/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220417.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, April 17, 2022, Vol. 26, No. 106 Headlines AL GCX: S&P Assigns 'B+' Issuer Credit Rating, Outlook Stable ALESCO PREFERRED XIII: Fitch Withdraws Rating on 7 Debt Classes ANTARES 2018-2: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes ARES LXV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes AVIS BUDGET 2022-1: Moody's Assigns Ba2 Rating to Class D Notes BAIN CAPITAL 2022-2: Moody's Assigns (P)Ba3 Rating to Class E Notes BALLYROCK CLO 19: S&P Assigns BB- (sf) Rating on Class D Notes BANK 2017-BNK7: Fitch Affirms B- Rating on 2 Tranches BBCMS MORTGAGE 2022-C15: Fitch Gives Final B- Rating to G-RR Certs BENCHMARK 2022-B34: Fitch Gives Final B- Rating to 2 Tranches CASTLELAKE AIRCRAFT 2021-1: Moody's Cuts Cl. B Notes Rating to Ba1 CD MORTGAGE 2016-CD1: Fitch Lowers Rating on 2 Tranches to 'CCC' CITIGROUP COMMERCIAL 2016-GC36: Fitch Cuts Class F Certs to 'CC' COLT 2022-4: Fitch to Rate Class B-2 Certs 'B(EXP)' CREDIT SUISSE 2016-C6: Fitch Affirms CCC Rating on 2 Tranches CVS CREDIT: Moody's Lowers Rating on Series A-2 Certs to B2 DBJPM 2016-SFC: S&P Lowers Class D Certs Rating to 'B (sf)' DRYDEN 97: S&P Assigns BB- (sf) Rating on Class E Notes ELLINGTON FINANCIAL 2022-2: Fitch Gives B(EXP) Rating to B-2 Debt FANNIE MAE 2022-R04: S&P Assigns BB- (sf) Rating on Cl. 1B-1 Notes FREDDIE MAC 2022-DNA3: S&P Assigns Prelim B+ Rating on B-1I Notes GCAT TRUST 2022-INV2: Moody's Assigns (P)B2 Rating to Cl. B-5 Debt GS MORTGAGE 2022-INV1: Moody's Assigns B3 Rating to Cl. B-5 Debt HILTON GRAND 2022-1D: Moody's Assigns (P)Ba1 Rating to Cl. D Notes HILTON GRAND 2022-1D: S&P Assigns Prelim BB- Rating on Cl. D Notes HOME RE 2022-1: Moody's Assigns (P)B2 Rating to Cl. B-1 Notes IMPERIAL FUND 2022-NQM3: Fitch Gives B-(EXP) Rating to B-2 Debt JP MORGAN 2022-LTV2: Fitch Gives B-(EXP) Rating to Class B-5 Debt JPMCC COMMERCIAL 2011-C5: Fitch Affirms C Rating on Class G Certs KKR CLO 38: Moody's Assigns (P)Ba3 Rating to $16MM Class E Notes MFA 2022-INV1: S&P Assigns B+ (sf) Rating on Class B-2 Certs MORGAN STANLEY 2012-C6: Moody's Lowers Rating on Cl. E Certs to B1 MORGAN STANLEY 2022-16: Moody's Gives Ba3 Rating to $15MM E Notes MORGAN STANLEY 2022-INV1: Fitch Gives 'B-(EXP)' Rating to B-5 Debt MOUNTAIN VIEW X: S&P Raises Class E Notes Rating to 'BB+ (sf)' OCTAGON 58: S&P Assigns Prelim BB- (sf) Rating on Class E Notes OLYMPIC TOWER 2017-OT: Fitch Affirms BB- Rating on Class E Certs OPORTUN FUNDING XIV: DBRS Confirms BB(high) Rating on Class D Debt PEAKS CLO 2: Moody's Upgrades Rating on $11MM Cl. E-R Notes to B3 SLC STUDENT 2004-1: Fitch Affirms B- Rating on 2 Tranches UBS-BAMLL TRUST 2012-WRM: S&P Affirms CCC (sf) Rating on X-B Certs UNITED AIRLINES 2016-2: Fitch Affirms 'BB+' on Class B Certs WELLS FARGO 2022-2: Fitch Gives 'B+(EXP)' Rating to B-5 Certs WELLS FARGO 2022-2: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs WOODMONT 2018-4: S&P Assigns BB- (sf) Rating on Class E-R Notes [*] S&P Takes Various Actions on 468 Classes from 20 US RMBS Deals ********* AL GCX: S&P Assigns 'B+' Issuer Credit Rating, Outlook Stable ------------------------------------------------------------- S&P Global Ratings assigns 'B+' issuer-credit rating to AL GCX Holdings LLC and a 'B+' issue-level rating and '3' recovery rating to its senior secured term loan B. The '3' recovery rating on the term loan indicates its expectation for meaningful (50%-70%; rounded estimate: 50%) recovery in the event of a payment default. The stable outlook on AL GCX reflects S&P's expectation that the company will use distributions from GCX Pipeline to reduce its debt balance via excess cash sweeps such that its leverage will trend toward 7x in 2023. S&P's 'B+' issuer credit rating on AL GCX reflects the difference in credit quality relative to that of GCX Pipeline. AL GCX relies solely on distributions from GCX Pipeline to service its term loan due 2029 because it does not have any other substantive assets. Therefore, S&P rates AL GCX under its noncontrolling equity interest (NCEI) criteria. As such, S&P's view of AL GCX's credit profile incorporates its financial ratios, GCX Pipelines' cash flow stability, the company's ability to influence GCX Pipeline's financial policy, and its ability to liquidate its investment in GCX Pipeline to repay its $630 million senior secured term loan. S&P expects the company to receive steady distributions from GCX Pipeline LLC over the life of the term loan. The asset-level cash flows are supported by the significant scale of the GCX Pipeline system, its access to the Permian basin, and its robust credit profile underpinned by its 100% take-or-pay revenue commitments. Investment-grade or near investment-grade counterparties make up the majority of GCX Pipelines counterparties, with the weighted-average counterparty credit rating at 'BBB', which helps mitigate counterparty risk. In addition, the existing contracts are long-term, extending past the maturity of the term loan. Stretching 450 miles and supporting 2.02 billion cubic feet per day (Bcf/d) of transport capacity, S&P views the GCX pipeline as a critical infrastructure providing takeaway capacity from the Midland and Delaware regions in the Permian toward Gulf Coast markets. These characteristics support our positive cash flow assessment. AL GCX has substantial governance rights over GCX Pipeline. GCX Pipeline is required to distribute all its distributable cash flow to its owners--Kinder Morgan, DCP Midstream, Kinetik Holdings, and AL GCX Holdings LLC--on a monthly basis. AL GCX holds a controlling vote with respect to any actions that require supermajority approval and may influence the level of available cash distributions, due to its "Initial Member" status; this status provides AL GCX with a blocking vote in a supermajority situation. That being said, in S&P's view, there is not a sufficient track record of stable or growing distributions through various industry cycles from the pipeline, which limits our assessment of corporate governance and financial policy at neutral. S&P said, "We expect AL GCX's debt to EBITDA to be above 8x in 2022 before declining to about 7x in 2023 supported by its 75% excess cash sweep and steady distributions from GCX. "The term loan has an excess cash flow provision that requires the company to sweep 75% of excess cash flow against the term loan balance if total net leverage is above 5x. At the same time, we project its EBITDA interest coverage ratio to remain below 3x in 2022 and 2023. This results in a negative assessment of its financial metrics. "Our view of AL GCX's ability to liquidate its investment in GCX Pipeline is negative because of the company's private ownership. "The stable outlook reflects our expectation that AL GCX will receive stable and steady cash flows from its highly contracted investee company, Gulf Coast Express Pipeline LLC. We expect the company to use the distributions to reduce AL GCX's debt balance via excess cash sweeps and that debt to EBITDA will be above 8x in 2022, trending toward 7x in 2023. "We could take a negative rating action if we expected AL GCX to maintain debt to EBITDA above 7.5x, which could happen due to a lower-than-anticipated excess cash sweep or a decline in distributions from Gulf Coast Express Pipeline. "Although unlikely in the near term, we could take a positive rating action on AL GCX if the company maintained interest coverage above 3x while reducing the term loan balance via mandatory amortization and excess cash sweep and our view of GCX's credit quality were unchanged." ESG credit indicators: E-3, S-2, G-2 S&P said, "Environmental factors are a moderately negative consideration in our credit rating analysis of AL GCX Holdings LLC. AL GCX holds a 25% noncontrolling interest in GCX Pipeline LLC, a 450-mile Permian natural gas pipeline. Natural gas currently provides about 35% of power generation in the U.S. However, GCX Pipeline LLC is susceptible to longer-term volume declines from producers as a result of reduced demand for hydrocarbons, reduced drilling activity, and the transition to renewable energy source. Although GCX is a relatively new pipeline and does not have a track record of material operational issues, other direct environmental risks relate to potential gas leakage and damages to the environment." ALESCO PREFERRED XIII: Fitch Withdraws Rating on 7 Debt Classes --------------------------------------------------------------- Fitch Ratings has affirmed the ratings on 36 classes, upgraded 22 classes and assigned Rating Outlooks to six classes from nine collateralized debt obligations (CDOs). Fitch has also removed 20 notes from Under Criteria Observation (UCO) and has withdrawn 55 classes from eight CDOs. DEBT RATING PRIOR ---- ------ ----- ALESCO Preferred Funding XIII, Ltd./Inc. A-1 014495AB1 LT AAAsf Upgrade AAsf A-1 014495AB1 LT WDsf Withdrawn AAAsf A-2 014495AC9 LT A+sf Upgrade BBBsf A-2 014495AC9 LT WDsf Withdrawn A+sf B 014495AD7 LT B+sf Upgrade CCCsf B 014495AD7 LT WDsf Withdrawn B+sf C-1 014495AE5 LT Csf Affirmed Csf C-1 014495AE5 LT WDsf Withdrawn Csf C-2 014495AF2 LT Csf Affirmed Csf C-2 014495AF2 LT WDsf Withdrawn Csf D-1 014495AG0 LT Csf Affirmed Csf D-1 014495AG0 LT WDsf Withdrawn Csf D-2 014495AH8 LT Csf Affirmed Csf D-2 014495AH8 LT WDsf Withdrawn Csf Trapeza CDO IX, Ltd./Inc. A-1 89413AAA9 LT AAsf Affirmed AAsf A-1 89413AAA9 LT WDsf Withdrawn AAsf A-2 89413AAB7 LT AAsf Upgrade Asf A-2 89413AAB7 LT WDsf Withdrawn AAsf A-3 89413AAC5 LT A+sf Upgrade BBBsf A-3 89413AAC5 LT WDsf Withdrawn A+sf B-1 89413AAD3 LT B+sf Upgrade CCCsf B-1 89413AAD3 LT WDsf Withdrawn B+sf B-2 89413AAE1 LT B+sf Upgrade CCCsf B-2 89413AAE1 LT WDsf Withdrawn B+sf B-3 89413AAF8 LT B+sf Upgrade CCCsf B-3 89413AAF8 LT WDsf Withdrawn B+sf C 89413AAG6 LT Csf Affirmed Csf C 89413AAG6 LT WDsf Withdrawn Csf ALESCO Preferred Funding XI, Ltd./Inc. A-1 01450AAA8 LT AAAsf Upgrade AAsf A-1 01450AAA8 LT WDsf Withdrawn AAAsf A-1B 01450AAF7 LT AAAsf Upgrade AAsf A-1B 01450AAF7 LT WDsf Withdrawn AAAsf A-2 01450AAB6 LT A+sf Upgrade BBBsf A-2 01450AAB6 LT WDsf Withdrawn A+sf B 01450AAC4 LT BBB-sf Upgrade BBsf B 01450AAC4 LT WDsf Withdrawn BBB-sf C-1 01450AAD2 LT Csf Affirmed Csf C-1 01450AAD2 LT WDsf Withdrawn Csf C-2 01450AAE0 LT Csf Affirmed Csf C-2 01450AAE0 LT WDsf Withdrawn Csf C-3 01450AAH3 LT Csf Affirmed Csf C-3 01450AAH3 LT WDsf Withdrawn Csf D 01449YAA0 LT Csf Affirmed Csf D 01449YAA0 LT WDsf Withdrawn Csf InCapS Funding I. Ltd./Corp. B-1 453247AC2 LT BBsf Affirmed BBsf B-2 453247AD0 LT BBsf Affirmed BBsf C 453247AE8 LT CCCsf Affirmed CCCsf ALESCO Preferred Funding XIV, Ltd./Inc. A-1 014498AB5 LT A+sf Upgrade Asf A-1 014498AB5 LT WDsf Withdrawn A+sf A-2 014498AC3 LT BBB+sf Upgrade BBBsf A-2 014498AC3 LT WDsf Withdrawn BBB+sf B 014498AD1 LT CCCsf Affirmed CCCsf B 014498AD1 LT WDsf Withdrawn CCCsf C-1 014498AE9 LT Csf Affirmed Csf C-1 014498AE9 LT WDsf Withdrawn Csf C-2 014498AF6 LT Csf Affirmed Csf C-2 014498AF6 LT WDsf Withdrawn Csf C-3 014498AH2 LT Csf Affirmed Csf C-3 014498AH2 LT WDsf Withdrawn Csf D-1 014498AG4 LT Csf Affirmed Csf D-1 014498AG4 LT WDsf Withdrawn Csf D-2 014498AJ8 LT Csf Affirmed Csf D-2 014498AJ8 LT WDsf Withdrawn Csf ALESCO Preferred Funding V, Ltd./Inc. A-1 Floating 01448TAA2 LT AAsf Affirmed AAsf A-1 Floating 01448TAA2 LT WDsf Withdrawn AAsf A-2 Floating 01448TAB0 LT A+sf Affirmed A+sf A-2 Floating 01448TAB0 LT WDsf Withdrawn A+sf B Floating 01448TAC8 LT Asf Affirmed Asf B Floating 01448TAC8 LT WDsf Withdrawn Asf C-1 Floating 01448TAD6 LT CCsf Affirmed CCsf C-1 Floating 01448TAD6 LT WDsf Withdrawn CCsf C-2 Fixed 01448TAE4 LT CCsf Affirmed CCsf C-2 Fixed 01448TAE4 LT WDsf Withdrawn CCsf C-3 01448TAF1 LT CCsf Affirmed CCsf C-3 01448TAF1 LT WDsf Withdrawn CCsf D Floating 01448TAG9 LT Csf Affirmed Csf D Floating 01448TAG9 LT WDsf Withdrawn Csf ALESCO Preferred Funding X, Ltd./Inc. A-1 01449WAA4 LT AAAsf Upgrade AAsf A-1 01449WAA4 LT WDsf Withdrawn AAAsf A-2A 01449WAB2 LT A+sf Upgrade BBBsf A-2A 01449WAB2 LT WDsf Withdrawn A+sf A-2B 01449WAG1 LT A+sf Upgrade BBBsf A-2B 01449WAG1 LT WDsf Withdrawn A+sf B 01449WAC0 LT BBBsf Upgrade BBsf B 01449WAC0 LT WDsf Withdrawn BBBsf C-1 01449WAD8 LT Csf Affirmed Csf C-1 01449WAD8 LT WDsf Withdrawn Csf C-2 01449WAE6 LT Csf Affirmed Csf C-2 01449WAE6 LT WDsf Withdrawn Csf D-1 01449WAF3 LT Csf Affirmed Csf D-1 01449WAF3 LT WDsf Withdrawn Csf D-2 01449WAH9 LT Csf Affirmed Csf D-2 01449WAH9 LT WDsf Withdrawn Csf D-3 01449WAJ5 LT Csf Affirmed Csf D-3 01449WAJ5 LT WDsf Withdrawn Csf ALESCO Preferred Funding XII, Ltd./Inc. A-1 01450DAB0 LT AAAsf Upgrade AAsf A-1 01450DAB0 LT WDsf Withdrawn AAAsf A-2 01450DAC8 LT A+sf Upgrade BBBsf A-2 01450DAC8 LT WDsf Withdrawn A+sf B 01450DAD6 LT BB+sf Upgrade Bsf B 01450DAD6 LT WDsf Withdrawn BB+sf C-1 01450DAE4 LT Csf Affirmed Csf C-1 01450DAE4 LT WDsf Withdrawn Csf C-2 01450DAF1 LT Csf Affirmed Csf C-2 01450DAF1 LT WDsf Withdrawn Csf D 01450DAG9 LT Csf Affirmed Csf D 01450DAG9 LT WDsf Withdrawn Csf Regional Diversified Funding 2005-1 Ltd./Corp. A-2 Floating Rate LT AAsf Upgrade Asf Senior Note 75903AAC1 A-2 Floating Rate LT WDsf Withdrawn AAsf Senior Note 75903AAC1 B-1 Floating Rate LT Csf Affirmed Csf Senior Sub 75903AAD9 B-1 Floating Rate LT WDsf Withdrawn Csf Senior Sub 75903AAD9 B-2 Fixed Rate LT Csf Affirmed Csf Senior Sub 75903AAE7 B-2 Fixed Rate LT WDsf Withdrawn Csf Senior Sub 75903AAE7 TRANSACTION SUMMARY The CDOs are collateralized primarily by trust preferred securities (TruPS) issued by banks and insurance companies. Fitch is withdrawing the ratings of notes issued by eight CDOs for commercial reasons, as referenced in the report "Fitch Plans to Withdraw Ratings of 35 TruPS CDOs and 4 REIT TruPS CDOs," published on Feb. 10, 2022. KEY RATING DRIVERS Out of nine transactions, eight CDOs were last reviewed in 2021. All eight transactions experienced moderate deleveraging from collateral redemptions and/or excess spread, which led to the senior classes of notes receiving paydowns ranging from 3% to 35% of their last review note balances. This deleveraging in conjunction with the impact of Fitch's recently updated U.S. Trust Preferred CDOs Surveillance Rating Criteria (TruPS CDO Criteria) led to the upgrades. For all nine transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, improved. Since last review, one bank issuer cured in one CDO after having deferred interest for five years. One insurance issuer defaulted in one CDO; this issuer had deferred interest for five and half years. No new deferrals have been reported. The Stable Outlooks on 26 tranches in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with such classes' rating. The ratings of the class B-1, B-2 and C notes issued by InCaps Funding I, Ltd./Corp reflect a risk of interest shortfall due to the very concentrated nature of the portfolio, a high proportion of semi-annually paying assets, and the outstanding out-of-money swap. Class B-1 and B-2 notes are one notch higher than their model-implied rating (MIR) due to the current reserve account that can be utilized to make up for interest shortfalls; however, the notes' Rating Outlooks are revised to Negative from Stable to reflect the risk evaluated under the TruPS CDO Criteria. The rating for the class C notes is one notch lower than its MIR, due to their lower priority of payments. The rating for the class B notes in Alesco Preferred Funding XIV, Ltd./Inc. is one notch higher than its MIR, which was driven by the outcome of the sector-wide migration sensitivity analysis. The ratings for the class A-2 and B notes in Alesco V are one notch lower than their MIRs due to the transaction's outstanding interest rate swap. Fitch performed an additional sensitivity scenario, as referenced in the TruPS CDO Criteria, due to the presence of the out-of-money interest rate swap, to evaluate sensitivity of interest payments to potential prepayments from largest issuers. Fitch considered the rating of the issuer account bank in the ratings for the senior classes of notes in Alesco Preferred Funding V, Ltd./Inc. (Alesco V), Trapeza CDO IX, Ltd./Inc., and Regional Diversified Funding 2005-1 Ltd./Corp., due to the transaction documents not conforming to Fitch's Counterparty Criteria. These transactions are allowed to hold cash, and their transaction account bank (TAB) does not collateralize cash. Therefore, these classes of notes are capped at the same rating as that of their TAB. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. -- Fitch has revised global economic outlook forecasts as a result of the Ukraine War and related economic sanctions. Downside risks have increased and Fitch has published an assessment of a plausible, but worse-than-expected, adverse stagflation scenario on Fitch's major SF and CVB sub-sectors ('What a Stagflation Scenario Would Mean for Global Structured Finance'). Fitch expects the U.S. TruPS CDO sector in the assumed adverse scenario to experience virtually no impact on asset performance (2022 Adverse Macroeconomic Case Risk Heat Map), due to very limited direct exposure to Russia and Ukraine, and virtually no impact on ratings performance. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. 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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ANTARES 2018-2: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from Antares CLO 2018-2 Ltd./Antares CLO 2018-2 LLC, a CLO originally issued in October 2018 that is managed by Antares Capital Advisers LLC, a wholly owned subsidiary of Antares Capital LP. The preliminary ratings are based on information as of April 11, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 3, 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 A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes are expected to be issued at spread over three-month term secured overnight financing rate (SOFR), which will replace the spread over three-month LIBOR on the original notes. -- The stated maturity and reinvestment period will each be extended by 3.5 years. -- The weighted average life test will be extended to eight years from the refinancing date. 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 Antares CLO 2018-2 Ltd./Antares CLO 2018-2 LLC Class A-1-R, $696.00 million: AAA (sf) Class A-2-R, $36.00 million: AAA (sf) Class B-R, $102.00 million: AA (sf) Class C-R (deferrable), $90.00 million: A (sf) Class D-R (deferrable), $60.00 million: BBB- (sf) Class E-R (deferrable), $78.25 million: BB- (sf) Subordinated, $123.17 million: Not rated ARES LXV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ares LXV CLO Ltd./Ares LXV CLO LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Ares U.S. CLO Management III LLC-Series A. The preliminary ratings are based on information as of April 8, 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 collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Ares LXV CLO Ltd./Ares LXV CLO LLC Class A-1, $369.00 million: AAA (sf) Class A-2, $21.00 million: Not rated Class B, $66.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $36.00 million: BBB- (sf) Class E (deferrable), $21.90 million: BB- (sf) Subordinated notes, $55.00 million: Not rated AVIS BUDGET 2022-1: Moody's Assigns Ba2 Rating to Class D Notes --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The series 2022-1 notes have an expected final maturity of approximately 65 months. The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, B1 stable). ABCR is a subsidiary of Avis Budget Group, Inc. ABCR is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck. Moody's also announced today that the issuance of the Series 2022-1 Notes, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2022-1 Series 2022-1 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2022-1 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2022-1 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2022-1 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The definitive ratings on the series 2022-1 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the vastly improved rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. The total credit enhancement requirement for the series 2022-1 notes is dynamic, and determined as the sum of (1) 5.0% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by Moody's, (2) 8.5% for all other program vehicles, and (3) 13.1% minimum for non-program (risk) vehicles, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, C notes will also benefit from subordination of 28.0%, 18.5% and 12.0% of the outstanding balance of the series 2022-1 notes, respectively. Assumptions Moody's applied in its analysis of this transaction: Risk of sponsor default: Moody's assumed a 60% decrease in the probability of default (from Moody's idealized default probability tables) implied by the B1 rating of the sponsor. This decrease reflects Moody's view that, in the event of a bankruptcy, ABCR would be more likely to reorganize under a Chapter 11 bankruptcy filing, as it would likely realize more value as an ongoing business concern than it would if it were to liquidate its assets under a Chapter 7 filing. Furthermore, given the sponsor's competitive position within the industry and the size of its securitized fleet relative to its overall fleet, the sponsor is likely to affirm its lease payment obligations in order to retain the use of the fleet and stay in business. Moody's arrived at the 60% decrease assuming an 80% probability that Avis would reorganize under a Chapter 11 bankruptcy and a 75% probability (90% assumed previously) that Avis would affirm its lease payment obligations in the event of a Chapter 11 bankruptcy. Disposal value of the fleet: Moody's assumed the following haircuts to the net book value (NBV) of the vehicle fleet: Non-Program Haircut upon Sponsor Default (Car): Mean: 19% Non-Program Haircut upon Sponsor Default (Car): Standard Deviation: 6% Non-Program Haircut upon Sponsor Default (Truck): Mean: 35% Non-Program Haircut upon Sponsor Default (Truck): Standard Deviation: 8% Non-Program Haircut upon Sponsor Default (Tesla): Mean: 29% Non-Program Haircut upon Sponsor Default (Tesla): Standard Deviation: 10% Fixed Program Haircut upon Sponsor Default: 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Car): 20% Additional Fixed Non-Program Haircut upon Manufacturer Default (Truck): 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Tesla): 50% Fleet composition -- Moody's assumed the following fleet composition (based on NBV of vehicle fleet): Non-program Vehicles: 95% Program Vehicles: 5% Non-program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 25%, 2, A3 Baa Profile: 47%, 2, Baa3 Ba/B Profile: 25%, 1, Ba3; 3%, 1, Ba1 Program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 0%, 0, A3 Baa Profile: 50%, 1, Baa3 Ba/B Profile: 50%, 1, Ba3 Manufacturer Receivables: 0%; receivables distributed in the same proportion as the program fleet (Program Manufacturer Concentration and Manufacturer Receivables together should add up to 100%) Correlation: Moody's applied the following correlation assumptions: Correlation among the sponsor and the vehicle manufacturers: 10% Correlation among all vehicle manufacturers: 25% Default risk horizon -- Moody's assumed the following default risk horizon: Sponsor: 5 years Manufacturers: 1 year Moody's uses a fixed set of time horizon assumptions, regardless of the remaining term of the transaction, when considering sponsor and manufacturer default probabilities and the expected loss of the related liabilities, which simplifies Moody's modeling approach using a standard set of benchmark horizons. Detailed application of the assumptions are provided in the methodology. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations Methodology" published in October 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2022-1 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2022-1 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. BAIN CAPITAL 2022-2: Moody's Assigns (P)Ba3 Rating to Class E Notes ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by Bain Capital Credit CLO 2022-2, Limited (the "Issuer" or "Bain 2022-2"). Moody's rating action is as follows: US$378,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$21,000,000 Class E Secured Deferrable Floating Rate Notes due 2035, Assigned (P)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 CLO's portfolio and structure. Bain 2022-2 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, and up to 10% of the portfolio may consist of obligations that are not senior secured loans, 5% of which may consist of permitted non-loan assets and 2.5% of senior unsecured bonds. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. Bain Capital Credit U.S. CLO Manager II, LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2808 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.75% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. BALLYROCK CLO 19: S&P Assigns BB- (sf) Rating on Class D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ballyrock CLO 19 Ltd./Ballyrock CLO 19 LLC's floating-rate notes and loans. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Ballyrock Investment Advisors LLC and its affiliates. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Ballyrock CLO 19 Ltd./Ballyrock CLO 19 LLC Class A-1 notes, $222.0 million: AAA (sf) Class A-1 loans(i), $50.0 million: AAA (sf) Class A-2, $51.0 million: AA (sf) Class B (deferrable), $25.5 million: A (sf) Class C (deferrable), $25.5 million: BBB- (sf) Class D (deferrable), $17.0 million: BB- (sf) Subordinated notes, $42.0 million: Not rated (i)The class A-1 loans were issued on the closing date in the amount shown above. Thereafter, neither the class A-1 loans nor the class A-1 notes are exchangeable into either notes or loans, respectively. BANK 2017-BNK7: Fitch Affirms B- Rating on 2 Tranches ----------------------------------------------------- Fitch Ratings has affirmed all classes of BANK 2017-BNK7 Commercial Mortgage Pass-Through Certificates Series 2017-BNK7 and revised Rating Outlooks of six classes to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- BANK 2017-BNK7 A-2 06541XAB6 LT AAAsf Affirmed AAAsf A-3 06541XAC4 LT AAAsf Affirmed AAAsf A-4 06541XAE0 LT AAAsf Affirmed AAAsf A-5 06541XAF7 LT AAAsf Affirmed AAAsf A-S 06541XAJ9 LT AAAsf Affirmed AAAsf A-SB 06541XAD2 LT AAAsf Affirmed AAAsf B 06541XAK6 LT AA-sf Affirmed AA-sf C 06541XAL4 LT A-sf Affirmed A-sf D 06541XAV2 LT BBB-sf Affirmed BBB-sf E 06541XAX8 LT BB-sf Affirmed BB-sf F 06541XAZ3 LT B-sf Affirmed B-sf X-A 06541XAG5 LT AAAsf Affirmed AAAsf X-B 06541XAH3 LT AA-sf Affirmed AA-sf X-D 06541XAM2 LT BBB-sf Affirmed BBB-sf X-E 06541XAP5 LT BB-sf Affirmed BB-sf X-F 06541XAR1 LT B-sf Affirmed B-sf KEY RATING DRIVERS Improved Loss Expectations: The affirmations reflect stable collateral performance and loss expectations in-line with issuance. Three loans (11.5%) have been designated as Fitch Loans of Concern (FLOCs), one (1.0%) of which remains with special servicing. Fitch's current ratings incorporate a base case loss of 3.4%. The revision of Outlooks to Stable from Negative reflects better-than-expected performance of the retail and lodging assets in the pool and the slightly improved credit support of these classes. Fitch Loans of Concern/Specially Serviced Loan: The largest driver to losses is the Mall of Louisiana loan (5.4%), a 1.5 million sf super regional mall located in Baton Rouge, LA. The dark anchor Sears closed at the location in May 2021 and the borrower has not reported any leasing prospects. As of September 2021, the mall reported occupancy of 95% and NOI DSCR of 1.4x, compared to 89% and 2.0x at YE 2020. While NOI at the property has declined, inline sales have improved compared to YE 2020 and have exceeded levels from issuance. Per the TTM September 2021 sales report, comp inline sales (excluding Apple) for tenants less than 10,000 sf were $488 psf compared with $346 psf at YE 2020, $454 psf at YE 2019 and $461 psf at issuance. While the subject is located in a secondary market, it is considered the dominant mall with limited competition in the area supported by strong demographics and proximity to several demand drivers. Fitch modeled a loss of approximately 16% on the loan based on a 12.5% cap rate and a 10% stress to the YE 2020 NOI. The second largest driver to losses is the Redondo Beach Hotel Portfolio (5.1%), a two-property, 319-key limited-service/extended stay hotel portfolio located in Redondo Beach, CA. The performance of the hotels has declined in 2020 and 2021 as a result of the pandemic. As of YE 2021, the properties were performing at a 75% occupancy rate and a 0.75x NOI DSCR, compared with a 90% occupancy rate and 1.34x NOI DSCR at YE 2019. Prior to the pandemic, cash flow in 2019 had already been declining due to decreasing revenue while expenses were stable from issuance. Portfolio-level RevPAR, per the servicer-provided OSAR, was $98 at YE 2021 as compared to $95 at 3Q 2020, $139 at YE 2019, $142 at YE 2018 and Fitch's expectations of $141 at issuance. Fitch modeled a loss of approximately 13% on this loan, based on a cap rate of 11.50% and a 10% stress to the YE 2019 NOI. The only specially serviced loan in the pool is the HGI Memphis Wolfchase Galleria (1.0%). The loan transferred to special servicing in May 2020 for imminent monetary default. The borrower initially requested relief due to the pandemic but has withdrawn that request. Lender is pursuing rights and remedies, including foreclosure and receivership as talks with the borrower continue. Per the special servicer, If the loan is brought current, it would be returned to the Master Servicer. Fitch modeled a loss of approximately 12% reflecting the specially serviced loan status and hotel sector volatility. Minimal Change to Credit Enhancement: As of the March 2022 distribution date, the pool's aggregate principal balance was reduced by 3.1% to $1.18 billion from $1.21 billion at issuance. Twenty-two loans (50.9%) are full-term interest-only loans and 13 loans (23.3%) are partial-term interest-only, nine of which (17.1%) have begun amortizing. One loan (1.4%) is defeased and interest shortfalls are currently impacting class G. Investment-Grade Credit Opinion Loans: Four loans (22.0%) were assigned investment-grade credit opinions at issuance and all loans continue to perform in line with issuance expectations. The General Motors Building (9.4%), Westin Building Exchange (5.7%), The Churchill (4.1%) and Moffett Place B4 (2.7%) were assigned 'AAAsf*', 'AAAsf*', 'AAAsf*' and 'BBB-sf*' stand-alone credit opinions, respectively, at issuance. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming or the transfer of loans to special servicing; -- Downgrades to the senior classes, A-1, A-2, A-3, A-SB, A-4, A- 5, X-A, B, X-B and C are not likely due to the high credit enhancement (CE), but could occur if interest shortfalls occur or if loans of concern transfer to special servicing and realize significant losses; -- Downgrades to classes D and X-D would occur should overall pool losses increase, one or more large loans, have an outsized loss, which would erode CE, and/or properties affected by the pandemic fail to stabilize to pre-pandemic levels; -- Downgrades to classes E, X-E, F and X-F would occur should loss expectations increase due to an increase in specially serviced loans, the disposition of a specially serviced loan at a high loss, or a decline in the FLOCs' performance. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance; -- Upgrades of classes B, X-B and C may occur with significant improvement in CE or defeasance, but would be limited should the deal be susceptible to a concentration whereby the underperformance of FLOCs could cause this trend to reverse; -- An upgrade to classes D and X-D would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration; -- Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls; -- An upgrade to classes E, X-E, F and X-F is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or if there is sufficient CE, which would likely occur when class G is not eroded and the senior classes payoff. 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. 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. BBCMS MORTGAGE 2022-C15: Fitch Gives Final B- Rating to G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2022-C15, commercial mortgage pass-through certificates series 2022-C15 as follows: BBCMS 2022-C15 -- $12,900,000 class A-1 'AAAsf'; Outlook Stable; -- $75,600,000 class A-2 'AAAsf'; Outlook Stable; -- $87,800,000 class A-3 'AAAsf'; Outlook Stable; -- $125,000,000 class A-4 'AAAsf'; Outlook Stable; -- $372,300,000 class A-5 'AAAsf'; Outlook Stable; -- $23,405,000 class A-SB 'AAAsf'; Outlook Stable; -- $697,005,000a class X-A 'AAAsf'; Outlook Stable; -- $182,964,000a class X-B 'AA-sf'; Outlook Stable; -- $94,593,000 class A-S 'AAAsf'; Outlook Stable; -- $46,053,000 class B 'AA-sf'; Outlook Stable; -- $42,318,000 class C 'A-sf'; Outlook Stable; -- $47,296,000ab class X-D 'BBB-sf'; Outlook Stable; -- $22,404,000ab class X-F 'BB-sf'; Outlook Stable; -- $27,382,000b class D 'BBBsf'; Outlook Stable; -- $19,914,000b class E 'BBB-sf'; Outlook Stable; -- $22,404,000b class F 'BB-sf'; Outlook Stable; -- $9,957,000bc class G-RR 'B-f'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $36,095,861bc class H-RR; -- $27,124,997bd class RR Certificates; -- $8,454,915bd class RR Interest. (a) Notional amount and interest only. (b) Privately-place and pursuant to Rule 144a. (c) Represents the "eligible horizontal interest" estimate at 1.6% of all amounts collected on the mortgage loans (net of all expenses of the issuing entity) that are available for distribution to the certificates and the RR interest on each distribution date. (d) The class RR certificates and the RR interest collectively comprise the "VRR interest". The VRR interest represents the right to receive approximately 3.45% of all amounts collected on the mortgage loans (net of all expenses of the issuing entity) that are available for distribution to the certificates and the RR interest on each distribution date. Since Fitch published its expected ratings on March 17, 2022, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $497,300,000 in the aggregate, subject to a 5% variance. The final class balances for classes A-4 and A-5 are $125,000,000 and $372,300,000, respectively. Additionally, Fitch's rating on class X-B was updated to 'AA-sf', reflecting the rating of class B, the lowest class referenced tranche whose payable interest has an effect on the X-B interest-only payments. The classes above reflect the final ratings and deal structure. The expected ratings are based on information provided by the issuer as of April 12, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 49 fixed-rate loans secured by 154 commercial properties having an aggregate principal balance of $1,031,301,773 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., KeyBank National Association,Bank of Montreal, Starwood Mortgage Capital LLC, and Societe Generale Financial Corporation. The Master Servicer is expected to be Midland Loan Services and the Special Servicer is expected to be Rialto Capital Advisors, LLC. Fitch reviewed a comprehensive sampled of the transaction's collateral, including site inspections on 15.2% of the loans by balance, cash flow analysis of 90.8% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Leverage Slightly Higher than Recent Transactions: The pool has slightly higher leverage compared to recent multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 104.1% is higher than both the 2020 and 2021 averages of 99.6% and 103.3%, respectively. Additionally, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.21x is lower than the 2020 and 2021 averages of 1.32x and 1.38x, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 114.0% and 1.19x, respectively. This is higher leverage compared to the equivalent conduit 2021 LTV and DSCR averages of 110.5% and 1.30x, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 22.0% of the pool received an investment-grade credit opinion. 1888 Century Park East (6.3%), The Summit (6.3%), and 26 Broadway (3.3%), totaling 15.9% of the pool, each received a standalone credit opinion of 'BBB-sf*'. Coleman Highline Phase IV, representing 6.1% of the pool, received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is below the 2020 average of 24.5% and above the 2021 average of 13.3%. Very Low Amortization: Based on the scheduled balances at maturity, the pool will only pay down by 3.85%, which is below the 2020 and 2021 averages of 5.3% and 4.8%, respectively. Thirty-two loans (72.7% of the pool) are full interest-only loans, which is above the 2020 and 2021 averages of 67.7% and 70.5%, respectively. Eight loans (16.4%) are partial interest-only loans, which is below the 2020 and 2021 averages of 20.0% and 16.8%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up- and down-environments. The results below 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. Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB-sf' / 'B-sf'; -- 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'B+sf' / 'CCCsf' / 'CCCsf'; -- 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BB+sf' / 'B-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; -- 30% NCF Decline: 'BBB-sf' / 'BB+sf' / '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 to the same one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB-sf' / 'B-sf'; -- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / '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. BENCHMARK 2022-B34: Fitch Gives Final B- Rating to 2 Tranches ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2022-B34 Mortgage Trust commercial mortgage pass-through certificates, series 2022-B34, as follows: BMARK 2022-B34 -- $13,310,000 class A-1 'AAAsf'; Outlook Stable; -- $114,778,000 class A-2 'AAAsf'; Outlook Stable; -- $110,063,000 class A-3 'AAAsf'; Outlook Stable; -- $18,021,000 class A-SB 'AAAsf'; Outlook Stable; -- $352,191,000 (a) class A-5 'AAAsf'; Outlook Stable; -- $67,354,0000 class A-M 'AAAsf'; Outlook Stable; -- $675,717,000 (b) class X-A 'AAAsf'; Outlook Stable; -- $43,455,000 class B 'AA-sf'; Outlook Stable; -- $41,282,000 class C 'A-sf'; Outlook Stable; -- $27,159,000 class D 'BBBsf'; Outlook Stable; -- $17,381,000 class E 'BBB-sf'; Outlook Stable; -- $44,540,000 (b) class X-D 'BBB-sf'; Outlook Stable; -- $26,073,000 class F 'BB-sf'; Outlook Stable; -- $26,073,000 (b) class X-F 'BB-sf'; Outlook Stable; -- $8,691,000 class G 'B-sf'; Outlook Stable; -- $8,691,000 (b) class X-G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $29,332,336 (b) class X-H; -- $29,332,336 class H; -- $45,741,597 (c) class VRR. (a) Since Fitch published its expected ratings on March 24, 2022, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $352,191,000 in the aggregate, subject to a 5% variance. The final class balances for classes A-4 and A-5 were combined into one class, class A-5, which has a balance of $352,191,000. (b) Notional amount and interest only (IO). (c) Vertical risk retention interest. The ratings are based on information provided by the issuer as of Aprril 14, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 103 commercial properties having an aggregate principal balance of $914,831,933 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, JPMorgan Chase Bank, NA, Citi Real Estate Funding Inc. and Goldman Sachs Mortgage Company. The Master Servicer is KeyBank National Association, and the Special Servicer is LNR Partners, LLC. Fitch has withdrawn the expected ratings for classes A-4 and X-B because the classes were removed from the final deal structure. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Leverage Slightly Higher than Recent Transactions: The pool has slightly higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 104.9% is higher than both the 2020 and 2021 averages of 99.6% and 103.3%, respectively. Additionally, the pool's Fitch trust debt coverage ratio (DSCR) of 1.27x is lower than the 2020 and 2021 averages of 1.32x and 1.38x, respectively. Pool Concentration: The pool's 10 largest loans comprise 59.8% of the pool's cutoff balance, which is a higher concentration than both the 2020 and 2021 averages of 56.8% and 51.2%, respectively. The Loan Concentration Index (LCI) of 496 is higher than both the 2020 and 2021 averages of 440 and 381, respectively. Low Amortization: Based on the scheduled balances at maturity, the pool will pay down by 3.9%, which is below the 2020 and 2021 averages of 5.3% and 4.8%, respectively. Twenty-four loans (76.4% of the pool) are full interest-only loans, which is above the 2020 and 2021 averages of 67.7% and 70.5%, respectively. Seven loans (13.7%) are partial interest-only loans, which is below the 2020 and 2021 averages of 20.0% and 16.8%. Investment-Grade Credit Opinion Loans: One loan, 601 Lexington (9.3%) received an investment grade credit opinion of 'BBB-sf*'. This total credit opinion percentage of 9.3% is lower than the 13.3% average in 2021 and 24.5% average in 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' / 'B-sf'. -- 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB- sf' / 'CCCsf' / 'CCCsf'. -- 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BB+sf' / 'Bsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. -- 30% NCF Decline: 'BBB-sf' / 'BB+sf' / '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' / 'B-sf'. -- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A- sf' / 'BBB-sf' / 'BB+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. CASTLELAKE AIRCRAFT 2021-1: Moody's Cuts Cl. B Notes Rating to Ba1 ------------------------------------------------------------------ Moody's Investors Service has downgraded three notes issued by Castlelake Aircraft Structured Trust 2021-1 (Castlelake 2021-1), and the notes remain on review for possible further downgrade. The notes are backed by a portfolio of aircraft and their related initial and future leases. Castlelake Aviation Holdings (Ireland) Limited (Castlelake Aviation) is the servicer of the underlying assets and related leases in Castlelake 2021-1. Issuer: Castlelake Aircraft Structured Trust 2021-1 Class A Notes, Downgraded to A3 (sf) and Remains On Review for Possible Downgrade; previously on Mar 7, 2022 A2 (sf) Placed Under Review for Possible Downgrade Class B Notes, Downgraded to Ba1 (sf) and Remains On Review for Possible Downgrade; previously on Mar 7, 2022 Baa2 (sf) Placed Under Review for Possible Downgrade Class C Notes, Downgraded to Caa1 (sf) and Remains On Review for Possible Downgrade; previously on Mar 7, 2022 B2 (sf) Placed Under Review for Possible Downgrade RATINGS RATIONALE The rating actions are a result of an expected reduction in cash flows from early termination of leasing activities and a high degree of uncertainty related to insurance claims filed with respect to aircraft that were previously leased to Russian airlines. In addition, the transaction has been negatively impacted by continued deterioration of aircraft portfolio values since closing. The notes were originally placed on review for possible downgrade on March 7, 2022 as a result of expected reduction in ABS cash flow due to foregone lease income tied to early termination of leasing activities with respect to aircraft leased to Russian airlines. On March 14, 2022, the Russian government adopted a law allowing Russian airlines to register the planes already leased from foreign lessors in Russia, effectively increasing the uncertainty regarding the aircraft upkeep, and therefore the ability of the foreign lessor to re-lease the aircraft should they be able to repossess them, thereby forcing them to resort to insurance coverage to recoup aircraft losses. According to the servicer, and as required by the transaction documents, the transaction benefits from lessor contingency insurance policies. The servicer has submitted insurance claims in connection with the Russian leased aircraft. However, currently, there is a high degree of uncertainty around potential recoveries from insurance claims and the process will likely take an extended period of time. As a result, Moody's analyzed a number of scenarios with various levels of recoveries from insurance claims and how that impacts expected losses across the capital structure. In its analysis, Moody's considered the following sensitivity analysis: 1) various levels of expected recoveries, in the form of disposition proceeds, from insurance claims ranging from full loss to a full recovery based on Moody's assumed values and extended litigation periods that settle past the deal's expected final payment date 2) the global macro economic impact that a pro-longed Russia-Ukraine conflict could have on the remaining lessees and assets in the portfolio, 3) additional scenario analysis on aircraft valuations given future uncertainty and 4) potential future recoveries from one of the Russian leased aircraft that had a parent guarantee. Moody's also took into account transaction structural features such as overcollateralization, available security deposits, liquidity facilities, and reserve funds, as applicable, as well as the increased likelihood that certain notes could be locked out of receiving future payments due to the priority of payments waterfall upon occurrence of a rapid amortization trigger. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Securities Backed by Aircraft and Associated Leases" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings on the notes are (1) collateral cash flows that are significantly greater than Moody's initial expectations, including any proceeds from insurance and/or guarantee claims and (2) significant improvement in the credit quality of the airlines leasing the aircraft. Moody's updated expectations of collateral cash flows may be better than its original expectations because of lower frequency of lessee defaults, lower than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to stronger global air travel demand, higher than expected aircraft disposition proceeds and higher than expected EOL payments received at lease expiry that are used to prepay the notes. As the primary drivers of performance, positive changes in the condition of the global commercial aviation industry could also affect the ratings. Down Factors that could lead to a downgrade of the ratings on the notes are (1) collateral cash flows that are materially below Moody's initial expectations, including any proceeds from insurance and/or guarantee claims (2) a significant decline in the credit quality of the airlines leasing the aircraft. Other reasons for worse-than-expected transaction performance could include poor servicing of the assets, for example aircraft sales disadvantageous to noteholders, or error on the part of transaction parties. Moody's updated expectations of collateral cash flows may be worse than its original expectations because of a higher frequency of lessee defaults, greater than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to weaker global air travel demand, credit drift as the pool composition changes, lower than expected aircraft disposition proceeds, and lower than expected EOL payments received at lease expiry. Transaction performance also depends greatly on the strength of the global commercial aviation industry. CD MORTGAGE 2016-CD1: Fitch Lowers Rating on 2 Tranches to 'CCC' ---------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed the ratings of 10 classes of German America Capital Corp.'s CD Mortgage Securities Trust 2016-CD1 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- CD 2016-CD1 A-3 12514MBB0 LT AAAsf Affirmed AAAsf A-4 12514MBC8 LT AAAsf Affirmed AAAsf A-M 12514MBE4 LT AAAsf Affirmed AAAsf A-SB 12514MBA2 LT AAAsf Affirmed AAAsf B 12514MBF1 LT AA-sf Affirmed AA-sf C 12514MBG9 LT A-sf Affirmed A-sf D 12514MAL9 LT BBB-sf Affirmed BBB-sf E 12514MAN5 LT B-sf Downgrade BB-sf F 12514MAQ8 LT CCCsf Downgrade B-sf X-A 12514MBD6 LT AAAsf Affirmed AAAsf X-B 12514MAA3 LT A-sf Affirmed A-sf X-C 12514MAC9 LT BBB-sf Affirmed BBB-sf X-D 12514MAE5 LT B-sf Downgrade BB-sf X-E 12514MAG0 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased expected losses since the prior rating action primarily driven by loans in special servicing and underperforming outlet malls. Ten loans (40.1% of the pool ) are flagged as Fitch Loans of Concern (FLOCs), including four loans (8.6% of the pool) in special servicing. Fitch's current ratings incorporate a base case loss of 4.9%. The Negative Rating Outlooks on class E reflects losses that could reach 5.9% when factoring in potential outsized losses on the Birch Run Premium Outlets and Hilton Garden Inn San Leadro loans. Additionally, Fitch remains concerned about the ultimate recovery value of 401 South State Street. The largest contributor to losses, 401 South State Street (2.4% of pool), is secured by a 487,000 sf of office space located in the CBD of Chicago, IL. The collateral consists of the 401 South State Street building (479,522 sf) and the 418 South Wabash Avenue building (7,500 sf). The subject is currently 100% vacant following Robert Morris College's (previously 75% of the NRA) departure prior to its June 2024 lease expiration. Per the special servicer, the borrower signed a short-term lease with Columbia College (1% of the NRA exp August 2022), who has now vacated their space. The loan was transferred to the special servicer in June 2020 for payment default. A receiver was appointed to the property in September 2020 and the special servicer is dual tracking foreclosure. Fitch's base case loss of 71% is based on the most recent appraisal which reflects a value psf of $53. The largest FLOC is the Westfield San Francisco Centre (10.0% of the pool), a 1,445,449-sf super regional mall located in San Francisco's Union Square neighborhood. Occupancy at the subject has declined to 72% as of September 2021, down from 87% at YE 2020. This change is primarily driven by two office tenants vacating at the respective lease expirations, Crunchyroll (9% NRA) and TrustArc (3.5%). The three largest tenants, San Francisco State University (15.8% NRA), Century Theatres (6.6% NRA), and Bespoke (5.1% NRA) all have lease expiration in December 2021. An updated rent roll and leasing updates for the tenants was requested, but not received. Collateral performance has continued its downward trend, posting an NOI DSCR of 1.58x in September 2021 compared to 1.77x at YE 2020, and 2.32x at YE 2019. Improved Credit Enhancement: One loan was repaid since the last rating action, contributing approximately $22.3 million in principal paydown to the trust after accounting for losses. As of the March 2022 distribution, the pool's aggregate balance has been reduced by 14.0% to $604.6 million from $703.2 million at issuance. Thirty of the original 32 loans remain outstanding and there are no scheduled maturities until 2025. Four loans representing 32.7% of the pool are full term interest-only. Alternative Loss Considerations: Fitch ran an additional sensitivity scenario, which assumed a potential outsized loss on Birch Run Premium Outlets (7.1% of the pool) and additional cash flow stresses on the Hilton Garden Inn San Leadro. The Birch Run Premium Outlets is located in Birch Run, MI approximately 85 miles north of Detroit. Fitch is concerned with near term occupancy; according to a June 2021 rent roll, occupancy remained at 73.5%, marginally up from 70.2% at YE 2020. An updated rent roll was requested, but not received. Rollover at the subject totals approximately 30.1% of NRA through YE 2022. On a trailing twelve basis, inline tenant sales as of June 2021 have rebounded to $382 psf, from $311 at YE 2020. Servicer reported NOI DSCR at the subject has decreased to 2.69x as of September 2021, trending downward from 2.95x at YE 2020, and 3.11x at YE 2019. In the base case analysis Fitch modeled a loss of 8%, utilizing a 12% cap rate and a 20% haircut to the year-end 2020 NOI due to the elevated levels of upcoming rollover and the potential for further declines in performance. Fitch's analysis also included an additional sensitivity which assumed a 15% loss to address ongoing concerns with the retail sector and refinance concerns. This outsized sensitivity loss implies a cap rate of approximately 15% on YE 2020 NOI. The loan is sponsored by Simon. Fitch also applied an additional stress to pre-pandemic cash flows of the Hilton Garden Inn San Leadro loan (3.2%) given significant pandemic-related 2020 NOI declines and lack of meaningful recovery in 2021. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from loans in special servicing, or declines in performance from FLOCs; -- Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur; -- Downgrades to classes C and D are possible should additional defaults occur; -- Additional Downgrades to classes E and F are possible should the performance of FLOCs decline further or fail to stabilize. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved performance coupled with pay down and/or defeasance; -- An upgrade to class B would occur with continued paydown and be limited as concentrations increase. Upgrades of classes C and D would only occur with significant improvement in credit enhancement (CE) and stabilization of the FLOCs; -- Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls; -- Upgrades to classes E and F are unlikely but could occur with substantial improvement in performance amongst the FLOCs and specially serviced loans or if the specially serviced loans are disposed of with better than expected recoveries. 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. 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. CITIGROUP COMMERCIAL 2016-GC36: Fitch Cuts Class F Certs to 'CC' ---------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed seven classes of Citigroup Commercial Mortgage Trust (CGCMT) 2016-GC36 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- CGCMT 2016-GC36 A-3 17324TAC3 LT AAAsf Affirmed AAAsf A-4 17324TAD1 LT AAAsf Affirmed AAAsf A-5 17324TAE9 LT AAAsf Affirmed AAAsf A-AB 17324TAF6 LT AAAsf Affirmed AAAsf A-S 17324TAJ8 LT AAsf Downgrade AAAsf B 17324TAK5 LT Asf Downgrade A+sf C 17324TAM1 LT BBBsf Downgrade A-sf D 17324TAN9 LT B-sf Affirmed B-sf E 17324TAQ2 LT CCCsf Affirmed CCCsf EC 17324TAL3 LT BBBsf Downgrade A-sf F 17324TAS8 LT CCsf Downgrade CCCsf X-A 17324TAG4 LT AAsf Downgrade AAAsf X-D 17324TAY5 LT B-sf Affirmed B-sf KEY RATING DRIVERS Greater Certainty of Losses: The downgrades reflect an increased certainty of losses for the pool due to the continued performance volatility, lack of stabilization and limited progress toward the ultimate workout of the specially serviced Glenbrook Square loan, as well as further performance deterioration on some of the larger Fitch Loans of Concern (FLOCs). There are 16 FLOCs (43.5%), including one specially serviced loan (8.8%). Fitch's current ratings incorporate a base case loss of 10.20%. The Negative Outlooks reflect losses that could reach 12.10% when factoring additional coronavirus-related stresses on three hotel loans and a potential outsized loss on the South Plains Mall loan. Regional Mall Exposure: The Glenbrook Square loan (8.8%) remains the largest contributor to overall loss expectations. The loan has been periodically brought current through the application of trapped cash throughout 2020 and 2021, and was 30 days delinquent as of March 2022. According to the special servicer, the borrower initially requested a transition of the property back to the noteholder, which is currently being evaluated along with a possible loan modification. However, no progress has been made on a viable workout and there are significant current and future capital expenditures that need to be addressed at the property. The loan, which is secured by a super-regional mall located in Fort Wayne, IN, transferred to special servicing in July 2020 for payment default. Collateral anchors include Macy's (24% of NRA leased through January 2027) and JCPenney (19%; May 2023). The collateral anchor Carson's (12.1%) and non-collateral anchor Sears both closed in 2018 and the Sears store was demolished. Collateral occupancy declined to 79.3% as of the most recently provided rent roll from August 2021, from 80.4% in December 2020 and 82.3% in March 2019. Comparable in-line sales for tenants occupying less than 10,000 sf were $497 psf as of TTM August 2021, compared with $384 psf at YE 2020, $436 psf at YE 2019, $415 psf as of TTM September 2018 and $414 psf at YE 2017. Fitch's base case loss of 63% considers a discount to the October 2021 appraisal value and implies a 24% cap rate to the TTM June 2020 NOI, which is the most recently reported cashflow for the loan. The next largest contributor to losses and largest increase in loss since the prior rating action is the South Plains Mall loan (2.8%), which is secured by a super-regional mall located in Lubbock, TX. The loan is sponsored by Pacific Premier Retail Trust LLC, a joint venture between The Macerich Company and a subsidiary of GIC Realty Private Limited. Fitch's base case loss of 26% incorporates a 15% cap rate and 5% haircut to YE 2020 NOI. Fitch also performed an additional sensitivity scenario that applied a potential outsized loss of 50% on the loan's current balance, which accounts for upcoming lease rollover and the continued vacancy of the non-collateral Sears anchor space; this sensitivity drove the Negative Outlooks. Anchors include JCPenney, Dillard's Women, Dillard's Men & Children and a non-collateral former Sears, which closed in late 2018. Servicer commentary indicates Dillard's was expected to switch to a month-to-month lease term upon expiration in January 2022; Fitch has an outstanding inquiry to the servicer for an update on the Dillard's leases. Both Dillard's stores remain open per the mall website. The borrower took control of the Sears space in July 2019 but there are no plans for redevelopment of the space at this time. The collateral also includes a vacant 40,000-sf (4% of collateral NRA; previously 16% of total income) junior anchor box previously occupied by Beall's that closed in August 2020. This space was temporarily backfilled by seasonal tenant Spirit Halloween between July and November 2021. Collateral occupancy was 93.6% as of September 2021, compared with 90.1% in December 2020 and 95.9% in March 2019; however, current collateral occupancy is expected to be 89.5% without Spirit Halloween. Comparable in-line sales for tenants less than 10,000 sf were reported at $545 psf as of TTM September 2021, compared with $418 psf at YE 2020, $502 psf as of TTM June 2019 and $461 psf as of TTM August 2018. Increased Credit Enhancement (CE): As of the March 2022 distribution date, the pool's principal balance has paid down by 7.7% to $1.07 billion from $1.16 billion at issuance. Defeasance has increased to 4.5% of the pool (six loans; $48 million) as of March 2022 from 4.3% of the pool (five loans; $46 million) at the prior rating action. Interest shortfalls of approximately $750,000 are currently affecting the non-rated class H. Seven loans (30%) are full term, interest only and the remaining 49 loans (70%) are amortizing. The transaction is expected to pay down by 10.3% based on scheduled loan maturity balances. Scheduled maturities include one loan (King of Prussia Hotel Portfolio; 3.2%) in December 2022, 27 loans (39.7%) in 2025 and 28 loans (57.1%) in 2026. Coronavirus Exposure: Loans secured by retail and hotel properties represent 26.5% (18 loans) and 11.2% (six loans) of the pool, respectively. Fitch applied an additional stress to the pre-pandemic cash flows for three hotel loans (8.9%) given significant pandemic-related 2020 NOI declines; these additional stresses, along with the potential outsized loss on the South Plains Mall loan, contributed to the Negative Outlooks. 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-3 through A-AB are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes A-S, X-A, B, C and EC are possible should expected losses for the pool increase significantly, all loans susceptible to the coronavirus pandemic suffer losses and both the Glenbrook Square and South Plains Mall loans experience higher than expected losses. -- Downgrades to classes D and X-D would occur should loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans default or transfer to special servicing, specially serviced loans dispose at higher losses than and/or the Glenbrook Square and South Plains Mall loans experience outsized losses. Further downgrades to classes E and F would occur as losses are realized and/or become more certain. -- Fitch has identified both a baseline and a worse-than expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the two regional mall loans and other FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, C and EC would likely occur with significant improvement in CE and/or defeasance and/or the stabilization of the Glenbrook Square and South Plains Mall loans, in addition to other properties affected by the coronavirus pandemic. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- Classes D, X-D, E and F are unlikely to be upgraded absent significant performance improvement on the South Plains Mall loan, other FLOCs and higher recoveries than expected on the Glenbrook Square loan. 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. 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. COLT 2022-4: Fitch to Rate Class B-2 Certs 'B(EXP)' --------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2022-4 Mortgage Loan Trust (COLT 2022-4). DEBT RATING ---- ------ COLT 2022-4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 722 loans with a total balance of approximately $335 million as of the cutoff date. Loans in the pool were originated by multiple originators and aggregated by Hudson Americas L.P. All loans, except one serviced by Northpointe, are currently serviced by Select Portfolio Servicing, Inc. (SPS). 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 8.7% below a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable 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 18.2% yoy nationally as of December 2021. Non-QM Credit Quality (Negative): The collateral consists of 722 loans, totaling $335 million and seasoned approximately five months in aggregate (calculated as the difference between origination date and cutoff date). The borrowers have a moderate credit profile — 727 model FICO and 44% model debt to income ratio (DTI) — and leverage — 77% sustainable loan to value ratio (sLTV) and 71.5% combined LTV (cLTV). The pool consists of 45.9% of loans where the borrower maintains a primary residence, while 49.6% comprise an investor property. Additionally, 50.4% are non-qualified mortgages (non-QM); and the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 26%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 87.8% of the loans in the pool were underwritten to less than full documentation, and 39% 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 (ATR Rule, or 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. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 661bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 497 DSCR product loans in the pool (69% by loan count). These loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. For DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Fitch's expected loss for these loans is 36% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 46% concentration. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. 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 and then the securities administrator 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 additional stress on the structure is a downside to this, as liquidity is limited in the event of large and extended delinquencies. COLT 2022-4 has a step-up coupon for class A-1. After April 2026, class A-1 pays the lesser of a 100-bp increase to the fixed A-1 coupon or the net weighted average coupon (WAC) rate. Fitch expects class A-1 to be capped by the net WAC. Additionally, after the step-up date, the unrated class B-3 interest allocation goes toward the class A-1 interest for as long as class A-1 is outstanding. This increases the P&I allocation for the A-1 class. Due to the limited difference between the A-1 coupon and the net WAC, Fitch expects this to be an immaterial increase. Excess Cash Flow (Neutral): The transaction benefits from limited excess cash flow to benefit 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 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 affected, 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 41.6% 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 41bps 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. 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. CREDIT SUISSE 2016-C6: Fitch Affirms CCC Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed all classes of Credit Suisse Commercial Mortgage Trust's CSAIL 2016-C6 Commercial Mortgage Trust Pass-Through Certificates. In addition, the Rating Outlooks on six classes were revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CSAIL 2016-C6 A-4 12636MAD0 LT AAAsf Affirmed AAAsf A-5 12636MAE8 LT AAAsf Affirmed AAAsf A-S 12636MAJ7 LT AAAsf Affirmed AAAsf A-SB 12636MAF5 LT AAAsf Affirmed AAAsf B 12636MAK4 LT AA-sf Affirmed AA-sf C 12636MAL2 LT A-sf Affirmed A-sf D 12636MAV0 LT BBB-sf Affirmed BBB-sf E 12636MAX6 LT B-sf Affirmed B-sf F 12636MAZ1 LT CCCsf Affirmed CCCsf X-A 12636MAG3 LT AAAsf Affirmed AAAsf X-B 12636MAH1 LT AA-sf Affirmed AA-sf X-E 12636MAP3 LT B-sf Affirmed B-sf X-F 12636MAR9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Improved Loss Expectations: Overall loss expectations for the pool have improved since Fitch's last rating action due to performance stabilization of properties affected by the pandemic and several previously specially serviced loans that have been brought current transferring back to the master servicer. There are currently no loans in special servicing. Ten loans (32%) are considered Fitch Loans of Concern (FLOCs) due to pandemic-related performance declines and/or upcoming lease rollover concerns. Fitch's current ratings incorporate a base case loss of 6.90%. The Negative Outlooks assume losses could reach 8.80% when factoring a potential outsized loss of 25% on the Quaker Bridge Mall loan. Regional Mall Exposure; Additional Sensitivity: Loss expectations have improved for the Quaker Bridge Mall loan (12.2% of the pool) since the last rating action, but it remains the largest contributor to overall pool loss expectations. The loan, which is secured by a 357,221-sf regional mall located in Lawrenceville, NJ, transferred to special servicing in November 2020 for payment default and the borrower requested payment deferral. The loan, sponsored by Simon Property Group, was brought current and returned to the master servicer in October 2021 without a loan modification. Occupancy as of September 2021 was 79%, compared with 78% as of YE 2020, 83% as of YE 2019 and 83% as of YE 2018. Several collateral inline tenants closed following their bankruptcy filings in 2020, including Justice, Sur la Table and Lane Bryant. In addition, between 2018 and 2021, the non-collateral Sears and Lord & Taylor both vacated the property. The servicer-reported NOI DSCR was 2.26x as of June 2021, compared with 2.33x as of YE 2020, 2.41x as of YE 2019 and 2.51x as of YE 2018. Fitch's base case loss of 13% reflects a 12% cap rate and a 10% haircut to the YE 2020 NOI due to declining sales, non-anchor closures, scheduled tenant rollover and exposure to struggling/bankrupt retailers. Fitch also performed a sensitivity analysis which applied an outsized loss of 25% to reflect refinance concerns, which contributed to maintaining the Negative Outlooks on classes E and X-E. The next largest contributor to loss is the West LA Office - 2730 Wilshire (4.3% of the pool), which is secured by a 58,369-sf office property located in Santa Monica, CA. The largest tenants include Schaffel Development Co. (16.7% of NRA; lease expiry in December 2024), Matrix Physical Therapy (6.9%; May 2027), Joseph Lebovic MD (4.9%; May 2023) and Brett Lent and Tricia Feist Dental Corp (4.7%; May 2023). There is significant upcoming rollover consisting of 12% of the NRA in 2022, 22% in 2023 and 23% in 2024. The property was 85% occupied as of September 2021 with average in-place rents of $59 psf, which is asking rents in the submarket of $60 psf. Fitch's base case loss of 29% reflects 8.50% cap rate and a 25% stress to the YE 2020 NOI to account for potential upcoming rollover. The Holiday Inn & Suites Ann Arbor loan (1.6% of the pool) is secured by a 107-key limited-service hotel located in Ann Arbor, MI, south of the University of Michigan campus and in downtown Ann Arbor. The most recent servicer reported NOI DSCR as of TTM June 2021 was 0.12x; the NOI DSCR was negative in 2020 and was 0.93x at YE 2019. Prior to the pandemic, the performance declines were due to the property undergoing a property improvement plan (PIP) which included renovations to the lobby and guestrooms which were completed in 2019. A recent Smith Travel Research report was requested of the servicer, but not received. The loan remains current. Fitch's base case loss of 56% reflects a 11.50% cap rate and a 10% stress to the YE 2019 NOI. Increased Credit Enhancement/Defeasance: As of the March 2022 distribution date, the pool's aggregate balance has been reduced by 29% to $544.9 million from $767.5 million at issuance. Four loans (4.7% of the pool) are defeased, which include an additional two loans (3.7%) since the last rating action. Five loans representing 29.6% of the pool are full-term interest-only, and 24 loans representing 50.6% of the pool are partial-term interest-only. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Further performance declines of the FLOCs vulnerable to the pandemic if they fail to stabilize/return to pre-pandemic levels and transfer to special servicing; -- Downgrades to classes A-4, A-5, A-S and A-SB, B and C are not likely due to the position in the capital structure and continued amortization, but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls occur; -- Downgrades to classes D and E would occur should overall pool losses increase, properties vulnerable to the coronavirus fail to return to pre-pandemic levels and/or the Quaker Bridge Mall loan experiences an outsized loss; -- A downgrade to class F would occur as losses are realized and/or with a greater certainty of losses. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. 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 to classes B and C would likely occur with significant improvement in credit enhancement (CE) and/or defeasance; however, adverse selection and increased concentrations, further underperformance of the FLOCs or higher than expected losses on the specially serviced loan could cause this trend to reverse; -- An upgrade of class D is considered unlikely and 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; -- An upgrade to classes E and F is not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the class. 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. 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. CVS CREDIT: Moody's Lowers Rating on Series A-2 Certs to B2 ----------------------------------------------------------- Moody's Investors Service has downgraded the rating on one outstanding class in CVS Credit Lease Backed Pass-Through Certificates, Series A-1 and Series A-2. Series A-2, Downgraded to B2; previously on Sep 16, 2021 Downgraded to Ba3 RATINGS RATIONALE The downgrade to B2 reflects the rising balloon default risk at the certificate's final distribution date in January 2023. The properties are subject to a fully bondable triple net lease guaranteed by CVS Health Corporation (Moody's senior unsecured debt rating Baa2, stable outlook) that expires in January 2023. The lease maturity coincides with the maturity date of the certificates and CVS's lease obligations are not sufficient to repay the A-2 Certificate principal in full. The mortgages securing the notes are not cross defaulted and the balloon payment is insured by residual value insurance policies provided by the residual value insurance policy provider, Arrowood Indemnity Company (formerly known as Royal Indemnity Company), which is unrated by Moody's. During the fourth quarter of 2021, CVS announced plans to close approximately 900 stores between 2022 and 2024 which may impact the ability of certain loans to payoff if CVS were to vacate the related property. Additionally, Moody's previously identified two non-defeased properties in which CVS is no longer in occupancy. The rating on the A-2 Certificate is lower than CVS's rating due to the size of the loan balance at maturity relative to the value of the collateral assuming the existing tenant is no longer in occupancy (the dark value). The value of the properties, significant loan amortization and presence of the residual insurance provider would likely lead to significant recovery of the balloon balance in the event of maturity default. The transaction was originally supported by 96 single-tenant, stand-alone retail buildings leased to CVS. Loans related to fifty properties have defeated and the notes are secured by US government securities. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The ratings of Credit Tenant Lease (CTL) deals are primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenants leasing the real estate collateral supporting the bonds. Other factors that are also considered are Moody's dark value of the collateral (value based on the property being vacant or dark), which is used to determine a recovery rate upon a loan's default and the rating of the residual insurance provider, if applicable. Factors that may cause an upgrade of the ratings include an upgrade in the rating of the corporate tenant or significant loan paydowns or amortization which results in a lower loan to dark value ratio. Factors that may cause a downgrade of the ratings include a downgrade in the rating of the corporate tenant. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in June 2020. DBJPM 2016-SFC: S&P Lowers Class D Certs Rating to 'B (sf)' ----------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from DBJPM 2016-SFC Mortgage Trust, a U.S. CMBS transaction. This U.S. CMBS transaction is backed by a portion of a fixed-rate, interest-only (IO) mortgage whole loan secured by the borrower's fee simple and leasehold interests in Westfield San Francisco Centre and San Francisco Emporium, a 1.45 million-sq.-ft. mixed-use (urban retail mall/class B office) property (of which 794,521 sq. ft. serves as collateral) in the Union Square neighborhood of San Francisco, Calif. Rating Actions S&P said, "The downgrades of classes A, B, C, and D reflect our reevaluation of the urban retail mall and class B office property that secures the sole loan in the transaction. Our analysis included a review of the most recent available financial performance data provided by the servicer and our assessment of the continued significant decline in the reported performance of the property since the onset of the COVID-19 pandemic. Occupancy fell to 74.9% in 2020 and 73.9% in 2021, from 91.3% in 2019. The reported net cash flow (NCF) dropped severely (by 24.5%) to $32.4 million in 2020 from $42.8 million in 2019, and by another 37.6%, to $20.2 million, in 2021. "Our property-level analysis also reflects the softened urban retail and office submarket fundamentals from lower demand and longer re-leasing time frames as more companies adopt a hybrid work arrangement, as well as considerably less foot traffic in densely populated areas from reduced tourism and office workers. We therefore revised our sustainable NCF downward (-25.4% from our last review in May 2021) to $31.8 million by utilizing a 70.0% occupancy rate and aligning our net operating income (NOI) closer to the 2020 servicer-reported figures. Using a 6.75% S&P Global Ratings capitalization rate, we arrived at an expected-case valuation of $470.6 million, or $629 per sq. ft.--a decline of 25.4% from our last review value of $630.7 million, and of 40.7% from the issuance value of $793.1 million. This yielded an S&P Global Ratings loan-to-value ratio of 118.6% on the whole loan balance. We will continue to monitor the property's performance and, if future developments differ meaningfully from this scenario, may take additional rating actions." Although the model-indicated ratings were lower than the revised rating levels for classes A, B, C, and D, S&P tempered its downgrades on these classes because we weighed certain qualitative considerations. These included: -- The property's desirable location in the South of Market (SoMa) district of San Francisco; -- The moderately high 2016 appraised land value of $280.0 million; -- The significant market value decline ($1.22 billion appraisal value in 2016) that would be needed before these classes experience principal losses; -- The liquidity support provided in the form of servicer advancing; and -- The relative position of the classes in the waterfall. The whole loan had a reported current payment status through its April 2022 debt service payments and the borrower did not request COVID-19 relief. The servicer, Wells Fargo Bank N.A., reported a debt service coverage of 1.05x in 2021, compared with 1.68x in 2020 and 2.23x in 2019. The loan sponsors are Westfield America Inc., an affiliate of Unibail-Rodamco-Westfield, and Forest City Realty Trust Inc., which was acquired by Brookfield Asset Management. Unibail-Rodamco-Westfield recently announced its intentions to sell its U.S. holdings and we will continue to monitor the developments of the sale and the impact, if any, on the property's performance. The downgrade of the class X-A IO certificates reflects S&P's criteria for rating IO securities. Under the criteria, the ratings on the IO securities would not be higher than the lowest-rated referenced class. The notional amount of class X-A references classes A and B. Property-Level Analysis The mixed-use property comprises 553,366 sq. ft. of collateral retail space (an additional 650,923 sq. ft. is noncollateral retail space) and 241,155 sq. ft. of class B office space. S&P's property-level analysis considered the sponsor's inability to re-tenant the vacant retail and office spaces in a timely manner. As of the Sept. 30, 2021, rent roll, the property was 71.3% leased (77.3% on the retail space and 58.8% on the office space), compared with our assumed 83.3% and 92.6% occupancy rate derived in its last review in May 2021 and at issuance, respectively. S&P considered the relatively stable servicer-reported NOI from 2008 to 2019, prior to the COVID-19 pandemic, at $42.6 million (in 2011) to $52.0 million (trailing-12-months ending March 2016). As discussed above, NOI declined sharply during the pandemic, to $34.1 million in 2020 from $44.6 million in 2019, and then to $21.9 million in 2021. The significant decline in 2021 was primarily due to decreased base rent and expense reimbursements income and higher operating expenses. According to the September 2021 rent roll, the five largest tenants include: San Francisco State University (16.8% of NRA; $40.98 per sq. ft. base rent; December 2021 expiry), Century Theatres (7.0%; $27.00 per sq. ft.; December 2021), Bespoke (4.9%; $29.85 per sq. ft.; December 2021), Zara (3l7%; $126.10 per sq. ft.; March 2027), and H&M (3.4%; $80.41 per sq. ft.; January 2022). In addition, the mall is anchored by two noncollateral anchors: Nordstrom (312,000 sq. ft., BB+/Stable) and Bloomingdale's (338,928 sq. ft.). Leases comprising 29.2% of NRA expired in 2021, 15.2% in 2022, 5.3% in 2023, 1.5% in 2024, and 2.6% in 2025. The majority of the 2021 rollover is from the aforementioned tenants. Specifically, while S&P did not get a leasing status update from the servicer on the expired tenant, San Francisco State University, several news media reports seemed to indicate that the tenant is exploring its options, including potentially relocating to other locations within the city. S&P said, "Our current analysis considered distressed retail tenants and expired and expiring tenants, which resulted in our assumed collateral occupancy rate of 70.0%. We derived our sustainable NCF of $31.8 million, which is 25.4% lower than our last review. We then divided our NCF by an S&P Global Ratings' capitalization rate of 6.75% (unchanged from the last review), arriving at our expected-case value of $480.6 million." Transaction Summary This is a stand-alone (single borrower) transaction backed by a portion of a 10-year fixed-rate, IO mortgage loan, secured by the borrower's fee simple and leasehold interests in Westfield San Francisco Centre and San Francisco Emporium, a 1.45 million-sq.-ft. mixed-use (urban retail mall/class B office) property (of which 794,521 sq. ft. serves as collateral) in San Francisco. The IO mortgage whole loan has an initial and current balance of $558.0 million, pays a per annum fixed interest rate of 3.394%, and matures on Aug. 1, 2026. The whole loan is split into 24 pari passu senior A and four junior B notes. The $306.9 million trust balance (according to the April 12, 2022, trustee remittance report) comprises eight pari passu senior A notes totaling $182.0 million and four subordinate B notes totaling $124.9 million. The remaining 16 pari passu senior A notes totaling $251.1 million are in five other U.S. CMBS transactions. The $433.1 million senior A notes are pari passu to each other and are senior to the $124.9 million subordinate B notes. To date, the trust has not incurred any principal losses. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic, as well as the importance and benefits of vaccines. While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, S&P's current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses, and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, S&P does not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, S&P continues to assess how well each issuer adapts to new waves in its geography or industry. Ratings Lowered DBJPM 2016-SFC Mortgage Trust Class A: to 'AA (sf)' from 'AAA (sf)' Class B: to 'A- (sf)' from 'AA- (sf)' Class C: to 'BB (sf)' from 'BBB (sf)' Class D: to 'B (sf)' from 'BB (sf)' Class X-A: to 'A- (sf)' from 'AA- (sf)' DRYDEN 97: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 97 CLO Ltd./Dryden 97 CLO LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by PGIM Inc. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Dryden 97 CLO Ltd./Dryden 97 CLO LLC Class A, $320 million: AAA (sf) Class B, $60 million: AA (sf) Class C (deferrable), $30 million: A (sf) Class D (deferrable), $30 million: BBB- (sf) Class E (deferrable), $20 million: BB- (sf) Subordinated notes, $50 million: Not rated ELLINGTON FINANCIAL 2022-2: Fitch Gives B(EXP) Rating to B-2 Debt ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Ellington Financial Mortgage Trust 2022-2. DEBT RATING ---- ------ EFMT 2022-2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by Ellington Financial Mortgage Trust 2022-2, Mortgage Pass-Through Certificates, Series 2022-2 (EFMT 2022-2), as indicated above. The certificates are supported by 998 loans with a balance of $425.65 million as of the cutoff date. This will be the fifth Ellington Financial Mortgage Trust transaction rated by Fitch. The certificates are secured mainly by non-qualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule (the Rule). Approximately 85% of the loans were originated by LendSure Mortgage Corporation, a joint venture between LendSure Financial Services, Inc. (LFS) and Ellington Financial, Inc. (EFC). Approximately 13% of the loans were originated by American Heritage Lending. The remaining 3% of the loans were originated by third-party originators. Of the pool, 52% of the loans are designated as non-QM, and the remaining 48% are investment properties not subject to ATR. Rushmore Loan Management Services LLC will be the servicer and Nationstar Mortgage LLC (Nationstar) will be the master servicer for the transaction. There is LIBOR exposure in this transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 0.36% of the pool comprises loans with an adjustable rate based on one-year LIBOR. The offered certificates are fixed rate and capped at the net weighted average coupon (WAC) or pay the net WAC. 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 8.9% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since 1Q22). Underlying fundamentals are not keeping pace with growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable 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 18.2% yoy nationally as of December 2021. Nonprime Credit Quality (Mixed): Collateral consists mainly of 30-year or 40-year fully amortizing loans, either fixed rate or adjustable rate, and 24% of the loans have an interest-only (IO) 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 740 weighted average (WA) FICO score and a 43.5% debt-to-income ratio, both as determined by Fitch, as well as moderate leverage, with an original combined loan-to-value ratio (LTV) of 71.2%, translating to a Fitch-calculated sustainable LTV of 78.4%. Fitch considered 47.6% of the pool to consist of loans where the borrower maintains a primary residence, while 45.7% comprises investor property and 6.7% represents second homes. Fitch considers loans to nonpermanent residents and foreign nationals as investor occupied, which explains why the investor property percentage is higher than the transaction documentation percentage of 45.6% and the second home percentage is lower than the transaction documentation percentage of 6.8%. In total, 89% of the loans were originated through a nonretail channel. Additionally, 52% of the loans are designated as non-QM, while the remaining 48% are exempt from QM status. The pool contains 72 loans over $1.0 million, with the largest loan at $3.06 million. Fitch determined that self-employed, non-debt service coverage ratio (DSCR) borrowers make up 43.9% of the pool; salaried non-DSCR borrowers make up 18.7%; and 37.5% comprises investor cash flow DSCR loans. About 45.7% of the pool comprises loans on investor properties (8.2% underwritten to borrowers' credit profiles and 37.5% comprising investor cash flow loans), and Fitch considered two loans (0.1%) in the pool to be tied to foreign nationals, which Fitch assumes as investor occupied. There are no second liens in the pool, and one loan has subordinate financing. Around 27% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (10.3%), followed by the Miami MSA (5.2%) and the San Francisco MSA (4.8%). The top three MSAs account for 20.3% of the pool. As a result, there was no adjustment for geographic concentration. All loans are current as of April 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 86.9% of the pool was underwritten to less than full documentation, and 40.1% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to underwriting and documentation of the borrower's ATR. Additionally, 5.6% comprises an asset depletion product, 0.0% is a CPA or P&L product and 37.5% 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. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes A-1, A-2 and A-3 until they are reduced to zero. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced after April 2026, since class A-1 has a step-up coupon feature that goes into effect after that date. To mitigate the impact of the step-up feature, class B-2 will have a stepdown coupon feature whereby the coupon will reduce to 0.0% after April 2026. 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 41.4% 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 0.47%. 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 2022-2 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk. Operational risk is well controlled for in EFMT 2022-2, 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-R04: 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-R04's 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 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 R&Ws 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-R04 Class 1A-H(i), $35,146,125,840: NR Class 1M-1, $415,412,000: A- (sf) Class 1M-1H(i), $21,864,838: NR Class 1M-2A(ii), $115,392,000: BBB+ (sf) Class 1M-AH(i), $6,073,788: NR Class 1M-2B(ii), $115,392,000: BBB (sf) Class 1M-BH(i), $6,073,788: NR Class 1M-2C(ii), $115,392,000: BBB- (sf) Class 1M-CH(i), $6,073,788: NR Class 1M-2(ii), $346,176,000: BBB- (sf) Class 1B-1A(ii), $95,198,000: BB+ (sf) Class 1B-AH(i), $5,011,275: NR Class 1B-1B(ii), $95,198,000: BB- (sf) Class 1B-BH(i), $5,011,275: NR Class 1B-1(ii), $190,395,000: BB- (sf) Class 1B-2(ii), $190,397,000: NR Class 1B-2H(i), $10,021,551: NR Class 1B-3H(i)(iii), $91,099,342: NR (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, 1M-2B, and 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 1B-1B notes, and vice versa. The holders of the class 1M-2A, 1M-2B, 1M-2C, 1B-1A, 1B-1B, and 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 plus 15%. NR--Not rated. RCR--Related combinable and recombinable notes. RCR Exchangeable Classes(i) Fannie Mae Connecticut Avenue Securities Trust 2022-R04 1M-2, $346,176,000: BBB- (sf) 1E-A1, $115,392,000: BBB+ (sf) 1A-I1, $115,392,000(ii): BBB+ (sf) 1E-A2, $115,392,000: BBB+ (sf) 1A-I2, $115,392,000(ii): BBB+ (sf) 1E-A3, $115,392,000: BBB+ (sf) 1A-I3, $115,392,000(ii): BBB+ (sf) 1E-A4, $115,392,000: BBB+ (sf) 1A-I4, $115,392,000(ii): BBB+ (sf) 1E-B1, $115,392,000: BBB (sf) 1B-I1, $115,392,000(ii): BBB (sf) 1E-B2, $115,392,000: BBB (sf) 1B-I2, $115,392,000(ii): BBB (sf) 1E-B3, $115,392,000: BBB (sf) 1B-I3, $115,392,000(ii): BBB (sf) 1E-B4, $115,392,000: BBB (sf) 1B-I4, $115,392,000(ii): BBB (sf) 1E-C1, $115,392,000: BBB- (sf) 1C-I1, $115,392,000(ii): BBB- (sf) 1E-C2, $115,392,000: BBB- (sf) 1C-I2, $115,392,000(ii): BBB- (sf) 1E-C3, $115,392,000: BBB- (sf) 1C-I3, $115,392,000(ii): BBB- (sf) 1E-C4, $115,392,000: BBB- (sf) 1C-I4, $115,392,000(ii): BBB- (sf) 1E-D1, $230,784,000: BBB (sf) 1E-D2, $230,784,000: BBB (sf) 1E-D3, $230,784,000: BBB (sf) 1E-D4, $230,784,000: BBB (sf) 1E-D5, $230,784,000: BBB (sf) 1E-F1, $230,784,000: BBB- (sf) 1E-F2, $230,784,000: BBB- (sf) 1E-F3, $230,784,000: BBB- (sf) 1E-F4, $230,784,000: BBB- (sf) 1E-F5, $230,784,000: BBB- (sf) 1-X1, $230,784,000(ii): BBB (sf) 1-X2, $230,784,000(ii): BBB (sf) 1-X3, $230,784,000(ii): BBB (sf) 1-X4, $230,784,000(ii): BBB (sf) 1-Y1, $230,784,000(ii): BBB- (sf) 1-Y2, $230,784,000(ii): BBB- (sf) 1-Y3, $230,784,000(ii): BBB- (sf) 1-Y4, $230,784,000(ii): BBB- (sf) 1-J1, $115,392,000: BBB- (sf) 1-J2, $115,392,000: BBB- (sf) 1-J3, $115,392,000: BBB- (sf) 1-J4, $115,392,000: BBB- (sf) 1-K1, $230,784,000: BBB- (sf) 1-K2, $230,784,000: BBB- (sf) 1-K3, $230,784,000: BBB- (sf) 1-K4, $230,784,000: BBB- (sf) 1M-2Y, $346,176,000: BBB- (sf) 1M-2X, $346,176,000(ii): BBB- (sf) 1B-1, $190,396,000: BB- (sf) 1B-1Y, $190,396,000: BB- (sf) 1B-1X, $190,396,000(ii): BB- (sf) 1B-2Y, $190,396,000: NR 1B-2X, $190,396,000(ii): NR (i)See the offering documents for more detail on possible combinations. (ii)Notional amount. RCR--Related combinable and recombinable notes. NR--Not rated. FREDDIE MAC 2022-DNA3: S&P Assigns Prelim B+ Rating on B-1I Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR REMIC Trust 2022-DNA3's notes. The note issuance is an RMBS transaction backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to mostly prime borrowers. The preliminary ratings are based on information as of April 7, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The real estate mortgage investment conduit (REMIC) structure that reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments, but, at the same time, pledges the support of Freddie Mac (a highly rated counterparty) to cover shortfalls, if any, on interest payments and to 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, in S&P's view, enhances the notes' strength; -- 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 the U.S. housing market and the additional structural provisions included to address corresponding forbearance and subsequent defaults. Preliminary Ratings Assigned Freddie Mac STACR REMIC Trust 2022-DNA3 Class A-H, $40,634,832,371: Not rated Class M-1A, $672,000,000: A (sf) Class M-1AH(i), $35,625,049: Not rated Class M-1B, $651,000,000: BBB (sf) Class M-1BH(i), $35,181,866: Not rated Class M-2, $305,000,000: BB (sf) Class M-2A, $152,500,000: BB+ (sf) Class M-2AH(i), $8,323,874: Not rated Class M-2B, $152,500,000: BB (sf) Class M-2BH(i), $8,323,874: Not rated Class M-2R, $305,000,000: BB (sf) Class M-2S, $305,000,000: BB (sf) Class M-2T, $305,000,000: BB (sf) Class M-2U, $305,000,000: BB (sf) Class M-2I, $305,000,000: BB (sf) Class M-2AR, $152,500,000: BB+ (sf) Class M-2AS, $152,500,000: BB+ (sf) Class M-2AT, $152,500,000: BB+ (sf) Class M-2AU, $152,500,000: BB+ (sf) Class M-2AI, $152,500,000: BB+ (sf) Class M-2BR, $152,500,000: BB (sf) Class M-2BS, $152,500,000: BB (sf) Class M-2BT, $152,500,000: BB (sf) Class M-2BU, $152,500,000: BB (sf) Class M-2BI, $152,500,000: BB (sf) Class M-2RB, $152,500,000: BB (sf) Class M-2SB, $152,500,000: BB (sf) Class M-2TB, $152,500,000: BB (sf) Class M-2UB, $152,500,000: BB (sf) Class B-1, $107,000,000: B+ (sf) Class B-1A, $53,500,000: B+ (sf) Class B-1AR, $53,500,000: B+ (sf) Class B-1AI, $53,500,000: B+ (sf) Class B-1AH(i), $53,715,917: Not rated Class B-1B, $53,500,000: B+ (sf) Class B-1BH(i), $53,715,917: Not rated Class B-1R, $107,000,000: B+ (sf) Class B-1S, $107,000,000: B+ (sf) Class B-1T, $107,000,000: B+ (sf) Class B-1U, $107,000,000: B+ (sf) Class B-1I, $107,000,000: B+ (sf) Class B-2, $107,000,000: Not rated Class B-2A, $53,500,000: Not rated Class B-2AR, $53,500,000: Not rated Class B-2AI, $53,500,000: Not rated Class B-2AH(i), $53,715,917: Not rated Class B-2B, $53,500,000: Not rated Class B-2BH(i), $53,715,917: Not rated Class B-2R, $107,000,000: Not rated Class B-2S, $107,000,000: Not rated Class B-2T, $107,000,000: Not rated Class B-2U, $107,000,000: Not rated Class B-2I, $107,000,000: Not rated Class B-3H(i), $107,215,917: Not rated (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. GCAT TRUST 2022-INV2: Moody's Assigns (P)B2 Rating to Cl. B-5 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 41 classes of residential mortgage-backed securities (RMBS) issued by GCAT 2022-INV2 Trust, and sponsored by Blue River Mortgage III LLC. The securities are backed by a pool of GSE-eligible (100%) residential mortgages originated by Arc Home LLC (50.3% by UPB), Home Point Financial Corporation (21.2% by UPB), Fairway Independent Mortgage Corporation (13.4% by UPB) and Cardinal Financial Company LP (11.4% by UPB). All other originators represent less than 10% by UPB. The securities are serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing ("Shellpoint"). The complete rating actions are as follows: Issuer: GCAT 2022-INV2 Trust 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-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)Aa1 (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-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-30, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B-X-2*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.47%, in a baseline scenario-median is 1.09% and reaches 9.61% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL 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 February 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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 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. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GS MORTGAGE 2022-INV1: Moody's Assigns B3 Rating to Cl. B-5 Debt ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 21 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2022-INV1, and sponsored by Goldman Sachs Mortgage Company. The securities are backed by a pool of prime jumbo (40.1% by UPB) and GSE-eligible (59.9% by UPB) residential mortgages aggregated by MaxEx, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2022-INV1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aa1 (sf) Cl. A-4, Definitive Rating Assigned Aa1 (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.88%, in a baseline scenario-median is 0.65% and reaches 5.23% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL 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 February, 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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 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. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. HILTON GRAND 2022-1D: Moody's Assigns (P)Ba1 Rating to Cl. D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the notes to be issued by Hilton Grand Vacations Trust 2022-1D (HGVT 2022-1D). HGVT 2022-1D is backed by a pool of timeshare loans originated by Diamond Resorts Corporation (DRC) or one of its affiliates. Diamond Resorts Financial Services, Inc. (DRFS) will service the transaction and Hilton Resorts Corporation (HRC) will administer the transaction. Both DRC and DRFS are indirect, wholly-owned subsidiaries of Hilton Grand Vacations Inc. (HGV). HGV is a global timeshare company engaged in developing, marketing, selling and managing timeshare resorts. Hilton Grand Vacations Borrower LLC (HGV Borrower), an indirect wholly-owned subsidiary of HGV, is the performance guarantor of DRFS. Computershare Trust Company, N.A. (Computershare) is the backup servicer. Issuer: Hilton Grand Vacations Trust 2022-1D Class A Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)A3 (sf) Class C Notes, Assigned (P)Baa1 (sf) Class D Notes, Assigned (P)Ba1 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the capital structure, and the experience and expertise of DRFS as servicer and the back-up servicing arrangement with Computershare. Moody's expected median cumulative net loss expectation for HGVT 2022-1D is 22.1% and the loss at a Aaa stress is 64%. Moody's based its cumulative gross and net loss expectations on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of DRFS to perform the servicing functions and Computershare to perform the backup servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes and Class D notes are expected to benefit from 60.05%, 27.70%, 19.10% and 6.35% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination. The notes may also benefit from excess spread. The social risk for this transaction is moderate, driven by customer relations risk. Some borrowers have legally challenged directly or via timeshare exit companies the ability to terminate their timeshare contract. Such challenges have resulted in legal holds that have increased borrower default rates and could lead to higher defaults to the extent there are no alternatives offered by timeshare companies to end the contracts or if the perceived value of the timeshare decreases. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Vacation Timeshare Loan Securitizations Methodology" published in April 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In partial sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes, until certain enhancement levels are reached. Moody's expectation of pool losses could decline as a result of better than expected improvements in the economy, changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the ratings of the notes if pool losses exceed its expectations and levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses may increase, for example, due to performance deterioration stemming from a downturn in the US economy, deficient servicing, errors on the part of transaction parties, inadequate transaction governance or fraud. HILTON GRAND 2022-1D: S&P Assigns Prelim BB- Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Hilton Grand Vacations Trust 2022-1D's timeshare loan-backed notes series 2022-1D. The note issuance is an ABS securitization backed by vacation ownership interest (timeshare) loans. The preliminary ratings are based on information as of April 7, 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 credit enhancement that is available in the form of subordination, overcollateralization, a reserve account, and available excess spread. The preliminary ratings also reflect our view of Diamond Resorts Financial Services Inc.'s servicing ability and experience in the timeshare market. Preliminary Ratings Assigned Hilton Grand Vacations Trust 2022-1D Class A, $106.47 million: AAA (sf) Class B, $84.11 million: A- (sf) Class C, $22.36 million: BBB (sf) Class D, $33.15 million: BB- (sf) HOME RE 2022-1: Moody's Assigns (P)B2 Rating to Cl. B-1 Notes ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of mortgage insurance credit risk transfer (MI CRT) notes issued by Home Re 2022-1 Ltd. The securities reference a pool of mortgages insurance policies issued by Mortgage Guaranty Insurance Corporation, the ceding insurer, on a portfolio of mortgage loans predominantly acquired by Fannie Mae and Freddie Mac, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Home Re 2022-1 Ltd. Cl. M-1A, Assigned (P)Baa2 (sf) Cl. M-1B, Assigned (P)Baa3 (sf) Cl. M-1C, Assigned (P)Ba2 (sf) Cl. M-2, Assigned (P)B1 (sf) Cl. B-1, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the operational strength of the ceding insurer, the third-party review, and the representations and warranties framework. Moody's expected loss on the pool's aggregate exposed principal balance in a baseline scenario-mean is 2.18%, in a baseline scenario-median is 1.88% and reaches 14.66% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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 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. IMPERIAL FUND 2022-NQM3: Fitch Gives B-(EXP) Rating to B-2 Debt --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Imperial Fund Mortgage Trust 2022-NQM3 (IMPRL 2022-NQM3). DEBT RATING ---- ------ IMPRL 2022-NQM3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Imperial Fund Mortgage Trust 2022-NQM3 (IMPRL 2022-NQM3) as indicated. The certificates are supported by 873 loans with a balance of approximately $402.66 million as of the cutoff date. This is IMPRL's eighth transaction and the third to be rated by Fitch. The certificates are secured primarily by newly originated fixed-rate mortgage loans. A majority of the loans (87.8%) were originated by A&D Mortgage LLC, which is assessed by Fitch as an 'Average' originator, and the remaining 12.2% of the mortgage loans were originated by various originators that have not been reviewed by Fitch. The named servicer is A&D Mortgage LLC, which is assessed by Fitch as 'RPS3'/Stable. The master servicer is Nationstar Mortgage LLC (RMS2+/Outlook Stable). Of the loans in the pool, 49.83% are designated as non-qualified mortgages (non-QM, or NQM), and 50.17% are not subject to the Consumer Finance Protection Bureau's (CFPB) Ability to Repay Rule (ATR Rule, or the Rule). There is no Libor exposure in this transaction. The collateral consists of 100% fixed-rate loans and the coupons on the interest-bearing bonds are fixed rate and capped at the net wac or are based on the net wac. 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 8.9% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable 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 18.2% yoy nationally as of December 2021. Nonprime Credit Quality (Mixed): The collateral consists mainly, 89.65%, of 30-year, fixed-rate, fully amortizing loans; 7.93% 30-year, fixed-rate loans with an initial interest-only (IO) term; 2.04% 40-year, fixed-rate loans with an initial interest-only (IO) term; 0.29% 40-year, fixed-rate, fully amortizing loans; and 0.09% 15-year, fixed-rate, fully amortizing loans. The pool is seasoned at approximately three months in aggregate, as determined by Fitch (one month per the transaction documents). The borrowers in this pool have relatively strong credit profiles, with a Fitch-determined 743 weighted average (WA) model FICO score (745 per the transaction documents), a Fitch-determined 45.6% debt to income (DTI) ratio (33.01% per the transaction documents), and an original combined loan to value (CLTV) ratio of 70.8% that translates to a Fitch-calculated sustainable loan to value (sLTV) ratio of 77.1%. The Fitch DTI is higher than the DTI in the transaction documents (DTI is 30.01% in the transaction documents) due to Fitch assuming a 55% DTI for asset depletion loans and converting the debt service coverage ratio (DSCR) to a DTI for the DSCR loans. Of the pool, Fitch determined that 48.3% consist of loans where the borrower maintains a primary residence, while 50.2% comprise an investor property or second home; 4.1% of the loans were originated through a retail channel based on Fitch's analysis. Additionally, 49.8% are designated as non-QM and 50.2% are exempt from the ATR Rule as they are investor properties. The pool contains 69 loans over $1 million, with the largest being $4.39 million. Self-employed non-DSCR borrowers make up 49.6% of the pool, 1.0% are asset depletion loans and 42.3% are investor cash flow DSCR loans. Approximately 50% of the pool comprise loans on investor properties (8% underwritten to the borrowers' credit profile and 42% comprising investor cash flow loans). None of the loans have subordinate financing and there are no second lien loans. Fitch viewed the transaction as having fifty-three loans in the pool that were underwritten to borrowers whose citizenship status was defined as foreign national and did not have a U.S. citizen, permanent resident or non-permanent resident co-borrower. Fitch treated the loans to these 53 foreign nationals as being investor occupied and having no documentation for income and employment. Fitch assumed a FICO score of 650 for foreign nationals without a credit score. Fitch confirmed there are no sanctioned borrowers in the pool. Although the credit quality of the borrowers is higher than in prior NQM transactions, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Geographic Concentration (Negative): Approximately 43.7 of the pool is concentrated in Florida. The largest MSA concentration is in the Miami-Fort Lauderdale-Miami Beach, FL MSA (31.4%), followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (26.4%) and the Los Angeles-Long Beach-Santa Ana, CA MSA (7.6%). The top three MSAs account for 65.4% of the pool. As a result, there was a 1.20x probability of default (PD) penalty for geographic concentration, which increased the 'AAA' loss by 2.26%. Loan Documentation (Negative): Approximately 97.2% of the pool were underwritten to less than full documentation, according to Fitch (per the transaction documents, 95.5% of the pool were underwritten to less than full documentation). Specifically, 32.4% 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 CFPB's ATR Rule, which 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 the underwriting and documentation of the borrower's ability to repay. Additionally, 1.0% are an asset depletion product, 1.7% are a CPA product, 14.0% are a PnL product, 4.0% are a written verification of employment product and 42.3% are a DSCR product. Fitch reviews the documentation provided in the loan tape and reviews the underwriting guidelines. While the originator may consider a loan to be full documentation, Fitch may consider the loan to be less than full documentation based on the underwriting guidelines and the information provided in the loan tape. Limited Advancing (Mixed): The deal is structured to three 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 the 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 re-allocate principal to pay interest on the 'AAAsf' and 'AA-sf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class with limited advancing. IMPRL 2022-NQM3 has a step up coupon for class A-1. On and after the distribution date in May 2026, the Class A-1 coupon will be the lower of 1) the sum of the fixed rate plus 1.0% and 2) the Net WAC rate. This results in less excess spread available in the transaction to reimburse for losses or interest shortfalls should they occur. To offset the impact of the A-1 step up and to reduce the need for the structure to use principal to cover unpaid interest payments, the B-3 class is a principal only class that is not entitled to interest payments. Ultimately the B-3 class being a principal-only class should generate more excess spread in the transaction than if the B-2 was paid the net wac. Class A-1 took a small loss in the backloaded benchmark 'AAA' rating stress in the base case cash flow run which did not utilize a rate modification reduction stress. Class A-1 recovered 99.9% in this stress and would have only needed 0.07% more CE in order to have passed the AAA backloaded benchmark rating stress. The committee decided to assign the class A-1 a 'AAA' rating since the amount of the loss was not material and the loss occurred in only the backloaded benchmark scenario, which is a very stressful scenario that is not likely to occur. 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 40.8% 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 Mission Global, LLC and Selene Diligence LLC. The third-party due diligence described in Form 15E focused on compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.53% as the 'AAAsf' rating stress. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Mission Global, LLC and Selene Diligence LLC to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. 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. JP MORGAN 2022-LTV2: Fitch Gives B-(EXP) Rating to Class B-5 Debt ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2022-LTV2 (JPMMT 2022-LTV2). DEBT RATING ---- ------ JPMMT 2022-LTV2 A-1 LT AA+(EXP)sf Expected Rating A-2 LT AA+(EXP)sf Expected Rating A-2-A LT AA+(EXP)sf Expected Rating A-2-X LT AA+(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-A LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AA+(EXP)sf Expected Rating A-6-A LT AA+(EXP)sf Expected Rating A-6-X LT AA+(EXP)sf Expected Rating A-X-1 LT AA+(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2022-LTV2 (JPMMT 2022-LTV2) as indicated above. The certificates are supported by 504 loans with a total balance of approximately $397.5 million as of the cutoff date. The pool consists of prime-quality, high loan to value (LTV), fixed-rate mortgages (FRMs) from various mortgage originators. NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint Mortgage Servicing (Shellpoint), will act as interim servicer for approximately 25.8% of the pool from the closing date until the servicing transfer date, which is expected to occur on or about July 1, 2022. JPMCB will take over the servicing after the servicing transfer date; as such, Fitch considered JPMCB as the servicer for these loans. Other servicers in the transaction include United Wholesale Mortgage, LLC, loanDepot.com. LLC and others. Nationstar Mortgage LLC (Nationstar) will be the master servicer. All the loans qualify as safe-harbor qualified mortgage (SHQM), rebuttable presumption QM, or QM safe-harbor (average prime offer rate [APOR]) loans. There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate or based on the net WAC. 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 10.1% above a long-term sustainable level (vs. 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable 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 18.2% YoY nationally as of December 2021. High-Quality Mortgage Pool (Positive): The pool consists of high-quality, fixed-rate fully amortizing loans with maturities of up to 30 years. All the loans qualify as SHQM, rebuttable presumption QM, or QM safe-harbor (APOR) or loans. The loans were made to borrowers with high LTVs, strong credit profiles, relatively low debt to income (DTI) ratios and moderate liquid reserves. The loans are seasoned at an average of five months, according to Fitch (three months per the transaction documents). The pool has a weighted average (WA) original FICO score of 754 (as determined by Fitch), which is indicative of very high credit-quality borrowers. Approximately 58.1% (as determined by Fitch) of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined LTV (CLTV) ratio of 88.6% translates to a sustainable LTV (sLTV) ratio of 97.3%. 100% of the pool comprises nonconforming loans, and 45.1% of the pool has been originated by a retail and correspondent channel. The pool consists of 81.1% of loans where the borrower maintains a primary residence, while 18.9% comprise second homes. Single-family homes (attached and detached) and planned unit developments (PUDs) constitute 92.1% of the pool, condominiums make up 7.3% and multifamily homes make up 0.6%. Of the pool, cashout refinances constitute 1.9%, purchases 94.1% and rate-term refinances 4.0%. A total of 137 loans in the pool are over $1 million, and the largest loan is $1.98 million. Fitch determined that 12 of the loans were made to nonpermanent residents. There are no foreign nationals in the pool. Approximately 43.7% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (14.6%), followed by the San Francisco-Oakland-Fremont, CA MSA (7.8%) and the Riverside-San Bernardino-Ontario, CA MSA (5.6%). The top three MSAs account for 28% of the pool. As a result, there was no probability of default (PD) penalty for geographic concentration. High LTVs (Negative): The original LTV of the pool is 88.6%, which translates into an sLTV of 97.3%. 100% of the pool had an original LTV over 80%, and the MTM CLTV over 80% is 87.2%. As a result, a majority loans in the pool are highly leveraged and the borrowers have limited equity in the home. Fitch increased both the PD and loss severity (LS) for loans with higher LTVs. A mitigating factor to the high LTVs is the relatively high FICOs that the borrowers have in the pool. The WA FICO according to Fitch is 754, with over 58.1% of borrowers having a FICO equal to or above 750 (as determined by Fitch). In addition, the WA DTI ratio is 37.3%, which is in line with DTIs seen in non-high LTV loans. Shifting Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting interest structure requires more CE. The servicers will provide full advancing for the life of the transaction. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. If the servicers are unable to advance, the master servicer will provide advancing. If the master servicer is unable to advance, the securities administrator will ultimately be responsible for advancing. CE Floor (Positive): A CE or senior subordination floor of 3.50% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 2.50% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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 SitusAMC, Clayton, and Opus. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.53% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, and Opus 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 provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. JPMCC COMMERCIAL 2011-C5: Fitch Affirms C Rating on Class G Certs ----------------------------------------------------------------- Fitch Ratings has upgraded three classes and affirmed one class of JPMCC Commercial Mortgage Securities Trust 2011-C5 commercial mortgage pass-through certificates. Two classes have been assigned Stable Rating Outlooks. DEBT RATING PRIOR ---- ------ ----- JPMCC 2011-C5 D 46636VAR7 LT BBsf Upgrade CCCsf E 46636VAT3 LT Bsf Upgrade CCsf F 46636VAV8 LT CCCsf Upgrade CCsf G 46636VAX4 LT Csf Affirmed Csf TRANSACTION SUMMARY As of the March 2022 distribution date, the pool's aggregate principal balance has paid down by 94.3% since issuance, with only one loan remaining. The affirmation of the distressed ratings reflects significant credit risk for the remaining loan and the potential for realized losses to impact the subordinate classes. Upgrades of classes D and E reflect better than expected recoveries of disposed loans and the expectation of sufficient recovery upon disposal of the remaining asset in the pool. Since the prior rating action, the Intercontinental Hotel Chicago loan repaid in full at loan maturity in August 2021. The full recovery was in excess of Fitch's estimated value, which reflected refinance concerns driven by declining performance prior to the onset of the pandemic, new market supply and underperformance relative to its competitive set. Additionally, the LaSalle Select Portfolio was disposed with recoveries in excess of Fitch's estimated value. The portfolio of class B suburban office properties located in the Atlanta metro area had transferred to special servicing in 2017 due to a significant decline in occupancy and limited positive leasing momentum particularly with the onset of the pandemic. The loan was disposed with realized losses of $6.87 million reflecting a loss severity of 17.1%. The remaining loan in the pool is The Asheville Mall which transferred to special servicing in June 2020 at the request of the borrower, CBL & Associates, to negotiate potential pandemic-related debt relief. The mall had been experiencing downward trending occupancy and anchor tenant sales even prior to the onset of the pandemic. The loan is secured by a regional enclosed mall consisting of approximately 323,380 collateral sf out of a total 973,819 sf located in Asheville, NC. Non-collateral anchor Sears closed at the property in 2018. A consensual receivership order appointed JLL as the property manager in December 2020. The asset is currently being marketed for sale and the receiver anticipates multiple rounds of bidding. As of December 2021, occupancy of the collateral declined to 76% from 87% at YE 2020. In-line sales as of TTM September 2021 were $390 psf as compared to $384 as of June 2020 and $348 psf at issuance. Fitch's loss and recovery analysis was based on discount to an updated value provided by the special servicer reflecting an implied cap rate of 19% and recovery proceeds of $105 psf. Recoveries were also reviewed using a sensitivity assumption applying a 25% cap rate with potential losses impacting Class F. Recoveries required on class D are $20.1 psf and $59.9 psf on Class E. The analysis reflects concerns about the tertiary regional mall location, distressed anchor tenants, declining occupancy, cash flow and sales, as well as upcoming lease rollover. Losses on classes F and G are considered possible and inevitable, respectively, based on the updated value of the asset. KEY RATING DRIVERS High Expected Losses; Insufficient Credit Enhancement to Junior Classes: The transaction is highly concentrated with one distressed asset remaining. Losses are expected to impact or significantly erode credit enhancement to the junior classes with distressed ratings. High Credit Enhancement to Senior Classes: The senior bonds have a high likelihood of recovery given continued amortization and sufficient credit support. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades are possible with further deterioration in performance and unsuccessful efforts to dispose of the asset. The ratings of the remaining distressed classes (those rated below Bsf) are subject to further downgrade with higher than expected losses. -- Fitch has identified both a baseline and a worse-than expected, adverse stagflation scenario based on repercussions from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are currently not expected given the declining performance of the asset, but possible with significant improvement and better than expected performance of the mall. Upgrades to the distressed classes would only occur if losses were no longer considered possible or inevitable. 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. 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. KKR CLO 38: Moody's Assigns (P)Ba3 Rating to $16MM Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued by KKR CLO 38 Ltd. (the "Issuer" or "KKR 38"). Moody's rating action is as follows: US$241,000,000 Class A-1 Senior Secured Floating Rate Notes due 2033, Assigned (P)Aaa (sf) US$15,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2033, Assigned (P)Aaa (sf) US$16,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2033, Assigned (P)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 CLO's portfolio and structure. KKR 38 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Moody's expect the portfolio to be approximately 98% ramped as of the closing date. KKR Financial Advisors II, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue three other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2969 Weighted Average Spread (WAS): 3mS + 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. MFA 2022-INV1: S&P Assigns B+ (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to MFA 2022-INV1 Trust's mortgage pass-through certificates series 2022-INV1. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, and fully amortizing residential mortgage loans (some of which have an initial interest-only period) secured by single-family residences, two- to four-family homes, condominiums, and townhomes to both prime and nonprime borrowers. The pool consists of 1,137 business-purpose investor loans (including 275 cross-collateralized loans backed by 1,151 properties) that are exempt from the qualified mortgage and ability-to-repay rules. The ratings reflect S&P's view of: -- 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 originator; and -- The further impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. Ratings Assigned MFA 2022-INV1 Trust Class A-1, $160,215,000: AAA (sf) Class A-2, $22,316,000: AA (sf) Class A-3, $26,445,000: A (sf) Class M-1, $15,479,000: BBB (sf) Class B-1, $9,030,000: BB+ (sf) Class B-2, $10,320,000: B+ (sf) Class B-3, $14,190,346: NR Class A-IO-S, Notional(i): NR Class XS, Notional(i): NR Class R, N/A: NR (i)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. N/A--Not applicable. MORGAN STANLEY 2012-C6: Moody's Lowers Rating on Cl. E Certs to B1 ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on seven classes and downgraded the ratings on six classes in Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6, Commercial Mortgage Pass-Through Certificates, Series 2012-C6 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Mar 2, 2021 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 2, 2021 Affirmed Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Mar 2, 2021 Affirmed Aa1 (sf) Cl. C, Affirmed A1 (sf); previously on Mar 2, 2021 Affirmed A1 (sf) Cl. D, Downgraded to Baa3 (sf); previously on Mar 2, 2021 Downgraded to Baa2 (sf) Cl. E, Downgraded to B1 (sf); previously on Mar 2, 2021 Downgraded to Ba3 (sf) Cl. F, Downgraded to B3 (sf); previously on Mar 2, 2021 Downgraded to B2 (sf) Cl. G, Downgraded to Caa2 (sf); previously on Mar 2, 2021 Downgraded to Caa1 (sf) Cl. H, Downgraded to Ca (sf); previously on Mar 2, 2021 Downgraded to Caa3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Mar 2, 2021 Affirmed Aaa (sf) Cl. X-B*, Affirmed Aa3 (sf); previously on Mar 2, 2021 Affirmed Aa3 (sf) Cl. X-C*, Downgraded to Caa3 (sf); previously on Mar 2, 2021 Downgraded to Caa2 (sf) Cl. PST**, Affirmed Aa2 (sf); previously on Mar 2, 2021 Affirmed Aa2 (sf) * Reflects interest-only classes ** Reflects exchangeable classes RATINGS RATIONALE The ratings on four P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), are within acceptable ranges. Furthermore, these classes will benefit from expected principal paydowns from loans approaching their upcoming maturity dates. All of the remaining loans have maturity dates on or prior to October 2022. The ratings on five P&I classes, Cl. D, Cl. E, Cl. F, Cl. G and Cl. H, were downgraded due to the pool's exposure to two regional mall properties (representing 16% of the pool) with recent declines in net operating income and three specially serviced loans (8% of the pool) which are REO or more than 90 days delinquent. As a result of the exposure to these loans, the remaining classes are at increased risk of interest shortfalls and the potential for higher expected losses if these loans are unable to pay off at their maturity dates. The ratings on two IO classes, Cl. X-A and Cl. X-B, were affirmed based on the credit quality of the referenced classes. The rating on one IO Class, Cl. X-C, was downgraded due to a decline in the credit quality of its referenced classes. Cl. X-C references six P&I classes including Cl. J, which is not rated by Moody's. The rating on the exchangeable class, Cl. PST, was affirmed due to the credit quality of its referenced exchangeable classes. The action has considered how the coronavirus pandemic has reshaped the US economic environment and the way its aftershocks will continue to reverberate and influence the performance of commercial real estate. 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. Moody's rating action reflects a base expected loss of 11.1% of the current pooled balance, compared to 11.6% at Moody's last review. Moody's base expected loss plus realized losses is now 6.0% of the original pooled balance, compared to 6.9% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except the interest-only and exchangeable classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the March 17, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 46% to $603.9 million from $1.12 billion at securitization. The certificates are collateralized by 38 mortgage loans ranging in size from less than 1% to 20.7% of the pool, with the top ten loans (excluding defeasance) constituting 56.2% of the pool. Eight loans, constituting 23.7% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of nine, compared to 12 at Moody's last review. As of the March 2022 remittance report, loans representing 92% were current or within their grace period on their debt service payments and 8% were greater than 90 days delinquent or REO. Eleven loans, constituting 39% of the pool, are on the master servicer's watchlist, of which one loan, representing 6.4% of the pool, indicate the borrower has received loan modifications in relation to the coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool. Three loans, constituting 8% of the pool, are currently in special servicing, all of which have transferred to special servicing since May 2020. The largest specially serviced loan is the 300 West Adams Loan ($21.2 million -- 3.5% of the pool), which is secured by a leasehold interest in a 253,000 SF, 12-story, landmarked office building located in downtown Chicago. The property is located in the CBD West Loop and across the street from the Willis Tower (formerly the Sears Tower). The property is subject to a 99-year ground lease which commenced in September 2012. The ground lease payment started at $1.1 million per year, with 3% increases year-over-year until 2042 when it's capped at $2.5 million. The property was 71% leased as of January 2022, compared to 77% in September 2020, 78% in 2019 and 97% in 2018. The property's 2019 NOI declined 21% from 2018 due to lower rental revenues and increased expenses. The loan transferred to special servicing in January 2021 for delinquent payments and became REO in October 2021 after the borrower agreed to a deed-in-lieu of foreclosure. The property's performance continued to decline through 2020 as several new tenants were unable to finish the build-outs of their newly leased spaces and other tenants vacated upon their lease expirations. As of the March 2022 remittance statement, the master servicer has recognized an 8% appraisal reduction based on the outstanding loan balance. The second largest specially serviced loan is the 470 Broadway Loan ($17.4 million -- 2.9% of the pool), which is secured by a 6,600 SF, 2-story, single tenant retail building in the SoHo neighborhood of New York City. The property was 100% leased to Aldo until the tenant declared bankruptcy in May 2020. Subsequently, the lease was rejected at this location and the property remains vacant. The loan transferred to special servicing in May 2020 due to imminent monetary default and the special servicer is proceeding with foreclosure. An updated appraisal was completed in July 2021 which valued the property below the loan balance and the master servicer has recognized a $15.7 million appraisal reduction on this loan as of the March 2022 remittance statement. The third largest specially serviced loan is the 152 Geary Street Loan ($9.5 million -- 1.6% of the pool), which is secured by an 8,100 SF, 3-story, single tenant retail building in San Francisco, California. The loan transferred to special servicing in June 2020 due to payment default as the single tenant was not paying rent. The loan is last paid through its March 2020 payment date and has amortized 17% since securitization. A recent appraisal was received at a value above the loan balance and no appraisal reduction has been recognized on this loan. The space is continuing to be marketed for rent while the special servicer is dual tracking legal remedies while engaging in discussions with the borrower. Moody's has also assumed a high default probability for four poorly performing loans, constituting 18% of the pool and has estimated an aggregate loss of $56.1 million (a 35% expected loss on average) from these specially serviced and troubled loans. The largest troubled loans are the Greenwood Mall Loan (10% of the pool) and the Cumberland Mall Loan (6%) which are discussed further below. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2020 operating results for 93% of the pool, and full or partial year 2021 operating results for 98% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 103%, compared to 99% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 26% to the most recently available net operating income (NOI), excluding hotel properties that had significantly depressed NOI in 2020 / 2021. Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.48X and 1.06X, respectively, compared to 1.52X and 1.11X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing loans represent 37% of the pool balance. The largest loan is the 1880 Broadway/15 Central Park West Retail Loan ($125.0 million -- 20.7% of the pool), which is secured by an 84,000 SF, four-level (two levels below grade), multi-tenant retail condominium located on the Upper West Side of Manhattan. The property has been 100% leased to four tenants since securitization. The largest tenants include Best Buy (54% of NRA; lease expiration in January 2023) and Williams Sonoma (30% of NRA; lease expiration in June 2029). The loan matures in September 2022 and faces significant rollover risk with three leases, representing nearly 70% of the NRA, expiring within 16 months of the loan maturity. The loan is interest only for its entire term and matures in September 2022. Moody's LTV and stressed DSCR are 115% and 0.76X, respectively, the same as at the last review. The second largest loan is the Greenwood Mall Loan ($57.8 million -- 9.6% of the pool), which is secured by an approximately 575,000 square foot (SF) component of an 850,000 SF super-regional mall located in Bowling Green, Kentucky. The mall, owned by Brookfield Properties, is anchored by a Dillard's, Belk, J.C. Penney, and a 10-screen Regal Cinema. Dillard's and Belk are not part of the collateral. Sears (15% of net rentable area (NRA)) was previously a collateral anchor, however, they vacated in early 2019 and the space remains vacant. As of September 2021, the in-line occupancy was approximately 80%, compared to 94% in 2017. In addition, the total mall occupancy has experienced a similar decline, decreasing to 77% in September 2021 from 97% in 2018. The property's net operating income (NOI) has declined annually since 2017 due primarily to lower occupancy and revenues. The property's 2019 NOI declined 9% from 2018 and was 5% lower than in 2013. The property's performance continued to decline in 2020 and 2021 as a result of the pandemic and the loan had a June 2021 NOI DSCR of 1.72X compared to 2.45X for year-end 2019. The loan previously transferred to special servicing in October 2020 due to imminent default and was granted temporary payment relief. The loan subsequently returned to the master servicer in May 2021. The loan has amortized 8% since securitization and has a maturity date in July 2022. Due to its continuing decline in performance and the current refinancing environment for certain regional malls, Moody's considers this as a troubled loan. The third largest loan is the Cumberland Mall Loan ($38.7 million -- 6.4% of the pool), which is secured by an approximately 677,000 SF component of a 950,000 SF regional mall located in Vineland, New Jersey. The property is anchored by Boscov's, BJ's Wholesale, Home Depot, Dick's Sporting Goods, and a Regal Cinemas. One collateral anchor space, formerly occupied by Burlington (12% NRA), closed ahead of its February 2021 lease expiration. Boscov's and BJ's Wholesale are not part of the collateral and Home Depot operates on a ground lease. The loan previously transferred to special servicing in May 2020 due to imminent monetary default and received temporary payment relief. The loan returned to the master servicer in September 2020 and has amortized 25% since securitization. However, the property's NOI has generally declined since 2018 due to lower rental revenues. The 2019 NOI declined 7% year-over-year and performance further declined in 2020 and 2021. The loan had an actual NOI DSCR of 1.54X in September 2021, compared to 1.93X for year-end 2019. As of December 2021, the in-line space was 85% leased and the total collateral was 91% leased. Occupancy recently improved due to a new lease with Power Warehouse (117,000 SF), which uses the space as a distribution center. Homegoods (21,000 SF) also recently opened at the property. The loan has a maturity date in August 2022 and remains current on debt service payments. However, Moody's considers this as a troubled loan due to the recent declines in performance. MORGAN STANLEY 2022-16: Moody's Gives Ba3 Rating to $15MM E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Morgan Stanley Eaton Vance CLO 2022-16, Ltd. (the "Issuer" or "MSEV 2022-16"). Moody's rating action is as follows: US$307,500,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$15,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Definitive Rating 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 CLO's portfolio and structure. MSEV 2022-16 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. The portfolio is approximately 95% ramped as of the closing date. Morgan Stanley Eaton Vance CLO Manager LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2909 Weighted Average Spread (WAS): 3mS + 3.30% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. MORGAN STANLEY 2022-INV1: Fitch Gives 'B-(EXP)' Rating to B-5 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2022-INV1 (MSRM 2022-INV1). DEBT RATING ---- ------ MSRM 2022-INV1 A-1 LT AAA(EXP)sf Expected Rating A-1-IO LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-2-IO LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-IO LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-IO LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-IO LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-F LT AAA(EXP)sf Expected Rating A-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-IO LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-IO LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2022-INV1 (MSRM 2022-INV1), as indicated above. This is the 10th post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust shelf; the first transaction was issued in 2014. This is the first 100% non-owner occupied MSRM transaction and the eighth MSRM transaction that comprises loans from various sellers and is acquired by Morgan Stanley in its prime-jumbo aggregation process. The certificates are supported by 857 prime-quality loans with a total balance of approximately $367.02 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages from various mortgage originators. The servicer for this transaction is Specialized Loan Servicing, LLC. Nationstar Mortgage LLC will be the master servicer. Of the loans, 10.3% qualify as either Qualified Mortgage (QM) Safe Harbor Average Prime Offer Rate (APOR), QM: Temporary GSE/Agency Eligible Safe Harbor, QM: Temporary GSE/Agency Eligible Rebuttable Presumption, or QM: Safe Harbor (43-Q) loans. The remaining 89.7% loans are exempt from the QM rule. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC), are floating- or inverse floating-rate bonds based off of the SOFR index and are capped at the net WAC or based on the net WAC. Like other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.6% above a long-term sustainable level (vs. 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable 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 18.2% yoy nationally as of December 2021. Prime Credit Quality (Positive): The collateral consists of 857 loans, totaling $367.0 million, and seasoned approximately 10 months in aggregate. The borrowers have a strong credit profile (765 FICO and 35% DTI) and high leverage (68.8% sLTV). 42.9% of the pool are nonconforming loans while the remaining 57.1% are conforming loans. The majority of the loans (89.7%) are exempt from the QM rule standards as they are loans on investor occupied homes that are for business purposes. The remaining 10.3% are able to qualify as 43-Q safe-harbor QM, QM: Temp GSE/Agency Eligible Safe Harbor, QM: Temp GSE/Agency Eligible Rebuttable Presumption or QM safe-harbor (APOR) loans. Roughly 74.2% of the pool being originated by a retail channel. The pool consists of 100% investor properties. Single-family homes make up 75.2%, condos make up 7.7% of the pool, and multifamily homes make up 17.2% of the pool. Cash-out comprise only 23.9% of the pool while purchases comprise 54.7% and rate refinances comprise 21.4%. Based on the information provided, there are no foreign nationals in the pool. 59 loans in the pool are over $1 million and the largest loan is $1.99 million. Approximately 35% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (10.9%), followed by the San Francisco-Oakland-Fremont, CA MSA (6.6%) and the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (5.9%). The top three MSAs account for 24% of the pool. As a result, there was a no PD penalty for geographic concentration. Non-Owner-Occupied Loans (Negative): 100% of the loans in the pool were made to investors and 57.1% of the loans in the pool are conforming loans, which were underwritten to Fannie Mae and Freddie Mac's guidelines and were approved per Desktop Underwriter (DU) or Loan Product Advisor (LPA), Fannie Mae and Freddie Mac's automated underwriting systems, respectively. The remaining 42.9% of the loans were underwritten to the underlying sellers' guidelines and were full documentation loans. All loans were underwritten to the borrower's credit risk, unlike investor cash flow loans, which are underwritten to the property's income. Fitch applies a 1.25x PD hit for agency investor loans and a 1.60x PD hit for investor loans underwritten to the borrower's credit risk. For the loss analysis of this pool, Fitch used a customized version of the U.S. RMBS Loan Loss model that has a 1.25x PD penalty for agency investor loans and a 1.60x PD penalty for investor loans underwritten to the borrower's credit risk. The 1.25x PD penalty was used only for the agency eligible loans (57.1%), with the remaining loans receiving a 1.60x PD penalty for being investor occupied. Post-crisis performance indicates that loans underwritten to DU/LPA guidelines have relatively lower default rates compared to normal investor loans used in regression data with all other attributes controlled. The implied penalty has been reduced to approximately 25% for investor agency loans in the customized model from approximately 60% for regular investor loans in production model. Multi-Family Loans (Negative): 17.2% of the loans in the pool are multi-family homes, which Fitch views as riskier than single-family homes, since the borrower may be relying on the rental income to pay the mortgage payment on the property. To account for this risk, Fitch adjusts the PD upwards by 25% from the baseline for multi-family homes. Shifting Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds the shifting interest structure requires more CE. The servicers will provide full advancing for the life of the transaction, while this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. If the servicers are not able to advance, the master servicer will provide advancing and if the master servicer is not able to advance, the securities administrator will ultimately be responsible for advancing. Subordination Floor (Positive): A CE or senior subordination floor of 1.30% has been considered in order to mitigate potential tail end risk and loss exposure for senior tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 0.90% has been considered in order to mitigate potential tail end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. 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 SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.29% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS 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. MOUNTAIN VIEW X: S&P Raises Class E Notes Rating to 'BB+ (sf)' -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R, C-R, D-R, and E notes from Mountain View CLO X Ltd. At the same time, S&P affirmed its ratings on the class A-R and F notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the Feb. 5, 2022, trustee report. The upgrades reflect the transaction's $115.8 million in paydowns to the class A-R notes since S&P's September 2020 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 6, 2020, trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 159.67% from 131.20%. -- The class C O/C ratio improved to 135.76% from 120.18%. -- The class D O/C ratio improved to 118.68% from 111.21%. -- The class E O/C ratio improved to 108.64% from 105.43%. S&P said, "The collateral portfolio's credit quality has also improved since our last rating actions. Collateral obligations with ratings in the 'CCC' category have declined, with $11.13 million reported as of the February 2022 trustee report, compared with $33.78 million reported as of the July 2020 trustee report. Over the same period, the par amount of defaulted collateral has decreased to $4.69 million from $10.06 million. The transaction has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 2.54 years reported as of the February 2022 trustee report, compared with 3.56 years reported at the time of our September 2020 rating actions. "The upgrades reflect the improved credit support at the prior rating levels; the affirmation reflects our view that the credit support available is commensurate with the current rating level. "On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C-R, D-R, E, and F notes. However, based on increasing concentration risk and current subordination and O/C levels, we limited the upgrade on these classes to offset future potential credit migration in the underlying collateral. Additionally, the model-implied rating on the class D-R, E, and F notes were affected by the application of the largest-obligor default test from our corporate CDO criteria. The test is intended to address event and model risks that might be present in rated transactions. Despite cash flow runs that suggested higher rating levels, the largest-obligor default test constrained our model-implied rating on the class D-R, E, and F notes. The top five largest obligors in the transaction currently make up more than 15.11% of the portfolio's performing collateral balance." Despite the largest-obligor default test indicating a lower rating, the class F notes were affirmed at 'B- (sf)' due to sufficient credit support commensurate with the current rating, improvement in the credit quality of the portfolio despite increasing concentration risk, passing cash flow results at the current rating, and application of the 'CCC' criteria and guidance. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Ratings Raised Mountain View CLO X Ltd. Class B-R to 'AAA (sf)' from 'AA (sf)' Class C-R to 'AA+ (sf)' from 'A (sf)' Class D-R to 'A+ (sf)' from 'BBB (sf)' Class E to 'BB+ (sf)' from 'BB- (sf)' Ratings Affirmed Mountain View CLO X Ltd. Class A-R: AAA (sf) Class F: B- (sf) OCTAGON 58: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Octagon 58 Ltd./Octagon 58 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Octagon Credit Investors LLC. The preliminary ratings are based on information as of April 13, 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 collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Octagon 58 Ltd./Octagon 58 LLC Class A-1, $310.00 million: AAA (sf) Class A-2, $10.00 million: Not rated Class B, $60.00 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, $49.50 million: Not rated OLYMPIC TOWER 2017-OT: Fitch Affirms BB- Rating on Class E Certs ---------------------------------------------------------------- Fitch Ratings has affirmed its ratings on all seven classes of the Olympic Tower 2017-OT Mortgage Trust Commercial Mortgage Pass-Through Certificates (Olympic Tower 2017-OT). The Rating Outlook remains Negative on class E. DEBT RATING PRIOR ---- ------ ----- Olympic Tower 2017-OT Mortgage Trust A 68162MAA0 LT AAAsf Affirmed AAAsf B 68162MAG7 LT AA-sf Affirmed AA-sf C 68162MAJ1 LT A-sf Affirmed A-sf D 68162MAL6 LT BBB-sf Affirmed BBB-sf E 68162MAN2 LT BB-sf Affirmed BB-sf X-A 68162MAC6 LT AAAsf Affirmed AAAsf X-B 68162MAE2 LT AA-sf Affirmed AA-sf Class X-A and X-B are interest only. KEY RATING DRIVERS The affirmations reflect the generally stable performance and high quality of the collateral, which consists of the leasehold interest in the office and retail portions within 21 stories of a 52-story high-end mixed-use property and three adjacent buildings located on Fifth Avenue in Midtown Manhattan. Per the servicer, the YE 2021 net cash flow (NCF) debt service coverage ratio (DSCR) was 1.71x while YE 2020 was 1.53x and YE 2019 1.63x for the interest only loan. The Negative Outlook on class E primarily reflects concerns surrounding the retail tenancy at the property and within the larger Fifth Avenue submarket. High Quality Asset in Prime Office and Retail Location: The property consists of approximately 410,600 rentable sf of class A office space within the Plaza submarket and 113,600 rentable sf of retail space along Fifth Avenue, between East 51st and East 52nd Streets in Midtown Manhattan. The property's public spaces re-opened in early 2019 after a multi-million dollar renovation. Diverse and High-Quality Tenant Base: The property is leased to a mix of office and retail tenants and serves as the US headquarters for the NBA (38.1% of NRA, 20.2% of base rent, through 2035) and Richemont North America (24.3% NRA, 10% base rent, through 2028) and as a flagship location for its subsidiary Cartier (10.3% NRA, 26% base rent, through 2037). The property is also home to other luxury retailers including Furla, Longchamp, Armani Exchange and H. Stern Jewelers. Occupancy Concerns; Retail Component: The property was 97.4% leased, per the December 2021 rent roll. However, MSD Capital (8.2% NRA) recently vacated at its lease expiration in March 2022, and the property is now approximately 89% leased. The property had averaged over 97% occupancy since 2008. While the subject's retail submarket has long been considered a premier shopping district, several high-profile tenants have vacated the area in the last few years. Retail tenants account for approximately two thirds of the total base rent. Armani Exchange (2% NRA, 8.1% base rent) recently extended its lease through 2024 at a rent that is reportedly 48% above its current rent. Versace (3.7% NRA, 15.1% base rent), which has a lease maturity of December 2023, appears to be permanently closed. Jimmy Choo (0.4% NRA, 0.7% base rent, through 2028) also appears to be permanently closed. Both Jimmy Choo and Versace are both now owned by Capri Holdings Limited (rated 'BBB-' by Fitch). Both tenants continue to pay rent. Another tenant, restaurant Fig & Olive (1.3% NRA, 0.8% base rent, through June 2022), which recently exited Chapter 11, is reportedly discussing a lease extension; H. Stern (1.6% NRA, 5% base rent), which is now month to month after its lease expired in January 2022, is reportedly also discussing a lease renewal. Fitch will continue to monitor the leasing going forward. Fitch applied stresses ranging between 10% and 100% to all the retail tenants resulting in an overall haircut of approximately 16% to the in-place retail base rent. No further vacancy was applied to the office space base rent as the in-place vacancy is already above market at 13.2%. Increased Real Estate Tax Expense: As of the most recent real estate tax bills, taxes increased to approximately $25 million from $20 million in 2018. Fitch expects much of the expense to be passed through in the form of reimbursements and increased rental rates. Fitch will continue to monitor the cash flow and any further impact of the increasing expense. Fitch Leverage: The $760 million mortgage loan has a Fitch stressed DSCR and loan-to-value (LTV) of 0.99x and 88.7%, respectively, and debt of $1,449 psf. The total debt package includes mezzanine financing in the amount of $240 million that is not included in the trust. Experienced Sponsorship and Property Management: The sponsorship is a joint venture between OMERS Administration Corporation and Crown Acquisitions, Inc. Oxford Properties Group is the global real estate investment, development and management arm of OMERS, and had over $57 billion of assets under management, as of December 2020. Oxford has a portfolio that totals approximately 150 million sf of office, retail, industrial, multifamily and hotels in Canada, Western Europe and the U.S. Crown Acquisitions ownership interests include over 40 assets located in major markets such as New York, London and Miami. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Classes A through E could be downgraded one category or more should a continuing decline in asset occupancy occur and/or should there be a significant sustained deterioration in property cash flow. -- Fitch has identified both a baseline and a worse-than expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates. Even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Classes B, X-B, C, D and E could be upgraded with improved asset performance over a sustained period. Due to the interest only nature of the loan, early pay down is not expected. 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. 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. OPORTUN FUNDING XIV: DBRS Confirms BB(high) Rating on Class D Debt ------------------------------------------------------------------ DBRS, Inc. has confirmed all eight outstanding ratings from Oportun Funding XIV, LLC, Series 2021-A and Oportun Issuance Trust 2021-B. Oportun Funding XIV, LLC, Series 2021-A Class A Confirmed AA(low)(sf) Class B Confirmed A(low)(sf) Class C Confirmed BBB(low)(sf) Class D Confirmed BB(high)(sf) Oportun Issuance Trust 2021-B Class A Notes Confirmed AA(low)(sf) Class B Notes Confirmed A(low)(sf) Class C Notes Confirmed BBB(low)(sf) Class D Notes Confirmed BB(high)(sf) The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update, published on December 9, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that recent COVID-19 developments, particularly the new Omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery. -- The collateral performance to date and DBRS Morningstar's assessment of future performance assumptions. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transactions' capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings. PEAKS CLO 2: Moody's Upgrades Rating on $11MM Cl. E-R Notes to B3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Peaks CLO 2, Ltd.: US$11,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Upgraded to Ba1 (sf); previously on August 7, 2020 Downgraded to Ba2 (sf) US$11,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Upgraded to B3 (sf); previously on August 7, 2020 Downgraded to Caa2 (sf) Peaks CLO 2, Ltd., originally issued in May 2017 and refinanced in August 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2023. RATINGS RATIONALE The deal has benefited from an improvement in the credit quality of the portfolio. Based on the trustee's March 2022 report[1], the weighted average rating factor is currently 3344, compared to 3583 in March 2021[2]. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $145,094,066 Defaulted par: $365,310 Diversity Score: 58 Weighted Average Rating Factor (WARF): 3193 Weighted Average Spread (WAS) (before accounting for Reference Rate floors): 4.59% Weighted Average Recovery Rate (WARR): 43.09% Weighted Average Life (WAL): 5.4 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, an increase in WARF of the underlying portfolio, decrease in overall WAS, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SLC STUDENT 2004-1: Fitch Affirms B- Rating on 2 Tranches --------------------------------------------------------- Fitch Ratings has affirmed the ratings on SLC Student Loan Trust (SLC) 2004-1, 2005-1, 2005-3 and 2006-2. The Rating Outlooks have been maintained for all classes. DEBT RATING PRIOR ---- ------ ----- SLC Student Loan Trust 2004-1 A-7 784423AG0 LT B-sf Affirmed B-sf B 784423AH8 LT B-sf Affirmed B-sf SLC Student Loan Trust 2005-1 A-4 784420AD3 LT AAAsf Affirmed AAAsf B-1 784420AE1 LT Asf Affirmed Asf SLC Student Loan Trust 2005-3 A-3 784420AP6 LT AAAsf Affirmed AAAsf A-4 784420AQ4 LT AAAsf Affirmed AAAsf B 784420AR2 LT Asf Affirmed Asf SLC Student Loan Trust 2006-2 A-6 784428AF1 LT AAAsf Affirmed AAAsf B 784428AG9 LT Asf Affirmed Asf TRANSACTION SUMMARY SLC 2004-1: Cash flow modeling for the class A-7 notes miss their legal final maturity date under Fitch's credit and maturity base cases. A default of the senior class would result in interest payments being diverted away from class B, which would cause that note to default as well. In affirming the rating at 'B-sf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the time horizon until the A-7 maturity date, current rate of amortization and the eventual full payment of principal in modeling. Since there is no revolving credit facility in place from Navient for SLC 2004-1, Fitch has affirmed the class A-7 and B notes at 'B-sf'. SLC 2005-1, SLC 2005-3, SLC 2006-2: Fitch's cash flow modeling for the outstanding senior classes supports 'AAAsf' ratings under Fitch's credit and maturity stresses. The ratings on the junior classes are affirmed and are at their highest achievable ratings currently, because the total parity of these trusts is less than the 101% minimum parity threshold for 'AAsf' ratings, in line with Fitch's Federal Family Education Loan Program (FFELP) rating criteria. In addition to transaction specific discussions above, the Outlooks of all 'AAAsf'-rated notes remain Negative due to Fitch's affirmation of the U.S. sovereign's 'AAA' Issuer Default Rating and revision of its Outlook to Negative from Stable on July 31, 2020. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% FFELP loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Negative. Collateral Performance SLC 2004-1: Fitch assumed a base case default rate of 8.00% and 24.00% under the 'AAA' credit stress scenario and maintained a sustainable constant default rate (sCDR) of 1.50%. Fitch applied the standard default timing curve in its credit stress cash flow analysis. The claim reject rate was assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment are 2.91%, 8.22%, and 16.37% respectively, and are used as the starting point in cash flow modeling. The sustainable constant prepayment rate (sCPR; voluntary and involuntary pre-payments) was maintained at 8.00%. Subsequent declines or increases in the above assumptions are modeled as per criteria. The borrower benefit was assumed to be approximately 0.29%, based on information provided by the sponsor. SLC 2005-1: Fitch assumed a base case default rate of 9.00% and 27.00% under the 'AAA' credit stress scenario and maintained a sCDR of 1.50%. Fitch applied the standard default timing curve in its credit stress cash flow analysis. The claim reject rate was assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment are 2.71%, 7.65%, and 14.36% respectively, and are used as the starting point in cash flow modeling. The sCPR was maintained at 6.30%. Subsequent declines or increases in the above assumptions are modeled as per criteria. The borrower benefit was assumed to be approximately 0.27%, based on information provided by the sponsor. SLC 2005-3: Fitch assumed a base case default rate of 13.00% and 39.00% under the 'AAA' credit stress scenario and maintained a sCDR of 2.00%. Fitch applied the standard default timing curve in its credit stress cash flow analysis. The claim reject rate was assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment are 3.67%, 9.31%, and 21.40% respectively, and are used as the starting point in cash flow modeling. The sCPR was maintained at 7.0%. Subsequent declines or increases in the above assumptions are modeled as per criteria. The borrower benefit was assumed to be approximately 0.18%, based on information provided by the sponsor. In the cash flow analysis for SLC 2005-3, Fitch used transaction-specific servicing fees rather than the standard fees from Fitch's rating criteria. SLC 2006-2: Fitch assumed a base case default rate of 13.00% and 39.00% under the 'AAA' credit stress scenario and maintained a sCDR of 2.0%. Fitch applied the standard default timing curve in its credit stress cash flow analysis. The claim reject rate was assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment are 3.66%, 10.65%, and 16.97% respectively, and are used as the starting point in cash flow modeling. The sCPR was maintained at 8.0%. Subsequent declines or increases in the above assumptions are modeled as per criteria. The borrower benefit was assumed to be approximately 0.17%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. Over 99.6% of the loans are indexed to one-month LIBOR with the rest indexed to 91 Day T-bill. All notes are indexed to three-month LIBOR plus a spread. Fitch applied its standard basis and interest rate stresses as per criteria. Payment Structure SLC 2004-1: Credit enhancement (CE) is provided by excess spread and, for the class A notes, subordination. As of February 2022, total and senior effective parity ratios (including the reserve) are 101.00% (0.99% CE) and 106.04% (5.70% CE). Liquidity support is provided by a reserve sized at 0.25% of the pool balance (with a floor of $2,250,000), currently equal to $2,250,000. The transaction will continue to release cash as long as the target total parity threshold of 100.0% is maintained. SLC 2005-1: CE is provided by excess spread and, for the class A notes, subordination. As of February 2022, total and senior effective parity ratios (including the reserve) are 100.71% (0.70% CE) and 105.40% (5.12% CE). Liquidity support is provided by a reserve sized at 0.25% of the pool balance (with a floor of $3,056,269), currently equal to $3,056,269. The transaction will continue to release cash as long as the target total parity threshold of 100% is maintained. SLC 2005-3: CE is provided by excess spread and, for the class A notes, subordination. As of March 2022, total and senior effective parity ratios (including the reserve) are 100.67% (0.67% CE) and 105.27% (5.01% CE). Liquidity support is provided by a reserve sized at 0.25% of the pool balance (with a floor of $1,828,029), currently equal to $1,828,029. The transaction will continue to release cash as long as the target total parity threshold of 100.0% is maintained. SLC 2006-2: CE is provided by excess spread, overcollateralization, and for the class A notes, subordination. As of March 2022, total and senior effective parity ratio (including the reserve) are, respectively, 100.62% (0.62% CE) and 105.68% (5.37% CE). Liquidity support is provided by a reserve sized at 0.25% of the pool balance (with a floor of $3,778,125), currently equal to its floor of $3,778,125. Excess cash will continue to be released as long as the total parity release level of 100% is maintained. Operational Capabilities: SLC Trusts are the securitizations of The Student Loan Corporation, now a subsidiary of Discover Bank. Navient purchased the SLC Trust certificates and assumed servicing responsibilities in December 2010. Discover Bank serves as master servicer, while day-to-day servicing is provided by Navient Solutions, LLC (formerly known as Sallie Mae, Inc.). Fitch believes Navient to be an acceptable servicer due to its extensive track record as the largest servicer of FFELP loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. SLC 2004-1: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLC 2005-1: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Default increase 50%: class A 'AAAsf'; class B 'AAAsf'; -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf'; -- Basis Spread increase 0.50%: class A 'AAAsf'; class B 'AAsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; -- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; -- IBR Usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- IBR Usage increase 50%: class A 'AAAsf'; class B 'AAAsf'. -- Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. SLC 2005-3: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'AAsf'; -- Default increase 50%: class A 'AAAsf'; class B 'AAsf'; -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'AAsf'; -- Basis Spread increase 0.50%: class A 'AAAsf'; class B 'Asf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; -- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; -- IBR Usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- IBR Usage increase 50%: class A 'AAAsf'; class B 'AAAsf'. -- Remaining Term increase 25%: class A 'AAsf'; class B 'AAAsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'AAAsf'. SLC 2006-2: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Default increase 50%: class A 'AAAsf'; class B 'AAAsf'; -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf'; -- Basis Spread increase 0.50%: class A 'AAAsf'; class B 'AAsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAsf'; -- CPR decrease 50%: class A 'AAAsf'; class B 'Asf'; -- IBR Usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- IBR Usage increase 50%: class A 'AAAsf'; class B 'AAsf'. -- Remaining Term increase 25%: class A 'Bsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- The current ratings for SLC 2004-1 are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are increased payment rate and a material reduction in weighted average remaining loan term. A material increase of CE from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead higher loss coverage multiples. -- An upside scenario was not run for SLC 2005-1, 2005-3, and 2006-2, because improved performance on the underlying collateral would not result in an upgrade due to the notes being at their highest achievable rating of 'Asf'. However, should parity increase over the criteria threshold, the class B notes may be considered for an upgrade. 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. 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. UBS-BAMLL TRUST 2012-WRM: S&P Affirms CCC (sf) Rating on X-B Certs ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from UBS-BAMLL Trust 2012-WRM, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on two classes from the transaction. This is a U.S. CMBS transaction backed by two uncrossed mortgage loans, each secured by a regional mall property in California. Rating Actions S&P said, "The downgrades of classes A, B, C, and D, and the affirmation of class E reflect our reevaluation of the two regional malls that secure the two uncrossed mortgage loans in the transaction: Westfield Galleria at Roseville ($275.0 million; 66.3% of the pooled trust balance) and Westfield MainPlace ($140.0 million; 33.7%). Our analysis included a review of the malls' most recent available performance data provided by the servicer and our assessment that the borrowers may not be able to refinance the loans by their June 2022 maturity dates (both loans have reported current payment statuses through their March 2022 debt service payments). While the continued decline in reported performance at the malls and the borrower's indication of uncertainty in refinancing timing are concerns, they are somewhat counterbalanced by our strong credit assessment (a low loan-to-value (LTV) ratio and high debt service coverage (DSC)) of the larger Westfield Galleria at Roseville loan, which we believe has a higher probability of refinancing in the near-term. Should this occur, it would result in a substantial paydown of class A's principal balance, which was a key factor in the single-notch downgrade on class A at this time (despite a lower model-indicated rating). This scenario would then see the remaining classes, as well as a small portion of class A, secured by the weaker Westfield MainPlace mall, which factored into the more-pronounced downgrades on the other bonds. We will continue to monitor the malls' performance and the loans' refinancing status, and should future developments differ meaningfully from this scenario, we may take additional rating actions. "Our expected-case valuation has declined 13.4%, in aggregate, since our last review in December 2020, driven largely by the lower S&P Global Ratings' sustainable net cash flow (NCF) for the two malls (which has decreased 14.2%, in aggregate, since our last review), to account for the further decline in reported performance due primarily to the continued challenges facing the retail mall sector. Based on our current analysis, our revised sustainable NCF and valuation for the Westfield Galleria at Roseville loan yielded an S&P Global Ratings LTV ratio of 67.2% and an S&P Global Ratings DSC of 2.42x on the trust balance. On the other hand, for the Westfield MainPlace loan, our revised our sustainable NCF and valuation yielded an S&P Global Ratings LTV ratio of 137.8% and an S&P Global Ratings DSC of 1.64x. "The downgrade of class D and affirmation of class E reflect our view that, based on an S&P Global Ratings' LTV ratio of over 100% on the Westfield MainPlace loan, these classes are more susceptible to reduced liquidity support, and the risk of default and loss has increased due to current market conditions." Although the model-indicated ratings were lower than the revised rating levels for classes A, B, C, and D, S&P tempered its downgrades on these classes because we weighed certain qualitative considerations. These included: -- The potential that the larger of the two loans, the Westfield Galleria at Roseville loan, would refinance by or near its June 2022 maturity date, which would paydown the class A certificates by $275.0 million. -- The significant market value decline that would be needed before these classes experience losses; -- The liquidity support provided by the underlying properties' NCF and the servicer advancing; -- The relative position of the classes in the payment waterfall; and -- S&P said, "The downgrade of class X-A and affirmation of class X-B, which are both interest-only (IO) certificates, reflect our criteria for rating IO securities. Under our criteria, the ratings on the IO securities would not be higher than the lowest-rated referenced class. The notional amount of class X-A references class A, while class X-B references classes B, C, D and E." Transaction Summary UBS-BAMLL Trust 2012-WRM is a U.S. large loan transaction backed by two uncrossed fixed-rate mortgage loans with a collateral pool balance of $415.0 million as of the March 11, 2022, trustee remittance report (which is unchanged from issuance). The pooled trust has not incurred any principal losses to date. S&P's property-level analysis included a reevaluation of the two regional malls backing the two loans in the pool, using servicer-provided operating statements from 2018 through the nine months ended Sept. 30, 2021, and the December 2021 rent rolls and tenant sales reports. Westfield Galleria at Roseville loan The Westfield Galleria at Roseville loan, the larger of the two loans, has a $275.0 million trust balance (66.3% of the pooled trust balance), unchanged from issuance. The loan is secured by 680,571 sq. ft. of a 1.33 million-sq.-ft., two-level enclosed regional mall in Roseville, Calif. The IO loan pays an annual fixed interest rate of 4.245% and matures on June 1, 2022. S&P's property-level analysis considered that the servicer-reported NCF was relatively stable from 2013 to 2019, prior to the COVID-19 pandemic, at $36.1 million to $38.5 million. During the pandemic, NCF declined 15.8% to $30.4 million. The servicer reported a $22.4 million NCF for the nine months ended Sept. 30, 2021. The steep decline in 2020 was due primarily to decreasing base rent revenue. According to the December 2021 tenant sales report, the in-line tenant sales figure was $794 per sq. ft., as calculated by S&P Global Ratings. As of the Dec. 31, 2021, rent roll, the collateral property was 93.1% leased, and the five largest collateral tenants comprised 21.4% of net rentable area (NRA). These tenants included Crate & Barrel (5.7% of NRA; January 2026 lease expiration), Forever 21 (5.1%; January 2023), Zara (3.7%; June 2025), H&M (3.6%; January 2022), and Pottery Barn (3.2%; January 2025). The mall also includes three noncollateral anchors: Macy's (220,000 sq. ft.), J.C. Penney (165,825 sq. ft.), and Nordstrom (144,000 sq. ft.). The mall faces elevated tenant rollover in 2021 and 2022 (29.4% of NRA) and 2025 (19.8%). The servicer, KeyBank Real Estate Capital (KeyBank), reported an 89.0% occupancy rate and 2.52x DSC on the trust balance for the nine months ended Sept. 30, 2021. S&P said, "Our current analysis on the Westfield Galleria at Roseville loan considered tenant bankruptcies and store closures, and excluded income from tenants that are no longer listed on the mall directory website or that have announced store closures, which resulted in our assumed collateral occupancy rate of 86.3%. We derived a sustainable NCF of $28.7 million, which is 10.8% and 5.8% lower than our last review in December 2020 and the 2020 servicer reported NCF, respectively. We then divided our NCF by an S&P Global Ratings capitalization rate of 7.00% (unchanged from our last review), arriving at our expected-case value of $409.5 million, which is down 10.8% from our last review value of $459.0 million. This yielded an S&P Global Ratings LTV ratio of 67.2% and an S&P Global Ratings DSC of 2.42x on the trust balance." Westfield MainPlace loan The Westfield MainPlace loan has a $140.0 million trust balance, unchanged from issuance, and is secured by 616,591 sq. ft. of a 1.13 million-sq.-ft. three-level enclosed regional mall in Santa Ana, Calif. The IO loan pays an annual fixed interest rate of 4.245% and matures on June 1, 2022. S&P said, "Our property-level analysis considered the year-over-year decline in the servicer-reported NCF from 2017 through 2020, decreasing 10.8% to $20.1 million in 2017, 21.6% to $15.8 million in 2018, 8.0% to $14.5 million in 2019, and 31.6% to $9.9 million in 2020. The servicer reported a $4.9 million NCF as of the nine months ended Sept. 30, 2021. We attributed the significant decline in 2020 performance primarily to lower base rent, expense reimbursement income, percentage rent, and flat expenses." According to the December 2021 tenant sales report, the in-line tenant sales figure was $202 per sq. ft., as calculated by S&P Global Ratings. As of the Dec. 31, 2021, rent roll, the collateral property was 90.2% leased, and the five largest collateral tenants comprised 46.4% of the NRA. These tenants included Open Market OC (16.7% of NRA; September 2021 lease expiration), J.C. Penney (16.1%; March 2027), Picture Show (4.7%; January 2022), 24 Hour Fitness (4.7%; December 2030), and Round 1 (4.3%; May 2025). The mall faces concentrated tenant rollover in 2021 and 2022 (38.2% of NRA) and 2027 (17.9%). KeyBank reported a 1.05x DSC and 77.9% occupancy as of the nine months ended Sept. 30, 2021. S&P said, "Similar to the Westfield Galleria at Roseville loan, our analysis on the Westfield MainPlace loan considered tenant bankruptcies and store closures and excluded income from tenants that are no longer listed on the mall directory website or that have announced store closures, which resulted in our assumed collateral occupancy rate of 67.8%. We derived a sustainable NCF of $9.9 million, down 22.7% and relatively flat from our last review and the servicer-reported 2020 NCF, respectively. Using an S&P Global Ratings capitalization rate of 9.75% (unchanged from our last review), we arrived at our expected-case value of $101.6 million, which is down 22.7% from our last review value of $131.4 million. This yielded an S&P Global Ratings LTV ratio of 137.8% and an S&P Global Ratings DSC of 1.64x. "The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic as well as the importance and benefits of vaccines. While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, we do not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, we continue to assess how well each issuer adapts to new waves in its geography or industry." Ratings Lowered UBS-BAMLL Trust 2012-WRM Class A: to 'AA (sf)' from 'AA+ (sf)' Class B: to 'A- (sf)' from 'AA- (sf)' Class C: to 'BB (sf)' from 'BBB (sf)' Class D: to 'CCC (sf)' from 'B- (sf)' Class X-A: to 'AA (sf)' from 'AA+ (sf)' Ratings Affirmed UBS-BAMLL Trust 2012-WRM Class E: CCC (sf) Class X-B: CCC (sf) UNITED AIRLINES 2016-2: Fitch Affirms 'BB+' on Class B Certs ------------------------------------------------------------ Fitch Ratings has affirmed United's 2019-1, 2018-1, 2016-2, 2016-1, 2014-2, 2014-1, 2013-1, and Continental's 2012-2 enhanced equipment trust certificate (EETC) ratings, inclusive of both senior and subordinated tranches. Fitch has also affirmed United's 2019-2 and 2016-2 class AA and B certificates at 'A+' and 'BB+', respectively. Fitch has downgraded United's 2019-2 class A certificates to 'BBB' from 'BBB+', and United's 2016-2 class A certificates to 'BBB-' from 'BBB'. Loan-to-value (LTV) ratios have largely stabilized in the midst of returning air traffic, supporting the current ratings of the class AA, A and B tranches. Downgrades of United's 2019-2 and 2016-2 certificates are largely due to falling widebody values, increasing LTVs beyond that of their current ratings. Affirmation factors within the pools are largely unchanged, as United's fleet renewal is largely in line with Fitch's prior expectations. High affirmation factors and liquidity facilities support the notching from United's 'B+' Issuer Default Rating (IDR). KEY RATING DRIVERS Class A Downgrades: Fitch has downgraded the United 2019-2 class A certificates, to 'BBB' from 'BBB+'. Fitch has also downgraded the 2016-2 class A certificates to 'BBB-' from 'BBB'. The 2019-2 downgrade was driven by declining collateral coverage, however, they continue to pass Fitch's 'BBB' level stress test with limited headroom. Stress scenario LTVs rose to 98.5% over the period, which is more in line with a 'BBB' rating. The 2016-2 class A certificates saw LTVs rise to 100.8% in the 'BBB' stress scenario. Consequently, the 'BBB-' rating is now supported by Fitch's 'bottom-up' approach with the 4-notch uplift driven by a high affirmation factor and strong recovery prospects. Both transactions are exposed to the 777-300ER widebody aircraft, which experienced base values fall 14.6% (annualized) from the prior period. Additional pressure on the 2019-2 transaction stems from declines in the 2020 vintage 787-9s, which fell over 9% during the period. Senior Tranche Affirmations: The affirmation of United's class AA certificates for the 2019-2, 2019-1, 2018-1, 2016-2, and 2016-1 transactions is supported by strong LTVs. These transactions hold material headroom within Fitch's 'A' stress scenario, with stress case LTVs generally in the mid 70% range. Fitch has affirmed the 2014-2 and 2014-1 transactions at 'A' and 'A-', respectively, as they continue to pass Fitch's 'A' level stress scenario with material headroom. United's 2014-2 transaction saw its LTV improve by 0.6% as collateral values within the pool stabilized. The 2014-2 collateral pool consists of ERJ175s, 737-900ERs and B787-9s, of which all fell at or below Fitch's base depreciation assumption of 6%. Additionally, the 2014-1 transaction passed the 'A' stress scenario, with LTVs falling to 97.3%, down from 100% in the prior review. This transaction features a relatively fast amortization schedule than United's other transactions, which is expected to lead to strong LTVs for the rating. The affirmation of the 2019-1, 2018-1, 2016-1 and 2013-1 class A certificates at 'BBB' reflects the transactions' ability to pass the 'BBB' stress scenario with sufficient headroom. Continental's 2012-2 class A certificates' 'A' level stress LTV increase marginally to 95.1% during the period, which still supports the current 'BBB+' rating. These transactions feature eight different types of aircraft, of which a majority experienced annualized period-over-period declines in the range of 5%-7%. A majority of these transactions experienced LTVs increase about 1% from the prior period, with the exception of 2019-1 which improved slightly due to its exposure to more stable, and younger ERJ175s, 737-MAX 9s, and 787-10s. The 2018-1 and 2016-1 transactions experienced upward pressure on LTVs due to 777-300ER collateral exposure. The 777-300ER makes up a significant portion of United's 2016-1 collateral, which could lead to a negative rating action if base values continue to decline. Unlike other United transactions which feature up to four types of aircraft, the 2013-1 collateral pool features only two types of older 737-MAX 9s and 787-8s. These aircraft held up relatively well, however, older 787-8s did see double digit annual declines. Fitch currently views the 777-300ER aircraft as strategically important to United's fleet. Should this viewpoint change, potentially in relation to a long-term decline in demand for international travel, it could lead to a decline in the affirmation factors for the 2019-2, 2018-1, 2016-2, and 2016-1 transactions. Subordinated Tranche Ratings: Fitch has affirmed all of United's class B certificates. Fitch notches subordinated tranche EETC ratings from the airline IDR based on three primary variables: 1) the affirmation factor (0-3 notches); 2) the presence of a liquidity facility, (0-1 notch); and 3) recovery prospects (0-1 notch). United's class B certificates are rated either 'BB+' or 'BBB-'. All of the class B certificates have received a +2-notch uplift for a high affirmation factor and a +1-notch uplift for the presence of a liquidity facility. The 2014-2 transaction is the only class B certificate that received a +1-notch uplift for superior recovery prospects. The remainder of United's class B certificates are rated 'BB+' and did not receive a notch uplift for recovery prospects and include 2019-2, 2018-1, 2016-2, and 2016-1. LTV Summary: LTV calculations are approximate and reflect the lower of mean or median of three appraised values. UAL 2019-2 class AA: Base Case - 47.5%, 'A' Stress Case - 77%; UAL 2019-2 class A: Base Case - 67%, 'BBB' Stress Case - 99%; UAL 2019-1 class AA: Base Case - 46%, 'A' Stress Case - 77%; UAL 2019-1 class A: Base Case - 66%, 'BBB' Stress Case - 98%; UAL 2018-1 class AA: Base Case - 48%, 'A' Stress Case - 77%; UAL 2018-1 class A: Base Case - 67%, 'BBB' Stress Case - 96%; UAL 2016-2 class AA: Base Case - 47%, 'A' Stress Case - 78%; UAL 2016-2 class A: Base Case - 68%, 'BBB' Stress Case - 100.8%; UAL 2016-1 class AA: Base Case - 46%, 'A' Stress Case - 76%; UAL 2016-1 class A: Base Case - 67%, 'BBB' Stress Case - 98%; UAL 2014-2 class A: Base Case - 60%, 'A' Stress Case - 92%; UAL 2014-1 class A: Base Case - 63%, 'A' Stress Case - 97%; UAL 2013-1 class A: Base Case - 66%, 'BBB' Stress Case - 98%; CAL 2012-2 class A: Base Case - 65%, 'BBB' Stress Case - 95%. Affirmation Factor: Fitch's views on transaction specific affirmation factors are consistent with prior reviews. Fitch views the affirmation factor as 'high' for each transaction but assigns an uplift of '+2' notches rather than the maximum allowance of +3 notches. Fitch considers United's 2020 EETC issuance to be a modest detractor for the affirmation factor for each of the transactions that Fitch rates. United raised $3 billion in an EETC transaction secured by 352 older vintage aircraft, 99 spare engines, and some spare parts. The aircraft in the pool make up some 45% of United's total mainline fleet. The large number of aircraft included in the transaction along with the operational importance of the spare engines and parts makes it extremely unlikely that United would reject its most recent EETC in a bankruptcy scenario, and modestly increasing the possibility of rejection for its smaller EETC transactions. DERIVATION SUMMARY The certificates rated 'A+' are in line with other class 'AA' certificates in certain American Airlines transactions and one notch higher than ratings for several class A certificates issued by other carriers. Stress scenario LTVs for the 2019-2, 2019-1, 2018-1 and 2016-1 transactions remain low and continue to support the 'A+' rating. Class A certificates that are rated in the 'A' category compare well with issuances from American and Air Canada that are also rated in the 'A' category. These rating comparisons are driven by similar levels of overcollateralization and high-quality pools of collateral. Class A certificates rated at 'A-' are a notch lower than several other comparable issuances primarily due to weaker levels of overcollateralization. 'BB+' ratings are derived through a 3-notch uplift from United's IDR. The notching differential is one less than certain transactions issued by American Airlines which Fitch views as having a more supportive affirmation factor. The 3-notch uplift incorporates +2 for affirmation and +1 for the presence of a liquidity facility. The 2014-2 transaction receives an additional notch for strong recovery prospects. KEY ASSUMPTIONS -- Key assumptions within the rating case for the issuer include a harsh downside scenario in which United declares bankruptcy, chooses to reject the collateral aircraft, and where the aircraft are remarketed in the midst of a severe slump in aircraft values. A United Airlines bankruptcy is hypothetical, and is not Fitch's current expectation as reflected in United's 'B+' IDR. Fitch's models also incorporate a full draw on liquidity facilities and include assumptions for repossession and remarketing costs; -- Fitch's recovery analyses for subordinated tranches utilize Fitch's 'BB' level stress tests and include a full draw on liquidity facilities and assumptions for repossessions and remarketing costs; -- Fitch's analysis incorporates a 6% annual depreciation rate for Tier I aircraft and a 7% annual depreciation rate for Tier II aircraft. Fitch has increased its depreciation rate assumptions modestly reflecting updated analysis of historical aircraft value trends; -- 'A' level stresses incorporate a 25% haircut for 787-9, 737- 800, and 737 MAX 9 aircraft and a 30% haircut for 777- 300ER,787-8 , 737-900ER, ERJ 175, and 787-10 aircraft. RATING SENSITIVITIES United's class AA and A certificates are primarily based on a top-down analysis based on the value of the collateral. Therefore, a negative rating action could be driven by an unexpected decline in collateral values. All the class AA certificates remain well overcollateralized to support 'A+' ratings. Negative rating actions on the UAL 2019-2, 2019-1, 2016-1, 2013-1, and CAL 2012-2 class 'A' certificates could occur if there are modestly higher declines in base values relative to Fitch's baseline assumptions, however, multiple notch downgrades are unlikely due to strong recoveries and high affirmation factors. Subordinated tranche ratings are based off of United's underlying airline IDR of 'B+' and are sensitive to recovery expectations in a stress scenario. Subordinate tranches are also subject to changes in Fitch's view of the likelihood of affirmation for the underlying collateral. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Non-Financial Corporate issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three 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 four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. LIQUIDITY AND DEBT STRUCTURE UAL 2019-2 All three tranches of debt in this transaction feature a dedicated liquidity facility provided by NAB (Fitch rated A+/F1+/Stable). UAL 2019-1 The 'A' and 'B' tranches of debt in this transaction feature a dedicated liquidity facility provided by NAB (Fitch rated A+/F1+/Stable). UAL 2018-1 All three tranches of debt in this transaction feature a dedicated liquidity facility provided by NAB (Fitch rated A+/F1+/Stable). UAL 2016-2 All three tranches of debt in this transaction feature a dedicated liquidity facility provided by Commonwealth bank of Australia (Fitch rated A+/F1/Stable). UAL 2016-1 All three tranches of debt in this transaction feature a dedicated liquidity facility provided by Commonwealth bank of Australia (Fitch rated A+/F1/Stable). UAL 2014-2 The 'A' and 'B' tranches of debt in this transaction feature a dedicated liquidity facility provided by BNP Paribas (Fitch rated A+/F1/Stable). UAL 2014-1 The 'A' and 'B' tranches of debt in this transaction feature a dedicated liquidity facility provided by Credit Agricole (Fitch rated A+/F1/Stable). UAL 2013-1 The 'A' and 'B' tranches of debt in this transaction feature a dedicated liquidity facility provided by Natixis (Fitch rated A+/F1/Negative). Continental 2012-2 The 'A' and 'B' tranches of debt in this transaction feature a dedicated liquidity facility provided by Natixis (Fitch rated A+/F1/Negative). ESG Commentary Fitch does not provide separate ESG scores for American Airlines' EEETC transactions as ESG scores are derived from its parent. DEBT RATING PRIOR ---- ------ ----- United Airlines Pass Through Trust Series 2014-2 senior secured LT A Affirmed A senior secured LT BBB- Affirmed BBB- United Airlines Pass Through Trust Series 2016-2 senior secured LT BBB- Downgrade BBB senior secured LT BB+ Affirmed BB+ senior secured LT A+ Affirmed A+ United Airlines Pass Through Trust Series 2013-1 senior secured LT BBB Affirmed BBB United Airlines Pass Through Trust Series 2016-1 senior secured LT BBB Affirmed BBB senior secured LT BB+ Affirmed BB+ senior secured LT A+ Affirmed A+ Continental Airlines Pass Through Trust Series 2012-2 senior secured LT BBB+ Affirmed BBB+ United Airlines Pass Through Certificate Series 2019-2 senior secured LT BB+ Affirmed BB+ senior secured LT A+ Affirmed A+ senior secured LT BBB Downgrade BBB+ United Airlines Pass Through Certificates Series 2019-1 senior secured LT A+ Affirmed A+ senior secured LT BBB Affirmed BBB United Airlines Pass Through Trust Series 2018-1 senior secured LT BB+ Affirmed BB+ senior secured LT A+ Affirmed A+ senior secured LT BBB Affirmed BBB United Airlines Pass Through Trust Series 2014-1 senior secured LT A- Affirmed A- WELLS FARGO 2022-2: Fitch Gives 'B+(EXP)' Rating to B-5 Certs -------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Wells Fargo Mortgage-Backed Securities 2022-2 Trust (WFMBS 2022-2). DEBT RATING ---- ------ WFMBS 2022-2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-IO1 LT AAA(EXP)sf Expected Rating A-IO2 LT AAA(EXP)sf Expected Rating A-IO3 LT AAA(EXP)sf Expected Rating A-IO4 LT AAA(EXP)sf Expected Rating A-IO5 LT AAA(EXP)sf Expected Rating A-IO6 LT AAA(EXP)sf Expected Rating A-IO7 LT AAA(EXP)sf Expected Rating A-IO8 LT AAA(EXP)sf Expected Rating A-IO9 LT AAA(EXP)sf Expected Rating A-IO10 LT AAA(EXP)sf Expected Rating A-IO11 LT AAA(EXP)sf Expected Rating B-1 LT AA+(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB+(EXP)sf Expected Rating B-5 LT B+(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 516 prime fixed-rate mortgage loans with a total balance of approximately $348.8 million as of the cutoff date. All of the loans were originated by Wells Fargo Bank, N.A. (Wells Fargo) and 99.8% of the loans are agency eligible loans. 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 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable 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 18.2% yoy nationally as of December 2021. Prime Credit Quality (Positive): The pool consists entirely of 30-year fixed-rate loans to borrowers with a strong credit profile (760 FICO and 36% DTI) and relatively low leverage (69.4% sLTV). The pool consists of 99.4% of loans where the borrower maintains a primary residence and 53.4% of the loans were originated through a retail channel. All loans are Safe Harbor Qualified Mortgages (SHQM) and all but one loan in the pool is agency eligible (0.2%). Shifting Interest Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate shifting interest structure. The subordinate classes will be locked out of receiving unscheduled principal distributions for the first five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Full Servicer Advancing (Mixed): The servicer will provide full advancing of principal and interest until they are deemed nonrecoverable. Fitch's loss severities reflect reimbursement of amounts advanced by the servicer from liquidation proceeds based on its liquidation timelines assumed at each rating stress. In addition, the CE for the rated classes has some cushion for recovery of servicer advances for loans that are modified following a payment forbearance. Subordination Floors (Positive): CE or subordination floors of 0.85% have been considered in order to mitigate potential tail end risk and loss exposure for the senior tranche and junior tranches, as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- 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 41.7% 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. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10%. 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 Clayton Services LLC. The third-party due diligence described in Form 15E focused on a compliance review, credit review and valuation review. The due diligence company performed a review on 45.7% of the loans. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: loans with due diligence received a credit in the loss model. This adjustment reduced the 'AAAsf' expected losses by 8bps. ESG CONSIDERATIONS WFMBS 2022-2 has an ESG Relevance Score of '4+' for Transaction Parties & Operational Risk. Operational risk is well controlled for in this transaction, including a strong R&W counterparty and transaction due diligence as well as a strong originator and servicer, which contributed to reduced expected losses in the rating analysis. 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. WELLS FARGO 2022-2: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to twenty-five classes of residential mortgage-backed securities (RMBS) issued by Wells Fargo Mortgage Backed Securities 2022-2 Trust (WFMBS 2022-2). The ratings range from (P)Aaa (sf) to (P)B2 (sf). The transaction represents the eighteenth RMBS issuance sponsored by Wells Fargo Bank, N.A. (Wells Fargo Bank, long term deposit Aa1, the sponsor and mortgage loan seller) since 2018 and features mortgage loans with strong collateral characteristics. WFMBS 2022-2 is the second prime issuance by Wells Fargo Bank in 2022 predominantly backed by agency-eligible collateral. The pool consists of 516 30-year, fixed rate, predominantly conforming residential mortgage loans (only one is non-conforming) with an unpaid principal balance of $348,786,956. The mortgage loans for this transaction were originated by Wells Fargo Bank and are designated as qualified mortgages (QM) under the QM safe harbor rules. Wells Fargo Bank will service all the loans and Computershare Trust Company N.A. (Computershare, issuer rating Baa2), will be the master servicer for this transaction. Servicing compensation is subject to a step-up incentive fee structure and the servicer will advance delinquent principal and interest (P&I), unless deemed nonrecoverable. The credit quality of the transaction is further supported by an unambiguous representation and warranty (R&W) framework and a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate 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: Wells Fargo Mortgage Backed Securities 2022-2 Trust Cl. A-1, Provisional Rating Assigned (P)Aaa (sf) Cl. A-2, Provisional Rating Assigned (P)Aaa (sf) Cl. A-3, Provisional Rating Assigned (P)Aaa (sf) Cl. A-4, Provisional Rating Assigned (P)Aaa (sf) Cl. A-5, Provisional Rating Assigned (P)Aaa (sf) Cl. A-6, Provisional Rating Assigned (P)Aaa (sf) Cl. A-7, Provisional Rating Assigned (P)Aaa (sf) Cl. A-8, Provisional Rating Assigned (P)Aaa (sf) Cl. A-9, Provisional Rating Assigned (P)Aaa (sf) Cl. A-10, Provisional Rating Assigned (P)Aaa (sf) Cl. A-11, Provisional Rating Assigned (P)Aaa (sf) Cl. A-12, Provisional Rating Assigned (P)Aaa (sf) Cl. A-13, Provisional Rating Assigned (P)Aaa (sf) Cl. A-14, Provisional Rating Assigned (P)Aaa (sf) Cl. A-15, Provisional Rating Assigned (P)Aaa (sf) Cl. A-16, Provisional Rating Assigned (P)Aaa (sf) Cl. A-17, Provisional Rating Assigned (P)Aa1 (sf) Cl. A-18, Provisional Rating Assigned (P)Aa1 (sf) Cl. A-19, Provisional Rating Assigned (P)Aaa (sf) Cl. A-20, Provisional Rating Assigned (P)Aaa (sf) Cl. B-1, Provisional Rating Assigned (P)Aa3 (sf) Cl. B-2, Provisional Rating Assigned (P)A3 (sf) Cl. B-3, Provisional Rating Assigned (P)Baa3 (sf) Cl. B-4, Provisional Rating Assigned (P)Ba2 (sf) Cl. B-5, Provisional Rating Assigned (P)B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.28%, in a baseline scenario-median is 0.12%, and reaches 4.61% at a stress level consistent with Moody's Aaa ratings. Collateral Description Moody's assessed the collateral pool as of the cut-off date of April 1, 2022. WFMBS 2022-2 is a securitization of 516 30-year, fixed rate, predominantly conforming residential mortgage loans with an aggregate principal balance of approximately $348,786,956. The mortgage loans in this transaction have strong borrower characteristics with a weighted-average (WA) original FICO score of 760 and a WA combined loan to-value ratio (LTV) of 66.1%. In addition, by stated principal balance, 12.6% of the borrowers are self-employed, refinance loans account for approximately 45.4%, of which 11.6% are cash-out loans. The pool has a clean pay history and a WA seasoning of 7 months. Approximately 87.7% (by stated principal balance) of the properties backing the mortgage loans are located in five states: California, Washington, Virginia, New Jersey and New York with 52.8% (by stated principle balance) of the properties located in California. Origination Quality Wells Fargo Bank is an indirect, wholly-owned subsidiary of Wells Fargo & Company. Wells Fargo & Company is a U.S. bank holding company with approximately $1.97 trillion in assets and approximately 266,000 employees as of June 30, 2021, which provides banking, insurance, trust, mortgage and consumer finance services throughout the United States and internationally. Wells Fargo Bank has sponsored or has been engaged in the securitization of residential mortgage loans since 1988. Approximately 99.8% of the mortgage loans by unpaid principal balance for this transaction are originated in accordance with Wells Fargo Bank's agency underwriting guidelines that generally conform to either or both of the Fannie Mae and Freddie Mac guidelines and the remaining 1 loan is originated in accordance with Wells Fargo Bank's non-conforming underwriting guidelines. After considering the company's origination practices including underwriting, QC/audit and performance, Moody's made no additional adjustments to Moody's base case and Aaa loss expectations for overall origination quality. Third Party Review One independent third-party review (TPR) firm, Clayton Services LLC (Clayton), was engaged to conduct due diligence for the credit, regulatory compliance, property valuation and data accuracy for 45.7% of mortgage loans in this transaction. The due diligence results showed a number of loans with a final B grade where the exception remains. Many of the grade B loans were underwritten using underwriter discretion. The due diligence firm noted that these exceptions are minor and/or provided an explanation of compensating factors. There are two loans in the sample pool with a credit review grading of C which were subsequently removed from the pool. Moody's have considered the aforementioned factors in Moody's analysis and ultimately did not make any adjustment to Moody's losses for TPR. Representation & Warranties Moody's assessed the R&W framework for this transaction as adequate. Moody's analyzed the strength of the R&W provider, the R&Ws themselves and the enforcement mechanisms. The R&W provider, Wells Fargo Bank, is highly rated, the breach reviewer is independent, and the breach review process is well laid out. As a result, Moody's did not make any additional adjustment to Moody's base case and Aaa loss expectations for R&Ws. 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 shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 0.85% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 0.85% of the closing pool balance. Moody's calculate the credit neutral floors for a given target rating as shown in Moody's principal methodology. The senior subordination floor of 0.85% and subordinate floor of 0.85% are consistent with the credit neutral floors for the assigned ratings. Transaction Structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all unscheduled principal collections to the senior bond for a specified period of time and increasing amounts of unscheduled principal collections to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. All certificates in this transaction are subject to a net WAC cap. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Servicing Arrangement Moody's consider the overall servicing framework for this pool to be adequate given the servicing arrangement of the servicer, as well as the presence of an experienced master servicer. As a result, Moody's did not make any additional adjustment to Moody's losses. Unlike WFMBS 2021-2, in which Wells Fargo Bank fulfilled the roles of both the servicer and master servicer, in this transaction, Wells Fargo Bank will service all of the mortgage loans while Computershare will act as master servicer. The transaction documents contain a clause whereby the master servicer will maintain a rating of "Baa3" or higher from Moody's. Computershare is a national banking association and a wholly-owned subsidiary of Computershare Ltd., 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. 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 these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022. WOODMONT 2018-4: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1A-R, A-1B-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from Woodmont 2018-4 Trust, a CLO originally issued in April 2018 that is managed by MidCap Financial Services Capital Management LLC. On the April 11, 2022, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. Therefore, S&P withdrew its ratings on the original notes and assigned ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Woodmont 2018-4 Trust Class A-1R, $580.00 million: AAA (sf) Class A-2R, $25.00 million: AAA (sf) Class B-R, $75.00 million: AA (sf) Class C-R (deferrable), $80.00 million: A (sf) Class D-R (deferrable), $60.00 million: BBB- (sf) Class E-R (deferrable), $70.00 million: BB- (sf) Certificates, $110.27 million: Not rated Ratings Withdrawn Woodmont 2018-4 Trust Class A-1, $316.25 million: AAA (sf) Class A-2, $16.50 million: AAA (sf) Class B, $46.75 million: AA (sf) Class C (deferrable), $41.25 million: A (sf) Class D (deferrable), $35.75 million: BBB- (sf) Class E (deferrable), $33.00 million: BB (sf) [*] S&P Takes Various Actions on 468 Classes from 20 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 468 classes from 20 U.S. RMBS credit-risk transfer transactions issued from 2016 to 2021 by both Fannie Mae and Freddie Mac. The transactions are primarily backed by prime conforming collateral. The review yielded 269 upgrades and 199 affirmations. A list of Affected Ratings can be viewed: https://bit.ly/3xxTKXT For each mortgage reference pool, S&P performed credit analysis using updated loan-level information from which it determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. S&P used a mortgage operational assessment (MOA) factor of 0.80x for both Fannie Mae and Freddie Mac, except for two transactions backed by the seasoned originations, Freddie Mac Structured Agency Credit Risk debt notes, series 2018-HRP2 and Freddie Mac Structured Agency Credit Risk debt notes, series 2019-HRP1, for which the MOA factor was 1.0x. The upgrades primarily reflect deleveraging as each respective transaction seasons and lowers its default expectations for the remaining collateral as its combined loan-to-value ratio decrease. The transactions benefit from low accumulated losses to date, high prepayment speeds, sequential payment to the rated classes, and a growing percentage of credit support to the rated classes. Although the transactions' delinquency percentages remain elevated compared with pre-COVID-19 levels due to extended forbearances and declining pool balances from high prepayments, they have generally been leveling off or declining in the reviewed transactions. Delinquency levels have caused several of the reviewed transactions' delinquency triggers to fail, locking out some classes from principal payments. Some of the upgraded classes would likely pay off soon after delinquency triggers pass, given current prepayment speeds. In addition, several transactions also allow for the distribution of principal to the subordinate notes, despite the failure of the delinquency trigger, if a certain percentage of available subordination is met. The upgrades also reflect an average rating movement of 2.8 notches. Of the 269 upgraded classes, 225 were exchangeable certificates. Excluding the exchangeables, the upgrades reflect an average rating movement of 2.8 notches. The affirmations reflect S&P's view that the projected collateral performance relative to our projected credit support on these classes remain relatively consistent with our prior projections. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by the application of its criteria. These considerations are based on transaction-specific performance or structural characteristics (or both), and their potential effects on certain classes. Some of these considerations include: -- Factors related to the COVID-19 pandemic; -- Collateral performance or delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected short duration; and -- Available subordination and credit enhancement floors. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic, as well as the importance and benefits of vaccines. While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, our current base-case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, S&P does not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, S&P continues to assess how well each issuer adapts to new waves in its geography or industry. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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