe the claims consultant in this transaction will provide the oversight to mitigate such risks. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021. BENCHMARK 2022-B32: Fitch Assigns B- Rating on 2 Tranches --------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2022-B32 Mortgage Trust commercial mortgage pass-through certificates series 2022-B32 as follows: -- $6,410,000 class A-1 'AAAsf'; Outlook Stable; -- $162,053,000 class A-2 'AAAsf'; Outlook Stable; -- $253,574,000 class A-3 'AAAsf'; Outlook Stable; -- $225,000,000 (a) class A-4 'AAAsf'; Outlook Stable; -- $250,182,000 (a) class A-5 'AAAsf'; Outlook Stable; -- $18,046,000 class A-SB 'AAAsf'; Outlook Stable; -- $1,359,412,000 (b) class X-A 'AAAsf'; Outlook Stable; -- $151,748,000 (b) class X-B 'A-sf'; Outlook Stable; -- $179,147,000 class A-S 'AAAsf'; Outlook Stable; -- $82,197,000 class B 'AA-sf'; Outlook Stable; -- $69,551,000 class C 'A-sf'; Outlook Stable; -- $265,000,000 class A-2A1 'AAAsf'; Outlook Stable; -- $65,336,000 (b) class X-D; 'BBB-sf'; Outlook Stable; -- $37,937,000 (b) class X-FG; 'BB-sf'; Outlook Stable; -- $16,861,000 (b) class X-H; 'B-sf'; Outlook Stable; -- $44,260,000 class D; 'BBBsf'; Outlook Stable; -- $21,076,000 class E; 'BBB-sf'; Outlook Stable; -- $18,969,000 class F; 'BB+sf'; Outlook Stable; -- $18,968,000 class G; 'BB-sf'; Outlook Stable; -- $16,861,000 class H; 'B-sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: -- $54,798,940 (b) class X-NR; -- $16,861,000 class J; -- $37,937,940 class K; -- $36,823,644 (c) class RR; -- $51,918,090 (c) RR Interest. (a) The initial certificate balances of class A-4 and A-5 are not yet known and are expected to be $475,182,000 in the aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$225,000,000, and the expected class A-5 balance range is $250,182,000-$475,182,000. The balances of classes A-4 and A-5 are shown at the maximum and minimum of their respective ranges in the table above. (b) Notional amount and interest only (IO). (c) Vertical risk retention interest. The expected ratings are based on information provided by the issuer as of Jan. 21, 2021. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 47 loans secured by 171 commercial properties having an aggregate principal balance of $1,774,834,674 as of the cut-off date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc., German American Capital Corporation and Goldman Sachs Mortgage Company. The Master Servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the Special Servicer is expected to be KeyBank National Association. KEY RATING DRIVERS Lower Fitch Leverage: The pool's Fitch stressed LTV of 98.9% is better than the 2021 average of 103.3% and approximately in line with 2020 average of 99.6% for Fitch-rated U.S. Private Label Multiborrower transactions. Fitch's stressed DSCR of 1.36x is slightly worse than the 2021 average of 1.38x but better than the 2020 average of 1.32x. The pool's Fitch LTV and DSCR, net of credit opinion loans, are 1.39x and 105.3%, respectively. This compares favorably with the 2021 averages of 1.30x and 110.5% as well as the 2020 averages of 1.24x and 111.3%, respectively. Concentration of Investment Grade Credit Opinion Loans: Four loans totaling 17.8% of the pool received investment grade credit opinions on a stand-alone basis. This is above the 2021 average of 13.34%. Old Chicago Post Office (7.0% of the pool) received a credit opinion of 'BBB-sf', CX - 350 & 450 Water Street (5.7% of the pool) received a credit opinion of 'BBB-sf', The Summit (3.7% of the pool) received a credit opinion of 'BBBsf' and 601 Lexington (1.4% of the pool) received a credit opinion of 'BBB-sf'. Low Exposure to Higher Loss Loans: Just 12.1% of the pool had Fitch loan level expected losses exceeding 5.0% and only one loan had a loan level expected loss exceeding 6.0%. The largest expected loss for any single loan is the Moonwater Office Portfolio (3.5% of the pool), which had a loan level expected loss of 8.4%. The compares favorably to the majority of 2021 conduit transactions, which typically have a more bimodal (barbelled) dispersion of expected losses. Very Low Amortization: The pool contains 38 loans totaling 88.2% of the cut-off balance, which are full interest only (IO) for the entirety of their respective loan terms. This concentration of full-term IO loans is much higher than the 2021 average of 70.5% and 2020 average of 67.7%. Additionally, there are four loans totaling 8.2% of the pool that have a partial interest only period. This results in a very low scheduled principal paydown of just 1.51% of the pool balance by maturity, compared with average paydowns of 4.8% for 2021 and 5.3% for 2020. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to the same one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB+sf' / 'BB-sf' / 'B-sf'. -- 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BBsf' / 'B+sf' / 'CCCsf' / 'CCCsf'. -- 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BB+sf' / 'Bsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. -- 30% NCF Decline: 'BBB-sf' / 'BB+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'/ 'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB+sf' / 'BB-sf' / 'B-sf'. -- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'A+sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical 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 Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. BOYCE PARK: S&P Assigns Prelim BB- (sf) Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Boyce Park CLO Ltd./Boyce Park CLO LLC 's floating- and fixed-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The preliminary ratings are based on information as of Jan. 21, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Boyce Park CLO Ltd./Boyce Park CLO LLC Class A-1, $307.50 million: AAA (sf) Class A-2, $12.50 million: Not rated Class B-1, $42.00 million: AA (sf) Class B-2, $18.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $47.90 million: Not rated CENTERBRIDGE CREDIT II: Moody's Assigns Ba3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Centerbridge Credit Funding II, Ltd. (the "Issuer"). Moody's rating action is as follows: US$142,240,000 Class A-1 Senior Secured Fixed Rate Notes due 2040, Assigned Aaa (sf) US$26,650,000 Class A-2 Senior Secured Fixed Rate Notes due 2040, Assigned Aa1 (sf) US$35,100,000 Class B Senior Secured Fixed Rate Notes due 2040, Assigned Aa3 (sf) US$15,000,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Assigned A3 (sf) US$17,800,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Assigned Baa3 (sf) US$22,400,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2040, Assigned Ba3 (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 CDO's portfolio and structure. Centerbridge Credit Funding II, Ltd. is a managed cash flow CDO. The issued notes will be collateralized primarily by corporate bonds and loans. At least 30% of the portfolio must consist of first lien senior secured loans (or participations therein), senior secured notes and eligible investments, and up to 15% of the portfolio may consist of second lien loans. The portfolio is approximately 84% 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 up to 50% of unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: $320,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 3168 Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 36.0% Weighted Average Life (WAL): 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. CITIGROUP COMMERCIAL 2018-B2: Fitch Affirms CCC Rating on 2 Classes ------------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Citigroup Commercial Mortgage Trust (CGCMT) 2018-B2 Commercial Mortgage Pass-Through Certificates. The Rating Outlooks for seven classes have been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CGCMT 2018-B2 A-1 17327FAA4 LT AAAsf Affirmed AAAsf A-2 17327FAB2 LT AAAsf Affirmed AAAsf A-3 17327FAC0 LT AAAsf Affirmed AAAsf A-4 17327FAD8 LT AAAsf Affirmed AAAsf A-AB 17327FAE6 LT AAAsf Affirmed AAAsf A-S 17327FAF3 LT AAAsf Affirmed AAAsf B 17327FAG1 LT AA-sf Affirmed AA-sf C 17327FAH9 LT A-sf Affirmed A-sf D 17327FAJ5 LT BBB-sf Affirmed BBB-sf E 17327FAL0 LT B-sf Affirmed B-sf F 17327FAN6 LT CCCsf Affirmed CCCsf X-A 17327FBG0 LT AAAsf Affirmed AAAsf X-B 17327FBH8 LT AA-sf Affirmed AA-sf X-D 17327FBJ4 LT BBB-sf Affirmed BBB-sf X-E 17327FBK1 LT B-sf Affirmed B-sf X-F 17327FAY2 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Improved Loss Expectations: Overall performance and base case loss expectations for the pool have improved slightly since the last rating action. The Rating Outlook revisions to Stable reflect lower expected losses as performance stabilizes on properties impacted by the pandemic. There are 11 Fitch Loans of Concern (FLOCs; 23% of pool). No loans are currently in special servicing. Fitch's current ratings reflect a base case loss of 6%. The Negative Outlook on class E reflects that losses could reach 6.1% after factoring in a 30% loss to the maturity balance of the Warwick Mall loan (1.7%), given refinance concerns, the secondary location, non-institutional sponsorship of the regional mall and potential protracted impact of the pandemic. Largest Contributors to Loss: The largest contributor to loss is the Westin Tysons Corner loan (4.4%), which is secured by a 407-room full service hotel located in Falls Church, VA in the Tysons Corner submarket of Washington D.C. The servicer reported TTM Sept 2020 cash flow was negative. The borrower received coronavirus relief in October 2020. The property underwent significant renovations between 2018 and early 2020 with a $7 million property improvement plan (PIP) planned at issuance. Some rooms were offline during the renovations, which included work on the guest rooms, lobby, bar, and fitness center as well as conversion of the pool area to banquet and pre-function space. The servicer reported NOI DSCR was -0.50x at YE 2020 compared with 1.29x at YE 2019. Fitch modeled a loss of approximately 23% which reflects a value of $86,000 per key. The second largest contributor to loss is the 3rd & Pine Seattle Retail & Parking loan (3.4% of the pool), which is secured by a leasehold interest in a parking lot/retail property located in an urban infill location within the downtown Seattle, WA CBD. The loan is designated a Fitch Loan of Concern due to a substantial decline in cash flow. The decrease in parking income is attributed to lower demand for transient parking due to the pandemic. The largest retail tenant (94% of the retail space) went dark in September 2020. According to servicer updates, a Letter of Intent was received for the entire vacated retail space. The servicer reported YE 2020 NOI DSCR was 1.27x compared with 1.77x at YE 2019 and 2.41x at YE 2018. Fitch modeled a loss of approximately 19% based on a 20% haircut to the YE 2019 NOI. This loss contributes to the Negative Outlook on class E. The Outlook on class E could be revised to Stable with improved loss expectations on this loan when the tenant occupies the vacated space and continued performance stabilization of the other FLOCs. The third largest contributor to loss is the Voice Road Plaza loan (2.4%), which is secured a 131,850-sf retail property located in Carle Place, NY in Nassau County, Long Island. The loan has been designated a FLOC due to a substantial drop in occupancy over last two years. As of the Sept 2021 rent roll, occupancy was 54% compared to 68% in 2020, 75% in 2019 and 95.5% at issuance. Subway (0.5% of NRA), Dress Barn (5.8% of NRA), Bass (8.7% of NRA) and Oshkosh (4.3% of NRA) vacated in 2021. The servicer reported NOI DSCR was 1.01x at YE 2020 compared with 1.86x at YE 2019. Fitch's modeled loss of approximately 26% is based off a 25% haircut to the YE 2019 NOI due to the occupancy decline. Minimal Change to Credit Enhancement: As of the December 2021 distribution date, the pool's aggregate principal balance was reduced by 2% to $1.04 billion from $1.06 billion at issuance. One loan (0.8%) is defeased. There have been no realized losses to date, and interest shortfalls are currently affecting only the non-rated class. At issuance, the transaction was expected to pay down by 8.2%, based on scheduled loan maturity balances. Twenty loans (44.4% of pool) are full-term, interest-only and eight loans (14.3%) remain in their partial interest-only periods. The majority of the pool (82.8%) maturing in 2028 and 6.9% maturing in 2023 and 10.3% in 2027. Alternative Loss Considerations: The Warwick Mall (1.7% of the pool) is secured by a 588,000-sf portion of a regional mall located in Warwick, RI. Non-collateral anchors include Macy's and Target. The property was 93% occupied as of the Sept. 2020 rent roll. Near-term lease rollover is concentrated in 2021, with 35% of the collateral NRA, including Jordan's Furniture (19.3% of NRA), Showcase Cinema (9.7% of NRA) and Old Navy; an additional 10% rolls in 2022 and 7.5% in 2023. The mall reopened in June 2020 after closing in March due to the pandemic; all major tenants are open for business, except for the cinema. Fitch's base case loss of 21% is based on a 20% cap rate and YE 2020 NOI. Fitch ran an additional sensitivity applying a 30% loss to the maturity balance (which equates to an implied 25% cap rate and 15% stress to the YE 2020 NOI). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans. Downgrades to the senior classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur should performance of the underlying pool significantly decline and/or should interest shortfalls occur. -- A downgrade to class A-S and B would occur if additional loans begin to underperform or if the FLOC's have performance deterioration or fail to stabilize. Downgrades to classes rated C through E would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrade to the distressed class F could occur should losses be realized or become more certain. -- In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects negative rating actions, including downgrades and/or further Outlook revisions. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrade to classes B and C would likely occur with significant improvement in CE and/or defeasance; however, it is not likely unless the performance of the FLOCs stabilizes or improves. -- Upgrades to classes D and E are considered unlikely without stabilization of the FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. The distressed class F is unlikely to be upgraded unless performance of the FLOCs stabilizes or improves. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. COLT 2022-1: Fitch Gives 'B(EXP)' Rating to Class B-2 Certs ------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2022-1 Mortgage Loan Trust (COLT 2022-1). DEBT RATING ---- ------ COLT 2022-1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3A LT NR(EXP)sf Expected Rating B-3B LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 656 loans with a total balance of approximately $347 million as of the cutoff date. Loans in the pool were originated by multiple originators and aggregated by Hudson Americas L.P. A majority of loans are currently, or will be, serviced by Select Portfolio Servicing, Inc. (SPS), with a smaller portion serviced by Northpointe Bank (Northpointe). 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 10.3% above a long-term sustainable level (versus 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 19.1% yoy nationally as of October 2021. Non-QM Credit Quality (Negative): The collateral consists of 656 loans, totaling $347 million, and seasoned approximately five months in aggregate (as calculated as the difference between origination date and cutoff date). The borrowers have a moderate credit profile (738 model FICO and 42% model debt to income ratio [DTI]) and leverage (79% sustainable loan to value ratio [sLTV] and 72% combined LTV [cLTV]). The pool consists of 50.9% of loans where the borrower maintains a primary residence, while 49.1% comprise an investor property or second home. Additionally, 14.2% of the loans were originated through a retail channel and 57.2% are non-qualified mortgage (non-QM); for the remainder, the QM rule does not apply. Loan Documentation (Negative): Approximately 85.2% of the pool were underwritten to less than full documentation, and 44% were underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 37% are a debt service coverage ratio (DSCR) product which is available to real estate investors that are qualified on a cash flow or "no-ratio" basis, rather than DTI, and borrower income and employment are not verified. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 576 bps relative to a fully documented loan in line with Appendix Q. Sequential-Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class with limited advancing. Limited Advancing (Mixed): Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer (Wells Fargo) will be obligated to make such advance. The limited 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. Excess Cash Flow (Positive): The transaction benefits from a material amount of excess cash flow that provides benefit to the rated certificates before being paid out to class X certificates. The excess is available to pay timely interest and protect against realized losses. To the extent the collateral weighted average coupon (WAC) and corresponding excess are reduced through a rate modification, Fitch would view the impact as credit-neutral, as the modification would reduce the borrower's probability of default, resulting in a lower loss expectation. As a sensitivity to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- The 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 41.3% 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's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- 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'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment(s) resulted in a 43bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. CSAIL 2019-C15: Fitch Affirms B- Rating on Class G-RR Debt ---------------------------------------------------------- Fitch Ratings has affirmed 14 classes of CSAIL 2019-C15 Commercial Mortgage Trust. Additionally, Fitch has revised the Rating Outlook on class E-RR to Stable from Negative. The Rating Outlooks on classes F-RR and G-RR remain negative. DEBT RATING PRIOR ---- ------ ----- CSAIL 2019-C15 A-2 22945DAC7 LT AAAsf Affirmed AAAsf A-3 22945DAE3 LT AAAsf Affirmed AAAsf A-4 22945DAG8 LT AAAsf Affirmed AAAsf A-S 22945DAQ6 LT AAAsf Affirmed AAAsf A-SB 22945DAJ2 LT AAAsf Affirmed AAAsf B 22945DAS2 LT AA-sf Affirmed AA-sf C 22945DAU7 LT A-sf Affirmed A-sf D 22945DAY9 LT BBB-sf Affirmed BBB-sf E-RR 22945DBA0 LT BBB-sf Affirmed BBB-sf F-RR 22945DBC6 LT BB-sf Affirmed BB-sf G-RR 22945DBE2 LT B-sf Affirmed B-sf X-A 22945DAL7 LT AAAsf Affirmed AAAsf X-B 22945DAN3 LT AA-sf Affirmed AA-sf X-D 22945DAW3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: Fitch's base case loss remains in line with prior rating action in 2021. The Outlook revision of class E-RR to Stable from Negative reflects continued stabilization from hotel and retail loans affected by the coronavirus pandemic and better than expected 2020 performance of the Saint Louis Galleria (9.8%). Ten loans (26.9%) have been flagged as Fitch Loans of Concern (FLOCs) including two loans that have transferred to special servicing (4.6%). Eight loans have been flagged as FLOCs for high vacancy, low NOI debt service coverage ratio (DSCR), and/or pandemic-related underperformance. Fitch's current ratings reflect a base case loss of 5.2%. The Negative Outlooks on F-RR and G-RR reflects losses that could reach 5.9% when factoring additional coronavirus-related stresses to three hotel loans (9.9%). The largest contributor to modelled losses is Embassy Suites Portland Washington Square (FLOC, 6.9%) which is secured by a full-service hotel property located approximately eight miles southwest of downtown Portland. This loan is on the servicer's watchlist for underperformance due to the coronavirus pandemic. As of December 2020, subject NOI DSCR was -0.23x compared with 1.95x at YE 2019. According to the subject's March 2021 STR report, trailing-twelve-month (TTM) RevPar has fallen to $24 as of March 2021 compared with $115 in June 2019. Fitch's base case loan level loss of 8.0% reflects a 10% haircut and 11.25% cap rate on YE 2019 NOI. Fitch considered an additional scenario where modelled losses reached 15%. This scenario assumes a 26% haircut and 11.25% cap rate on YE 2019 to reflect decreased consumer spending and travel amid the coronavirus pandemic. The second largest contributor to modelled losses is the Saint Louis Galleria (FLOC, 4.1%), a Brookfield sponsored, super-regional mall located in St. Louis, MO. The subject's three largest tenants include Galleria 6 Cinemas (NRA 4.2%), H&M (NRA 2.8%) and Victoria's Secret (NRA 2.8%), and the subject's non-collateral anchors include Dillard's, Macy's, and Nordstrom. At issuance, Fitch noted that the non-collateral anchors had all experienced declining sales since 2013, when the loan was last securitized. As of June 2021, TTM inline sales excluding Apple have improved to $468 psf (TTM June 2021) compared with $404 psf as of June 2020, $470 psf as of December 2019 and $561 psf as of August 2018. Fitch's loss expectation of approximately 12% reflects a 11.5% cap rate and a 5% haircut applied to the YE 2020 NOI. The third largest contributor to loss expectations is the Continental Towers loan (3.1%), which is secured by suburban office property located in Rolling Meadows, IL. Occupancy has continued to decline since issuance, falling to 62% as of September 2021 from 74% at YE 2020, 86% at YE 2019, and 93% at issuance. A recent tenant departure included Komatsu (11% of the net rentable area [NRA] and 17% of base rents), whose lease expired in July 2021. Minimal Change to Credit Enhancement: As of the January 2021 distribution date, the pool's aggregate principal balance has been paid down by 1.9% to $813.1 million from $829.3 million at issuance. No loans have been defeased. Prudential - Digital Realty Portfolio prepaid with a yield maintenance fee in October 2021 for $11 million in principal paydown. No loans are scheduled to mature until 2024. There are fourteen interest-only loans comprising 46.8% of the pool. Exposure to Coronavirus: There are nine loans (23.9% of pool) that are secured by hotel properties. Ten loans (23.6%) are secured by retail properties. Fitch's sensitivity analysis applied an additional stress to the pre-pandemic cash flows for three hotel loans (9.9%) given the significant 2020 NOI declines related to the pandemic. These additional stresses contributed to maintaining the Negative Outlooks on classes F-RR and G-RR. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1 through A-S and the interest-only classes X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to classes B, C, D, E-RR, X-B and X-D are possible should performance of the FLOCs continue to decline; should loans susceptible to the coronavirus pandemic not stabilize; and/or should further loans transfer to special servicing. -- Classes F-RR and G-RR could be downgraded should the specially serviced loans not return to the master servicer and/or as there is more certainty of loss expectations from other FLOCs. The Rating Outlooks on these classes may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. -- An upgrade of the 'BBB-sf' class is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. CSMC 2022-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CSMC 2022-NQM1 Trust's mortgage pass-through notes. The note issuance is an RMBS transaction predominantly backed by newly originated first-lien, fixed-, and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, townhouses, condominiums, and two- to four-family residential properties. The pool has 992 loans backed by 996 properties, which are primarily non-qualified mortgage (non-QM/ability-to-repay [ATR] compliant) and ATR-exempt loans. One of the loans is a cross-collateralized loan backed by five properties. The preliminary ratings are based on information as of Jan. 21, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The mortgage aggregator, DLJ Mortgage Capital Inc., and the originators, which include AmWest Funding Corp., Visio Financial Corp., and Impac Mortgage Corp.; and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. Preliminary Ratings Assigned CSMC 2022-NQM1 Trust Class A-1, $417,490,000: AAA (sf) Class A-2, $29,900,000: AA (sf) Class A-3, $51,771,000: A (sf) Class M-1, $20,487,000: BBB (sf) Class B-1, $14,396,000: BB (sf) Class B-2, $10,244,000: B (sf) Class B-3, $9,412,958: Not rated Class A-IO-S, notional(i): Not rated Class XS, notional(ii): Not rated Class PT(iii), $553,700,958: Not rated Class R: Not rated (i)The notional amount will equal the aggregate interest-bearing principal balance of the mortgage loans as of the first day of the related due period and is initially $553,654,591. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period and is initially $553,700,958. (iii)Certain initial exchangeable notes are exchangeable for the exchangeable notes and vice versa. DEEPHAVEN 2022-1: S&P Assigns Prelim B- (sf) Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Deephaven Residential Mortgage Trust 2022-1's mortgage-backed pass-through notes series 2022-1. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate mortgage loans secured by single-family residences, planned-unit developments, condominiums, two- to four-family homes, and one townhouse. The pool consists of 752 loans backed by 829 properties that are primarily non-qualified mortgage loans and ability-to-repay exempt loans; of the 752 loans, 17 are cross-collateralized, which were broken down to their constituents at the property level (making up 94 properties). The preliminary ratings are based on information as of Jan. 24, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The mortgage aggregator, Deephaven Mortgage LLC (Deephaven); -- The transaction's representation and warranty (R&W) framework; -- The geographic concentration; -- The 100% due diligence results consistent with represented loan characteristics; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. Preliminary Ratings Assigned Deephaven Residential Mortgage Trust 2022-1 Class A-1, $262,501,000: AAA (sf) Class A-2, $17,797,000: AA (sf) Class A-3, $27,437,000: A (sf) Class M-1, $20,762,000: BBB (sf) Class B-1, $16,314,000: BB (sf) Class B-2, $16,128,000: B- (sf) Class B-3, $9,826,187: NR Class XS, Notional(i): NR Class A-IO-S, Notional(i): NR Class R: NR (i)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. ELLINGTON FINANCIAL 2022-1: Fitch Gives Final B Rating to B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Ellington Financial Mortgage Trust 2022-1. DEBT RATING PRIOR ---- ------ ----- EFMT 2022-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf X 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 Fitch rates the residential mortgage-backed certificates to be issued by Ellington Financial Mortgage Trust 2022-1, Mortgage Pass-Through Certificates, Series 2022-1 (EFMT 2022-1) as indicated. The certificates are supported by 817 loans with a balance of $417.19 million as of the cutoff date. This will be the fourth Ellington Financial Mortgage Trust transaction rated by Fitch. The certificates are secured mainly by nonqualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule. Approximately 86% of the loans were originated by LendSure Mortgage Corporation, a joint venture between LendSure Financial Services, Inc. (LFS) and Ellington Financial, Inc. (EFC). The remaining 14% of the loans were originated by third-party originators. Of the pool, 64% of the loans are designated as non-QM, and the remaining 36% are investment properties not subject to ATR. Rushmore Loan Management Services LLC will be the servicer and Nationstar Mortgage LLC will be the master servicer for the transaction. Consistent with the majority of the non-QM transactions issued to date, this transaction has a sequential payment structure. In this sequential payment structure, the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class with limited advancing. There is LIBOR exposure in this transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 1.19% of the pool comprises loans with an adjustable rate based on one-month or one-year LIBOR. The offered certificates are fixed rate and capped at the net weighted average coupon (WAC) or pay the net WAC. Since the EFMT 2022-1 presale report was published, Fitch revised the adjustments it makes to loans to borrowers who are non-permanent residents in its loss analysis. Fitch analyzed historical performance of non-permanent residents, U.S. Citizens, and foreign nationals prior to and throughout the coronavirus pandemic and found that non-permanent residents performed the same or better than U.S. citizens. As a result, Fitch no longer adjusts the occupancy to investor occupied, removes liquid reserves, and treats the loans as no documentation for income and employment for loans to non-permanent residents. The revised treatment of loans to non-permanent residents resulted in revised loss expectations for the EFMT 2022-1 transaction. In addition, the transaction priced and the B-2 CE was increased. See below for the revised expected losses and CE for each class. There were no changes from the expected to final ratings assigned to each class. -- A-1: 'AAAsf' Expected Loss Revised to 17.75%, CE 19.45%; -- A-2: 'AAsf' Expected Loss Revised to 13.50%, CE 14.25%; -- A-3: 'Asf' Expected Loss Revised to 9.50%, CE 10.20%; -- M-1: 'BBBsf' Expected Loss Revised to 6.50%, CE 6.85%; -- B-1: 'BBsf' Expected Loss Revised to 4.50%, CE 5.05%; -- B-2: 'Bsf' Expected Loss Revised to 2.75%, CE 3.30%. 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 10.7% above a long-term sustainable level (versus 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is the result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 19.7% yoy nationally as of September 2021. Nonprime Credit Quality (Mixed): Collateral consists mainly of 30-year or 40-year fully amortizing loans, either fixed rate or adjustable rate, and 31% of the loans have an interest-only period. The pool is seasoned at about five months in aggregate, as determined by Fitch. The borrowers in this pool have relatively strong credit profiles with a 742 WA FICO score and a 40.8% debt-to-income ratio (DTI), both as determined by Fitch, and moderate leverage with an original combined loan-to-value ratio (CLTV) of 69.1%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 76.1%. Fitch considered 56.8% of the pool to consist of loans where the borrower maintains a primary residence, while 35.9% comprises an investor property and 7.3% represents second homes. Fitch considers loans to foreign nationals as investor occupied, which explains why the second home percentage is lower than the transaction documentation percentage of 7.4% and the investor occupied percentage is higher than the transaction documentation percentage of 35.8%. In total, 95% of the loans were originated through a nonretail channel. Additionally, 64% of the loans are designated as non-QM, while the remaining 36% are exempt from QM since they are investor loans. The pool contains 97 loans over $1 million, with the largest loan at $3.350 million. Fitch determined that self-employed non-debt service coverage ratio (DSCR) borrowers make up 52.3% of the pool; salaried non-DSCR borrowers make up 24.2%; and 23.5% comprise investor cash flow DSCR loans. About 37.8% of the pool comprises loans on investor properties (14.3% underwritten to the borrowers' credit profiles and 23.5% comprising investor cash flow loans), and Fitch considered three loans in the pool to be tied to foreign nationals, which Fitch assumes as investor occupied. There are no second liens in the pool and none of the loans have subordinate financing. Around 40% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (16.5%), followed by the Miami MSA (7.2%) and the San Diego MSA (7.1%). The top three MSAs account for 30.8% of the pool. As a result, there was no adjustment for geographic concentration. All loans are current as of Jan. 1, 2022. Overall, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans (Negative): About 80.0% of the pool was underwritten to less than full documentation, and 37.6% was underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to underwriting and documentation of the borrower's ability to repay. Additionally, 7.9% comprises an asset depletion product, 0% is a CPA or P&L product, and 23.5% is a DSCR product. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates, and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure side as there is limited liquidity in the event of large and extended delinquencies. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class with limited advancing. 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 41.9% 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: -- 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. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Evolve and AMC. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch reduced the overall 'AAAsf' expected loss by 0.42%. 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." Evolve and AMC were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS EFMT 2022-1 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk. Operational risk is well controlled for in EFMT 2022-1, including strong transaction due diligence as well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. FANNIE MAE 2022-R01: S&P Assigns BB (sf) Rating on Cl. 1B-1 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fannie Mae Connecticut Avenue Securities Trust 2022-R01's (CAS 2022-R01) notes. The note issuance is an RMBS transaction in which the payments are determined by a reference pool of residential mortgage loans, deeds of trust, or similar security instruments encumbering mortgaged properties acquired by Fannie Mae. The ratings assigned to CAS 2022-R01's notes reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments, but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which enhances the notes' strength, in S&P's view; -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying representations and warranties framework; and -- The further impact that the COVID-19 pandemic is likely to have on the U.S. economy and housing market, and the additional structural provisions included to address corresponding forbearance and subsequent defaults. Ratings Assigned FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 CLASS RATING AMOUNT ($) 1A-H(i) NR 52,027,270,354 1M-1 A (sf) 459,538,000 1M-1H(i) NR 24,186,621 1M-2A(ii) A- (sf) 144,669,000 1M-AH(i) NR 7,614,677 1M-2B(ii) BBB+ (sf) 144,669,000 1M-BH(i) NR 7,614,677 1M-2C(ii) BBB (sf) 144,669,000 1M-CH(i) NR 7,614,677 1M-2(ii) BBB (sf) 434,007,000 1B-1A(ii) BB+ (sf) 153,179,000 1B-AH(i) NR 8,062,540 1B-1B(ii) BB (sf) 153,179,000 1B-BH(i) NR 8,062,540 1B-1(ii) BB (sf) 306,358,000 1B-2(ii) NR 306,358,000 1B-2H(i) NR 16,125,081 1B-3H(i)(iii) NR 134,367,951 (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The holders of the class 1M-2 notes may exchange all or part of that class for proportionate interests in the class 1M-2A, class 1M-2B, and class 1M-2C notes, and vice versa. The holders of the class 1B-1 notes may exchange all or part of that class for proportionate interests in the class 1B-1A and class 1B-1B notes, and vice versa. The holders of the class 1M-2A, class 1M-2B, class 1M-2C, class 1B-1A, class 1B-1B, and class 1B-2 notes may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. (iii)For the purposes of calculating modification gain or modification loss amounts, class 1B-3H is deemed to bear interest at SOFR + 15%. NR--Not rated. SOFR--Secured Overnight Financing Rate. RCR--Related combinable and recombinable. FLAGSTAR MORTGAGE 2020-1INV: Moody's Hikes B-5 Debt Rating to Ba2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 46 classes of Flagstar Mortgage Trust. The transactions are securitizations of fixed rate, first-lien prime jumbo and agency eligible mortgage loans. Issuer: FLAGSTAR MORTGAGE TRUST 2017-1 Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Issuer: FLAGSTAR MORTGAGE TRUST 2017-2 Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aaa (sf); previously on Jul 19, 2019 Upgraded to A1 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Jul 19, 2019 Upgraded to Baa3 (sf) Issuer: Flagstar Mortgage Trust 2018-1 Cl. A-13, Upgraded to Aaa (sf); previously on Feb 23, 2018 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Feb 23, 2018 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Oct 30, 2019 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Nov 15, 2018 Upgraded to B1 (sf) Issuer: Flagstar Mortgage Trust 2018-2 Cl. A-13, Upgraded to Aaa (sf); previously on Jul 19, 2019 Upgraded to Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Jul 19, 2019 Upgraded to Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded to A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Jul 19, 2019 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jul 19, 2019 Upgraded to B1 (sf) Issuer: Flagstar Mortgage Trust 2018-3INV Cl. A-9, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to Aa1 (sf) Cl. A-10, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 30, 2019 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Oct 30, 2019 Upgraded to Ba1 (sf) Issuer: Flagstar Mortgage Trust 2018-4 Cl. A-10, Upgraded to Aaa (sf); previously on Jul 19, 2019 Upgraded to Aa1 (sf) Issuer: Flagstar Mortgage Trust 2018-5 Cl. A-11, Upgraded to Aaa (sf); previously on Sep 20, 2018 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Jul 19, 2019 Upgraded to Aa3 (sf) Cl. B-2, Upgraded to Aaa (sf); previously on Oct 30, 2019 Upgraded to A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Oct 30, 2019 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Jul 19, 2019 Upgraded to Ba1 (sf) Issuer: Flagstar Mortgage Trust 2019-1INV Cl. B-3, Upgraded to Aa2 (sf); previously on Aug 3, 2021 Upgraded to A1 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Aug 3, 2021 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 3, 2021 Upgraded to Ba2 (sf) Issuer: Flagstar Mortgage Trust 2020-1INV Cl. A-14, Upgraded to Aaa (sf); previously on Feb 28, 2020 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Feb 28, 2020 Definitive Rating Assigned Aa1 (sf) Cl. A-17, Upgraded to Aaa (sf); previously on Feb 28, 2020 Definitive Rating Assigned Aa1 (sf) Cl. A-18, Upgraded to Aaa (sf); previously on Feb 28, 2020 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 26, 2021 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jul 26, 2021 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jul 26, 2021 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 26, 2021 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 26, 2021 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. In these transactions, high prepayment rates averaging 27%-55% over the last six months, driven by the low interest rate environment, have benefited the bonds by increasing the paydown and building credit enhancement. In Moody's analysis Moody's considered the additional risk posed by borrowers enrolled in payment relief programs. Moody's increased Moody's MILAN model-derived median expected losses by 15% and Moody's Aaa losses by 5% to reflect the performance deterioration resulting from a slowdown in US economic activity due to the COVID-19 outbreak. For transactions where more than 4% of the loans in pool have been enrolled in payment relief programs for more than 3 months, Moody's further increased the expected loss to account for the rising risk of potential deferral losses to the subordinate bonds. Moody's also considered higher adjustments for transactions where more than 10% of the pool is either currently enrolled or was previously enrolled in a payment relief program. Specifically, Moody's account for the marginally increased probability of default for borrowers that have either been enrolled in a payment relief program for more than 3 months or have already received a loan modification, including a deferral, since the start of the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans Based on Moody's analysis, the proportion of borrowers that are enrolled in payment relief plans in the underlying pools ranged between 2-12% over the last six months. The governing documents for the impacted transactions do not prohibit the loan term on the underlying mortgages from being modified to a date beyond the transaction's Final Scheduled Distribution Date. Moody's analysis has accounted for the risk that some of the mortgages with term modifications will have a balance outstanding at the Final Scheduled Distribution Date. Given the pervasive financial strains tied to the pandemic, servicers have been making advances on increased amount of non-cash-flowing loans, sometimes resulting in interest shortfalls due to insufficient funds in subsequent periods when such advances are recouped. Moody's expect such interest shortfalls to be reimbursed over the next several months. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was Moody's Approach to Rating US RMBS Using the MILAN Framework published in August 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. FREDDIE MAC 2022-DNA1: S&P Assigns B+ (sf) Rating on B-1B Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Freddie Mac STACR REMIC Trust 2022-DNA1's residential mortgage-backed notes. The note issuance is an RMBS securitization backed by a reference pool consisting of 100% conforming residential mortgage loans. The ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments but also pledges the support of Freddie Mac (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which enhances the notes' strength, in S&P's view; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties framework; and -- The further impact that the COVID-19 pandemic is likely to have on the U.S. economy and housing market, and the additional structural provisions included to address corresponding forbearance and subsequent defaults. Ratings Assigned Freddie Mac STACR REMIC Trust 2022-DNA1 Class A-H(i), $32,062,833,829: NR Class M-1A, $478,000,000: A- (sf) Class M-1AH(i), $25,604,719: NR Class M-1B, $318,000,000: BBB (sf) Class M-1BH(i), $17,736,480: NR Class M-2, $239,000,000: BB (sf) Class M-2A, $119,500,000: BB+ (sf) Class M-2AH(i), $6,401,180: NR Class M-2B, $119,500,000: BB (sf) Class M-2BH(i), $6,401,180: NR Class M-2R, $239,000,000: BB (sf) Class M-2S, $239,000,000: BB (sf) Class M-2T, $239,000,000: BB (sf) Class M-2U, $239,000,000: BB (sf) Class M-2I, $239,000,000: BB (sf) Class M-2AR, $119,500,000: BB+ (sf) Class M-2AS, $119,500,000: BB+ (sf) Class M-2AT, $119,500,000: BB+ (sf) Class M-2AU, $119,500,000: BB+ (sf) Class M-2AI, $119,500,000: BB+ (sf) Class M-2BR, $119,500,000: BB (sf) Class M-2BS, $119,500,000: BB (sf) Class M-2BT, $119,500,000: BB (sf) Class M-2BU, $119,500,000: BB (sf) Class M-2BI, $119,500,000: BB (sf) Class M-2RB, $119,500,000: BB (sf) Class M-2SB, $119,500,000: BB (sf) Class M-2TB, $119,500,000: BB (sf) Class M-2UB, $119,500,000: BB (sf) Class B-1, $159,000,000: B+ (sf) Class B-1A, $79,500,000: BB- (sf) Class B-1AR, $79,500,000: BB- (sf) Class B-1AI, $79,500,000: BB- (sf) Class B-1AH(i), $4,434,120: NR Class B-1B, $79,500,000: B+ (sf) Class B-1BH(i), $4,434,120: NR Class B-2, $159,000,000: NR Class B-2A, $79,500,000: NR (sf) Class B-2AR, $79,500,000: NR (sf) Class B-2AI, $79,500,000: NR (sf) Class B-2AH(i), $4,434,120: NR Class B-2B, $79,500,000: NR Class B-2BH(i), $4,434,120: NR Class B-3H(i), $83,934,120: NR (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. NR--Not rated. GALLATIN IX 2018-1: Moody's Ups Rating on $8.5MM Cl. F Notes to B1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Gallatin CLO IX 2018-1, Ltd. (the "CLO" or "Issuer"): US$2,750,000 Class C-1 Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to Aa1 (sf); previously on December 22, 2020 Upgraded to A1 (sf) US$17,500,000 Class C-2 Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to Aa1 (sf); previously on December 22, 2020 Upgraded to A1 (sf) US$1,000,000 Class C-3 Deferrable Mezzanine Fixed Rate Notes due 2028, Upgraded to Aa1 (sf); previously on December 22, 2020 Upgraded to A1 (sf) US$22,500,000 Class D-1 Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to A3 (sf); previously on August 4, 2020 Confirmed at Baa3 (sf) US$3,000,000 Class D-2 Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to A3 (sf); previously on August 4, 2020 Confirmed at Baa3 (sf) US$19,125,000 Class E Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to Ba2 (sf); previously on August 4, 2020 Confirmed at Ba3 (sf) US$8,500,000 Class F Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to B1 (sf); previously on August 4, 2020 Confirmed at B3 (sf) US$32,265,000 Secured Structured Notes due 2028 (current outstanding balance of $24,812,827.33), Upgraded to Aa1 (sf); previously on December 22, 2020 Upgraded to A1 (sf) The CLO, originally issued in August 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 January 2020. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since June 2021. The Class A Senior Secured Floating Rate Notes have been paid down by approximately 18% or $41 million since June 2021. Based on the trustee's November 2021 report [1], the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 142.29%, 130.59%, 118.85% and 111.35%, respectively, versus the trustee's April 2021 report [2] levels of 136.13%, 126.48%, 116.56% and 110.08%, respectively. The upgrade on the Secured Structured Notes is primarily the result of reduction of the Secured Structured Notes' balance. The Secured Structured Notes have been paid down by approximately $2.2 million or 8% since December 2020. 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 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: $313,830,266 Defaulted par: $0 Diversity Score: 47 Weighted Average Rating Factor (WARF): 2865 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.50% Weighted Average Recovery Rate (WARR): 48.28% Weighted Average Life (WAL): 3.12 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, near term defaults by companies facing liquidity pressure, 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. GS MORTGAGE 2013-GCJ12: Fitch Affirms CCC Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed GS Mortgage Securities Trust 2013-GCJ12 commercial mortgage pass through certificates, series 2013-GCJ12 (GSMS 2013-GCJ12). Fitch maintains the Rating Outlook of one class on Negative. DEBT RATING PRIOR ---- ------ ----- GS Mortgage Securities Trust 2013-GCJ12 A-3 36197XAJ3 LT AAAsf Affirmed AAAsf A-4 36197XAK0 LT AAAsf Affirmed AAAsf A-AB 36197XAL8 LT AAAsf Affirmed AAAsf A-S 36197XAP9 LT AAAsf Affirmed AAAsf B 36197XAQ7 LT AA-sf Affirmed AA-sf C 36197XAR5 LT A-sf Affirmed A-sf D 36197XAB0 LT BBB-sf Affirmed BBB-sf E 36197XAC8 LT BBsf Affirmed BBsf F 36197XAD6 LT CCCsf Affirmed CCCsf X-A 36197XAM6 LT AAAsf Affirmed AAAsf X-B 36197XAN4 LT A-sf Affirmed A-sf KEY RATING DRIVERS Stable Loss Expectations: Fitch's loss expectations remain stable since the prior review due to mostly stable performance across the pool. Fitch has identified 19 loans (41.3%) as Fitch Loans Of Concern (FLOCs), including five (31.9%) loans among the top 15 loans and three loans (15.1%) in special servicing. Fitch's current ratings incorporate a base case loss of 5.9%. An additional sensitivity was applied assuming a full recognition of losses on loans in the pool flagged as maturity defaults to reflect imminent refinance risk as loans approach maturity. The Negative Outlook on class E reflects this sensitivity analysis. Fitch Loans of Concern: The largest contributor to Fitch's overall loss expectations is the Eagle Ridge Village loan (6.1% of the pool), which is secured by a 648-unit multifamily property located in Evan Mills, NY. The property is located one mile west of Fort Drum, and has been affected by military cutbacks, reduced subsidies, on-base housing requirements and deployments. Per the servicer, military tenants account for 90% of residents. As of September 2021, occupancy improved to 87%; however, the property continues to underperform as NOI has been insufficient to cover debt service since 2020. NOI DSCR as of June 2021 declined to 0.86x from 0.97x at YE 2020. Additionally, average in-place rents have declined to $897 per month as of September 2021, lower than $943 from the year prior and from $1,101 per month at issuance. The loan had previously transferred to special servicing in January 2018 for underperformance and imminent default. In March 2019, the special servicer approved a loan modification to provide relief which included a 12-month interest only period, after which the loan resumed amortization. The modification was structured to also include a $1.2 million debt service reserve during the 12-month period. The loan was returned to the master servicer in May 2020. As of December 2021, reserve balances totaled $1.67 million. The second-largest contributor to Fitch's overall loss expectations is the Queens Crossing loan (7.1% of the pool balance), which is secured by a 424,747-sf, mixed-use commercial condominium property located in Flushing, NY. Occupancy has declined to 92% as of September 2021 due to the closure of K-Show Karaoke (7% of NRA), which will further contribute to already deteriorated NOI from issuance. As of September 2021, NOI DSCR was 1.04x, which is expected to drop below 0.90x with the recent decline in occupancy. The property was fully occupied at issuance with DSCR of 1.48x. The loan had previously transferred to special servicing in July 2018 for non-monetary defaults including misrepresentations by the borrower at issuance, which have contributed to the decline in NOI from issuance. The loan returned to the master servicer in December 2019 after a resolution was executed in June 2019 which included $6.0 million in credit enhancements (CE). A $2.0 million LOC expiring in June 2022 and $2.3 million in other reserves are reflected on the reserves report as of December 2021. The loan has remained current for the life of the loan. The specially serviced loan is the W Minneapolis (4.90% of the pool), secured by a 32-story, 229-room, full service luxury hotel located in downtown Minneapolis, Minnesota. Declining property performance has only been exacerbated by the pandemic, with YTD June 2021 and YE 2020 NOI resulting in negative NOI with reported DSCR of -0.54x and -0.72x, respectively. Prior to the pandemic, YE 2019 NOI had fallen 26% below NOI at YE 2018 and was 18% below NOI at issuance. DSCR declined accordingly to 1.40x at YE 2019, compared to 1.90x at YE 2018 and 1.70x at issuance. According to the servicer, the mezzanine lender completed a UCC foreclosure in September 2020 and has taken ownership of the property. The mezzanine lender has been making loan payments since takeover without modification. The loan is expected to be returned to the master servicer once the new borrower brings all amounts current (including fees and interest on advances). The loan is 60 days delinquent as of the January 2022 payment date and has been delinquent four times in the prior 12 months. Fitch's analysis includes a stress of 26% on YE 2019 NOI to reflect ongoing underperformance caused by the pandemic. Fitch's stressed valuation reflects a recovery of $165,600 per key. Minimal Change in Credit Enhancement: As of the January 2022 distribution, the pool's aggregate principal balance has been paid down by 25.4% to $893.9 million from $1.20 billion at issuance. Seventeen loans (23.3% of current pool) are fully defeased. Six loans loan (10.5% of original pool balance) have paid off since issuance. One loan (0.5%) matures in 2022 with the remaining loans maturing primarily in the second quarter of 2023. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed full recognition of losses on loans in the pool modeled as maturity defaults to reflect imminent refinance risk as loans approach maturity in 2023. Higher losses were applied to the Queens Crossing (7.1% of the pool), W Minneapolis (4.9%), Marketplace at Huntingdon Valley (4.0%), Bradley Fair Shopping Center (4.0%) and Highwoods Square (0.7%) loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur should interest shortfalls affect the classes; -- Downgrades to the 'BBBsf' and Asf' category would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'CCCsf' and 'BBsf' categories would occur should loss expectations increase and if performance of the FLOCs fail to stabilize or additional loans default and/or transfer to the special servicer. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse; -- Upgrades to the 'BBBsf' category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'CCCsf' and 'B-sf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. GS MORTGAGE 2020-GC45: DBRS Confirms B Rating on Class G-RR Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-GC45 issued by GS Mortgage Securities Trust 2020-GC45 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F-RR at BB (low) (sf) -- Class G-RR at B (sf) DBRS Morningstar also confirmed the loan-specific certificates as follows: -- Class SW-A at A (low) (sf) -- Class SW-B at BBB (low) (sf) -- Class SW-C at BB (low) (sf) -- Class SW-D at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the underlying loans in the transaction. At issuance, the trust consisted of 52 fixed-rate loans secured by 152 commercial, hospitality, and multifamily properties with an original balance of $1.39 billion. As of the December 2021 remittance report, all of the original loans remain in the pool and there has been nominal collateral reduction of 0.2% since issuance. Amortization has generally been limited, as 29 of the loans representing 68.2% of the current pool balance are structured as interest-only (IO) and 17 loans representing another 26.5% are structured as partial-IO and remain in their IO periods. The collateral pool's property type concentration is relatively diverse, with the greatest property type concentration by loan balance consisting of mixed-use assets (eight loans accounting for 23.2% of the pool balance). Retail assets account for the second-greatest property type concentration, with 15 loans that represent 21.7% of the current pool balance. At issuance, DBRS Morningstar assigned an investment-grade shadow rating to eight loans (seven of which were included in the 15 largest loans): 1633 Broadway (Prospectus ID#1, 4.3% of the current pool); 560 Mission 1 (Prospectus ID#2, 4.3% of the pool); Starwood Class A Industrial Portfolio 1 (Prospectus ID#3, 4.3% of the pool); Bellagio Hotel and Casino (Prospectus ID#4, 4.3% of the pool); Southcenter Mall (Prospectus ID#5, 4.3% of the pool); 650 Madison Avenue (Prospectus ID#8, 3.6% of the pool); Parkmerced (Prospectus ID#14, 2.7% of the pool); and 510 East 14th Street (Prospectus ID#17, 2.5% of the pool). With this review, DBRS Morningstar confirmed that the respective performance of each of these loans remains consistent with the characteristics of an investment-grade loan. As of the December 2021 remittance, there were seven loans representing 15.5% of the current pool balance on the servicer's watchlist, including three loans representing 10.6% of the pool in the 15 largest loans. These loans are being monitored for a variety of reasons including deferred maintenance or a low debt service coverage ratio (DSCR), among others. There were no loans in special servicing and no delinquent loans as of the December 2021 remittance. The largest loan on the servicer's watchlist, Kent Station (Prospectus ID#6, 4.2% of the pool), was flagged for deferred maintenance while the second-largest watchlisted loan, Van Aken District (Prospectus ID#7, 4.0% of the pool), was flagged for a low DSCR, as discussed below. The Van Aken District loan is secured by a mixed-use development in Shaker Heights, Ohio. The loan was added to the servicer's watchlist in November 2020 after the DSCR fell below 75% of the issuer's DSCR. The March 2021 DSCR was reported at 0.98 times (x), compared with the March 2020 DSCR of 1.30x. According to the servicer, the decline is attributed to an increase in real estate taxes and repairs and maintenance expenses, driven by a remodeling project that finished in 2019, which increased the property value in 2020. The subject consists of 80,118 square feet (sf) of retail space, 62,961 sf of office space, and 103 multifamily units, and was built in phases during 2005 and from 2018 to 2019. Tenancy is granular, as no tenant makes up more than 8.0% of the net rentable area (NRA) and primarily consists of local retailers and some regional and national office tenants. According to the June 2021 rent roll, the property was 97.1% occupied and the servicer has noted that residential leasing remains strong as rents are increasing at renewal or turnover of units. The servicer noted that the borrower has reduced repair and maintenance costs and the June 2021 DSCR has improved to 1.30x, compared with the issuer's DSCR of 2.36x. The loan-specific certificates represented by Classes SW-A, SW-B, SW-C, and SW-D are backed by the $65.5 million subordinate companion loan of the $210 million Starwood Industrial Portfolio whole loan, which is secured by a portfolio of 33 industrial properties (including 24 warehouses, three distribution centers, two manufacturing facilities, two cold storage facilities, and two flex spaces) totaling 4.1 million sf across four states (Indiana, Illinois, Ohio, and Wisconsin). The loan-specific certificates are not pooled with the remainder of the trust loans. With this review, DBRS Morningstar confirmed that the performance of the underlying loan remains in line with the expectations at issuance, supporting the rating confirmations for those classes. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2022-MM1: Moody's Gives (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2022-MM1. The ratings range from (P)Aaa (sf) to (P)B3 (sf). GS Mortgage-Backed Securities Trust 2022-MM1 (GSMBS 2022-MM1) is the second prime jumbo transaction in 2022 issued by Goldman Sachs Mortgage Company (GSMC), the sponsor and the primary mortgage loan seller. Overall, pool strengths include the high credit quality of the underlying borrowers, indicated by high FICO scores, strong reserves for prime jumbo borrowers, mortgage loans with fixed interest rates and no interest-only loans. As of the cut-off date, none of the mortgage loans are subject to a COVID-19 related forbearance plan. GSMC's general partner is Goldman Sachs Real Estate Funding Corp. and its limited partner is Goldman Sachs Bank USA. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (100% by UPB). All the loans in the pool are originated by Movement Mortgage, LLC (Movement Mortgage). NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service all of the loans in the pool. Computershare Trust Company, N.A. (CTCNA) will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties (R&W) breach reviewer. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. In addition, Moody's adjusted its losses based on qualitative attributes, including origination quality, the strength of the R&W framework and third-party review (TPR) results. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure with a five-year lockout period that benefits from a senior and subordination floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2022-MM1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aa1 (sf) Cl. A-4, Assigned (P)Aa1 (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-15-X*, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-17-X*, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-18-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aa1 (sf) Cl. A-X-4*, Assigned (P)Aa1 (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.57%, in a baseline scenario-median is 0.38% and reaches 4.15% at stress level consistent with Moody's Aaa rating. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, strength of the TPR and the R&W framework of the transaction. Collateral Description As of the January 1, 2022 cut-off date, the aggregate collateral pool comprises 359 prime jumbo (non-conforming), 30-year loan-term, fully-amortizing fixed-rate mortgage loans, none of which have the benefit of primary mortgage guaranty insurance, with an aggregate stated principal balance (UPB) $375,841,374 and a weighted average (WA) mortgage rate of 3.0%. The WA current FICO score of the borrowers in the pool is 769 and the WA original LTV ratio of the mortgage pool is 74.0%. Top 10 MSAs comprise 57.2% of the pool by UPB. The high geographic concentration in high cost MSAs is reflected in the high average loan balance of the pool ($1,046,912). The characteristics of the mortgage loans in the pool are generally comparable to that of recent prime jumbo transactions rated by us. All the mortgage loans in the aggregate pool are qualified mortgages (QMs) meeting the requirements of the new General QM rule. All loans originated by Movement Mortgage are underwritten to GS AUS underwriting guidelines. The third-party reviewer verified that the loans' APRs met the QM rule's thresholds. Furthermore, these loans were underwritten and documented pursuant to the QM rule's verification safe harbor via a mix of the Fannie Mae Single Family Selling Guide, the Freddie Mac Single-Family Seller/Servicer Guide, and applicable program overlays. As part of the origination quality review and in consideration of the detailed loan-level third-party diligence reports, which included supplemental information with the specific documentation received for each loan, Moody's concluded that these loans were fully documented loans, and that the underwriting of the loans is acceptable. Therefore, Moody's ran these loans as "full documentation" loans in MILAN model, but increased Moody's Aaa and expected loss assumptions due to the lack of performance, track record and substantial overlays of the AUS-underwritten loans. Aggregator/Origination Quality GSMC is the loan aggregator and the primary mortgage seller for the transaction. GSMC's general partner is Goldman Sachs Real Estate Funding Corp. and its limited partner is Goldman Sachs Bank USA. Goldman Sachs Real Estate Funding Corp. is a wholly owned subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital markets group within Goldman Sachs. Senior management averages 16 years of mortgage experience and 15 years of Goldman Sachs tenure. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (100.0% by UPB). All the loans in the pool are originated by Movement Mortgage. The mortgage loans in the pool are underwritten to either GSMC's underwriting guidelines, or seller's applicable guidelines. The mortgage loan seller does not originate any mortgage loans, including the mortgage loans included in the mortgage pool. Instead, the mortgage loan seller acquired the mortgage loans pursuant to contracts with the originator. Overall, Moody's consider GSMC's aggregation platform to be comparable to that of peer aggregators and therefore did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing GSMC's aggregation quality, Moody's have also reviewed the origination quality of Movement Mortgage which originated 100% of the mortgage loans to the transaction. Moody's reviewed their underwriting guideline, performance history, and quality control and audit processes and procedures (to the extent available, respectively). Moody's applied an adjustment for Movement Mortgage loans originated under the new QM rules as more time is needed to fully evaluate this origination program and due to limited performance history of these type of loans and prime jumbo loans in general. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Shellpoint will service 100% of the pool. Shellpoint is an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac. Shellpoint's primary servicing location is in Greenville, South Carolina. Shellpoint services residential mortgage assets for investors that include banks, financial services companies, GSEs and government agencies. CTCNA will act as master servicer. Third-party Review The transaction benefits from TPR on 100% of the mortgage loans for regulatory compliance, credit and property valuation. The TPR results confirm compliance with the originator's underwriting guidelines for the vast majority of loans, no material regulatory compliance issues, and no material property valuation issues. The loans that had exceptions to the originator's underwriting guidelines had significant compensating factors that were documented. Representations & Warranties GSMBS 2022-MM1's R&W framework is in line with that of prior GSMBS transactions Moody's have rated where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Moody's review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and the R&W enforcement mechanism. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. R&W breaches are evaluated by an independent third-party using a set of objective criteria. The transaction requires mandatory independent reviews of mortgage loans that become 120 days delinquent and those that liquidate at a loss to determine if any of the R&Ws are breached. There is a provision for binding arbitration in the event of a dispute between the trust and the R&W provider concerning R&W breaches. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. An investment-grade rated R&W provider lends substantial strength to its R&Ws. Moody's analyze the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Here, because the R&W provider is unrated and/or exhibits limited financial flexibility, Moody's applied an adjustment to the mortgage loans. In addition, a R&W breach will be deemed not to have occurred if it arose as a result of a TPR exception disclosed in Appendix I of the Private Placement Memorandum. Tail Risk and Locked Out Percentage The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.45% of the cut-off date pool balance, and as subordination lock-out amount of 1.45% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021. HALCYON LOAN 2013-2: Moody's Cuts Rating on $22.25MM E Notes to C ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the following notes issued by Halcyon Loan Advisors Funding 2013-2 Ltd.: US$26,750,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2025 (current outstanding balance of $26,173,210.01) (the "Class D Notes"), Downgraded to B3 (sf); previously on March 1, 2021 Downgraded to B1 (sf) US$22,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2025 (current outstanding balance of $24,823,215.39) (the "Class E Notes"), Downgraded to C (sf); previously on August 21, 2020 Downgraded to Ca (sf) Halcyon Loan Advisors Funding 2013-2 Ltd., originally issued in July 2013, 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 August 2017. RATINGS RATIONALE The downgrade rating action on the Class D and Class E notes reflect the deterioration in its Over-Collateralization (OC) ratios and interest coverage. Based on the trustee's December 2021 report[1], the OC ratios for the Class D and Class E notes are reported at 93.74 and 48.11%, respectively, versus March 2021 levels[2] of 99.05% and 72.18%, respectively. Additionally, the Class E notes is currently deferring interest payments, and carries the deferred interest balance of $2,573,215. The rating action is also due to deterioration of the credit quality of the portfolio. Based on Moody's calculation, the weighted average rating factor (WARF) of the portfolio is currently 3868 vs 3495 in March 2021. Based on Moody's calculation, the current proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (after any adjustments for negative outlook and watchlist for possible downgrade) is currently approximately 44.8% of the CLO par. 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." In addition, because of the collateral pool's low diversity, Moody's used CDOROM(TM) to simulate a default distribution that it then used as an input in the cash flow model. 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: Performing par and principal proceeds balance: $27,522,305 Defaulted par: $7,794,095 Diversity Score: 9 Weighted Average Rating Factor (WARF): 3868 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 4.08% Weighted Average Recovery Rate (WARR): 46.72% Weighted Average Life (WAL): 2.2 years Par haircut in OC tests and interest diversion test: 13.7% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, near term defaults by companies facing liquidity pressure, credit deterioration of the underlying portfolio 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. JPMBB COMMERCIAL 2014-C24: Fitch Affirms CC Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 18 classes of JPMBB Commercial Mortgage Securities Trust 2014-C24. The Rating Outlooks remain Negative on eight classes. DEBT RATING PRIOR ---- ------ ----- JPMBB 2014-C24 A-2 46643GAB6 LT AAAsf Affirmed AAAsf A-3 46643GAC4 LT AAAsf Affirmed AAAsf A-4A1 46643GAD2 LT AAAsf Affirmed AAAsf A-4A2 46643GAQ3 LT AAAsf Affirmed AAAsf A-5 46643GAE0 LT AAAsf Affirmed AAAsf A-S 46643GAJ9 LT AAAsf Affirmed AAAsf A-SB 46643GAF7 LT AAAsf Affirmed AAAsf B 46643GAK6 LT AA-sf Affirmed AA-sf C 46643GAL4 LT BBBsf Affirmed BBBsf D 46643GAY6 LT B-sf Affirmed B-sf E 46643GBA7 LT CCCsf Affirmed CCCsf EC 46643GAM2 LT BBBsf Affirmed BBBsf F 46643GBC3 LT CCsf Affirmed CCsf X-A 46643GAG5 LT AAAsf Affirmed AAAsf X-B1 46643GBJ8 LT AA-sf Affirmed AA-sf X-B2 46643GAH3 LT B-sf Affirmed B-sf X-C 46643GAS9 LT CCCsf Affirmed CCCsf X-D 46643GAU4 LT CCsf Affirmed CCsf KEY RATING DRIVERS Stable Loss Expectations: While loss expectations are relatively stable since Fitch's prior rating action, they remain high due to performance declines and refinance concerns with the Fitch Loans of Concern (FLOCs). Twelve loans (46.6% of pool), including three in special servicing (12.0%), were designated as FLOCs. The pool includes three regional malls (28.9%), of which two (17.7%) have been identified as FLOCs with high modeled losses. Fitch's current ratings reflect a base case loss of 10.00%. The Negative Outlooks reflect losses that could reach 13.20% after factoring in a potential outsized loss of 50% on the maturity balance of The Mall of Victor Valley (11.2%), as well as an additional sensitivity on Canyon Ranch Portfolio (2.8%) to reflect the hotels' vulnerability to the on-going pandemic. Regional Mall FLOCs: The largest contributor to Fitch's loss expectations, North Riverside Park Mall (6.5%), is secured by 429,038 sf of a 1.1 million sf regional mall located in Riverside, IL. The loan, which is sponsored by The Feil Organization, transferred to special servicing in August 2019 for maturity default in October 2019. The loan returned to the master servicer as a modified loan in in August 2021. Modification terms included a bifurcation of the loan into a A/B split (approximately 67%/33%), extension of the loan term by 60 months and extension of the interest-only period by 120 months. Fitch's base case loss of 57% on the combined balance reflects a 36% loss on the $45.0 million A-note and a 100% loss on the $21.9 million subordinate B-note. Fitch's loss expectation is based on a discount to the most recent servicer provided appraised value and reflects a 12% cap rate on the already depressed YE 2020 NOI or a 24% cap rate on the pre-pandemic TTM ended June 2019 NOI. Collateral occupancy has remained relatively stable since 2018, reporting at 88% as of October 2021. NOI has slightly improved but remains below pre-pandemic levels and well below issuance. Servicer-reported NOI DSCR for YTD September 2021 was 1.26x compared with 0.73x at YE 2020, 1.44x as of the TTM ended June 2019, and 1.72x at YE 2018. The mall is anchored by non-collateral JC Penney. A non-collateral anchor space previously leased to Sears (vacated in September 2020) has been partially leased to Round One, and a non-collateral space leased to Carson Pirie Scott (vacated in August 2018) remains vacant. The largest collateral tenant, Classic Cinema 6 (6.8% NRA), recently extended its lease for an additional five years through October 2026. Per the October 2021 rent roll, near-term rollover includes 17.1% NRA by 2022 spread across 34 tenants. The second largest contributor to Fitch's loss expectations, The Mall of Victor Valley (11.2%), is the largest loan in the pool and is secured by 477,384 sf of a 575,784 sf regional mall located in Victorville, CA. The loan, which is sponsored by Macerich, was designated a FLOC for performance concerns and occupancy declines. Former collateral anchor Sears (16% NRA; 4% base rents) closed in February 2020 prior to its October 2024 lease expiration. This dropped occupancy to 82% as of the September 2021 rent roll. Fitch's base case loss of 23% is based on an 15% cap rate and 5% haircut to the YE 2020 NOI and reflects further concerns with occupancy and performance. The YE 2020 NOI was 18% below YE 2019 and 14% below the issuer's underwritten NOI. Despite the declines, NOI is sufficient to cover debt service with DSCR at 2.19x as of YTD June 2021 and 2.09x as of YE 2020. Per the September 2021 rent roll, near-term rollover includes 12.5% NRA by 2022 spread across 39 tenants. In-line tenant sales have recently rebounded reporting at $629 psf as of the TTM ended September 2021 compared with $379 psf as of the TTM ended September 2020 and $581psf as of the TTM ended September 2019. The mall was closed on two separate occasions in 2020, from March 2020 to May 2020 and then from July 2020 to September 2020. The non-collateral anchor is Macy's, and collateral tenant, Cinemark Theatres (13.0% NRA), recently renewed its lease for an additional five years through November 2026. Other larger collateral tenants include JCPenney, which leases 19.2% NRA through March 2033 and Dick's Sporting Goods, which leases 10.5% NRA through January 2024. Alternative Loss Considerations: Fitch applied a potential outsized loss of 50% on the maturity balance of The Mall of Victor Valley to reflect concerns with continued occupancy declines and refinance concerns. Fitch also applied a pandemic related sensitivity to Canyon Ranch Portfolio to reflect the hotels' vulnerability to the pandemic and potential declines. This sensitivity analysis contributed to the Negative Outlooks. Fitch also considered a scenario that reflects paydown from defeased loans only (8.1%). The affirmations on classes A-S and X-A at 'AAAsf' and classes B and X-B1 at 'AA-sf' reflect this analysis. Increasing Credit Enhancement: Since Fitch's prior rating action, two loans with a combined balance of $37.6 million balance paid in full. As of the January 2022 distribution date, the pool's aggregate balance has been paid down by 19.4% to $1.025 billion from $1.271 billion at issuance. Nineteen loans (13.2%) are amortizing balloon, five (36.3%) are full-term IO, and 18 (50.5%) that were structured with a partial-term IO component at issuance are in their amortization periods. Eleven loans (8.1%) are fully defeased. Cumulative interest shortfalls of $1.8 million are currently affecting classes F and NR. Pool Concentration: The top 10 loans comprise 69.0% of the pool. Loan maturities are concentrated in 2024 (97.6%), with one loan (2.4%) maturing in 2025. Based on property type, the largest concentrations are retail at 37.1%, office at 22.3% and mixed-use at 17.4%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades of the senior 'AAAsf' classes are not likely due to sufficient credit enhancement and the expected receipt of continued amortization but could occur if interest shortfalls affect the class. -- Classes A-S, X-A, B, X-B1, C and EC would be downgraded if interest shortfalls affect the class, additional loans become FLOCs or if performance of the FLOCs deteriorates further. Classes D, X-B2, E, X-C, F and X-D would be downgraded if loss expectations increase, additional loans transfer to special servicing or losses are realized. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are unlikely due to performance/refinance concerns with the regional mall FLOCs and specially serviced loans but could occur if performance improves significantly. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. OBX 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to OBX 2022-NQM1 Trust's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed-rate, and adjustable-rate residential mortgage loans to prime and nonprime borrowers, including mortgage loans with initial interest-only periods. The loans are primarily secured by single-family residential properties, planned-unit developments, townhouses, condominiums, and two- to four-family residential properties. The pool has 786 loans, which are primarily nonqualified mortgage/ability-to-repay (ATR) compliant and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The mortgage aggregator, Onslow Bay Financial LLC, and the originators, which include AmWest Funding Corp. and Impac Mortgage Corp.; and -- The impact that the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available to the transaction. Ratings Assigned(i) OBX 2022-NQM1 Trust Class A-1, $445,078,000: AAA (sf) Class A-2, $23,102,000: AA (sf) Class A-3, $31,175,000: A (sf) Class M-1, $20,041,000: BBB (sf) Class B-1, $15,310,000: BB (sf) Class B-2, $11,690,000: B (sf) Class B-3, $10,299,549: NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class R: NR (i)The collateral and structural information reflect the private placement memorandum dated Jan. 18, 2022. The ratings address the ultimate payment of interest and principal. (ii)For the class A-IO-S notes, the notional amount equals the stated principal balance for loans serviced by Select Portfolio Servicing Inc., Specialized Loan Servicing LLC, and Shellpoint Mortgage Servicing. (iii)The notional amount equals the loans' stated principal balance. NR--Not rated. OBX TRUST 2022-INV1: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 48 classes of residential mortgage-backed securities (RMBS) issued by OBX 2022-INV1 Trust (OBX 2022-INV1). The ratings range from (P)Aaa (sf) to (P)B3 (sf). OBX 2022-INV1, the first rated issue from Onslow Bay Financial LLC (Onslow Bay) in 2022, is a prime RMBS securitization of 10 to 30-year fixed-rate, agency-eligible mortgage loans secured by first liens on mainly non-owner occupied residential properties (designated for investment purposes by the borrower). All the loans were underwritten using one of the government-sponsored enterprises' (GSE) automated underwriting systems (AUS) and 100.0% by unpaid principal balance (UPB) received an "Approve" or "Accept" recommendation. As of the cut-off date, no borrower under any mortgage loan is currently in an active Covid-19 related forbearance plan with the related servicer. Onslow Bay does not originate residential mortgage loans. Onslow Bay, the seller/sponsor, purchased approximately 33.5%, 11.9% and 10.4% by UPB, from Rocket Mortgage, LLC (Rocket Mortgage; f/k/a Quicken Loans, LLC, rated Ba1 (CFR) with Positive outlook), Better Mortgage Corporation and LendUS, LLC (LendUS), respectively, and the remainder from various other mortgage originators. Select Portfolio Servicing, Inc. and Rocket Mortgage LLC (Rocket) will service 66.6% and 33.4% (by UPB) of the mortgage loans respectively on behalf of the issuing entity, starting January 1, 2022. Computershare Trust Company, N.A. (Computershare) will act as master servicer. Certain servicing advances and advances for delinquent scheduled interest and principal payments will be funded unless the related mortgage loan is 120 days or more delinquent or the servicer determines that such delinquency advances would not be recoverable. The master servicer is obligated to fund any required monthly advances if the servicer fails in its obligation to do so. The master servicer and servicer will be entitled to reimbursements for any such monthly advances from future payments and collections with respect to those mortgage loans. The sponsor, directly or through a majority-owned affiliate, intends to retain an eligible horizontal residual interest with a fair value of at least 5% of the aggregate fair value of the notes issued by the trust. OBX 2022-INV1 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordination floor. In Moody's analysis of tail risk, Moody's considered the increased risk from borrowers with more than one mortgage in the pool. The complete rating actions are as follows: Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11IO*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aa1 (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-IO1*, Assigned (P)Aaa (sf) Cl. A-IO4*, Assigned (P)Aaa (sf) Cl. A-IO5*, Assigned (P)Aaa (sf) Cl. A-IO6*, Assigned (P)Aaa (sf) Cl. A-IO8*, Assigned (P)Aaa (sf) Cl. A-IO10*, Assigned (P)Aaa (sf) Cl. A-IO13*, Assigned (P)Aaa (sf) Cl. A-IO15*, Assigned (P)Aaa (sf) Cl. A-IO17*, Assigned (P)Aaa (sf) Cl. A-IO20*, Assigned (P)Aa1 (sf) Cl. A-IO21*, Assigned (P)Aa1 (sf) Cl. A-IO24*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-IO1*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B-IO2*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-3A, Assigned (P)Baa2 (sf) Cl. B-IO3*, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses in a base case scenario are 0.91% and reach 5.41% at a stress level consistent with Moody's Aaa rating scenario. Moody's base its ratings on the notes on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral Description The OBX 2022-INV1 transaction is a securitization of 1,236 agency-eligible mortgage loans, secured by 10 to 30-year fixed-rate, mainly non-owner occupied first liens on one-to four-family residential properties, planned unit developments, condominiums and townhouses with an unpaid principal balance of approximately $377,275,348. The notes are backed by 99.3% investment property mortgage loans and the remaining 0.7% are second home loans. The mortgage pool has a WA seasoning of about 5 months. The loans in this transaction have strong borrower credit characteristics with a weighted average current FICO score of 771 and a weighted-average original combined loan-to-value ratio (CLTV) of 63.9%. In addition, 14.3% of the borrowers are self-employed and refinance loans comprise about 56.6% of the aggregate pool. The pool has a high geographic concentration with 37.4% of the aggregate pool located in California, with 10.9% located in the Los Angeles-Long Beach-Anaheim MSA and 6.0% located in the San Francisco-Oakland-Hayward MSA. The characteristics of the loans underlying the pool are generally comparable to other recent prime RMBS transactions backed by investment property mortgage loans that Moody's have rated. As of the cut-off date, no borrower under any mortgage loan is currently in an active Covid-19 related forbearance plan with the related servicer. However, there was one loan that was previously in a Covid-19 forbearance plan (0.1% by UPB) from April 2020 to July 2020, but it is current on payment status. In the event that, after cut-off date, a borrower enters into or requests an active Covid-19 related forbearance plan, such mortgage loan will remain in the mortgage pool. Furthermore, there are also four loans (0.3% by UPB) that are 30-day delinquent as per MBA Method due to servicing transfer. Appraisal Waiver (AW) loans, all of which are agency-eligible loans, which constitute approximately 2.1% of the mortgage loans by aggregate cut-off date balance, may present a greater risk as the value of the related mortgaged properties may be less than the value ascribed to such mortgaged properties. Moody's made an adjustment in its analysis to account for the increased risk associated with such loans. However, Moody's have tempered this adjustment by taking into account the GSEs' robust risk modeling, which helps minimize collateral valuation risk, as well as the GSEs' conservative eligibility requirements for AW loans which helps to support deal collateral quality. Origination Quality Majority of the mortgage loans in the pool were originated by Rocket Mortgage, Better Mortgage Corporation, LendUS, LLC, General Mortgage Capital Corporation and AmeriFirst Financial, Inc. All other originators represent less than 5.0% by loan balance. All the mortgage loans comply with Freddie Mac and Fannie Mae underwriting guidelines, with 100.0% receiving an "Approve" or "Accept" recommendation, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower. With exception for loans originated by Rocket Mortgage (approximately 33.5% by UPB) and LendUS (approximately 10.4% by UPB), Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions, regardless of the originator, since the loans were all underwritten in accordance with GSE guidelines. Moody's increased its loss assumption for loans originated by Rocket Mortgage due to the relatively weaker performance of their investment property mortgage transactions compared to similar transactions from other originators. Moody's increased our loss assumption for loans originated by LendUS due to insufficient performance information. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Select Portfolio Servicing, Inc. (SPS) and Rocket Mortgage, LLC (Rocket) will be the named primary servicer for this transaction and will service 66.6% and 33.4% of the pool respectively, starting January 1, 2022. Computershare will act as master servicer and as custodian under the custodial agreement. Computershare is a national banking association and a wholly-owned subsidiary of Computershare Ltd (Baa2, long term rating), an Australian financial services company with over $5 billion (USD) in assets as of June 30, 2021. Computershare Ltd and its affiliates have been engaging in financial service activities, including stock transfer related services since 1997, and corporate trust related services since 2000. The P&I Advancing Party (Onslow Bay) will make principal and interest advances (subject to a determination of recoverability) for the mortgage loans but only to the extent that such delinquency advances are not funded by amounts held for future distribution, a reduction in the excess servicing strip fee or a reduction in the P&I advancing party fee. Similarly to the OBX 2021-INV3 transaction Moody's have rated, and in contrast to the OBX 2021-J shelf, no advances of delinquent principal or interest will be made for mortgage loans that become 120 days or more delinquent under the MBA method. Subsequently, if there are mortgage loans that are 120 days or more delinquent on any payment date, there will be a reduction in amounts available to pay principal and interest otherwise payable to note holders. Moody's did not make an adjustment for the stop advance feature due to the strong reimbursement mechanism for liquidated mortgage loans. Proceeds from liquidated mortgage loans are included in the available distribution amount and are paid according to the waterfall. Third Party Review (TPR) Four independent TPR firms, AMC Diligence, LLC (AMC), Inglet Blair, LLC, Canopy Financial Technology Partners, LLC and Recovco Mortgage Management, LLC were engaged to conduct due diligence for the credit, compliance, property valuation and data integrity for approximately 79.2% of the final mortgage pool (by loan count). The original population included 1,041 loans in the initial securitized pool. During the course of the review, 62 loans were removed for various reasons. The final population of the review consisted of 979 loans in the final securitized pool. The TPR results indicated compliance with the originators' underwriting guidelines for most of the loans without any material compliance issues or appraisal defects. 100.0% of the loans reviewed in the final population received a grade B or higher with 94.8% of loans receiving an A grade. Representations & Warranties (R&W) Moody's analysis of the R&W framework considers the adequacy of the R&Ws and enforcement mechanisms, and the creditworthiness of the R&W provider. Overall, the loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's identified for US RMBS. Among other considerations, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of the mortgage. Each originator will provide comprehensive loan level representations and warranties for their respective loans. BANA will assign each originator's R&W to the seller (OBX) through AAR, who will in turn assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding the originators' ability to meet their respective R&W obligations, Onslow Bay Financial LLC (the seller, an unrated party) will backstop the R&Ws for all originator's loans. The R&W provider's obligation to backstop third party R&Ws will terminate 5 years after the closing date, subject to certain performance conditions. The R&W provider will also provide the gap reps. The rep provider is an unrated entity with weak financial that may not have the financial wherewithal to purchase defective loans. Moody's have increased Moody's loss levels to account for the financial weakness of the R&W provider (Onslow Bay). Tail Risk and Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility, as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.00% of the closing pool balance, and a subordination lock-out amount equal to 1.00% of the closing pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021. SLM STUDENT 2007-7: S&P Lowers Class A-4 Notes Rating to 'D (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its rating on SLM Student Loan Trust 2007-7's class A-4 notes to 'D (sf)' from 'CC (sf)'and removed it from CreditWatch negative. This transaction is backed by student loans originated through the U.S. Department of Education's (ED's) Federal Family Education Loan Program (FFELP). ED reinsures at least 97% of the principal and interest on defaulted loans serviced, according to the FFELP guidelines. Due to the high level of recoveries from ED on defaulted loans, defaults effectively function similarly to prepayments. Thus, S&P expects net losses to be minimal. This class has faced liquidity constraints, as the loans have not amortized at a pace that allows for the class to be repaid by its legal final maturity date. The trust has agreements in place that provide Navient Corp. with the option to purchase collateral out of the trust or provide a subordinated loan to the trust on the legal final maturity date. Neither option was exercised, and the class A-4 notes were not repaid on their legal final maturity date of Jan. 25, 2022. Because net losses are expected to be minimal and the class is overcollateralized, the bond is expected to be repaid subsequent to the legal final maturity date. TRK 2022-INV1: S&P Assigns Prelim B(sf) Rating on Class B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TRK 2022-INV1 Trust's mortgage pass-through certificates series 2022-INV1. The certificate issuance is an RMBS transaction backed by first-lien, fixed-rate, adjustable-rate, fully amortizing, and interest-only residential mortgage loans secured by single-family residences, planned unit developments, two- to four-family homes, condominiums, townhouses, and five- to 10-unit residential properties to both prime and nonprime borrowers. The pool consists of 1,254 business-purpose investor loans (including 109 cross-collateralized loans) backed by 1,722 properties that are exempt from qualified mortgage and ability-to-repay rules. The preliminary ratings are based on information as of Jan. 25, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator and mortgage originators; and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool. Preliminary Ratings Assigned(i) TRK 2022-INV1 Trust Class A-1, $237,085,000: AAA (sf) Class A-2, $27,615,000: AA (sf) Class A-3, $32,701,000: A (sf) Class M-1, $20,711,000: BBB (sf) Class B-1, $17,441,000: BB (sf) Class B-2, $13,444,000: B (sf) Class B-3, 14,352,510: NR Class A-IO-S, notional(ii) NR Class XS, notional(ii) NR Class P, $100: NR Class R, not applicable: NR (i)The collateral and structural information in this report reflect the term sheet dated Jan. 21, 2022. The preliminary ratings address the ultimate payment of principal, interest, and interest carryover amounts. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. WELLS FARGO 2017-RB1: DBRS Confirms B Rating on 3 Tranches ---------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2017-RB1 issued by Wells Fargo Commercial Mortgage Trust 2017-RB1 as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E-1 at BB (sf) -- Class E at BB (low) (sf) -- Class E-2 at BB (low) (sf) -- Class F-1 at B (high) (sf) -- Class EF at B (sf) -- Class F at B (sf) -- Class F-2 at B (sf) -- Class EFG at B (low) (sf) -- Class G at B (low) (sf) -- Class G-1 at B (low) (sf) -- Class G-2 at B (low) (sf) Negative trends were maintained for the four lowest-rated certificates in Classes G-1, G-2, G, and EFG because of increased risks for a top 10 loan currently in special servicing, as further described below. All other trends are Stable. In addition, DBRS Morningstar discontinued the rating on Class A-3 as the class repaid with the November 2021 remittance. The rating confirmations reflect the overall stable performance of the transaction since the 2017 issuance, when the pool had 37 loans and a balance of $571.1 million. As of the December 2021 remittance, there has been collateral reduction of just greater than 10%, with two loans repaid since issuance and three loans, representing 3.4% of the pool, fully defeased. There have been performance declines for some loans that have resulted in adds to the servicer's watchlist, or in the case of the Anaheim Marriott Suites (Prospective ID#10, 4.2% of the pool balance), a transfer to special servicing. The Anaheim Marriott Suites loan is secured by a hotel located near Disneyland and has been in default since Q2 2020. The servicer's updates regarding the status of the loan workout have been minimal, but it appears discussions surrounding a loan modification stalled sometime in early 2021 and the servicer is reportedly dual-tracking foreclosure options while continuing discussions with the borrower and a third-party consultant engaged by the borrower. An updated appraisal was obtained in both 2020 and 2021 that showed value just outside the pari passu loan balance, but at approximately 70% of the issuance valuation. Given the extended delinquency and value decline from issuance, DBRS Morningstar believes a relatively moderate loss could be realized at resolution, driving the Negative trends for the four lowest-rated classes. For additional information on this loan, please see the loan commentary on the DBRS Viewpoint platform, for which information is provided below. There are eight loans on the servicer's watchlist, representing approximately 25% of the current pool balance, including five loans in the top 15. In general, the most noteworthy of the watchlisted loans is the 340 Bryant (Prospectus ID#17, 2.6% of the pool), which is secured by an office property in San Francisco that appears to be largely or even fully vacant. The largest tenant is WeWork, with about 75% of the space on lease that runs through 2029. WeWork has not been in occupancy of its space since sometime in late 2020 and last paid rent in December of the same year. The servicer has stated a termination agreement is in negotiation between the borrower and WeWork, but terms have not been provided to date. The only other tenant in place has a lease expiring in early 2022 and that space appears to be marketed for lease by JLL based on a December 2021 online leasing flyer that showed the space as immediately available. Despite the lack of rent payments from WeWork, the loan has remained current and, to date, the servicer has not reported a relief request from the borrower. At issuance, DBRS Morningstar shadow-rated one loan investment grade, Merrill Lynch Drive (Prospectus ID#13, 3.6% of the pool). With this review, DBRS Morningstar confirms the performance of the loan remains in line with its respective shadow ratings. Notes: All figures are in U.S dollars otherwise noted. [*] Moody's Hikes Ratings on $890.3MM of US RMBS Issued 2005-2007 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 22 bonds from 11 US residential mortgage backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A List of the Affected Credit Ratings is available at https://bit.ly/3tVh4gk Complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2005-10 Cl. AF-5, Upgraded to A3 (sf); previously on Sep 11, 2019 Upgraded to Baa2 (sf) Cl. AF-6, Upgraded to A2 (sf); previously on Sep 11, 2019 Upgraded to Baa1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-23 Cl. 1-A, Upgraded to B3 (sf); previously on Jun 26, 2017 Upgraded to Caa2 (sf) Cl. 2-A-4, Upgraded to B2 (sf); previously on Oct 25, 2019 Upgraded to Caa1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-26 Cl. 1-A, Upgraded to Caa2 (sf); previously on Oct 17, 2016 Confirmed at Caa3 (sf) Cl. 2-A-4, Upgraded to Ba2 (sf); previously on Oct 10, 2017 Upgraded to B1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-BC4 Cl. 2-A-3, Upgraded to Aa3 (sf); previously on Oct 25, 2019 Upgraded to A2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-10 Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Oct 25, 2019 Upgraded to Caa2 (sf) Cl. 2-A-4, Upgraded to B1 (sf); previously on Oct 25, 2019 Upgraded to B3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-12 Cl. 1-A-1, Upgraded to Ba2 (sf); previously on Nov 22, 2016 Upgraded to B1 (sf) Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Nov 22, 2016 Upgraded to Ca (sf) Issuer: Soundview Home Loan Trust 2006-EQ1 Cl. A-3, Upgraded to Baa1 (sf); previously on Jul 5, 2017 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Baa2 (sf); previously on Dec 17, 2018 Upgraded to Ba1 (sf) Issuer: Soundview Home Loan Trust 2006-OPT5 Cl. I-A-1, Upgraded to Ba3 (sf); previously on Mar 10, 2016 Upgraded to B2 (sf) Cl. II-A-3, Upgraded to Ba3 (sf); previously on Feb 8, 2017 Upgraded to B2 (sf) Cl. II-A-4, Upgraded to B1 (sf); previously on Feb 8, 2017 Upgraded to B3 (sf) Issuer: Soundview Home Loan Trust 2007-1 Cl. I-A-1, Upgraded to Baa3 (sf); previously on Dec 17, 2018 Upgraded to Ba2 (sf) Cl. II-A-4, Upgraded to A3 (sf); previously on Dec 17, 2018 Upgraded to Baa2 (sf) Issuer: Structured Asset Securities Corp Trust 2006-AM1 Cl. A1, Upgraded to A2 (sf); previously on Aug 8, 2017 Upgraded to Baa1 (sf) Cl. A5, Upgraded to Baa1 (sf); previously on Aug 1, 2019 Upgraded to Baa3 (sf) Issuer: Structured Asset Securities Corp Trust 2006-NC1 Cl. A1, Upgraded to Ba3 (sf); previously on Oct 25, 2019 Upgraded to B2 (sf) Cl. A7, Upgraded to Ba3 (sf); previously on Oct 25, 2019 Upgraded to B2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment deferrals since the start of pandemic, which could result in higher realized losses. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. In cases where loan level data is not available, Moody's assumed that the proportion of borrowers enrolled in payment relief programs would be equal to levels observed in transactions of comparable asset quality. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 12% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was US RMBS Surveillance Methodology published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. [*] S&P Takes Various Actions on 76 Classes from 14 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 76 ratings from 14 U.S. RMBS transactions issued between 2003 and 2006. The review yielded six upgrades, 59 affirmations, and 11 withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3GP92sW Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics, and their potential effects on certain classes." Some of these considerations may include: -- Factors related to the COVID-19 pandemic, -- Collateral performance or delinquency trends, -- An increase or decrease in available credit support, -- Available subordination and/or overcollateralization, -- Expected duration, -- Historical and/or outstanding missed interest payments/interest shortfalls, -- A small loan count, and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes. Please see the ratings list for the specific rationales associated with each of the classes with rating transitions. "The ratings affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "We withdrew our rating on 11 classes from two transactions due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." [*] S&P Takes Various Actions on 80 Classes from 10 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 80 ratings from 10 U.S. RMBS transactions issued between 2002 and 2007. The review yielded three upgrades, four downgrades, 64 affirmations, and nine withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/34c63fE Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes." Some of these considerations may include: -- Factors related to the COVID-19 pandemic; -- Collateral performance or delinquency trends; -- Increase or decrease in available credit support; -- Expected duration; -- Historical and/or outstanding missed interest payments/interest shortfalls; -- Small loan count; and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes. "The ratings affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "We withdrew our rating on nine classes from two transactions due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* 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. 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