/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220529.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, May 29, 2022, Vol. 26, No. 148 Headlines ANGEL OAK 2022-3: Fitch Assigns B Rating on Class B-2 Debt ARIVO ACCEPTANCE 2022-1: DBRS Gives Prov. BB Rating on D Notes BANK 2018-BNK13: Fitch Lowers Rating on 2 Tranches to CCCsf BANK 2022-BNK42: Fitch Gives 'B-sf' Rating on 2 Cert. Classes BARCLAYS MORTGAGE 2022-INV1: S&P Assigns B- Rating on Cl. B-2 Notes BBCMS MORTGAGE 2019-C3: Fitch Affirms B- Rating on H-RR Certs BDS 2022-FL11: DBRS Gives Prov. B(low) Rating on Class G Notes BENCHMARK 2018-B4: Fitch Affirms 'B-' Rating on Class G-RR Certs BENCHMARK 2022-B35: Fitch Assigns 'B-' Rating on 2 Tranches BLACKROCK DLF 2021-1: DBRS Confirms B Rating on Class W Notes BRAVO RESIDENTIAL 2022-NQM1: DBRS Finalizes B(high) on B-2 Notes CARLYLE US 2022-2: Moody's Assigns Ba3 Rating to $20MM Cl. D Notes CARVANA AUTO 2022-P2: S&P Assigns BB- (sf) Rating on Class N Notes CASCADE FUNDING 2022-RM4: DBRS Finalizes B Rating on M-5 Notes CHASE AUTO 2021-2: Fitch Hikes Rating on Class F Notes to BB CITIGROUP 2018-C5: Fitch Affirms 'B-' Rating on Class G-RR Certs CITIGROUP COMMERCIAL 2006-C4: Moody's Cuts C Certs Rating to Caa1 CITIGROUP COMMERCIAL 2012-GC8: Fitch Cuts Class E Debt Rating to C CML ISSUER 2014-1: Fitch Lowers Rating on Class G Certs to B-sf COLT 2022-5: Fitch Assigns 'B' Rating on Class B2 Debt COMM 2013-CCRE11: Fitch Affirms 'CCC' Rating on Class F Debt COMM 2015-3BP: DBRS Confirms BB(low) Rating on Class F Certs CORE 2019-CORE: DBRS Confirms BB(low) Rating on Class F Certs CSMC TRUST 2017-CALI: S&P Lowers Class F Certs Rating to 'CCC(sf)' CSMC TRUST 2017-MOON: DBRS Confirms BB(high) Rating on 2 Classes CSMC TRUST 2022-ATH2: S&P Gives Prelim. B- Rating on Cl. B-2 Notes DEEPHAVEN RESIDENTIAL 2022-2: DBRS Finalizes B Rating on B-2 Notes DRYDEN XXVI: S&P Affirms BB- (sf) Rating on Class E-R Notes FORTRESS CREDIT XVII: S&P Assigns BB- (sf) Rating on Class E Notes FS RIALTO 2022-FL4: DBRS Finalizes B(low) Rating on Class G Notes GAM RE-REMIC 2021-FRR1: DBRS Confirms B(low) Rating on 2 Classes GCAT 2022-NQM3: S&P Assigns B(sf) Rating on Class B-2 Certificates GOLDENTREE LOAN: Fitch Assigns BB+ Rating to Class E Debt GPMT 2021-FL3: DBRS Confirms B(low) Rating on Class G Notes GRACIE POINT 2022-1: DBRS Confirms BB Rating on Class E Notes GS MORTGAGE 2010-C1: Moody's Lowers Rating on Cl. X Certs to Ca GS MORTGAGE 2017-GS7: Fitch Affirms B- Rating on Class H-RR Certs GS MORTGAGE 2018-GS10: Fitch Affirms 'B-' Rating on Class G-RR Debt GS MORTGAGE 2019-GC40: Fitch Affirms B- Rating on Class G-RR Certs GS MORTGAGE 2022-PJ5: Moody's Assigns (P)B3 Rating to Cl. B-5 Debt HGI CRE CLO 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes HGI CRE CLO 2022-FL3: DBRS Finalizes B(low) Rating on G Notes HUDSON'S BAY: DBRS Confirms B Rating on Class X-2-FL Certs JAMESTOWN CLO II: S&P Raises Class D-R Notes Rating to 'BB- (sf)' JP MORGAN 2021-MHC: DBRS Confirms BB Rating on Class E Certs JP MORGAN 2022-ACB: DBRS Finalizes B(low) Rating on Class G Certs KAWARTHA CAD 2022-1: DBRS Gives Prov. BB Rating on Class E Notes KRUGER PRODUCTS: DBRS Confirms B(high) Issuer Rating LIFE MORTGAGE 2022-BMR2: Moody's Assigns Ba3 Rating to HRR Certs MELLO MORTGAGE 2022-INV2: DBRS Finalizes BB Rating on B-4 Certs MFA 2022-INV1: DBRS Gives Prov. B Rating on Class B-2 Certs MFA 2022-NQM1: DBRS Finalizes B Rating on Class B-2 Certs MFA 2022-NQM2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs MONROE CAPITAL X: Moody's Assigns Ba3 Rating $28MM Class E-R Notes MORGAN STANLEY 2014-C18: Fitch Affirms 'B' Rating on 300-E Certs MORGAN STANLEY 2015-420: S&P Affirms BB+(sf) Rating on Cl. E Certs MORGAN STANLEY 2015-XLF2: DBRS Confirms C Rating on 3 Classes MORGAN STANLEY 2015-XLF2: Fitch Affirms 'C' Rating on SNMD Debt MORGAN STANLEY 2017-CLS: DBRS Confirms B Rating on Class HRR Certs MTN COMMERCIAL 2022-LPFL: DBRS Finalizes BB(low) Rating on E Certs MVW 2022-1: S&P Assigns BB- (sf) Rating on $29.656MM Class D Notes MVW LLC 2022-1: Fitch Assigns 'BB' Rating on Class D Notes NYC COMMERCIAL 2021-909: DBRS Confirms BB(low) Rating on E Certs NYT 2019-NYT: DBRS Confirms BB(high) Rating on Class F Certs OCP CLO 2022-24: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes OCTAGON LTD 64: Fitch Assigns 'BB(EXP)' Rating on Class E Debt OHA CREDIT 11: Moody's Assigns B3 Rating to $1.25MM Class F Notes PALMER SQUARE 2022-2: Moody's Assigns Ba2 Rating to Class D Notes PFP 2019-5: DBRS Hikes Class G Notes Rating to B(high) PRKCM 2022-AFC1: S&P Assigns Prelim B+(sf) Rating on Cl. B-2 Notes RCKT MORTGAGE 2022-4: Moody's Assigns (P)B3 Rating to Cl. B-5 Debt REALT 2019-1: DBRS Confirms B Rating on Class G Certs ROCKFORD TOWER 2022-1: Moody's Assigns Ba3 Rating to $20MM E Notes RUN 2022-NQM1: DBRS Finalizes B(high) Rating on Class B-2 Notes SANTANDER BANK 2022-A: Fitch Assigns 'B(EXP)' Rating on Cl. D Notes STONE STREET 2015-1: DBRS Confirms BB Rating on Class C Notes TELOS CLO 2014-6: S&P Affirms CCC+ (sf) Rating on Class E Notes TRK 2022-INV2: S&P Assigns B (sf) Rating on Class B-2 Certs UBS-BARCLAYS 2012-C2: Moody's Lowers Rating on Class E Certs to C UNITY-PEACE PARK: Moody's Assigns Ba3 Rating to Class E Notes VENTURE 45 CLO: Moody's Assigns Ba3 Rating to $20MM Class E Notes VERUS SECURITIZATION 2022-5: Fitch Gives B-(EXP) Rating on B-2 Note WELLS FARGO 2015-C27: DBRS Confirms C Rating on Class F Certs WELLS FARGO 2020-C56: Fitch Affirms B-sf Rating on J-RR Certs WELLS FARGO 2022-INV1: Fitch Gives 'B(EXP)' Rating on Cl. B5 Certs WIND RIVER 2022-1: S&P Assigns Prelim BB- (sf) Rating on E Notes [*] DBRS Reviews 518 Classes from 42 U.S. RMBS Transactions [*] DBRS Reviews 814 Classes from 76 U.S. RMBS Transactions [*] Moody's Hikes 22 Tranches From 7 MI CRT Deals Issued 202-2021 [*] S&P Takes Various Actions on 100 Classes from 15 US RMBS Deals [*] S&P Takes Various Actions on 54 Classes from 22 U.S. RMBS Deals ********* ANGEL OAK 2022-3: Fitch Assigns B Rating on Class B-2 Debt ---------------------------------------------------------- Fitch Ratings has assigned final ratings to Angel Oak Mortgage Trust 2022-3 (AOMT 2022-3). DEBT RATING PRIOR ---- ------ ----- AOMT 2022-3 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates to be issued by Angel Oak Mortgage Trust 2022-3 Mortgage-Backed Certificates, Series 2022-3 (AOMT 2022-3). The certificates are supported by 747 loans with a balance of $394.59 million as of the cutoff date. This represents the 23rd Fitch-rated AOMT transaction and the third Fitch-rated AOMT transaction in 2022. The certificates are secured by mortgage loans originated by Angel Oak Home Loans LLC, Angel Oak Mortgage Solutions LLC, and Impac Mortgage Holdings, Inc. All other originators make up less than 10% of the overall loan pool. Of the loans, 66.4% are designated as nonqualified mortgage (non-QM) loans, and 33.6% are investment properties not subject to the Ability to Repay Rule. There is LIBOR exposure in this transaction. Of the pool, 18 loans represent adjustable rate mortgage loans that reference one-year LIBOR. The class A-1, certificates are fixed rate and capped at the net weighted average coupon (WAC), and the A-2, A-3, M-1, B-1, B-2 and B-3 certificates 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 8.4% 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 18.9% yoy nationally as of December 2021. Non-QM Credit Quality (Mixed): The collateral consists of 747 loans totaling $394.59 million and seasoned at approximately 11 months in aggregate, according to Fitch, and nine months per the transaction documents. The borrowers have a strong credit profile (743 FICO and 39.2% debt-to-income [DTI] ratio, as determined by Fitch), along with relatively moderate leverage, with an original combined loan-to-value ratio (LTV) of 68.8%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV of 71.1%. Of the pool, 66.1% represents loans where the borrower maintains a primary or secondary residence, while the remaining 33.9% comprises investor properties based on Fitch's analysis. Fitch determined that 14.8% of the loans were originated through a retail channel. Additionally, 66.4% are designated as non-QM, while the remaining 33.6% are exempt from QM status since they are investor loans. The pool contains 90 loans over $1.0 million, with the largest amounting to $2.9 million. Loans on investor properties (11.9% underwritten to the borrower's credit profile and 22.0% comprising investor cash flow loans) represent 33.9% of the pool, as determined by Fitch. There are no second lien loans, and 1.3% of borrowers were viewed by Fitch as having a prior credit event in the past seven years. Per the transaction documents, one of the loans has subordinate financing. However, in Fitch's analysis, Fitch also considered loans with deferred balances to have subordinate financing. In this transaction, there were 27 loans with deferred balances; therefore, Fitch performed its analysis considering that 28 of the loans to have subordinate financing. Five of the loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, codes as ASF1 (no documentation) for employment and income documentation, if a credit score is not available Fitch uses a credit score of 650 for these borrowers and removes the liquid reserves. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2021 and 2020, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's nonprime model. Geographic Concentration (Negative): The largest concentration of loans is in California (44.1%), followed by Florida and Texas. The largest MSA is Los Angeles (22.4%), followed by New York (7.6%) and Miami (7.5%). The top three MSAs account for 37.5% of the pool. As a result, there was a 1.03x penalty for geographic concentration which increased the loss expectation at the 'AAAsf' level by 0.29%. Loan Documentation (Negative): Fitch determined that 87.2% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 86.0% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which explains the discrepancy between Fitch's percentage and the transaction documents. Of the loans underwritten to borrowers with less than full documentation, 60.8% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the PD by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 22.0% comprise a debt service coverage ratio product, 1.6% are an asset depletion product and 1.3% are third party prepared 12-24 months profit and loss statements with 2-12 months of bank statements for additional documentation. The pool has no loans underwritten only to a CPA product with no additional documentation provided, which Fitch views as a positive. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited 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 the subordinate bonds from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. There is excess spread in the transaction that is available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced after May 2026, since class A-1 has a step-up coupon feature whereby the coupon rate will be the net WAC capped at the initial fixed rate plus 1.0%. 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 40.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Infinity, Consolidated Analytics, SitusAMC, Recovco, Clayton, Covius, Inglet Blair, Maxwell, Opus and Selene. 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 and, as a result, Fitch did not make any adjustments 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 0.38%. 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 Infinity, Consolidated Analytics, SitusAMC, Recovco, Clayton, Covius, Inglet Blair, Maxwell, Opus and Selene 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 were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS AOMT 2022-3 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk due to strong due diligence results on 100% of the pool and a 'RPS1-' Fitch-rated servicer, which 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. ARIVO ACCEPTANCE 2022-1: DBRS Gives Prov. BB Rating on D Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Arivo Acceptance Auto Loan Receivables Trust 2022-1 (ARIVO 2022-1 or the Issuer): -- $159,090,000 Class A Notes at AA (sf) -- $13,720,000 Class B Notes at A (sf) -- $17,720,000 Class C Notes at BBB (sf) -- $10,970,000 Class D Notes at BB (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the cash collateral account and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The DBRS Morningstar CNL assumption is 9.40% based on the cut-off date pool composition. (3) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2022 Update published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including Russian invasion of Ukraine, rising inflation and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive. (4) DBRS Morningstar performed an operational review of Arivo and considers the entity an acceptable originator and servicer of subprime and nonprime auto loans. The Transaction structure provides for a transition of servicing in the event a Servicer Termination Event occurs. Wilmington Trust, National Association (rated AA (low) with a Stable trend by DBRS Morningstar) is the Backup Servicer, and Systems & Services Technologies, Inc. is the contracted subagent to perform the backup servicer's duties. (5) The credit quality of the collateral and performance of Arivo's auto loan portfolio. The weighted-average (WA) remaining term of the Initial Receivables is approximately 65 months with WA seasoning of approximately five months. The nonzero WA credit score of the pool is 560 and the WA APR is 15.73%. (6) The legal structure and expected presence of legal opinions, which will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Arivo, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 25.60% of initial hard credit enhancement provided by subordinated notes in the pool (20.10%), overcollateralization (4.50%) and cash collateral account (1.00% of the aggregate pool balance, including the initial pool balance plus the subsequent receivable balance, and nondeclining). The ratings on the Class B, C and D Notes reflect 19.10%, 10.70% and 5.50% of initial hard credit enhancement, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2018-BNK13: Fitch Lowers Rating on 2 Tranches to CCCsf ----------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 15 classes of BANK 2018-BNK13 commercial mortgage pass-through certificates. In addition, Fitch has revised the Rating Outlooks on classes D, E, X-D and X-E to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- BANK 2018-BNK13 A-1 06539LAW0 LT AAAsf Affirmed AAAsf A-2 06539LAX8 LT AAAsf Affirmed AAAsf A-3 06539LAY6 LT AAAsf Affirmed AAAsf A-4 06539LBA7 LT AAAsf Affirmed AAAsf A-5 06539LBB5 LT AAAsf Affirmed AAAsf A-S 06539LBE9 LT AAAsf Affirmed AAAsf A-SB 06539LAZ3 LT AAAsf Affirmed AAAsf B 06539LBF6 LT AA-sf Affirmed AA-sf C 06539LBG4 LT A-sf Affirmed A-sf D 06539LAJ9 LT BBB-sf Affirmed BBB-sf E 06539LAL4 LT BB-sf Affirmed BB-sf F 06539LAN0 LT CCCsf Downgrade B-sf X-A 06539LBC3 LT AAAsf Affirmed AAAsf X-B 06539LBD1 LT AAAsf Affirmed AAAsf X-D 06539LAA8 LT BBB-sf Affirmed BBB-sf X-E 06539LAC4 LT BB-sf Affirmed BB-sf X-F 06539LAE0 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades of classes F and X-F reflect increased loss expectations for the pool since Fitch's last rating action, mainly driven by the Ditson Building and Fair Oaks Mall loans, as well as continued underperformance of the larger retail Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 4.80%. There are nine FLOCs (25.8%), including two regional mall loans (5.1%). The Outlook revision to Stable from Negative on classes D, E, X-D and X-E reflects performance stabilization of some properties that had been affected by the pandemic, including the return of two previously specially serviced hotel loans to the master servicer (Florida Hotel & Conference Center and Courtyard - Myrtle Beach SC; combined 5.8%). The largest contributor to overall loss expectations and largest increase in loss since the prior rating action is the Ditson Building loan (4.2%), which is secured by a 58,850-sf office property located in Midtown Manhattan. YE 2021 NOI declined 20.7% from YE 2020 due to a nearly 15% drop in total revenue, and was 41.5% below the issuer's underwritten NOI, primarily from significantly lower base rental income since issuance. The servicer-reported NOI DSCR fell to 0.82x at YE 2021 from 1.04x at YE 2020 and 1.42x at YE 2019. Additionally, the property's largest tenant (TTC USA Consulting; 47.2% of NRA; 46% of total base rent) has a scheduled lease expiration in June 2022; the tenant had executed a six-month lease extension from its prior December 2021 expiration. Fitch has an outstanding inquiry to the servicer for further details on the lower rental income reported in 2021 and the status of the TTC USA Consulting lease, including the borrower's efforts to re-lease the space if necessary. If TTC USA Consulting vacates, occupancy is expected to drop to approximately 43%. Other current tenants include Research Foundation of the City of New York (18.9%; lease expiry in September 2026), VR Worldwide, Inc. (15.1%; March 2028) and Modernus Walls (9.4%; February 2027). The property was 90.6% occupied as of February 2022, unchanged from December 2020 and September 2019. The next largest increase in loss since the prior rating action is the Fair Oaks Mall loan (3.6%), which is secured by an enclosed regional mall located in Fairfax, VA. The loan was flagged as a FLOC for declining cash flow since issuance, trigger of hard cash management and moderate upcoming lease rollover that includes the second largest collateral tenant. Additionally, the non-collateral Lord & Taylor store at the property closed in early 2021. Non-collateral anchors at the property include JCPenney and Macy's with Furniture Gallery. A second Macy's store serves as a collateral anchor (27.7% of collateral NRA leased through February 2026). Other major collateral tenants include XXI Forever (Forever 21; 6.6%; January 2023), H&M (2.6%; January 2029) and Express (1.6%; January 2024). The non-collateral, Seritage-owned former Sears store has been subdivided and leased to Dick's Sporting Goods and Dave & Buster's, and the former Lord & Taylor space is vacant. The collateral was 89.3% occupied as of February 2022, compared with 89.7% in February 2021, 90.6% in December 2020 and 93.8% in December 2019. Upcoming lease rollover includes 9.2% of the collateral NRA in 2022, 14.2% in 2023 and 6.4% in 2024. TTM September 2021 inline sales (including Apple) were $447 psf, compared with $344 psf in 2020, $516 psf in 2019 and $524 pf in 2018; excluding Apple, they were $318 psf, $248 psf and $371 psf, respectively. Fitch's base case loss of 10% reflects a 15% cap rate on the YE 2020 NOI to account for continued YTD September 2021 performance declines and refinance risk concerns as the loan matures in May 2023. Another large FLOC is the CoolSprings Galleria loan (1.6%), which is secured by a 640,176-sf portion of a 1.2 million-sf super-regional mall located in Franklin, TN. Macy's, JCPenney and Dillard's are non-collateral anchors, and Belk is a collateral anchor. The loan is sponsored by a joint venture between TIAA and CBL. The loan was returned to the master servicer in January 2022 following the execution of a modification agreement and CBL's reorganization and emergence from Chapter 11 bankruptcy. Under the terms of the modification, the lender would waive bankruptcy defaults in exchange for the borrower covering the costs of the modification, and CBL's ownership interest in the property is being assumed by one of its newly formed subsidiaries. The loan had initially transferred to special servicing in October 2021 in response to CBL entering Chapter 11 bankruptcy in November 2020. The pandemic continues to affect property performance. YE 2021 NOI fell 5.1% from YE 2020 and was 21% below the issuer's underwritten NOI. In response to coronavirus-related economic hardship, a consent agreement was executed in July 2020 that allowed the borrower to defer reserve deposits and utilize existing reserve funds to pay for the June, July and August 2020 debt service payments. Deferred amounts were to be paid back in equal installments in the 12 months following the deferral period. Collateral occupancy was 96.3% in December 2021, compared with 95.9% in December 2020, 98.1% at YE 2019 and 98.9% at YE 2018. Leases totaling 3.6% of collateral NRA expire in 2022, 13.3% in 2023 and 6.5% in 2024. Fitch's base case loss of 16% reflects a 15% cap rate and 10% haircut to the YE 2021 NOI to factor in a weak sponsorship, declining sales since issuance and significant competition with overlapping anchors. Minimal Change to Credit Enhancement (CE): As of the April 2022 distribution date, the pool's aggregate principal balance has paid down by 5.5% to $892.7 million from $944.2 million at issuance. From securitization to maturity, the pool is projected to pay down by 11.6%. A significant driver of pool amortization is the Pfizer Building loan (3.1% of pool), which has a 72-month loan term and a 75-month amortization schedule; the loan is scheduled to amortize by 97% of its original balance by maturity in August 2024. There are 23 loans (67.8%) that are full-term interest only and two loans (4%) that still have a partial interest-only component during their remaining loan term, compared with seven loans (7.5%) at issuance. Three loans (8.4%) mature in 2023, two of which (8.1%) are among the top 15; one loan (Pfizer Building; 3.1%) matures in 2024; two loans (1.3%) mature in 2027; the remaining 56 (87.3%) mature in 2028. Co-Op Collateral: The transaction contains 20 loans (7%) that are secured by multifamily co-operatives, all of which are located within the greater New York City metro area. Credit Opinion Loans: Four loans (19.6% of pool) received investment-grade credit opinions at issuance. The Pfizer Building loan (3.1%) received a credit opinion of 'A-sf*' on a standalone basis. The 1745 Broadway (10.5%) and 181 Fremont Street (2.5%) loans both received a standalone credit opinion of 'BBB-sf*'. These loans are still considered investment-grade. The Fair Oaks Mall loan (3.6%) was assigned a credit opinion of 'BBB-sf*' on a standalone basis; however, due to Fitch's current view on regional mall properties, this loan is no longer considered to have credit characteristics consistent with an investment-grade credit opinion. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-1, A-2, A-3, A-4, A-5, A-SB, A-S, X-A, B and X-B are not considered likely due to their position in the capital structure but may occur should interest shortfalls affect these classes. Downgrades to classes C, D and X-D may occur should expected losses for the pool increase substantially, all of the loans susceptible to the coronavirus pandemic suffer losses, particularly the Fair Oaks Mall and Cool Springs Galleria loans, which would erode credit enhancement. Downgrades to classes E, F, X-E and X-F would occur should overall pool loss expectations increase from continued performance decline of the FLOCs, particularly the Ditson Building loan, loans susceptible to the pandemic not stabilize, loans default or transfer to special servicing, particularly the Fair Oaks Mall loan at its May 2023 maturity, and/or higher losses incur on the specially serviced loans than expected. 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: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades to classes B, C and X-B may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic, particularly the Ditson Building, Fair Oaks Mall and CoolSprings Galleria loans. Upgrades 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 likelihood for interest shortfalls. Upgrades to classes E, F, X-E and X-F are not likely unless resolution of the specially serviced loans is better than expected and performance of the remaining pool is stable, and/or properties vulnerable to the pandemic return to pre-pandemic levels and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BANK 2022-BNK42: Fitch Gives 'B-sf' Rating on 2 Cert. Classes ------------------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2022-BNK42, commercial mortgage pass-through certificates, series 2022-BNK42. Ratings are expected to be assigned as follows: -- $7,760,000 class A-1 'AAAsf'; Outlook Stable; -- $74,100,000 class A-2 'AAAsf'; Outlook Stable; -- $15,180,000 class A-SB 'AAAsf'; Outlook Stable; -- $150,000,000a class A-4 'AAAsf'; Outlook Stable; -- $0b class A-4-1 'AAAsf'; Outlook Stable; -- $0bc class A-4-X1 'AAAsf'; Outlook Stable; -- $0b class A-4-2 'AAAsf'; Outlook Stable; -- $0bc class A-4-X2 'AAAsf'; Outlook Stable; -- $259,104,000a class A-5 'AAAsf'; Outlook Stable; -- $0b class A-5-1 'AAAsf'; Outlook Stable; -- $0bc class A-5-X1 'AAAsf'; Outlook Stable; -- $0b class A-5-2 'AAAsf'; Outlook Stable; -- $0bc class A-5-X2 'AAAsf'; Outlook Stable; -- $506,144,000c class X-A 'AAAsf'; Outlook Stable; -- $115,690,000c class X-B 'A-sf'; Outlook Stable; -- $38,865,000 class A-S 'AAAsf'; Outlook Stable; -- $0b class A-S-1 'AAAsf'; Outlook Stable; -- $0bc class A-S-X1 'AAAsf'; Outlook Stable; -- $0b class A-S-2 'AAAsf'; Outlook Stable; -- $0bc class A-S-X2 'AAAsf'; Outlook Stable; -- $37,960,000 class B 'AA-sf'; Outlook Stable; -- $0b class B-1 'AA-sf'; Outlook Stable; -- $0bc class B-X1 'AA-sf'; Outlook Stable; -- $0b class B-2 'AA-sf'; Outlook Stable; -- $0bc class B-X2 'AA-sf'; Outlook Stable; -- $38,865,000 class C 'A-sf'; Outlook Stable; -- $0b class C-1 'A-sf'; Outlook Stable; -- $0bc class C-X1 'A-sf'; Outlook Stable; -- $0b class C-2 'A-sf'; Outlook Stable; -- $0bc class C-X2 'A-sf'; Outlook Stable; -- $41,576,000cd class X-D 'BBB-sf'; Outlook Stable; -- $11,750,000cd class X-F 'BB+sf'; Outlook Stable; -- $9,942,000cd class X-G 'BB-sf'; Outlook Stable; -- $8,135,000cd class X-H 'B-sf'; Outlook Stable; -- $23,500,000d class D 'BBBsf'; Outlook Stable; -- $18,076,000d class E 'BBB-sf'; Outlook Stable; -- $11,750,000d class F 'BB+sf'; Outlook Stable; -- $9,942,000d class G 'BB-sf'; Outlook Stable. -- $8,135,000d class H 'B-sf'; Outlook Stable; Fitch is not expected to rate the following classes: -- $29,826,431cd class X-J; -- $29,826,431d class J; -- $38,055,970e class RR Interest. a. The initial certificate balances of class A-4 and A-5 are not yet known but expected to be $409,104,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$300,000,000, and the expected class A-5 balance range is $109,104,000-$409,104,000. Balances of classes A-4 and A-5 above are the hypothetical balance for A-4 if A-5 were sized at the midpoints of their ranges. In the event that class A-5 certificates are issued with an initial certificate balance of $409,104,000, class A-4 certificates will not be issued. b. Exchangeable Certificates. Class A-4, A-5, A-S, B and C certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the corresponding classes of exchangeable certificates. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-2 and A-4-X2. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-1 and A-5-X1. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-2 and A-5-X2. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1 and A-S-X1. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-2 and A-S-X2. Class B may be surrendered (or received) for the received (or surrendered) classes B-1 and B-X1. Class B may be surrendered (or received) for the received (or surrendered) classes B-2 and B-X2. Class C may be surrendered (or received) for the received (or surrendered) classes C-1 and C-X1. Class C may be surrendered (or received) for the received (or surrendered) classes C-2 and C-X2. c. Notional amount and interest only. d. Privately placed and pursuant to Rule 144A. e. Represents the "eligible vertical interest" comprising 5.0% of the pool. The expected ratings are based on information provided by the issuer as of May 17, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 44 loans secured by 69 commercial properties with an aggregate principal balance of $761,119,401 as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association, Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC and National Cooperative Bank, N.A. The master servicers are expected to be Wells Fargo Bank, National Association and National Cooperative Bank, N.A. The special servicers are expected to be LNR Partners, LLC and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 29.2% of the properties by balance, cash flow analyses of 91.6% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Conduit-specific Leverage than Recent Transactions: This transaction's leverage is average when compared with other multiborrower transactions recently rated by Fitch. The pool's Fitch debt service coverage ratio of 1.38x is equal to the 2022 YTD and 2021 averages of 1.38x. Additionally, the pool's Fitch loan-to-value (LTV) ratio of 101.3% is in-line with the 2022 YTD and the 2021 averages of 101.1% and 103.3%, respectively. However, the pool's conduit specific leverage is worse than recent multiborrower transactions Fitch has rated recently. Excluding the co-operative (co-op) and the credit opinion loans, the pool's DSCR and LTV are 1.13x and 111.1%, respectively. The 2022 YTD and 2021 averages excluding credit opinion and co-op loans are 1.27x/109.6% and 1.30x/110.5%, respectively. Higher Pool Concentration: The pool's largest 10 loans represent 69.0% of its cutoff balance, which is significantly greater than the 2022 YTD and 2021 averages of 54.3% and 51.2%, respectively. This results in Loan Concentration Index (LCI) score of 583 for the pool, which is higher than the 2022 YTD and 2021 averages of 397 and 381, respectively. Investment-Grade Credit Opinion and Co-Op Loans: The pool includes one loan, representing 9.99% of the pool, which received an investment-grade credit opinion. This is below the 2022 YTD average of 16.8% as well as the 2021 average of 13.3%. Constitution Center (9.99% of the pool) received a credit opinion of 'A-sf' on a stand-alone basis. Additionally, the pool contains a total of 15 loans, representing 6.1% of the cutoff balance, that are secured by residential co-ops and exhibit leverage characteristics significantly lower than typical conduit loans. The weighted-average (WA) Fitch DSCR and LTV for the co-op loans are 4.78x and 31.0%, respectively. Limited Amortization: Based on the estimated loan balances at maturity, the pool is scheduled to pay down only 3.2%, which is below the respective 2022 YTD and 2021 averages of 3.5% and 4.8%. Twenty-four loans representing 75.7% of the pool are full-term interest only, and an additional eight loans representing 19.8% of the pool are partial interest only. The percentage of full-term interest-only loans is lower than the 2022 YTD and 2021 averages of 79.0% and 70.5%, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, 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 net cash flow (NCF): -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB- sf'/'BB+sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB- sf'/'BB+sf'/'BBsf'/'Bsf'/'CCCsf'/'CCCsf'; -- 20% NCF Decline: 'Asf'/'BBB+sf'/'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf '/'CCCsf'/'CCCsf'; -- 30% NCF Decline: 'BBB+sf'/'BBB- sf'/'B+sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors ("What a Stagflation Scenario Would Mean for Global Structured Finance"). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. 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 list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB- sf'/'BB+sf'/'BB-sf'/'B-sf'; -- 20% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'A- sf'/'BBB+sf'/'BBB-sf'/'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 Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY Fitch received information in accordance with its published criteria, available at www.fitchratings.com. Sufficient data, including asset summaries, three years of property financials, when available, and third-party reports on the properties were received from the issuer. Ongoing performance monitoring, including data provided, is described in the Surveillance section of the presale. 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. BARCLAYS MORTGAGE 2022-INV1: S&P Assigns B- Rating on Cl. B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to Barclays Mortgage Loan Trust 2022-INV1's mortgage pass-through notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and non-prime borrowers. The loans are generally secured by single-family residential properties, planned-unit developments, condominiums, townhouses, manufactured housing, two- to four-family residential properties, and five- to 10-unit properties. The pool has 1,042 loans backed by 1,216 properties, including 53 cross-collateralized loans backed by 227 properties, which are all ability-to-repay-exempt loans. S&P said, "Since we assigned the preliminary ratings on May 5, 2022, the pool balance decreased by $1,323,951 to $328,102,210 as a result of seven loans that were initially intended to be included in the pool, being paid-in-full as of the cut-off date. The bonds sizes were reduced proportionately to keep the subordination credit enhancement the same for each tranche. These changes did not affect our ratings, which remain the same as the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; -- The mortgage originators and aggregators; -- The pool's geographic concentration; and -- The current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure-frequency levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook on the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Ratings Assigned Barclays Mortgage Loan Trust 2022-INV1(i) Class A-1, $189,150,000: AAA (sf) Class A-2, $30,186,000: AA (sf) Class A-3, $40,028,000: A (sf) Class M-1, $22,311,000: BBB (sf) Class B-1, $17,226,000: BB (sf) Class B-2, $16,733,000: B- (sf) Class B-3, $12,468,210: NR Class A-IO-S(ii): NR Class XS(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest (including interest shortfalls) and principal. The ratings do not address the payment of net WAC shortfall amounts. (ii)The notional amount equals the loans' stated principal balance. NR--Not rated. N/A--Not applicable. WAC--Weighted average coupon. BBCMS MORTGAGE 2019-C3: Fitch Affirms B- Rating on H-RR Certs ------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of BBCMS Mortgage Trust 2019-C3 Commercial Mortgage Pass-Through Certificates, Series 2019-C3. The Rating Outlooks for two classes have been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- BBCMS 2019-C3 A-1 05550MAQ7 LT AAAsf Affirmed AAAsf A-2 05550MAR5 LT AAAsf Affirmed AAAsf A-3 05550MAS3 LT AAAsf Affirmed AAAsf A-4 05550MAU8 LT AAAsf Affirmed AAAsf A-S 05550MAX2 LT AAAsf Affirmed AAAsf A-SB 05550MAT1 LT AAAsf Affirmed AAAsf B 05550MAY0 LT AA-sf Affirmed AA-sf C 05550MAZ7 LT A-sf Affirmed A-sf D 05550MAC8 LT BBBsf Affirmed BBBsf E-RR 05550MAE4 LT BBB-sf Affirmed BBB-sf F-RR 05550MAG9 LT BB+sf Affirmed BB+sf G-RR 05550MAJ3 LT BB-sf Affirmed BB-sf H-RR 05550MAL8 LT B-sf Affirmed B-sf X-A 05550MAV6 LT AAAsf Affirmed AAAsf X-B 05550MAW4 LT A-sf Affirmed A-sf X-D 05550MAA2 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Stable Loss Expectations: Overall pool performance has remained relatively stable since Fitch's prior rating action. Fitch's current loss expectations are in line with issuance, with a base case loss of 4.25%. The Rating Outlook revisions to Stable from Negative reflects improved performance for properties recovering from the pandemic which have begun to stabilize. Five loans (18% of the pool) are considered Fitch Loans of Concern (FLOCs) due to declines in performance/occupancy. No loans are currently in special servicing. Fitch Loans of Concern: The largest FLOC is the SWVP portfolio loan (4.8%), which is secured by a portfolio of four full-service hotels located in New Orleans, LA; Sunrise, FL; Charlotte, NC; and Durham, NC. The loan is considered a FLOC due to declining cash flow as a result of the pandemic. Portfolio occupancy was 46% as of September 2021, compared to 31% at YE 2020, 78% at YE 2019 and 80% at issuance. YE 2020 NOI was 93.6% lower than that at YE 2019 and NOI DSCR was 0.41x as of September 2021. As of TTM September 2021, the DoubleTree Suites Charlotte hotel was outperforming its competitive set in all three measures (occupancy, ADR, and RevPAR penetration ratios of 122%, 108%, and 134%, respectively) and the InterContinental New Orleans hotel was underperforming its competitive set in all three measures (91%, 95%, 87%). The TTM ended September 2021 occupancy, ADR, and RevPAR penetration ratios for the DoubleTree Sunrise hotel were 119%, 101% and 121%, respectively, and were 64%, 103% and 65%, respectively, for the DoubleTree RTP hotel. The second largest FLOC is the Renaissance Fort Lauderdale loan (4.5%), which is secured by a 236-key full-service hotel located in Fort Lauderdale, FL. The loan has been designated a FLOC due to declines in performance related to the pandemic. The YE 2021 NOI DSCR has improved to 1.38x compared to 0.32x at YE 2020, but remains below the pre-pandemic DSCR of 1.95x as of YE 2019. According to the TTM December 2021 STR report, occupancy, ADR and RevPAR were 57%, $156 and $90, respectively. RevPAR increased 32% yoy. Minimal Change to Credit Enhancement: As of the March 2022 distribution date, the pool's aggregate balance has been reduced by 0.77% to $929.4 million from $936.6 million at issuance. No loans have paid off or defeased. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 6.3% prior to maturity, which is less than the average for transactions of a similar vintage. Seventeen loans (51.4%) are full term interest only and seven loans (16.7%) have partial interest-only periods remaining. Investment-Grade Credit Opinion Loans: Four loans, representing 9.1% of the pool, are credit assessed. Two of the investment-grade credit opinion loans are in the top 10; NEMA San Francisco (3.8% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis and 787 Eleventh Avenue (3.2% of the pool) received a credit opinion of 'BBB-sf' on a standalone basis. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AA-sf' and 'AAAsf' rated classes are not likely due to the position in the capital structure and high credit enhancement, but may occur should interest shortfalls occur. Downgrades to the 'BBB-sf', 'BBBsf', and 'A-sf' category would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'Bsf' category would occur should loss expectations increase and if performance of the FLOCs fail to stabilize or loans default and/or transfer to the special servicer. 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: Sensitivity factors that could lead to upgrades would include stable to improved asset performance of the larger FLOCs, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrade of the 'BBB-sf' and 'BBBsf' classes would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades to the 'B-sf', 'BB-sf' and 'BB+sf' rated classes are not likely until later years in a transaction and only if the performance of the remaining pool is stable and there is suffficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BDS 2022-FL11: DBRS Gives Prov. B(low) Rating on Class G Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by BDS 2022-FL11 LLC: -- Class A-TS at AAA (sf) -- Class A-CS at AAA (sf) -- Class B at AA (low) (sf) -- Class B-E at AA (low) (sf) -- Class B-X at AA (low) (sf) -- Class C at A (low) (sf) -- Class C-E at A (low) (sf) -- Class C-X at A (low) (sf) -- Class D at BBB (sf) -- Class D-E at BBB (sf) -- Class D-X at BBB (sf) -- Class E at BBB (low) (sf) -- Class E-E at BBB (low) (sf) -- Class E-X at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The initial collateral consists of 32 short-term, floating-rate mortgage assets with an aggregate cut-off date balance of $865.6 million secured by 33 properties. The aggregate unfunded future funding commitment of the future funding participations as of the cut-off date is approximately $113.1 million. The holder of the future funding companion participations will be the seller, BDS IV Loan Seller LLC, or affiliates of BDS IV REIT, Inc. (Bridge REIT), which has full responsibility to fund the future funding companion participations on the closing date. The managed collateralized loan obligation (CLO) transaction features a 24-month reinvestment period. During the investment period, so long as the note protection tests are satisfied and no EOD has occurred and is continuing, the collateral manager may direct the reinvestment of principal proceeds to acquire reinvestment mortgage assets, including funded companion participations, meeting the eligibility criteria. The eligibility criteria, among other things, has minimum DSCR, maximum LTV, minimum Herfindahl score, and loan size limitations. This pertains to all loans in the pool. In addition, a no downgrade rating agency confirmation (RAC) is required from DBRS Morningstar during the reinvestment period for all new mortgage assets and funded companion participations, allowing DBRS Morningstar the ability to analyze them for any potential ratings impact. Finally, in respect to transaction structure, interest can be deferred for the Class C, Class D, Class E, Class F, and Class G Notes (including any corresponding Class C-E Notes, Class D-E Notes, and Class E-E Notes, if applicable), for so long as a note with a higher priority is outstanding, and such interest deferral will not result in an EOD. The transaction is a managed vehicle and will have a sequential-pay structure whereby interest and principal payments will be prioritized in order of seniority. In the event that a note protection test is not satisfied, then Interest Proceeds available for the Retained Notes will instead be used to redeem the Offered Notes and the MASCOT P&I Notes, if applicable, in accordance with the Priority of Payments until the note protection tests are satisfied. Of the 32 loans, 29 are secured by multifamily assets (92.6% of the mortgage asset cut-off date balance). The remaining three loans are secured by industrial properties (two loans; 5.1% of the mortgage asset cut-off date balance) and one full-service hotel (2.3% of the mortgage asset cut-off date balance). The loans are mostly secured by cash flowing assets, most of which are in a period of transition with plans to stabilize and improve the asset value. Four loans are whole loans, 27 are participations with companion participations that have remaining future funding commitments totaling $113.1 million, and one is a pari passu note. The future funding for each loan is generally for capex to renovate the property or build out space for new tenants. All of the loans in the pool have floating interest rates initially indexed to Libor or Term Secured Overnight Financing Rate (SOFR) and are IO through their initial terms. As such, to determine a stressed interest rate over the loan term, DBRS Morningstar used a stressed index, which was the lower of DBRS Morningstar's stressed rates that corresponded to the remaining fully extended term of the loans and the strike price of the interest rate cap with the respective contractual loan spread added. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if the other loan structural features are insufficient to support such treatment. Furthermore, even if the structure is acceptable, DBRS Morningstar generally does not assume the assets will stabilize above market levels. The transaction is sponsored by Bridge REIT, a wholly owned subsidiary of Bridge Debt Strategies Fund IV LP and an affiliate of Bridge Investment Group Holdings Inc. (Bridge Investment Group). The Sponsor has strong origination practices and substantial experience in originating loans and managing CRE properties. Bridge Investment Group is a privately held real estate investment and property management firm that manages more than $36.3 billion in assets as of December 31, 2021. Bridge is an active CRE CLO issuer, having completed four static CRE CLO transactions and six managed CRE CLO transactions as of the date of this report, not including this transaction which is the Sponsor's seventh managed CRE CLO. Thirty loans, representing 94.6% of the mortgage asset cut-off date balance, are for acquisition financing, where the borrowers contributed material cash equity in conjunction with the mortgage loan. Cash equity infusions from a sponsor typically result in the lender and borrower having a greater alignment of interests, especially compared with a refinancing scenario where the sponsor may be withdrawing equity from the transaction. The remaining two loans, or 5.4% of the mortgage asset cut-off balance, are refinance loans. The pool mostly comprises multifamily assets (92.6% of the mortgage asset cut-off date balance). Historically, multifamily properties have defaulted at much lower rates than other property types in the overall CMBS universe. The transaction is managed and includes a 24-month reinvestment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. The risk of negative migration is partially offset by eligibility criteria that outline minimum DSCR, maximum LTV, minimum Herfindahl score, property type, property location, and loan size limitations for reinvestment assets. A no downgrade RAC is required from DBRS Morningstar during the reinvestment period for all new mortgage assets and funded companion participations, allowing DBRS Morningstar the ability to analyze them for potential ratings impact. The Eligibility Criteria has a relatively low maximum concentration limit of 10.0% for industrial, office, mixed-use, and hospitality and 5.0% for student housing. These concentration limits reduce the likelihood that the pool's property type composition will shift considerably. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the in-place cash flow. It is possible that the sponsor will not successfully execute its business plans and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing Coronavirus Disease (COVID-19) pandemic and its impact on the overall economy. The sponsor's failure to execute the business plans could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar sampled a large portion of the loans, representing 74.0% of the pool cut-off date balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plans to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzes loss severity given default (LGD) based on the as-is credit metrics, assuming the loan is fully funded with no net cash flow (NCF) or value upside. Future funding companion participations will be held by affiliates of Bridge REIT and have the obligation to make future advances. Bridge REIT agrees to indemnify the Issuer against losses arising out of the failure to make future advances when required under the related participated loan. Furthermore, Bridge REIT will be required to meet certain liquidity requirements on a quarterly basis. Twelve loans, representing 37.7% of the pool balance, include a debt service reserve to cover any interest shortfalls. Based on the initial pool balance, the overall DBRS Morningstar Weighted-Average (WA) As-Is DSCR of 0.71 times and WA As-Is LTV of 80.8% generally reflect high-leverage financing. Most of the assets are generally well positioned to stabilize, and any realized cash flow growth would help to offset a rise in interest rates and improve the loans' overall debt yield. DBRS Morningstar associates its LGD based on the assets' as-is LTV, which does not assume that the stabilization plan and cash flow growth will ever materialize. The DBRS Morningstar As-Is DSCR for each loan at issuance does not consider the sponsor's business plan, as the DBRS Morningstar As-Is NCF is generally based on the most recent annualized period. The sponsor's business plan could have an immediate impact on the underlying asset performance that the DBRS Morningstar As-Is NCF is not accounting for. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2018-B4: Fitch Affirms 'B-' Rating on Class G-RR Certs ---------------------------------------------------------------- Fitch Ratings has affirmed Benchmark 2018-B4 Mortgage Trust. The Rating Outlook for one class remains Negative. DEBT RATING PRIOR ---- ------ ----- Benchmark 2018-B4 A-2 08161HAB6 LT AAAsf Affirmed AAAsf A-3 08161HAC4 LT AAAsf Affirmed AAAsf A-4 08161HAE0 LT AAAsf Affirmed AAAsf A-5 08161HAF7 LT AAAsf Affirmed AAAsf A-M 08161HAH3 LT AAAsf Affirmed AAAsf A-SB 08161HAD2 LT AAAsf Affirmed AAAsf B 08161HAJ9 LT AA-sf Affirmed AA-sf C 08161HAK6 LT A-sf Affirmed A-sf D 08161HAQ3 LT BBBsf Affirmed BBBsf E-RR 08161HAS9 LT BBB-sf Affirmed BBB-sf F-RR 08161HAU4 LT BB-sf Affirmed BB-sf G-RR 08161HAW0 LT B-sf Affirmed B-sf X-A 08161HAG5 LT AAAsf Affirmed AAAsf X-B 08161HAL4 LT AA-sf Affirmed AA-sf X-D 08161HAN0 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and loss expectations remain stable from the prior review and from issuance. Thirteen loans have been identified as Fitch Loans of Concern (FLOCs; 28.6% of the pool balance) with no loans in special servicing. Fitch's current ratings incorporate a base case loss of 3.75%. The Negative Outlook, which was previously assigned for coronavirus-related performance concerns, is being maintained to reflect losses that could reach 4.30% when factoring a sensitivity stress to the 636 11th Avenue loan due to the departure of the single-tenant at the building. Fitch Loans of Concern: The largest FLOCs include the Embassy Suites Glendale (5.5%) loan, which is secured by a 227-room, full-service hotel located in Glendale, CA. The property consists of a 12-story hotel tower with an underground three-level parking structure. The hotel's performance has yet to stabilize and recover from the impact of the pandemic, with 2021 performance metrics in-line with that of 2020 and well below performance in 2019. As of TTM September 2021, occupancy, ADR and RevPAR of 48.9%, $154 and $75, respectively, remains flat from TTM September 2020 figures of 47.1%, $171 and $80, and below levels from the same period in 2019 of 87.8%, $192 and $169. The hotel was ranked four of seven in its competitive set with respect to RevPAR, posting a 102.6% penetration rate as of the TTM September 2021 STR report. Fitch's analysis incorporates a 15% stress to YE 2019 NOI reflecting a stressed value of $226,000 per key. 636 11th Avenue loan (4.5%) is secured by a 564,004-sf office building along the east side of 11th Avenue between West 46th Street and West 47th Street in the Hell's Kitchen neighborhood of Manhattan. The property was 100% occupied by The Ogilvy Group, Inc. on a lease through June 2029, which has since vacated in 2021. According to media reports, the tenant has relocated to 200 Fifth Avenue and 3 Columbus Circle, consolidating with other subsidiaries of the parent company WPP, Plc. The servicer noted that the borrower has not made official notice of the vacancy, but is aware that the tenant is marketing the space for sublease. Ogilvy continues to pay its rental obligations, and the loan has remained current. The loan is structured with a springing cash flow sweep if the tenant goes bankrupt, fails to renew 18 months prior to lease expiration, goes dark (except during the initial nine years of the loan if the tenant maintains an investment grade rating and its lease is in full force and effect), vacates or abandons 40% or more of its space. The parent entity, WPP Plc, has historically maintained an investment grade rating. Fitch's base case analysis assumes no modeled loss, reflective of the tenant's continuation of rent payments and ongoing efforts to sublease the space. Fitch applied an additional sensitivity scenario with a potential outsized loss of 20%, which considered Fitch's dark value at issuance that incorporated assumptions for market rent, downtime between leases, carrying costs and re-tenanting costs. The Sheraton Music City (3.4%) loan, is secured by a 410-room, full-service hotel located in Nashville, TN. The hotel is located on the north side of I-40 directly across from Nashville International Airport. The main entrance to the hotel is located off I-40, Nashville's major east/west interstate providing direct access to the CBD six miles to the west. The hotel has exhibited a slow recovery out of the pandemic with TTM September 2021 NOI DSCR at 0.57x as compared to 0.25x at YE 2020. As of TTM December 2021, occupancy, ADR and RevPAR were 55.2%, $134 and $74, respectively, compared to TTM December 2020 figures of 37.4%, $116 and $43, and remains below levels from issuance in 2018 of 80.1%, $153 and $122. Fitch's analysis incorporates a 26% stress to YE 2019 NOI to reflect continued underperformance. 808 Olive Retail & Parking loan (2.4%), which is secured by a 277,502-sf mixed-use building consisting of 19,935 sf of ground floor commercial space and a seven-story, 759-stall, parking facility in Downtown Los Angeles. Performance of the collateral declined in 2020 with NOI DSCR dropping to 1.00x from 1.28x at YE 2019. Since then, cash flow has recovered with NOI DSCR improving to 1.20x at YE 2021. YE 2021 NOI is within 6% of YE 2019, but remains 25% below NOI at issuance driven by lower revenues and higher expenses. The loan had previously transferred to special servicing in May 2020 due to the effects of the pandemic, but has since returned to the master servicer in June 2021 and has remained current. Fitch's loss expectation of 21% is reflective of the deterioration in NOI from issuance, but the strength of the location is expected to support the continued recovery in performance. Credit Opinion Loans: Five loans, representing 30.0% of the pool, had investment-grade credit opinions at issuance. Aventura Mall (10.3% of the pool) had an investment-grade credit opinion of 'Asf*' on a standalone basis, 181 Fremont Street (7.2% of the pool) had an investment-grade credit opinion of 'BBB-sf*' on a standalone basis, The Gateway (4.5% of the pool) had an investment-grade credit opinion of 'BBBsf*' on a standalone basis, AON Center (4.5% of the pool) had an investment-grade credit opinion of 'BBB-sf*' on a standalone basis and 65 Bay Street (3.6% of the pool) had an investment-grade credit opinion of 'BBBsf*' on a standalone basis. Based on collateral quality and continued stable performance, the loans remain consistent with a credit opinion loan. Limited Change in Credit Enhancement (CE): The CE has increased slightly since issuance due to amortization, with 3.6% of the original pool balance repaid. No losses have been realized losses to date and one loan (0.54%) within the pool is defeased. Interest shortfalls are currently affecting the non-rated class H-RR. Nineteen loans (58.0%) are full-term interest-only (IO), seven loans (16.7%) are in their partial IO period and the remaining 17 loans (25.3%) are amortizing. Single-Tenant Concentration: Six loans representing 20.98% of the pool are secured by single-tenant properties including three office (17.02%) and three retail properties (3.96%) Undercollateralization: The transaction is undercollateralized by approximately $160,000 due to a workout delayed reimbursement of advances on the JAGR Hotel Portfolio loan, which was reflected in the January 2022 remittance report. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AA-sf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur should interest shortfalls affect the classes; Downgrades to the 'BBB-sf', 'BBBsf' and 'A-sf' category would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'Bsf' and 'BB-sf' categories would occur should loss expectations increase, an outsized loss occurs on the 636 11th Avenue loan, if performance of the FLOCs fail to stabilize or loans default and/or transfer to the special servicer. 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: Factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades to the 'BBBsf' category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to 'BBB-sf', 'BB-sf' and 'B-sf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENCHMARK 2022-B35: Fitch Assigns 'B-' Rating on 2 Tranches ----------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2022-B35 Mortgage Trust commercial mortgage pass-through certificates, series 2022-B35, as follows: DEBT RATING PRIOR ---- ------ ----- BMARK 2022-B35 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3-1 LT AAAsf New Rating AAA(EXP)sf A-3-2 LT AAAsf New Rating AAA(EXP)sf A-4-1 LT AAAsf New Rating AAA(EXP)sf A-4-2 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf A-SB LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf F LT BB+sf New Rating BB+(EXP)sf G LT BB-sf New Rating BB-(EXP)sf H LT B-sf New Rating B-(EXP)sf J LT NRsf New Rating NR(EXP)sf VRR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT WDsf Withdrawn A-(EXP)sf X-D LT BBB-sf New Rating BBB-(EXP)sf X-F LT BB+sf New Rating BB+(EXP)sf X-G LT BB-sf New Rating BB-(EXP)sf X-H LT B-sf New Rating B-(EXP)sf X-J LT NRsf New Rating NR(EXP)sf -- $6,816,000 class A-1 'AAAsf'; Outlook Stable; -- $32,288,000 class A-2 'AAAsf'; Outlook Stable; -- $10,975,000 class A-SB 'AAAsf'; Outlook Stable; -- $34,306,500 (a) class A-3-1 'AAAsf'; Outlook Stable; -- $34,306,500 (a) class A-3-2 'AAAsf'; Outlook Stable; -- $75,000,000 (a)(b) class A-4-1 'AAAsf'; Outlook Stable; -- $125,000,000 (a) class A-4-2 'AAAsf'; Outlook Stable; -- $427,141,000 (b) class A-5 'AAAsf'; Outlook Stable; -- $74,583,0000 class A-S 'AAAsf'; Outlook Stable; -- $745,833,000 (c) class X-A 'AAAsf'; Outlook Stable; -- $49,278,000 class B 'AA-sf'; Outlook Stable; --$53,274,000 class C 'A-sf'; Outlook Stable; -- $33,296,000 class D 'BBBsf'; Outlook Stable; -- $26,637,000 class E 'BBB-sf'; Outlook Stable; -- $59,933,000 (c) class X-D 'BBB-sf'; Outlook Stable; -- $15,982,000 class F 'BB+sf'; Outlook Stable; -- $15,982,000 (c) class X-F 'BB+sf'; Outlook Stable; -- $13,319,000 class G 'BB-sf'; Outlook Stable; -- $13,319,000 (c) class X-G 'BB-sf'; Outlook Stable; -- $11,986,000 class H 'B-sf'; Outlook Stable; -- $11,986,000 (c) class X-H 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $41,288,136 class J; -- $41,288,136 (c) class X-J; -- $56,077,692 (d) class VRR. Fitch has withdrawn the expected rating for class X-B because the class was removed from the final deal structure. The classes above reflect the final ratings and deal structure a) Classes A-3 and A-4 are split into public and private bonds. Classes A-3-1 and Class A-4-1 to be publicly offered and classes A-3-2 and A-4-2 are to be privately offered. b) Since Fitch published its expected ratings on April 25, 2022, the balances for classes A-4-1 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4-1 and A-5 were expected to be $502,141,000 in the aggregate, subject to a 5% variance. The classes above reflect the final ratings and deal structure. (c) Notional amount and interest only (IO). (d) Vertical risk retention interest. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 127 commercial properties having an aggregate principal balance of $1,121,553,829 as of the cut-off date. The loans were contributed to the trust German American Capital Corporation, JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc. and Goldman Sachs Mortgage Company. The Master Servicer is KeyBank National Association and the Special Servicer is KeyBank National Association. Fitch has withdrawn the expected rating for class X-B because the class was removed from the final deal structure. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Leverage Higher than Recent Transactions: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio of 106.6% is higher than both the 2022 YTD and 2021 averages of 101.3% and 103.3%, respectively. Additionally, the pool's Fitch trust debt service coverage ratio of 1.21x is lower than the 2022 YTD and 2021 averages of 1.36x and 1.38x, respectively. High Pool Concentration: The pool's 10 largest loans comprise 62.2% of the pool's cutoff balance, which is a higher concentration than both the 2022 YTD and 2021 averages of 53.1% and 51.2%, respectively. The Loan Concentration Index of 497 is higher than both the 2022 YTD and 2021 averages of 397 and 381, respectively. Minimal Amortization: Based on the scheduled balances at maturity, the pool will pay down by 1.8%, which is below the 2022 YTD and 2021 averages of 3.7% and 4.8%, respectively. Twenty-six loans (88.2% of the pool) are full IO loans, which is above the 2022 YTD and 2021 averages of 77.9% and 70.5%, respectively. Four loans (3.7%) are partial IO loans, which is below the 2022 YTD and 2021 averages of 11.0% and 16.8%, respectively. Investment-Grade Credit Opinion Loans: Two loans, ILPT Logistics Portfolio (6.6% of the pool) and 601 Lexington (1.5%) received investment-grade credit opinions of 'BBB-sf*'. This total credit opinion percentage of 8.0% is the lower than the 2022 YTD and 2021 averages of 17.6% and 13.3%, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB- sf' / 'B-sf'; -- 10% NCF Decline: 'A+sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf'; -- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; -- 30% NCF Decline: 'BBB-sf' / 'BB+sf' / 'B-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB- sf' / 'B-sf'; -- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf'. 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. BLACKROCK DLF 2021-1: DBRS Confirms B Rating on Class W Notes ------------------------------------------------------------- DBRS, Inc. upgraded its provisional rating on the Class B Notes (together with the Class A-1 Notes, Class A-2 Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes, the Secured Notes) issued by BlackRock DLF IX CLO 2021-1, LLC, pursuant to the Note Purchase and Security Agreement (the NPSA) dated as of March 30, 2021, among BlackRock DLF IX CLO 2021-1, LLC, as the Issuer; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar), as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein as follows: -- Class B Notes to AA (sf) from AA (low) (sf) In addition, DBRS Morningstar confirmed its provisional ratings on the remaining classes of notes as follows: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AAA (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) -- Class W Notes at B (sf) The provisional ratings on the Class A-1 Notes and the Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The provisional ratings on the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, and the Class W Notes address the ultimate payment of interest (excluding the additional interest payable at Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The Class W Notes will have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes, including the Class E Notes, and could therefore be considered below market rate. Provisional ratings are not final ratings with respect to the above-mentioned Secured Notes and may change or be different than the final ratings assigned or may be discontinued. The assignment of final ratings on the Secured Notes is subject to receipt by DBRS Morningstar of all data and/or information and final documentation that DBRS Morningstar deems necessary to finalize the ratings. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The provisional ratings reflect the following primary considerations: (1) The NPSA, dated as of March 30, 2021. (2) The integrity of the transaction structure. (3) DBRS Morningstar's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BCIA. To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio that is not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2022-NQM1: DBRS Finalizes B(high) on B-2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2022-NQM1 issued by BRAVO Residential Funding Trust 2022-NQM1: -- $281.2 million Class A-1 at AAA (sf) -- $17.2 million Class A-2 at AA (high) (sf) -- $23.1 million Class A-3 at A (high) (sf) -- $15.4 million Class M-1 at BBB (high) (sf) -- $10.6 million Class B-1 at BB (high) (sf) -- $6.5 million Class B-2 at B (high) (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Notes reflects 24.05% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) ratings reflect 19.40%, 13.15%, 9.00%, 6.15%, and 4.40% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 792 loans with a total principal balance of approximately $370,301,909 as of the Cut-Off Date (January 31, 2022). The top originators for the mortgage pool are Acra Lending, formally known as Citadel Servicing Corporation (Acra; 50.3%), OCMBC, Inc. doing business as LoanStream Mortgage (LoanStream; 26.4%), and First Guaranty Mortgage Corporation (FGMC; 14.1%). The remaining originators each comprise less than 10.0% of the mortgage loans. The Servicers of the loans are Citadel Servicing Corporation doing business as Acra Lending (CSC; 50.4%) and Rushmore Loan Management Services LLC (Rushmore; 49.6%). The CSC-serviced mortgage loans will generally be subserviced by ServiceMac, LLC, under a subservicing agreement dated September 18, 2020. Nationstar Mortgage LLC (Nationstar) will act as a Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar), an affiliate of Citigroup Inc., will act as Indenture Trustee, Paying Agent, Note Registrar, and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) will act as Custodian. The pool is about 10 months seasoned on a weighted average (WA) basis, although seasoning may span five to 58 months. Except for 16 loans (1.5% of the pool) that were 30 to 59 days delinquent as of the Cut-Off Date, the loans have been performing since origination. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 63.5% of the loans by balance are designated as non-QM. Approximately 36.5% of the loans in the pool made to investors for business purposes are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. There will be no advancing of delinquent principal or interest on any mortgage loan by the servicers or any other party to the transaction; however, each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible horizontal residual interest in the Issuer consisting of the Class B-3 and Class XS Notes in the amount of not less than 5.0% of the aggregate fair value of the Notes (other than the Class SA, Class FB, and Class R Notes) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in February 2025 or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Banker Association (MBA) method (or in the case of any loan that has been subject to a Coronavirus Disease (COVID-19) pandemic-related forbearance plan, on any date from and after the date on which such loan becomes 90 days MBA delinquent following the end of the forbearance period) at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The transaction's cash flow structure is similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3. Coronavirus Impact The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes, shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forebear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. CARLYLE US 2022-2: Moody's Assigns Ba3 Rating to $20MM Cl. D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued by Carlyle US CLO 2022-2, Ltd. (the "Issuer" or "Carlyle US CLO 2022-2"). Moody's rating action is as follows: US$300,000,000 Class A-1A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$20,000,000 Class A-1B Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$20,000,000 Class D Junior Secured Deferrable Floating Rate Notes due 2035, 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. Carlyle US CLO 2022-2 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, permitted non-loan assets, and unsecured loans. The portfolio is approximately 100% ramped as of the closing date. Carlyle CLO Management L.L.C. (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 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: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3025 Weighted Average Spread (WAS): 3mS + 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.0 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. CARVANA AUTO 2022-P2: S&P Assigns BB- (sf) Rating on Class N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Carvana Auto Receivables Trust 2022-P2's asset-backed notes. The note issuance is an ABS transaction backed by prime auto loan receivables. The assigned ratings reflect: -- The availability of approximately 14.45%, 11.74%, 9.09%, 6.85%, and 4.46% credit support for the class A (comprising class A-1, A-2, A-3, and A-4), B, C, D, and N notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 5.00x, 4.00x, 3.00x, 2.00x, and 1.43x coverage of S&P's expected net loss range of 2.50%-3.00% for the class A, B, C, D, and N notes, respectively. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in "S&P Global Ratings Definitions" (published Nov. 10, 2021). -- The collateral characteristics of the prime pool being securitized, including a weighted average nonzero FICO score of approximately 704 and a minimum nonzero FICO score of 574. -- The loss performance of Carvana LLC's origination static pools and managed portfolio, its deal-level collateral characteristics, and a comparison with its prime auto finance company peers. -- The transaction's credit enhancement in the form of subordinated notes; a non-amortizing reserve account which increased to 0.65% of the initial receivables balance at closing from 0.50% pre-pricing; overcollateralization, which builds to a target level of 1.35% of the initial receivables balance; and excess spread. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. -- The transaction's payment and legal structures. Ratings(i) Assigned Carvana Auto Receivables Trust 2022-P2 Class A-1, $82.00 million: A-1+ (sf) Class A-2, $185.50 million: AAA (sf) Class A-3, $185.50 million: AAA (sf) Class A-4, $97.55 million: AAA (sf) Class B, $18.45 million: AA (sf) Class C, $17.55 million: A (sf) Class D, $18.45 million: BBB (sf) Class N(ii), $10.59 million: BB- (sf) (i)The transaction will issue class XS notes, which are unrated and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CASCADE FUNDING 2022-RM4: DBRS Finalizes B Rating on M-5 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset-Backed Notes, Series 2022-RM4 issued by Cascade Funding Mortgage Trust 2022-RM4: -- $74.8 million Class A at AAA (sf) -- $27.1 million Class M-1 at AA (low) (sf) -- $19.9 million Class M-2 at A (low) (sf) -- $18.9 million Class M-3 at BBB (low) (sf) -- $18.9 million Class M-4 at BB (low) (sf) -- $12.8 million Class M-5 at B (sf) The AAA (sf) rating reflects 69.6% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 58.6%, 50.5%, 42.8%, 35.1%, and 29.9% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the February 28, 2022 cut-off date, the collateral has approximately $246.0 million in unpaid principal balance from 270 active and non-active reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned-unit developments. The loans were originated between 1997 and 2017. Of the total loans, 53 have a fixed interest rate (24.9% of the balance), with a 9.01% weighted-average coupon (WAC). The remaining 193 loans are floating-rate interest (75.1% of the balance) with a 4.06% WAC, bringing the entire collateral pool to a 5.29% WAC. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (the Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have coupon caps at 2%. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE AUTO 2021-2: Fitch Hikes Rating on Class F Notes to BB ------------------------------------------------------------ Fitch Ratings has taken various actions on the outstanding classes of the Chase Auto Credit Linked Notes transactions (CACLN) series 2020-1, 2020-2,2021-1 and 2021-2 and has revised or assigned Rating Outlooks. DEBT RATING PRIOR ---- ------ ----- Chase Auto Credit Linked Notes, Series 2021-2 B 48128U2M0 LT AAsf Affirmed AAsf C 48128U2N8 LT Asf Affirmed Asf D 48128U2P3 LT BBB+sf Upgrade BBBsf E 48128U2Q1 LT BBBsf Upgrade BBsf F 48128U2R9 LT BBsf Upgrade Bsf Chase Auto Credit Linked Notes, Series 2020-1 B 46591HAN0 LT AAsf Affirmed AAsf C 46591HAP5 LT AAsf Upgrade Asf D 46591HAQ3 LT A+sf Upgrade BBB+sf E 46591HAR1 LT Asf Upgrade BBBsf F 46591HAS9 LT BBBsf Upgrade BBsf Chase Auto Credit Linked Notes, Series 2020-2 B 46591HAU4 LT AAsf Affirmed AAsf C 46591HAW0 LT AAsf Upgrade Asf D 46591HAY6 LT A+sf Upgrade BBB+sf E 46591HBA7 LT Asf Upgrade BBBsf F 46591HBC3 LT BBBsf Upgrade BBsf Chase Auto Credit Linked Notes, Series 2021-1 B 46591HBR0 LT AAsf Affirmed AAsf C 46591HBS8 LT Asf Affirmed Asf D 46591HBT6 LT BBB+sf Upgrade BBBsf E 46591HBU3 LT BBBsf Upgrade BBsf F 46591HBV1 LT BBsf Upgrade Bsf TRANSACTION SUMMARY The class A certificates are retained by the issuer and are not rated (NR) by Fitch. The notes are unsecured general obligations of JPMCB (rated AA/F1+/Stable) and directly linked to the bank's Issuer Default Rating (IDR). The transaction is serviced by JPMCB, through their Chase Auto unit. Upon closing, there was no transfer or sale of assets; instead, the referenced collateral, originated and serviced by Chase Auto, remains on the balance sheet of the bank as unencumbered assets. Funds received from the issuance of the notes are available to JPMCB as generally available funds. The transaction transfers credit risk to noteholders via a hypothetical tranched credit default swap, which references the pool of fixed-rate auto loans. Principal payments on the notes are based on the actual payments received on the pool, and interest are paid monthly based on the fixed coupon of each class of notes. Both principal and interest payments are unsecured obligations of JPMCB. Given the structure and dependence on JPMCB, Fitch's ratings on the notes are capped at the lower of 1) the quality of the auto loan reference pool and credit enhancement (CE) available through subordination and 2) JPMCB's IDR. KEY RATING DRIVERS The affirmations and upgrades of the outstanding notes reflect loss coverage levels consistent with current ratings for the transactions. The cumulative net losses (CNL) are tracking inside of Fitch's initial base case credit proxies and hard credit enhancement levels (CE) have grown for all classes since close. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks reflect he possibility of an upgrade in the next one to two years. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated base case proxy. For all transactions, the base case proxy was derived using Fitch's initial base case assumptions and projections based on current performance. The base case proxies utilized were 0.50%, 0.50%, 0.70%, and 0.70% for 2020-1, 2020-2 , 2021-1, and 2021-2, respectively. Given the current economic environment, Fitch deemed it appropriately conservative to utilize these approaches for the transactions. Chase Auto Credit Linked Notes, Series 2020-1 As of the April 2022 distribution, 60+ delinquencies were 0.10% of the remaining collateral balance and the CNL was 0.11%, tracking below the initial base case of 1.10%. Hard CE has increased to 7.10%, 6.14%, 5.18%, 4.69% and 3.70% from 4.68%, 3.58%, 2.48%, 1.92% and 1.54% since close for the class B, C, D, E, and F notes, respectively. Based on recent performance and seasoning of the transaction, Fitch reduced the lifetime CNL proxy to 0.50% from 0.70% at the last review. Chase Auto Credit Linked Notes, Series 2020-2 As of the April 2022 distribution, 60+ delinquencies were 0.08% of the remaining collateral balance and the CNL was 0.09%, tracking below the initial base case of 1.10%. Hard CE has increased to 6.50%, 5.46%, 4.42%, 3.91% and 3.09% from 4.67%, 3.57%, 2.48%, 1.93% and 1.54% since close for the class B, C, D, E and F notes, respectively. Based on recent performance and seasoning of the transaction, Fitch reduced the lifetime CNL proxy to 0.50% from 0.70% at the last review. Chase Auto Credit Linked Notes, Series 2021-1 As of the April 2022 distribution, 60+ delinquencies were 0.06% of the remaining collateral balance and the CNL was 0.05%, tracking below the initial base case of 1.10%. Hard CE has increased to 6.03%, 4.91%, 3.79%, 3.22% and 2.56% from 4.68%, 3.58%, 2.48%, 1.93% and 1.54% since close for the class B, C, D, E and F notes, respectively. Based on recent performance and seasoning of the transaction, Fitch reduced the lifetime CNL proxy to 0.70% from 0.90% at the last review. Chase Auto Credit Linked Notes, Series 2021-2 As of the April 2022 distribution, 60+ delinquencies were 0.07% of the remaining collateral balance and the CNL was 0.04%, tracking below the initial base case of 1.10%. Hard CE has increased to 5.79%, 4.62%, 3.46%, 2.87% and 2.29% from 4.67%, 3.57%, 2.47%, 1.92% and 1.54% since close for the class B, C, D, E and F notes, respectively. Based on recent performance and seasoning of the transaction, Fitch reduced the lifetime CNL proxy to 0.70% from 1.10% at closing. Under the revised lifetime CNL proxies, cash flow modelling was able to support multiples in excess of the requisite multiples for all classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy, and affect available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect ratings and Rating Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review and in the current review, the notes were found to have some sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss expectation for each transaction. 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 the potential rating and asset performance impact 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 North American Prime Auto ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on asset and ratings performance, indicating very few (less than 5%) rating Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the scenarios shown above that increase the default expectations by 2.0x. Factors that could, individually or collectively, lead to positive rating action/upgrade: Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than projected CNL proxy, the ratings could be maintained or upgraded by one category. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of 3 - ESG issues are credit neutral or have only a minimal credit impact on the transactions, either due to their nature or the way in which they are being managed. CITIGROUP 2018-C5: Fitch Affirms 'B-' Rating on Class G-RR Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Citigroup Commercial Mortgage Trust (CGCMT) 2018-C5 commercial mortgage pass-through certificates, series 2018-C5. Additionally, Fitch has revised the Rating Outlook for class F-RR to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CGCMT 2018-C5 A-3 17291DAC7 LT AAAsf Affirmed AAAsf A-4 17291DAD5 LT AAAsf Affirmed AAAsf A-AB 17291DAE3 LT AAAsf Affirmed AAAsf A-S 17291DAF0 LT AAAsf Affirmed AAAsf B 17291DAG8 LT AA-sf Affirmed AA-sf C 17291DAH6 LT A-sf Affirmed A-sf D 17291DAJ2 LT BBB-sf Affirmed BBB-sf E-RR 17291DAL7 LT BBB-sf Affirmed BBB-sf F-RR 17291DAN3 LT BB-sf Affirmed BB-sf G-RR 17291DAQ6 LT B-sf Affirmed B-sf X-A 17291DAU7 LT AAAsf Affirmed AAAsf X-B 17291DAV5 LT AA-sf Affirmed AA-sf X-D 17291DAW3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and loss expectations remain stable since Fitch's last rating action. There are six loans Fitch Loans of Concern (FLOCs; 25.6% of the pool), which were flagged for occupancy declines and/or continued pandemic-related performance concerns. No loans are currently in special servicing. Fitch's current ratings incorporate a base case loss of 3.80%. The Outlook revision to Stable from Negative on class F-RR reflects performance stabilization of the properties that had been impacted by the pandemic. The Negative Outlook on class G-RR, which was previously assigned for coronavirus-related performance concerns, is being maintained to reflect losses that could reach 5.9% when factoring a potential outsized loss on the 636 11th Avenue loan due to the departure of the single-tenant at the building. Fitch Loans of Concern: The largest FLOC is 636 11th Avenue (10.8% of the pool), which is secured by a 564,004-sf office building along the east side of 11th Avenue between West 46th and West 47th Streets in the Hell's Kitchen neighborhood of Manhattan. The property was 100% occupied by The Ogilvy Group, Inc. on a lease through June 2029, which vacated in 2021. According to media reports, the tenant has relocated to 200 Fifth Avenue and 3 Columbus Circle, consolidating with other subsidiaries of the parent company WPP, Plc. The servicer noted that the borrower has not made an official notice of the vacancy but is aware that the tenant is marketing the space for sublease. Ogilvy continues to pay its rental obligations, and the loan has remained current. The loan is structured with a springing cash flow sweep if the tenant goes bankrupt, fails to renew 18 months prior to lease expiration, goes dark (except during the initial nine years of the loan if the tenant maintains an investment grade rating and its lease is in full force and effect), vacates or abandons 40% or more of its space. The parent entity, WPP Plc, has historically maintained an investment grade rating. Fitch's base case analysis assumes no modeled loss, reflective of the tenant's continuation of rent payments and ongoing efforts to sublease the space. Fitch applied an additional sensitivity scenario with a potential outsized loss of 20%, which considered Fitch's dark value at issuance that incorporated assumptions for market rent, downtime between leases, carrying costs and re-tenanting costs. The second largest FLOC is Retreat by Watermark (5.7%), the fifth largest loan in the pool, which is secured by a 324-unit multi-family property located in Corpus Christi, TX. The property is located approximately five miles southeast of the Corpus Christi CBD. Corpus Christi is home to Naval Air Station Corpus Christi, the largest employer in the city. The Corpus Christi economy is also heavily dependent on the petroleum and petrochemical industry. Fitch noted new supply concerns at issuance. While occupancy was 92% at YE 2021, up from 87% at YE 2020, NOI in 2021 fell an additional 13.5% from 2020 due to higher operating expenses; as a result, the servicer-reported NOI DSCR fell to 1.25x at YE 2021 from 1.44x at YE 2020. The loan is currently cash managed. The third largest FLOC and seventh largest loan, 650 South Exeter Street (4.1%), is secured by a 206,335-sf mixed used property with office and parking components located in Baltimore, MD. The largest tenant, Laureate Education Inc. (50% NRA; 60% of base rents) has vacated, exercising its lease termination option in March 2021, ahead of its June 2027 lease expiration. In addition, the second largest tenant, Morgan Stanley Smith Barney (18% NRA), has an upcoming lease expiry in September 2022. The property is currently 45% occupied. While no loss was modeled given overall low leverage, Fitch's analysis applied a 40% stress to the YE 2021 NOI to account the loss of the largest tenant and upcoming rollover concerns. Fitch requested a leasing status update from the servicer, but it was not provided. Increased Credit Enhancement: As of the April 2022 distribution date, the pool has paid down by 10% to $601 million from $668 million at issuance. Since the last rating action, two loans were defeased (6.7%), including one top 15 loan, DreamWorks Campus (6.2%). There are 15 loans (58%) that are full-term interest only and 12 loans (27.8%) structured with a partial interest-only period; nine of these loans (16.3%) have exited their interest-only period. Investment-Grade Credit Opinion Loans: The 65 Bay Street loan (10.0%) had an investment-grade credit opinion of 'BBBsf' at issuance. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades of classes A-3, A-4, A-AB, X-A, A-S, B, and X-B are not likely due to the classes' position in the capital structure but may occur if interest shortfalls occur. Downgrades of classes C, D, X-D, and E-RR are possible should expected losses for the pool increase substantially and/or one or more larger loans have an outsized loss, which would erode CE. Downgrades to classes F-RR and G-RR are possible should loss expectations increase if performance of the FLOCs or loans vulnerable to the pandemic fail to stabilize, an outsized loss occurs on the 636 11th Avenue loan and/or additional loans default. 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: Factors that lead to upgrades would include stable to improved asset performance, coupled with pay down and/or defeasance. Upgrades of classes B, X-B and C would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades to classes D, X-D and E-RR would 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 likelihood for interest shortfalls. Upgrades to classes F-RR and G-RR are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic return to pre-pandemic levels, and if there is sufficient CE. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CITIGROUP COMMERCIAL 2006-C4: Moody's Cuts C Certs Rating to Caa1 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating on one class and affirmed the ratings on two classes in Citigroup Commercial Mortgage Trust 2006-C4. Cl. C, Downgraded to Caa1 (sf); previously on May 18, 2020 Downgraded to B2 (sf) Cl. D, Affirmed C (sf); previously on May 18, 2020 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on May 18, 2020 Affirmed C (sf) RATINGS RATIONALE The rating on the principal and interest (P&I) class, Cl. C, was downgraded due to higher realized and anticipated losses as well as an increase in interest shortfalls. The two remaining loans are REO and have been deemed non-recoverable by the master servicer. As of the May 2022 remittance, Cl. C did not receive any interest or principal distributions. The ratings on two P&I classes, Cl. D and Cl. E, were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class E has already experienced a 75% realized loss as a result of previously liquidated loans. Moody's rating action reflects a base expected loss of 94.0% of the current pooled balance, compared to 64.5% at Moody's last review. Moody's base expected loss plus realized losses is now 9.4% of the original pooled balance, compared to 9.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the remaining loans, an increase in realized and expected losses from specially serviced loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published November 2021. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for the specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for the loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the May 17, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $38.9 million from $2.3 billion at securitization. The certificates are collateralized by two specially serviced mortgage loans. Thirty loans have been liquidated from the pool, resulting in an aggregate realized loss of $175 million (for an average loss severity of 45%). As of the May 2022 remittance statement cumulative interest shortfalls were $16.4 million with $7.5 million of shortfalls impacting the remaining three P&I classes. Moody's anticipates interest shortfalls are expected to continue as the two remaining loans are deemed non-recoverable and the P&I classes have not received any recent interest or principal distributions. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest specially serviced loan is the DuBois Mall Loan ($27.8 million - 71.5% of the pool), which is secured by an enclosed mall and outparcels totaling roughly 439,000 square feet (SF). The property is located in DuBois, Pennsylvania, approximately 100 miles northeast of Pittsburgh. The mall is currently anchored by JC Penney, Big Lots, and Ross Dress for Less. As of December 2021, the property was 62% occupied compared to 70% in January 2020, and 87% in December 2017. A former anchor, Sears (approximately 14% of net rentable area (NRA), vacated the property in 2019. The loan first transferred to special servicing in May 2016 due to maturity default and became real estate owned (REO) in May 2019. The loan is last paid through its March 2018 payment date. The property's performance and value has significantly declined from securitization. The loan has been deemed non-recoverable and Moody's anticipates a significant loss on this loan. The second specially serviced loan is the State & Perryville Shopping Center Loan ($11.1 million - 28.5% of the pool), which is secured by a 110,725 SF retail shopping center located in Rockford, Illinois, approximately 80 miles northwest of Chicago. As of December 2021, the property was 45% occupied. The high vacancy is due to a prior tenant, Gordman's (approximately 55% of NRA), vacating the property after its corporate bankruptcy. The loan transferred to special servicing in April 2017 due to imminent default and became REO in February 2019. The loan is last paid through its August 2017 payment date. The property's performance and value has significantly declined from securitization. The loan has been deemed non-recoverable and Moody's anticipates a significant loss on this loan. CITIGROUP COMMERCIAL 2012-GC8: Fitch Cuts Class E Debt Rating to C ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed six classes of Citigroup Commercial Mortgage Trust 2012-GC8 (CGCMT 2012-GC8) commercial mortgage pass-through certificates. In addition, the Rating Outlook for one class was revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CGCMT 2012-GC8 A-4 17318UAD6 LT AAAsf Affirmed AAAsf A-AB 17318UAE4 LT PIFsf Paid In Full AAAsf A-S 17318UAF1 LT AAAsf Affirmed AAAsf B 17318UAG9 LT Asf Affirmed Asf C 17318UAH7 LT BBBsf Affirmed BBBsf D 17318UAJ3 LT CCCsf Downgrade B-sf E 17318UAS3 LT Csf Downgrade CCsf F 17318UAT1 LT Csf Affirmed Csf X-A 17318UAK0 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Greater Certainty of Losses: The downgrades of classes D and E reflect a greater certainty of loss given increased loss expectations on the REO Pinnacle at Westchase asset, due to the growing exposure, lack of performance improvement and uncertainty surrounding the ultimate workout/disposition. There are five Fitch Loans of Concern (FLOCs; 46.6% of current pool), including the REO asset (19.1%) and four loans (27.5%) secured by hotel properties where performance has yet to stabilize from the pandemic and their latest servicer-reported NOI DSCR remains below 1.0x. Increased Credit Enhancement (CE): The Outlook revision to Stable from Negative on class B reflects increased CE since Fitch's last rating action, from significant loan payoffs at better than expected recoveries, and continued scheduled amortization. As of the May 2022 remittance reporting, the pool's aggregate balance has been reduced by 66.8% to $345 million from $1.04 billion at issuance. Realized losses to date total $12.5 million (1.2% of original pool). Pool Concentration: Due to the increasing pool concentration and significant near-term maturities, Fitch performed a look-through analysis that grouped the remaining loans based on the likelihood of repayment and recovery prospects. The Negative Outlook on class C reflects the potential for downgrades if loss expectations on the Gansevoort Park Avenue loan increase. Fitch Loans of Concern: The REO Pinnacle at Westchase (19.1% of current pool) is a nine-story office building located in Houston, TX. Property occupancy declined to 25% in 2019 after three of the largest tenants, all of which were in the energy industry, vacated ahead of their scheduled lease expirations. The loan transferred to special servicing for imminent default in February 2020 due to the borrower's inability to fund debt service shortfalls. The property was foreclosed upon and became REO in June 2021. Per the special servicer, the property is not currently listed for sale, and no new leases or renewals have been signed. Fitch's base case loss of 79% reflects a discount to the most recent appraisal and reflects a stressed value of $29 psf. The largest FLOC is the Gansevoort Park Avenue loan (19.3%), which is secured by a 249-key, full-service boutique hotel located in Manhattan, NY. The property features a tri-level, 20,000 sf rooftop bar, which includes a swimming pool, 24-hour in-room dining, 3,000 sf of meeting space, a salon and spa, fitness center, valet parking and laundry/dry cleaning service. The property was sold to Highgate in December 2017 and subsequently rebranded to Royalton Park Avenue. The loan was previously transferred to the special servicer in June 2021 due to imminent monetary default as a result of the pandemic. The borrower requested payment relief related to the pandemic in June 2020, and was granted a forbearance in August 2020, allowing the use of existing reserve funds to cover debt service payments through YE 2020, and the monthly FF&E reserve requirement was suspended. As part of a loan modification, the borrower also contributed $7.5 million of new equity to cover operating expenses, and the loan maturity was extended by two years to June 2024. The loan returned to the master servicer in August 2021 and has remained current. At issuance, the property featured a full-service restaurant, champagne bar and retail outlets, with food and beverage income accounting for more than 40% of total revenues. Those leases expired between 2018 and 2020, and none of the spaces have been backfilled. As of TTM March 2022, property occupancy, ADR and RevPAR were 42%, $296 and $125, respectively, compared to 54%, $200 and $107 at YE 2020. While the property metrics have improved since YE 2020, performance remains well below pre-pandemic levels of 89%, $308 and $272, respectively. The TTM March 2022 RevPAR penetration rate was 51.3%. Fitch's base case loss of 29% reflects a 5% haircut to the YE 2019 NOI, and factors in a reduction of the loss severity by 50% to account for the property's quality and borrower's commitment. Significant Near-Term Maturities: With the exception of the REO Pinnacle at Westchase asset, and the Gansevoort Park Avenue loan which was modified and extended to 2024, the remainder of the pool matures prior to the end of September 2022. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that could lead to downgrades include an increase in pool level losses from underperforming loans. -- Downgrades to the 'AAAsf', 'AAsf', and 'Asf' rated categories are not likely due to their high CE relative to overall pool loss expectations, senior positions in the capital structure and imminent paydown that is expected from the majority of the pool that matures in the coming months; -- A downgrade to the 'BBBsf' rated category may occur should overall pool losses increase significantly, primarily from the Gansevoort Park Avenue loan, and/or with loans failing to repay at their respective maturities; -- Downgrades to the distressed rated classes would occur with greater certainty of losses and/or as losses are realized. 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. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. -- Upgrades to the 'Asf' and 'BBBsf' rated categories would occur with significant improvement in CE and/or defeasance. The Outlook on class C may be revised to Stable if expected recoveries on Gansevoort Park Avenue loan increase; -- Upgrades to the distressed rated classes are not likely given the increasing pool concentration and adverse selection concerns, reflecting risks related to loans that may be unable to refinance at maturity and/or may transfer to special servicing. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CML ISSUER 2014-1: Fitch Lowers Rating on Class G Certs to B-sf --------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed seven classes of CMLS Issuer Corp.'s (CMLSI) commercial mortgage pass-through certificates series 2014-1. The Rating Outlook for Class F has been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CMLS Issuer Corporation 2014-1 A-1 125824AA0 LT AAAsf Affirmed AAAsf A-2 125824AB8 LT AAAsf Affirmed AAAsf B 125824AC6 LT AAsf Affirmed AAsf C 125824AD4 LT Asf Affirmed Asf D 125824AE2 LT BBBsf Affirmed BBBsf E 125824AF9 LT BBB-sf Affirmed BBB-sf F 125824AG7 LT BBsf Affirmed BBsf G 125824AH5 LT B-sf Downgrade Bsf KEY RATING DRIVERS Stable Performance and Loss Expectations: While Fitch's base case loss expectations have remained relatively stable since Fitch's prior rating action, the downgrade of class G represents the greater certainty of loss as loans approach maturity. The Negative Outlook on class G reflects continued concerns with the Spring Garden Place loan and limited credit enhancement for the class. Fitch has identified three Fitch Loans of Concern (FLOCs; 13.4% of the pool balance). There are currently no delinquent or specially serviced loans. Fitch's current ratings incorporate a base case loss of 4.3%. The largest contributor to overall loss expectations is the Spring Garden Place loan (6.3% of the pool), which is secured by a 113,807-sf multitenant office and retail building located in downtown Halifax, NS. The mixed-use development includes first floor and below-ground retail, three levels of class B office space, and a parking garage with approximately 306 spaces. The property's occupancy as of March 2021 had slightly improved to 74% from 65% at YE 2019, but remains well below YE 2017 at 92.5%. Occupancy has remained relatively low since the departure of IWK Healthcare Centre (previously 20.8% of the NRA) at its lease expiration in 2018 and Bank of Nova Scotia downsizing. Per the March 2021 rent roll, the space has been partially re-tenanted to Province of Nova Scotia (11.3% of the NRA), Starbucks (2.7% of the NRA), and ABW Atlantic Bedding Wholesale (0.8% of the NRA). Debt service coverage ratio (DSCR) remains low, with NOI DSCR reporting at 0.28x as of YE 2020 from 0.41x at YE 2019, 0.60x at YE 2018, and 1.34x at YE 2017. The loan remains current, however is non-recourse. Fitch's analysis includes an 9% cap rate and 5% total haircut to the YE 2018 NOI to account for the low DSCR, performance concerns and impact from the pandemic resulting in an approximate 50% modeled loss. The next largest contributor to overall expected loss is the Iona Plaza Mississauga (5.9%) loan, which is secured by a 55,586-sf single-story, retail plaza located in Mississauga, ON. Per the servicer YE 2020 reporting, the property is 100% occupied. The property faces near term rollover concentration with leases for approximately 83% of the NRA scheduled to expire in 2022 including the anchor tenant, Metro Supermarket (65% of NRA) with a lease expiration in November 2022. NOI has remained stable, with NOI DSCR reporting at 1.70x as of YE 2020, compared with 1.86x at YE 2019. Fitch's analysis includes an 8.75% cap rate and 35% total haircut to the YE 2020 NOI to reflect near-term rollover concerns resulting in an 8% modeled loss. Increasing Credit Enhancement: As of the April 2021 remittance, the pool's aggregate principal balance has been reduced by 36.6% to $179.8 million from $283.7 million at issuance. Twelve loans (22.3% of the loan) paid off either at or ahead of their respective maturity dates. There are no defeased loans. Seven loans (26.9% of the pool) had partial interest only payments at issuance, all of which are now amortizing. The remainder of the pool is amortizing. Geographic Concentration: 67.7% of the properties are located in Ontario, which is in line with previous Canadian deals. Significant Retail Concentration: Retail properties represent the highest concentration of the pool at 40.5% (most of the properties are anchored by grocery stores or pharmacies). Additionally, mixed-use properties represent 17.5% followed by multi-family at 15.5%, industrial at 11%, office at 11% and hotel at 4.5%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1 and A-2 are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to classes B, C, D and E are possible should performance of the FLOCs continue to decline, should loans susceptible to the pandemic fail to stabilize, and/or should any loans transfer to special servicing. Classes F and G could be downgraded should loss expectations from FLOCs continue to increase and grow 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: Upgrades would occur with stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'Asf' and 'AAsf' rated classes are not expected, but would likely occur with significant improvement in CE and/or defeasance and/or the continued stabilization to the properties impacted from the pandemic. Upgrade of the 'BBBsf' and 'BBB-sf' class is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'B-sf' and 'BBsf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. 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 2022-5: Fitch Assigns 'B' Rating on Class B2 Debt ------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2022-5 Mortgage Loan Trust (COLT 2022-5). DEBT RATING PRIOR ---- ------ ----- COLT 2022-5 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 1,256 loans with a total balance of approximately $613 million as of the cut-off date. Loans in the pool were originated by multiple originators and aggregated by Hudson Americas L.P. All loans are currently, or will be, serviced by Select Portfolio Servicing, Inc. 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 9.4% 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. Non-QM Credit Quality (Negative): The collateral consists of 1,256 loans, totaling $613 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, 735 model FICO and 45% model debt-to-income ratio (DTI), and leverage, 81.0% sustainable loan-to-value ratio (sLTV), and 74.1% combined LTV (cLTV). The pool consists of 43.9% of loans where the borrower maintains a primary residence, while 52.2% comprise an investor property. Additionally, 47.8% are non-qualified mortgage (non-QM); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 27%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 88.3% of the loans in the pool were underwritten to less than full documentation, and 38% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 706bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 812 debt service coverage ratio (DSCR) product loans in the pool (65% 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. Additionally, two loans were commercial investor loans underwritten under a no-ratio basis. Fitch's expected loss for these loans is 38% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 48% 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 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 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 downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2022-5 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 any unpaid cap carryover for the class A-1 interest for as long as class A-1 is outstanding and all A-1 cap carry over is zero. 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. 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. SUMMARY OF FINANCIAL ADJUSTMENTS 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 AMC, Clayton, Covius and Recovco. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 45bps 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. COMM 2013-CCRE11: Fitch Affirms 'CCC' Rating on Class F Debt ------------------------------------------------------------ Fitch Ratings has upgraded two and affirmed nine classes of COMM 2013-CCRE11 Mortgage Trust. In addition, the Rating Outlooks for classes B and X-B have been revised to Positive from Stable. DEBT RATING PRIOR ---- ------ ----- COMM 2013-CCRE11 A-3 12626LAD4 LT AAAsf Affirmed AAAsf A-4 12626LAE2 LT AAAsf Affirmed AAAsf A-M 12626LBN1 LT AAAsf Affirmed AAAsf A-SB 12626LAC6 LT AAAsf Affirmed AAAsf B 12626LBP6 LT AAsf Upgrade AA-sf C 12626LAW2 LT A-sf Affirmed A-sf D 12626LAY8 LT BBB-sf Affirmed BBB-sf E 12626LBA9 LT BBsf Affirmed BBsf F 12626LBC5 LT CCCsf Affirmed CCCsf X-A 12626LAF9 LT AAAsf Affirmed AAAsf X-B 12626LAL6 LT AAsf Upgrade AA-sf KEY RATING DRIVERS Increased Credit Enhancement (CE), High Defeasance: The upgrades and Positive Rating Outlooks reflect improved CE, primarily due to additional defeasance since the last review as well as loan amortization and, prepayments. The Positive Outlooks reflect Fitch expecting substantial loan repayments as all loans mature from July through October 2023. As of the May 2022 distribution date, the pool was paid down by 14.4% to $1.09 billion from $1.27 billion at issuance. There are 19 defeased loans (49%) including six loans that have defeased since Fitch's prior rating action. There are six loans (27.4%) that are full-term interest only. The remaining 39 loans are all amortizing. The transaction has not experienced any principal losses to date. Stable Performance: Overall pool performance and base case loss expectations remained relatively stable since the prior review. Fitch has identified six Fitch Loans of Concern (FLOCs; 22.7% of the pool balance), including one loan in special servicing (1.2%). Fitch's current ratings incorporate a base case loss of 4.8%. Largest Contributors to Base Case Loss/Specially Serviced Loan: The largest contributor to loss expectations, Oglethorpe Mall (7.7%), is secured by a 626,966-sf portion of a 942,726-sf regional mall located in Savannah, GA. The property is anchored by JCPenney (13.7% of NRA, through July 2022), Macy's (21.5%, through February 2023), Belk (non-collateral) and a dark former Sears (non-collateral). Other large tenants include Barnes & Noble (4.3%, through January 2022 but still open) and H&M (3.2% through January 2028), DSW (2.7%, through January 2027). The servicer reported 2021 NOI debt service coverage ratio (DSCR) was 1.44x compared to 1.47x at YE 2020, and 1.77x at YE 2019. As of Dec. 31, 2021, the collateral was 94% occupied compared with 91.4% at YE 2020 and 96% at YE 2019. Stein Mart (5.9% of NRA) vacated in 2020 prior to its lease expiration after the company's bankruptcy and space was re-leased on a one-year term to Overstock Furniture and Mattress who has since vacated. Sears, which is owned by Seritage Growth Properties, closed this store in November 2018. According to a recent news article, a rezoning application has been submitted to construct five apartment buildings with 240 units on the site. Comparable in line tenant sales have rebounded to $398 psf at June 2021 compared to $340 psf at YE 2020, $385 psf at YE 2019, $397 psf at YE 2018, and $419 psf at issuance. JCPenney reported YE 2020 sales at $80psf compared with $114psf at YE 2019 and $122psf at YE 2018. Macy's sales were stable at $92psf for YE 2020 compared with $87psf at YE 2019 and $90psf at YE 2018. Fitch's base case loss of 47% reflects an implied cap rate of 16.6% to YE 2021 NOI and reflects the potential challenges of refinancing the total A Note debt of $139.5 million at the loan maturity in July 2023. The loan in special servicing is 380 Lafayette Street (1.2%). The loan is secured by the 15,000-sf basement and ground level floor of a six-story commercial condo located in Manhattan's NoHo neighborhood. The property is 100% leased to Lafayette, an upscale cafe and restaurant, through March 2028 and is currently open. The loan transferred in June 2020 due to payment default. The restaurant closed in April 2020 due to the pandemic and reopened for takeout/delivery in August 2020. The NOI DSCR as of YE 2021 was .98x compared to 1.15x at YE 2020 and 1.26x at YE 2019. The special servicer is continuing to pursue its rights and remedies under the loan documents and is planning to move forward with foreclosure. Fitch modeled a minimal loss to reflect the potential for fees. Significant Retail Concentration: Approximately 31.2% of the loans in the pool are secured by retail properties, including the largest loan in the pool, a regional mall in Las Vegas, NV (12.6% of the pool). Other property type concentrations include office at 20.6%, self-storage at 11.6%, and industrial at 11.5%. The largest retail loan is the Miracle Mile Shops (12.6%), which is secured by a 448,835-sf regional mall located at the base of the Planet Hollywood Resort & Casino on the Las Vegas Strip. The collateral includes an adjacent 11-story parking garage. The largest tenant is V Theater (8.5% of NRA; December 2023) and the third largest tenant is Race and Sports Book (4.3%; July 2045). The loan, which transferred to special servicing in August 2020 due to the borrower requesting coronavirus relief, was modified. Terms included a seven-month deferral of principal payments and leasing reserve deposits from August 2020 through February 2021, with repayment beginning in March 2021. The loan was subsequently returned to the master servicer later in August 2020. YE 2021 NOI DSCR was 1.15x compared to 1.01x at YE 2020, 1.41x at YE19 and 1.55x YE18. The mall was temporarily closed due to the pandemic in March 2020 and re-opened in July 2020. Occupancy increased to 94% as of March 2022 after it fell to 89% as of September 2021 from 96.7% in April 2020 and 98% in December 2019. The former second-largest tenant, Saxe Theater (5%), and several other smaller tenants, vacated in 2020 during the pandemic. The mall had strong historical sales performance prior to the pandemic and has improved recently from pandemic lows. The most recently reported TTM August 2021 inline sales were $778psf, up from $473psf the prior year. Pre- pandemic, inline sales were $835psf as of TTM February 2020, $817 as of TTM March 2019 and $868psf at issuance in 2013. Fitch's analysis factored in no stress to the YE 2021 NOI resulting in no modeled loss. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to the senior classes, A-3 through A-M, are not expected given the high CE, but may occur should the classes realize interest shortfalls. -- A downgrade to classes B, X-B, and C would likely occur should several large loans transfer to special servicing and/or if pool losses significantly increase. A downgrade to classes D and E would occur with further performance declines of Miracle Mile Shops and/or Oglethorpe Mall or if the loans fail to pay off at maturity. Further downgrades to the distressed class F would occur with increased certainty of losses and as CE becomes eroded. -- 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: -- Upgrades would occur with stable to improved asset performance coupled with paydown and/or defeasance. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades to classes B, X-B, and C would likely occur with improvements in CE and/or defeasance; -- However, adverse selection, increased concentrations or the underperformance of particular loan(s) may limit the potential for future upgrades. An upgrade to class D would be limited based on the sensitivity to loan concentrations. Fitch considers upgrades to classes E and F unlikely but could occur with significant improvement in performance of the FLOCs, particularly Oglethorpe Mall. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. COMM 2015-3BP: DBRS Confirms BB(low) Rating on Class F Certs ------------------------------------------------------------ DBRS, Inc. confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-3BP issued by COMM 2015-3BP Mortgage Trust: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since the last review. The transaction benefits from the loan collateral in a high-quality, Class-A office asset situated in a prime location within a desirable submarket, with strong, longer-term tenancy in place. The 10-year interest-only (IO) loan provided whole-loan proceeds of $1.1 billion to facilitate the $2.2 billion acquisition of the property known as Three Bryant Park, a 1.2 million-square-foot (sf), Class-A office building in Midtown Manhattan. A $215.0 million mezzanine loan with a coterminous maturity date and $878.7 million of sponsor equity also supported the acquisition. The loan is sponsored by SITQ US Investments Inc., which is the United States subsidiary of Ivanhoe Cambridge Inc., a Canadian real estate company with assets around the world. The building is a high-quality asset that received more than $400 million in capital improvements between 2007 and 2014. According to the December 2021 rent roll, the property was 93.9% occupied, with minimal near-term rollover risk. According to the Reis Q4 2021 Midtown West submarket report, the average vacancy rate for the submarket was 11.5%, the average rental rate was $68.95 per sf (psf), and the effective rent was $56.60 psf. The property's largest tenant, MetLife, Inc. (MetLife), leases 35.4% of the net rentable area (NRA) through April 2029 with no termination options; however, in late 2015, MetLife vacated and subleased the space to various tenants including the building's new namesake, Salesforce.com, Inc., which houses its regional headquarters at the subject property, subleasing 17.7% of the total building's NRA from MetLife through April 2029. Dechert LLP, the second-largest tenant, previously had a lease expiration date in July 2023, but the December 2021 rent roll provided to DBRS Morningstar shows an extension to 2035 with slight increases in both NRA (from 19.8% of the NRA to 20.4% of the NRA) and rental rates. The retail space is anchored by a 42,818-sf Whole Foods, which has a lease expiry in 2037 and provides an attractive amenity to the property. As of year-end (YE) 2021, the servicer reported a net cash flow (NCF) figure of $78.9 million, with a debt service coverage ratio (DSCR) of 2.13 times (x), compared with the YE2020 NCF of $84.9 and DSCR of 2.29x, respectively. The cash flow has remained below the issuer's expectations of $93.9 million and 2.54x respectively since issuance, with increases in expenses (with real estate taxes showing the most noteworthy increase by category) and revenues below the issuer's expectations driving the bulk of the variance over the last few years. The YE2021 operating expenses were up 44.1% from issuance, driven by real estate taxes that have increased 102.1% since issuance. The increase in billed taxes is primarily related to a real estate tax abatement that has burned off since issuance. When DBRS Morningstar ratings were assigned to the transaction in 2020, the YE2019 NCF was analyzed, which represented a delta of approximately -$10 million from the issuer's NCF figure. The YE2021 NCF figure shows real estate taxes increased by 7.7% from YE2019, with revenues down by 1.6% due to declines in reimubursements and other income. The in-place DSCR remains generally healthy. The overall desirability of the location and building, even amid the challenges of the Coronavirus Disease (COVID-19) pandemic, as well as the strong sponsorship and significant equity contribution at issuance, all should continue to support the stable performance of the loan through the remaining term. Notes: All figures are in U.S. dollars unless otherwise noted. CORE 2019-CORE: DBRS Confirms BB(low) Rating on Class F Certs ------------------------------------------------------------- DBRS Limited upgraded the following two classes of Commercial Mortgage Pass-Through Certificates, Series 2019-CORE issued by CORE 2019-CORE Mortgage Trust as follows: -- Class C to AA (high) (sf) from AA (sf) -- Class D to AA (sf) from A (sf) In addition, DBRS Morningstar confirmed the remaining classes as follows: -- Class B at AAA (sf) -- Class X-NCP at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The ratings upgrades reflect the continued paydown of the trust, as a result of property releases (and their associated release premiums) since the last review and the continued stable performance of the remaining properties that back the underlying loan collateralizing the transaction. The underlying loan is composed of four pari passu notes that totalled the $402.8 million balance at issuance consisted of the borrower's fee-simple and leasehold interests in six office properties and one mixed-use property, totalling 2.6 million square feet (sf), across New York, Pennsylvania, Maryland, and Virginia. The loan is structured with an initial term of two years and three one-year extension options. As of the March 2022 remittance, the trust balance has paid down to $148.1 million. The whole loan amount also included a $92.2 million senior mezzanine loan and a $55.0 million junior mezzanine loan, both held outside the trust. The properties are cross defaulted. Two property releases and paydowns have occurred in the last year. Starting with the June 2021 remittance, the Harlem Office property was released from the portfolio, resulting in a paydown of $34.2 million, representing 110.0% of the allocated loan balance of $31.1 million. Next, with the December 2021 remittance, Glen Forest Office Park was released from the pool, resulting in a paydown of $56.5 million, representing 110.0% of the allocated loan balance of $51.4 million. With these releases, only two of the original seven properties remain in the portfolio, representing a collateral reduction of approximately 63.3% since issuance. The properties, One Pierrepont Plaza and Station Square, represent 71.6% and 28.4% of the outstanding loan balance, respectively. One Pierrepont Plaza, is a high-rise office tower in downtown Brooklyn, New York, and belongs to a 5.5-million-sf corporate campus known as MetroTech Center. As of the January 2022 rent roll, the collateral was 84.4% occupied, with the largest tenants including the Icahn School of Medicine at Mount Sinai (11.6% of the net rentable area (NRA), lease expiry March 2023), NYS Workers Compensation (7.4% of the NRA, lease expiry May 2030), U.S. Probation and Pretrial Services (6.6% of the NRA, lease expiry August 2023), and NYC Transit Authority (6.3% of the NRA, lease expiry March 2028). There is a cumulative rollover risk of 12.3% of the NRA within the next 12 months, primarily represented by the largest tenant's upcoming lease expiration. Station Square is composed of four mixed-use commercial buildings and one parking garage in downtown Pittsburgh along the Monongahela River. As of the January 2022 rent roll, the collateral was 87.5% occupied with a marginal cumulative rollover risk of 0.7% of the NRA within the next 12 months. The largest collateral tenants include WESCO Distribution (17.1% of the NRA, lease expiry March 2029), CardWorks Servicing (9.3% of the NRA, lease expiry June 2024), and ERT (7.0% of the NRA, lease expiry March 2027). The servicer reported an annualized Q2 2021 debt service coverage ratio (DSCR) of 2.46 times (x), a modest increase from the year-end 2020 DSCR of 2.35x. As of the March 2022 reserve report, there is a sizable current balance of $20.7 million in the loan's tenant reserve account. The loan sponsor is Brookfield Strategic Real Estate Partners III GP L.P. The sponsor's parent, Brookfield Property Partners L.P. (BPY; rated BBB (low) with a Stable trend by DBRS Morningstar) is an owner, operator, and investor in commercial real estate with a diversified portfolio of office and retail assets as well as interests in multifamily, triple-net lease, industrial, hospitality, self-storage, student housing, and manufactured housing assets. BPY's core office portfolio includes interests in 150 office properties in Tier 1 cities around the world, totalling 99 million sf. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC TRUST 2017-CALI: S&P Lowers Class F Certs Rating to 'CCC(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from CSMC Trust 2017-CALI, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on five classes from the same transaction. This U.S. CMBS transaction is backed by a portion of a fixed-rate, interest-only (IO) mortgage whole loan secured by One California Plaza, a 42-story, 1.05 million-sq.-ft. office building in Los Angeles' downtown submarket. Rating Actions S&P said, "The downgrades of classes D, E, and F, and the affirmations of classes A, B, and C reflect our reevaluation of the office property that secures the sole loan in the transaction. Our current analysis considers the property's declining occupancy rates over the past three years (76.4% as of the March 2022 rent roll) and the sponsor's inability to increase the property's occupancy rate to historical or market occupancy levels. We also considered the decline in the property's net cash flow (NCF) during the past two years, primarily because of decreasing expense reimbursements and parking income, and increasing operating expenses. "Our property-level analysis also reflects the weakened office submarket fundamentals from lower demand and longer re-leasing time frames as more companies adopt a hybrid work arrangement. Therefore, we revised and lowered our sustainable NCF to $16.3 million (down 9.1% from our last review in October 2020 and issuance NCF of $17.9 million) using a projected 75.9% occupancy rate, which is 11.8% higher than the 2021 servicer-reported NCF of $14.5 million but 8.8% lower than the 2020 NCF. We attributed the lower 2021 NCF to the high number of leases that rolled that year (17 leases, 27.1% of net rentable area [NRA], as calculated by S&P Global Ratings) and the upfront rent concessions given to some of those tenants that renewed. The servicer reported base rent totaled $19.4 million in 2021, 13.2% lower than the $22.3 million base rent reported in the March 2022 rent roll based on similar occupancy rates. Using an S&P Global Ratings' capitalization rate of 7.00% (unchanged from issuance), we arrived at an expected-case valuation of $232.2 million or $223 per sq. ft., a 9.2% decrease from our last review and issuance value of $255.8 million. This yielded an S&P Global Ratings' loan-to-value (LTV) ratio of 129.2% on the whole loan balance. "The downgrade on the class F certificates also reflects our view that, based on an S&P Global Ratings' LTV ratio of over 100%, this class is 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 classes' revised or current rating levels, S&P tempered its downgrades on classes D and E and affirmed our ratings on classes A, B, and C because it weighed certain qualitative considerations, including: -- The potential that the property's operating performance could improve above our revised expectations; -- The significant market value decline 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 payment waterfall. S&P affirmed its ratings on the class X-A and X-B IO certificates based on its criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references class A while class X-B references classes B and C. The mortgage whole loan had a reported current payment status through its May 2022 debt service payment date, and the borrower did not request COVID-19-related relief. According to the master servicer, KeyBank Real Estate Capital (KeyBank), there is $7.7 million in tenant reserves, $279,267 in replacement reserves, and $5.8 million in other reserves as of May 2022. If the property's performance does not improve or if there are reported negative changes in the performance beyond what S&P has already considered, it may revisit its analysis and adjust its ratings as necessary. Property-Level Analysis The property is a 42-story, 1.05 million-sq.-ft., class A office building in Los Angeles' downtown submarket. The property was built in 1985 and is part of a mixed-use development that occupies an entire city block within the Bunker Hill neighborhood of downtown Los Angeles. The overall development includes: Two California Plaza, a 1.4 million-sq.-ft. office tower adjacent to the property; the Omni Hotel, a 453-room full-service hospitality property; and a 1.5-acre water court, an open-air courtyard and amphitheater with multi-level seating, situated between the two office properties. According to the March 2022 rent roll, the five largest tenants at the property comprise 42.5% of NRA: -- AECOM (11.9% of NRA; 12.8% of in-place base rent, as calculated by S&P Global Ratings; February 2032 lease expiration), -- Skadden, Arps, Slate, Meagher & Flom LLP (10.3%; 13.4%; November 2024), -- Morgan Lewis & Blockius LLP (9.8%; 12.9%; September 2027), -- Dentons US LLP (6.0%; 8.4%; September 2022), and -- Nixon Peabody LLP (4.5%; 6.0; April 2028). S&P said, "According to the servicer-reported data, the property's occupancy level declined to 87.4% in 2019 from 89.1% in 2018, and further decreased to 76.4% by 2021, which is below the assumed 80.0% and 82.0% occupancy rates we derived in the last review and at issuance, respectively. The decline in occupancy is primarily because of tenants vacating or downsizing upon their lease expiration dates and the borrower's inability to backfill the vacant space timely. The property also faces elevated rollover risk in 2022 (8.7% of NRA), 2024 (14.9%), and 2025 (9.9%). The submarket, according to CoStar, has also weakened, with the vacancy rate increasing to 16.2% in 2020 from 15.4% in 2019 and further deteriorating to 17.1% in 2021. After considering the known tenancy movements, we expect the occupancy rate to be approximately 75.9%, which is slightly below the 76.4% occupancy rate, based on the March 2022 rent roll. "At issuance, the property was 86.2% occupied and had maintained an average occupancy of 79.5% since 2014. Although we were aware at issuance of the considerable tenant rollover risk during the loan's seven-year term, with 62.1% of NRA expiring with the largest concentration in 2021 (when leases accounting for about 27.1% of NRA are expiring), we assumed that the borrower would be able to renew or release vacant spaces to about an 82.0% occupancy level (versus the office submarket vacancy rate of about 12.5% as of second-quarter 2017), given the loan's required ongoing reserves of just over $1.0 million per year. In our last review in October 2020, the property was 88.4% occupied; however, due to the high office submarket availability rate (18.5% as of third-quarter 2020) and significant tenant rollover in 2021, we assumed an 80.0% occupancy level and higher tenant improvement assumptions. S&P revised and lowered expected-case assumptions and property valuation reflect the following factors: -- The declining property's occupancy and longer re-tenancy timing; -- The further weakened downtown office submarket fundamentals, where the property is located according to CoStar, stemming from more companies embracing flexible work arrangements; -- Known tenant movements; and -- Concentrated rollover risk. According to CoStar, the market rent for four- and five-star office properties in the downtown office submarket was flat in 2021 and year-to-date (YTD) May 2022. Although CoStar projects 2.5% and 5.7% rent growth in 2022 and 2023, respectively, continued above-average market vacancy rates could hurt rent rates. As of YTD May 2022, asking rent, vacancy rate, and availability rate for four- and five-star office properties in the submarket were $39.47 per sq. ft., 17.5%, and 21.1%, respectively. This compares with the submarket asking rent and vacancy rate of $37.49 per sq. ft. and 14.1%, respectively, in 2017 when the transaction was issued. CoStar projects average office submarket vacancy rate to remain elevated at 17.3% and asking rent of $42.63 per sq. ft. in 2023. S&P said, "Our current analysis considered the aforementioned developments, as well as current office market data and conditions. As discussed above, we assumed an occupancy rate of 75.9%, an in-place base rent of $28.92 per sq. ft., as calculated by S&P Global Ratings, and a 48.7% operating expense ratio, which results in an S&P Global Ratings NCF of $16.3 million. Using an S&P Global Ratings capitalization rate of 7.00%, we derived an expected-case value of $232.2 million or $223 per sq. ft." Transaction Summary This is a U.S. stand-alone (single-borrower) transaction backed by a portion of a seven-year, fixed-rate, IO mortgage whole loan. The whole loan is secured by One California Plaza, a 1.05 million-sq.-ft. office building in downtown Los Angeles. The IO mortgage whole loan had an initial and current balance of $300.0 million, pays an annual fixed interest rate of 3.80%, and matures on Nov. 6, 2024. The whole loan is split into two senior A notes and a subordinate B note. The $250.0 million trust balance (as of the May 12, 2022, trustee remittance report) comprises the $86.0 million senior note A-1 and $164.0 million subordinate note B. The $50.0 million senior note A-2 is in CSAIL 2017-CX10 Commercial Mortgage Trust, a U.S. CMBS transaction. The senior A notes are pari passu to each other and senior to the B note. KeyBank reported a 1.26x debt service coverage in 2021, down from 1.67x in 2020. To date, the trust has not incurred any principal losses. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the COVID-19 pandemic, as well as the importance and benefits of vaccines. S&P siad, "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 CSMC Trust 2017-CALI Class D to 'BB+ (sf)' from 'BBB- (sf)' Class E to 'B (sf)' from 'BB- (sf)' Class F to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed CSMC Trust 2017-CALI Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class X-A: AAA (sf) Class X-B: A- (sf) CSMC TRUST 2017-MOON: DBRS Confirms BB(high) Rating on 2 Classes ---------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-MOON issued by CSMC Trust 2017-MOON as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of this transaction, which remains in line with DBRS Morningstar's expectations at issuance. The five-year loan is interest-only (IO) and it's scheduled to mature in July 2022. The loan is secured by Two Independence Square, a Class A office property in Washington, D.C. within the Southwest Federal Center, a business district mostly occupied by branches of the U.S. government, and just south of the National Mall and Capitol building. The trust debt is composed of a $64.0 million senior pari passu participation and a $61.7 million subordinate B note; the whole loan totals $225.7 million including all senior and junior notes. The sponsor for this loan is structured as a U.S. real estate investment trust owned by Hana Financial Group; Korea Investment & Securities Co., Ltd.; and Samsung Securities Co., Ltd. The property is LEED Gold certified and has been the National Aeronautics and Space Administration's (NASA) headquarters since its construction in 1992. It is 98.6% leased to NASA with a lease expiration in August 2028 and no termination options. As part of its lease renewal in 2013, NASA invested an additional $42 million into its space and the previous owner invested approximately $86.3 million to renovate the building exteriors and upgrade security. The remaining 8,644 square feet (1.4% of the net rentable area) is leased to three ground-floor retail tenants, all with leases extending beyond the loan maturity. The subject has remained 100% occupied since issuance. The loan reported a year-end (YE) 2021 net cash flow (NCF) of $21.3 million, compared with the YE2020 NCF of $21.0 million and the DBRS Morningstar NCF of $20.2 million. The property benefits from long-term tenancy with a high-quality tenant that is backed by the credit of the U.S. Federal Government, excellent location, historical equity contributions and tenant investment, and no lease rollover in the near to medium term. The loan continues to perform as expected and DBRS Morningstar believes it is on track to secure takeout refinancing prior to maturity. Notes: All figures are in U.S dollars unless otherwise noted. CSMC TRUST 2022-ATH2: S&P Gives Prelim. B- Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CSMC 2022-ATH2 Trust's mortgage pass-through notes. The note issuance is an RMBS transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of May 20, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The transaction's mortgage originator, Athas Capital Group Inc.; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Preliminary Ratings Assigned CSMC 2022-ATH2 Trust Class A-1A, $166,733,000: AAA (sf) Class A-1B, $34,699,000: AAA (sf) Class A-1, $201,432,000: AAA (sf) Class A-2, $27,933,000: AA (sf) Class A-3, $40,426,000: A (sf) Class M-1, $23,942,000: BBB (sf) Class B-1, $18,565,000: BB (sf) Class B-2, $18,391,000: B- (sf) Class B-3, $16,309,107: Not rated Class A-IO-S, notional(i): Not rated Class XS, notional(i): Not rated Class PT, $346,998,107: Not rated Class R, not applicable: Not rated (i)The notional amount will equal the aggregate balance of the mortgage loans as of the first day of the related due period. DEEPHAVEN RESIDENTIAL 2022-2: DBRS Finalizes B Rating on B-2 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2022-2 (the Notes) issued by Deephaven Residential Mortgage Trust 2022-2 (DRMT 2022-2 or the Issuer): -- $182.3 million Class A-1 at AAA (sf) -- $23.6 million Class A-2 at AA (high) (sf) -- $37.9 million Class A-3 at A (high) (sf) -- $16.4 million Class M-1 at BBB (high) (sf) -- $12.8 million Class B-1 at BB (sf) -- $12.5 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects 38.15% of credit enhancement provided by subordinated Notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (sf) ratings reflect 30.15%, 17.30%, 11.75%, 7.40%, and 3.15% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. DRMT 2022-2 is backed by a portfolio of fixed and adjustable rate prime and nonprime first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2022-2 (the Notes). The Notes are backed by 587 loans with a total principal balance of approximately $294,782,474 as of the Cut-Off Date (March 1, 2022). The originators for the mortgage pool are Deephaven Mortgage LLC (Deephaven Mortgage; 24.0%), All Credit Considered Mortgage, Inc. (ACC; 19.8%), 5th Street Capital, Inc. (5th Street; 13.6%), and others (42.7%). Deephaven Mortgage LLC (Deephaven or the Aggregator) acquired loans originated predominantly under following underwriting guidelines: -- Deephaven Expanded Prime -- Deephaven Non-Prime -- Deephaven debt service coverage ratio -- ACC prime plus DBRS Morningstar performed a telephone operational risk review of Deephaven's aggregation and mortgage loan origination practices and believes the company is an acceptable mortgage loan aggregator and originator. Selene Finance LP (Selene; 96.3%) and NewRez LLC doing business as Shellpoint Mortgage Servicing (Shellpoint; 3.7%) are the Servicers for all loans. RCF II Loan Acquisition, LP will act as the Sponsor and Advance Reimbursement Party. Computershare Trust Company, N.A. (Computershare; rated BBB with a Stable trend by DBRS Morningstar) will act as the Master Servicer, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. U.S. Bank National Association will serve as the Custodian; Wilmington Savings Fund Society, FSB will act as the Owner Trustee; and Wilmington Trust National Association (rated AA (low) with a Stable trend by DBRS Morningstar) will act as the Indenture Trustee. The pool is about three months seasoned on a weighted-average (WA) basis, although seasoning spans from zero to 23 months. In accordance with U.S. credit risk retention requirements, RCF II Loan Acquisition, LP as the Sponsor, either directly or through a Majority-Owned Affiliate, will retain an eligible horizontal residual interest consisting of a portion of the Class B-2 Notes, 100% of the Class B-3 Notes, and the Class XS Notes representing not less than 5% economic interest in the transaction, to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Although the applicable mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM)/ATR rules, 76.1% of the loans are designated as non-QM. Approximately 23.9% of the loans are made to investors for business purposes and are thus not subject to the QM/ATR rules. The Servicers will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 180 days delinquent, contingent upon recoverability determination. Each Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). The Servicers will not advance P&I for the payments forborne on the loans where the borrower has been granted forbearance or similar loss mitigation in response to the coronavirus pandemic or otherwise. However, the Servicers will be required to make P&I advances for any delinquent payments due after the end of the related forbearance period. If the applicable Servicer fails to make a required P&I advance, the Master Servicer will fund such P&I advance until it is deemed unrecoverable. The Sponsor will have the option, but not the obligation, to repurchase any nonliquidated mortgage loan that is 90 or more days delinquent under the Mortgage Bankers Association (MBA) method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. RCF II Master Depositor, LLC, as the Administrator, on behalf of the Issuer may, at its option, on any date on or after the earlier of (1) the three-year anniversary of the Closing Date or (2) the date on which the loan balance is reduced to less than or equal to 30% of the balance as of the Cut-Off date, redeem the Notes at a redemption price equal to the greater of the (a) outstanding Notes balance plus accrued and unpaid interest and (b) the sum of the loan balance, REO property value less expected liquidation expense, advances, and unpaid fees and expenses, as discussed in the transaction documents (Optional Redemption). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated bonds after a Credit Event has occurred. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of Notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior classes have been paid off in full. Furthermore, the excess spread can be used to cover realized losses and prior period bond writedown amounts first before being allocated to unpaid cap carryover amounts to Class A-1 to Class A-3. CORONAVIRUS IMPACT The pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low LTVs, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN XXVI: S&P Affirms BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------- S&P Global Ratings raised its rating on the class F-R notes from Dryden XXVI Senior Loan Fund. At the same time, S&P affirmed its ratings on the class A-R, B-R, C-R, D-R, and E-R notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the March 31, 2022, trustee report. The transaction exited its reinvestment period in April 2021. Since then, the transaction has paid about $21 million in collective paydowns to the class A-R notes that reduced its balance to 92% of its original amount. The transaction, as permitted by its documents, continues to reinvest a portion of its unscheduled principal proceeds, and this contributed to lower paydowns. The transaction's performance has been stable and all coverage tests are passing with adequate cushions. The credit quality of the portfolio has also improved since S&P's August 2020 rating action. Since then, the level of assets rated 'CCC+' and below decreased to $22.34 million from $50.93 million and the collateral portfolio's weighted average life, as reported by the trustee, has decreased to 3.76 years from 4.77 years. S&P said, "For CLO tranches with ratings of 'B-' or lower, we rely primarily on our 'CCC' criteria and guidance. If, in our view, payment of principal or interest when due is dependent on favorable business, financial, or economic conditions, we will generally assign a rating in the 'CCC' category. If, on the other hand, we believe a tranche can withstand a steady-state scenario without being dependent on such favorable conditions to meet its financial commitments, we will generally raise the rating to 'B- (sf)' even if our CDO Evaluator and S&P Cash Flow Evaluator models would indicate a lower rating. In assessing how a CLO tranche might perform under a steady-state scenario, we considered the speculative-grade nonfinancial corporate default rate (the default rate of nonfinancial corporations rated 'BB+' or lower) over the decade prior to the start of the COVID-19 pandemic in 2020 and determined whether the tranche currently has sufficient credit enhancement, in our view, to withstand the average corporate default rate from this time frame. "Based on the transaction's low exposure to 'CCC' and 'CCC-' rated collateral, the class F-R notes' current overcollateralization, and our outlook, we believe that the class F-R notes can withstand a steady-state scenario without being dependent on such favorable conditions to meet its financial commitments. As a result, we raised its rating to 'B- (sf)' even though our cash flow analysis indicated a lower rating. "We affirmed our rating on the class A-R and E-R notes, as each class passes our cash flow stresses at its current rating. "Although our cash flow analysis indicates higher ratings for the class B-R, C-R, and D-R notes, we noted the somewhat lower recovery rating distribution of the portfolio, the relatively lower overcollateralization ratios when compared to peers', and the relatively slow rate of senior note amortization in our decision to affirm our current ratings on these classes. This slow rate of amortization may lead to the CLO notes being outstanding for a longer period of time, leaving them vulnerable to future periods of stress. "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." Rating Raised Dryden XXVI Senior Loan Fund Class F-R to 'B- (sf)' from 'CCC+ (sf)' Ratings Affirmed Dryden XXVI Senior Loan Fund Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) Class E-R: BB- (sf) FORTRESS CREDIT XVII: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned ratings to Fortress Credit BSL XVII Ltd./Fortress Credit BSL XVII LLC's fixed- and 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 FC BSL XVII Management LLC. 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 Fortress Credit BSL XVII Ltd./Fortress Credit BSL XVII LLC Class A-1, $316.60 million: AAA (sf) Class A-2, $18.90 million: AAA (sf) Class B-1, $30.00 million: AA (sf) Class B-2, $44.25 million: AA (sf) Class C-1 (deferrable), $25.00 million: A (sf) Class C-2 (deferrable), $10.75 million: A (sf) Class D (deferrable), $33.00 million: BBB- (sf) Class E (deferrable), $19.25 million: BB- (sf) Subordinated notes, $52.375 million: Not rated FS RIALTO 2022-FL4: DBRS Finalizes B(low) Rating on Class G Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by FS Rialto 2022-FL4 Issuer, LLC (FSRIA 2022-FL4): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The initial collateral consists of 23 floating-rate mortgage loans and participation interests in mortgage loans secured by 36 mostly transitional properties with a cut-off balance totaling $1.1 billion, excluding $139.2 million of remaining future funding commitments and $360.8 million of pari passu debt. Seven loans (32.1% of the pool) are pari passu participations, and 16 loans (62.8% of the pool) have remaining future funding participations, which the Issuer may acquire in the future. Two loans (Goodfriend Westchester Portfolio and Goodfriend - Bronx) are cross-collateralized and are treated as a single loan in the DBRS Morningstar analysis, resulting in a modified loan count of 22. All figures below reflect this modified loan count. The holder of the future funding companion participations will be FS CREIT Finance Holdings LLC (the Seller), a wholly owned subsidiary of FS Credit Real Estate Income Trust, Inc. (FS Credit REIT), or an affiliate of the Seller. The securitization sponsor, FS Credit REIT, is an experienced commercial real estate collateralized loan obligation (CRE CLO) issuer and collateral manager. FS Credit REIT is externally managed by FS Real Estate Advisor, LLC, an affiliate of Franklin Square Holdings, L.P. (FS Investments). Founded in 2007, FS Investments had $32 billion in total assets under management as of December 31, 2021. Rialto houses a vertically integrated operating platform and has $9.2 billion in total current assets under management. FS Rialto 2022-FL4 Holder, LLC, a subsidiary of the Seller, will acquire the Class F Notes, the Class G Notes, and the Class H Notes, representing the most subordinate 17.125% of the transaction by principal balance. Additionally, the seller is expected to retain 100% of the Companion Participations, totaling approximately $500.0 million. The holder of each future funding participation has full responsibility to fund the future funding companion participations. The collateral pool for the transaction is managed with a 24-month reinvestment period. During this period, the Collateral Manager will be permitted to acquire reinvestment collateral interests, which may include Funded Companion Participations, subject to the satisfaction of the Eligibility Criteria and the Acquisition Criteria. The Acquisition Criteria requires that, among other things, the Note Protection Tests are satisfied, no EOD is continuing, and Rialto Capital Management, LLC (Rialto) or one of its affiliates acts as the subadvisor to the Collateral Manager. The Eligibility Criteria includes minimum and maximum debt service coverage ratios (DSCRs) and loan-to-value ratios, Herfindahl scores of at least 18.0, and property type limitations, among other items. The transaction stipulates that any acquisition of any reinvestment collateral interests will need a rating agency confirmation regardless of balance size. The loans are mostly secured by cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. The transaction will have a sequential-pay structure. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the DBRS Morningstar As-Is net cash flow (NCF), 17 loans, comprising 66.1% of the initial pool balance, had a DBRS Morningstar As-Is DSCR of 1.00 times (x) or below, a threshold indicative of default risk. However, the DBRS Morningstar Stabilized DSCR of only five loans, comprising 24.5% of the initial pool balance, was 1.00x or below, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets to stabilize above market levels. Notes: All figures are in U.S. dollars unless otherwise noted. GAM RE-REMIC 2021-FRR1: DBRS Confirms B(low) Rating on 2 Classes ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2021-FRR1 issued by GAM Re-REMIC Trust 2021-FRR1: -- Class 1A at BBB (low) (sf) -- Class 1B at BB (low) (sf) -- Class 1C at B (high) (sf) -- Class 1D at B (low) (sf) -- Class 2A at BBB (low) (sf) -- Class 2B at BB (low) (sf) -- Class 2C at B (low) (sf) All trends are Stable. This transaction is a resecuritization collateralized by the beneficial interests in two commercial mortgage-backed pass-through certificates from two underlying transactions: FREMF 2017-K66 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2017-K66, which was securitized in 2017, and FREMF 2018-K72 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2018-K72, which was securitized in 2018. The ratings are dependent on the performance of the underlying transactions. The rating confirmations reflect the transactions' overall stable performance, which has generally remained in line with DBRS Morningstar's expectations at issuance. As of the February 2022 remittance, the FREMF 2017-K66 transaction has experienced a collateral reduction of 1.6% since issuance with defeasance collateral totaling 7.3% of the current pool balance. Through the same reporting period, the FREMF 2018-K72 transaction has experienced a collateral reduction of 1.6% since issuance with defeasance collateral totaling 6.6% of the current pool balance. The weighted average (WA) debt service coverage ratios of these underlying transactions are 1.86 times (x) and 1.96x, respectively, with WA debt yields at 9.0% and 8.9%, respectively, as of February 2022 reporting. Both of the underlying commercial mortgage-backed security transactions contribute the most junior certificates to the rated Re-REMIC structure. Notes: All figures are in U.S dollars unless otherwise noted. GCAT 2022-NQM3: S&P Assigns B(sf) Rating on Class B-2 Certificates ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GCAT 2022-NQM3 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans primarily secured by single-family residential properties, townhouses, planned-unit developments, condominiums, cooperatives, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 1048 loans, which are nonqualified, qualified mortgage safe harbor or rebuttal presumption, or ability to repay-exempt mortgage loans. The preliminary ratings are based on information as of May 20, 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 asset pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage III LLC; and -- The potential impact current and near term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Preliminary Ratings Assigned GCAT 2022-NQM3 Trust Class A-1, $358,404,000: AAA (sf) Class A-2, $38,860,000: AA (sf) Class A-3, $57,765,000: A (sf) Class M-1, $23,369,000: BBB (sf) Class B-1, $15,491,000: BB (sf) Class B-2, $18,905,000: B (sf) Class B-3, $12,341,155: Not rated Class A-IO-S, notional(i): Not rated Class X, notional(i): Not rated Class R, not applicable: Not rated (i)The notional amount equals the aggregate principal balance of the loans. GOLDENTREE LOAN: Fitch Assigns BB+ Rating to Class E Debt --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 12, Ltd. DEBT RATING PRIOR ---- ------ ----- GoldenTree Loan Management US CLO 12, Ltd. X LT NRsf New Rating NR(EXP)sf A LT AAAsf New Rating AAA(EXP)sf A-J LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY GoldenTree Loan Management US CLO 12, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Loan Management II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600.0 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.1% first-lien senior secured loans and has a weighted average recovery assumption of 74.5%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class A, B, C, D and E notes can withstand default rates of up to 61.3%, 54.8%, 49.3%, 41.9% and 37.8%, respectively, assuming portfolio recovery rates of 36.0%, 44.2%, 53.3%, 62.6% and 68.2% in Fitch's 'AAAsf', 'AAsf', 'Asf', 'BBB-sf' and 'BB+sf' scenarios, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A notes, between 'BB+sf' and 'AA-sf' for class B notes, between 'B+sf' and 'A+sf' for class C notes, between less than 'B-sf' and 'BBB+sf' for class D notes, and between less than 'B-sf' and 'BB+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A notes, as these notes are in the highest rating category of 'AAAsf'; At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E notes. 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. GPMT 2021-FL3: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS Limited confirmed the ratings on all classes of notes issued by GPMT 2021-FL3, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. At issuance, the initial collateral consisted of 27 floating-rate mortgages secured by 32 mostly transitional properties, with a cut-off balance totaling $823.7 million, excluding approximately $143.3 million of future funding commitments. Most loans are in a period of transition with plans to stabilize and improve the asset value. The transaction is static and is structured with a Companion Participation Acquisition Period ending with the May 2023 Payment Date. Through this date, the Issuer may acquire funded loan companion participation interests into the trust subject to the Acquisition Criteria. As of the March 2022 remittance, the pool comprises 24 loans secured by 29 properties with a cumulative trust balance of $763.8 million. Since issuance, three loans have successfully repaid from the pool, resulting in a collateral reduction of approximately 7.3%. The Permitted Companion Participation Acquisition Account has a current balance of $19,232 as of the March 2022 remittance. The transaction is concentrated by property type as 11 loans, totalling 47.3% of the current trust balance, are secured by office properties and seven loans, totalling 29.5% of the current trust balance, are secured by multifamily properties. The transaction is also concentrated by loan size, as the 10 largest loans represent 61.9% of the pool. In general, borrowers continue to progress toward completing their stated business plans as, through December 2021, the collateral manager had released $40.2 million in loan future funding to 18 individual borrowers since the transaction closed in May 2021. Many of the loans were seasoned when the transaction closed as the collateral manager had already released $101.0 million to 21 individual borrowers. An additional $103.7 million of loan future funding allocated to 22 borrowers to further aid in property stabilization efforts remains outstanding. Of this amount, $18.9 million is allocated to the borrower of the Times Square West loan and $15.0 million is allocated to the borrower of the 516-530 West 25th Street loan. As of the March 2022 remittance, no loans are in special servicing, however, 11 loans, representing 46.7% of the current pool balance, are on the servicer's watchlist. Nine of the loans are being monitored for performance declines, however, this was expected at issuance as a result of the proposed business plans. The remaining two loans, 555 West 25th Street (Prospectus ID#13, 3.6% of the current pool balance) and Avant Gardner (Prospectus ID#18, 2.8% of the current pool balance), have upcoming maturity dates in April and June 2022, respectively. Both loans are structured with multiple one-year extension options available to the individual borrowers with final maturity dates in 2024. In addition, nine loans, representing 46.2% of the current pool balance, have received loan modifications or forbearances. The largest loan in the pool, Times Square West (Prospectus ID#1, 10.2% of the current pool balance) was modified in August 2021 with terms including a two-year maturity extension to January 2024 and a $4.5 million increase in loan future funding for debt service and operating shortfalls, among other terms. The third-largest loan, Courtyards on the Park (Prospectus #3, 7.9% of the current pool balance), was modified in December 2021, upsizing the fully funded loan balance to $111.1 million from $101.7 million. Among the remaining loans that were modified, common terms included an increase in loan future funding, extension of the maturity date with extension tests waived, and the reduction or delay in the contractual floating-rate index floor. Notes: All figures are in U.S. dollars unless otherwise noted. GRACIE POINT 2022-1: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. confirmed the provisional ratings on the following classes of notes to be issued by Gracie Point International Funding 2022-1 (the Issuer): -- $211,877,000 Class A Notes at AA (sf) -- $54,055,000 Class B Notes at AA (low) (sf) -- $19,237,000 Class C Notes at A (sf) -- $15,442,000 Class D Notes at BBB (low) (sf) -- $4,187,000 Class E Notes at BB (sf) The transaction sponsor, Gracie Point, LLC (Gracie Point), elected to make certain updates to the structure of the transaction after DBRS Morningstar assigned provisional ratings on February 22, 2022. The updates include: -- The Expected Maturity Date changed to April 1, 2023, from March 1, 2024. -- The Stated Maturity Date changed to April 1, 2024, from March 1, 2025. -- The First Payment Date changed to May 2, 2022, from April 1, 2022. -- The Target Reserve Amount is the product of (1) 3.45% (previously 2.70%) and (2) the expected aggregate adjusted principal balance as of the end of the Ramp-Up Period, which is an amount equal to $10,530,885 (previously $8,241,562). After the Ramp-Up Period ends, the Target Reserve Amount is equal to the product of (1) 3.45% (previously 2.70%) and (2) the Aggregate Adjusted Principal Balance as of the last day of the Ramp-Up Period. The provisional ratings are based on DBRS Morningstar's review of 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 March 2022 Update," published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including the Russian invasion of Ukraine, rising inflation, and new coronavirus variants, the overall outlook for growth and employment in the U.S. remains relatively positive. -- While the ongoing coronavirus pandemic has had an adverse effect on the U.S. borrower in general, DBRS Morningstar expects the performance of the underlying loans in the transaction to remain resilient because the life insurance premium loans are fully collateralized by the cash surrender value from highly rated life insurance companies and other acceptable collateral that is mostly either cash or letters of credit from highly rated banking institutions. Therefore, the payment sources for the Notes will be either the life insurance companies, or cash held at a trust account or at an Eligible Account Bank/Eligible Account Firm. DBRS Morningstar does not expect the economic stress caused by the pandemic to adversely affect an insurance company's ability to pay in the short to medium term. -- Excess spread, a fully funded Reserve Account, and subordination provide credit enhancement levels that are commensurate with the ratings of the Offered Notes. Credit enhancement levels are sufficient to support DBRS Morningstar-projected expected cumulative loss assumptions under various stress scenarios. -- DBRS Morningstar deems Gracie Point an acceptable originator and servicer of life insurance premium finance receivables. However, Gracie Point has incurred operating losses and may continue to incur net losses as it grows its business. If Gracie Point is unable to fulfill its duties because of an Administrative Agent Replacement Event or a Loan Administration Agent Default, repayment of the Notes would rely on the ability of Vervent Inc. (Vervent) as the Backup Agent, to fulfill the duties of Administrative Agent and Loan Administration Agent under the Transaction Documents. DBRS Morningstar deems Vervent as an acceptable backup agent. -- The payment sources of the loans underlying the Participations are life insurance companies that issue the pledged life insurance policy contracts securing the loans. A potential insolvency of such life insurance company can adversely impact the collectability of the cash surrender value or death benefits payable by the life insurance company. The transaction limits that only Eligible Life Insurance Companies may issue life insurance policies to be included in the collateral securing the underlying loans. A portion of the underlying collateral can be cash collateral that is held at depository institutions, and the transaction requires them to be either an Eligible Account Bank or Eligible Account Firm with minimum required ratings. -- The collateral pool at closing is expected to have 29 life insurance companies, with the top five insurance companies representing approximately 59.61% of the collateral pool. To account for potential losses from exposure to the largest insurance companies in the collateral pool, DBRS Morningstar simulated the default of the five largest insurance companies with rating equivalents lower than the targeted rating for a tranche. -- During the Replacement Period, the Issuer may purchase additional Participations using cash surrender proceeds from defaulted loans or proceeds from prepaid loans or retained collections. Therefore, the credit quality of the underlying loans could change during the Replacement Period. The transaction, however, only allows a new Participation in a loan that meets the Replacement Criteria to maintain a similar collateral pool mix as the closing pool and ensure the related life insurance company or depository institution of the replacement loan are highly rated. -- The transaction is exposed to basis risk that will stem from the mismatch in the rate benchmark between the loans and the Notes until December 31, 2022. After December 31, 2022, the transaction will be exposed to the basis risk due to the loans and the Notes having different payment frequencies. -- Gracie Point was established in 2010 and issued its first loan in June 2013, so the company does not have significant historical performance data of the loans originated through its platform. Each underlying loan in the collateral pool, however, is fully collateralized by a minimum cash surrender value, a letter of credit, and/or cash collateral, which, coupled with the highly rated insurance companies and depository institutions, partially mitigate uncertainty regarding the underlying loans' future performance. -- Most of the life insurance premium loans have longer maturity dates than the Scheduled Maturity Date of the Notes. Therefore, if the Issuer is not able to refinance or liquidate its Participations, it may not be able to repay such Notes on the Scheduled Maturity Date. Under each Designated Finance Loan Agreement, however, the Finance Lender will have the right to call a loan as fully due and payable upon the occurrence of a Maturity Acceleration Event, which will ensure ultimate payments of principal to the Notes by the Scheduled Maturity Date. -- The legal structure and expected legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Gracie Point, the trustee will have a valid first-priority security interest in the assets, and are consistent with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2010-C1: Moody's Lowers Rating on Cl. X Certs to Ca --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on three classes in GS Mortgage Securities Corporation II Commercial Mortgages Pass-Through Certificates Series 2010-C1 ("GSMS 2010-C1") as follows: Cl. B, Downgraded to A2 (sf); previously on Jul 23, 2021 Downgraded to Aa3 (sf) Cl. C, Downgraded to B1 (sf); previously on Jul 23, 2021 Downgraded to Ba3 (sf) Cl. D, Affirmed Caa3 (sf); previously on Jul 23, 2021 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Jul 23, 2021 Affirmed C (sf) Cl. X*, Downgraded to Ca (sf); previously on Jul 23, 2021 Downgraded to Caa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class E has already experienced an 88% realized loss as a result of previously liquidated loans. The ratings on two P&I classes were downgraded due to the exposure of the remaining loans secured by Class B regional mall properties that have experienced declining cash flow. All of the remaining loans have all been previously modified after failing to pay off at their initial maturity dates. The credit support of the two P&I classes has also declined after one former loan, Burnsville Center, liquidated with a 54% loss. The rating on the IO Class (Cl. X) was downgraded due to the decline in the credit quality of its reference classes resulting primarily from principal paydowns of higher quality reference classes. The action has considered how the coronavirus pandemic has reshaped the United States' economic environment and the way its aftershocks will continue to reverberate and influence the performance of CMBS. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since all of the remaining loans have been previously modified or extended. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from the modified loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the May 12, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $77.9 million from $788 million at securitization. The certificates are collateralized by two mortgage loans that have been previously modified or extended after failing to pay off at their initial maturity dates. One loan, the Burnsville Center, has been liquidated from the pool, resulting in an aggregate realized loss of $45 million (for an average loss severity of 54%). The largest loan is the Mall at Johnson City Loan ($41.5 million – 53% of the pool), which is secured by a 571,319 square foot (SF) portion of a regional mall located in Johnson City, Tennessee. The mall is anchored by JC Penney, Belk, Dick's Sporting Goods, and formerly a Sears. The Sears store closed in January 2020 and was replaced with a HomeGoods. As of December 2021, collateral occupancy was 96%, up from 84% as of March 2021 and compared to 99% as of December 2019. This loan transferred to special servicing in November 2019 due to imminent maturity default and was subsequently modified with a three-year loan maturity extension through May 2023. As part of the modification the borrower funded reserve accounts and paid down the principal balance by $5 million. The mall was temporarily closed due to the coronavirus outbreak, and the borrower was temporarily unable to make certain required reserve and principal payments. The borrower and special servicer entered into a Standstill Agreement in June 2020 whereby three full payments (P&I and escrows) for May, June and July (with an option of August) were deferred and required to be repaid over 12 months. The borrower was also permitted to use existing reserves to cover operating shortfalls. The sponsor, Washington Prime Group, entered into voluntary Chapter 11 bankruptcy proceedings in June 2021 and has since emerged from bankruptcy. The loan has remained current as of its April 2022 remittance statement and has paid down 24% from securitization. The second largest loan is the Grand Central Mall Loan ($36.5 million – 47% of the pool), which is located in Vienna, West Virginia and is anchored by JC Penney, Belk, Regal, H&M and Dunham's Sports. The loan is also sponsored by Washington Prime. The former Sears space has been demolished and the sponsor has constructed new inline space and added four major tenants to the center including Ross Dress For Less, HomeGoods, TJ Maxx and PetSmart. The mall's performance peaked in 2015, however, starting in 2016 the property's NOI has declined annually through 2020 before rebounding partially in 2021. Due to the property's performance and the negative impacts of the coronavirus outbreak, the borrower and special servicer entered into a Standstill Agreement on July 15, 2020 whereby three full payments (P&I and escrows) for June, July and August (with the option of September) were deferred and required to be repaid over 12 months. The borrower was also permitted to use existing reserves to cover operating shortfalls. The initial maturity date was also extended 12-months to July 2021, then in 2021 the maturity was extended 2 more years to July 2023. The loan has amortized 19% from securitization. GS MORTGAGE 2017-GS7: Fitch Affirms B- Rating on Class H-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of GS Mortgage Securities Trust 2017-GS7 commercial mortgage pass-through certificates. Fitch has also revised one Rating Outlook to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- GSMS 2017-GS7 A-1 36254CAS9 LT AAAsf Affirmed AAAsf A-2 36254CAT7 LT AAAsf Affirmed AAAsf A-3 36254CAU4 LT AAAsf Affirmed AAAsf A-4 36254CAV2 LT AAAsf Affirmed AAAsf A-AB 36254CAW0 LT AAAsf Affirmed AAAsf A-S 36254CAZ3 LT AAAsf Affirmed AAAsf B 36254CBA7 LT AA-sf Affirmed AA-sf C 36254CBB5 LT A-sf Affirmed A-sf D 36254CAA8 LT BBB+sf Affirmed BBB+sf E 36254CAE0 LT BBB-sf Affirmed BBB-sf F-RR 36254CAG5 LT BBB-sf Affirmed BBB-sf G-RR 36254CAJ9 LT BB-sf Affirmed BB-sf H-RR 36254CAL4 LT B-sf Affirmed B-sf X-A 36254CAX8 LT AAAsf Affirmed AAAsf X-B 36254CAY6 LT A-sf Affirmed A-sf X-D 36254CAC4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Overall Stable Loss Expectations Since Issuance: Overall base case expected losses and pool performance remain stable and performance of loans affected by the pandemic have stabilized since the last rating action. However, loss expectations on certain loans have increased since the last rating action including One West 34th Street (4.3% of the pool), the largest increase in losses. Seven loans (27.2% of pool) were flagged as Fitch Loans of Concern (FLOCs) due to recent or upcoming rollover concerns and/or declining performance. Fitch's ratings assume a base case loss expectation of 4.7%. The largest increase to overall expected losses, One West 34th Street, is a FLOC secured by a 210,358-sf office property located at the corner of West 34th Street and Fifth Avenue in Manhattan, across the street from the Empire State Building. The property's occupancy has declined. The current largest tenants are CVS (7.2% of NRA; through January 2034), Olivia Miller Inc (6.3%; July 2024) and International Inspiration (4.2%; November 2026). Upcoming rollover includes 3.4% of NRA (five leases) in 2022, 5.3% (eight leases) in 2023 and 18.0% (11 leases) in 2024. Pre-pandemic occupancy and cash flow at the property had been trending downward and declined further in 2020 and 2021. The property was 73% occupied as of September 2021, down from 83% at YE 2020, 90% at YE 2019 and 95% at issuance. Tenants that have vacated between YE 2020 and September 2021 include TMX Group U.S. (2.5% NRA), Lane Bryant (2.4%), Tri-State Envelope (1.3%), Charak (0.4%), Resource Innovative (0.4%) and M. S. Nestorov DDS (0.4%). YE 2020 NOI fell 34.2% from 2019, primarily due to the lower occupancy and reduced gross revenues. In addition, during 2Q20, a significant amount of rent was not collected due to pandemic-related hardships; the borrower continues to work with tenants on rent collections, but some have vacated. Occupancy is 73% as of September 2021. The loan is currently cash managed due to the declining debt service coverage ratio (DSCR), with approximately $1.7 million in the excess cash reserve as of December 2021. Fitch's base case loss of 29% reflects an 8% cap rate; however, the case also considers the property's strong Manhattan location and excellent access to public and mass transit. The largest contributor to overall expected losses is the 5-15 West 125th Street loan, which is a FLOC secured by a 119,341sf mixed use (retail/office/multi-family) building located in Harlem, NY. Physical occupancy for the commercial component has declined to 69.9% from 80.5% at the last rating action and from 87% at issuance due to a dark Bed, Bath, & Beyond that vacated in 2021 ahead of a lease expiration in 2027 and a dark New York & Company that vacated in 2020 ahead of a lease expiration in 2031. The NOI DSCR declined to 0.76x as of September 2021 compared with 0.96x as of YE 2020, 1.15x at YE 2019, and 1.14x at YE 2018. Fitch has concerns with the loan due to the high leverage, decline in occupancy and exposure to WeWork, which accounts for 28% of the NRA. Expected losses for the loan are partially offset by a $10 million upfront reserve structured at origination; the holdback will be released upon the loan achieving a debt yield above 7.0%. Minimal Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance due to limited amortization and no loan payoffs. One loan (0.5% of the pool) is defeased. As of the April 2022 distribution date, the pool's aggregate balance has been paid down by 1.6% to $1.06 billion from $1.08 billion at issuance. Twelve loans (66.1% of pool) are full-term, interest-only and two loans (3.3%) structured with a partial-term, interest-only component have not yet begun to amortize. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'Asf', 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls occur. Downgrades to the 'BBBsf' category would occur if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to the 'Bsf' and 'BBsf' categories would occur should loss expectations increase due to continued performance declines for loans designated as FLOCs and/or loans transfer to Special Servicing. 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: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. Upgrades to the 'BBBsf' category would also take into account 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 were likelihood for interest shortfalls. Upgrades to the 'Bsf' and 'BBsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2018-GS10: Fitch Affirms 'B-' Rating on Class G-RR Debt ------------------------------------------------------------------- Fitch Ratings has affirmed all 16 classes of GS Mortgage Securities Trust (GSMS) Commercial Mortgage Pass-Through Certificates 2018-GS10. In addition, the Rating Outlooks for classes F and G-RR have been revised to Negative from Stable. DEBT RATING PRIOR ---- ------ ----- GSMS 2018-GS10 A-1 36250SAA7 LT AAAsf Affirmed AAAsf A-2 36250SAB5 LT AAAsf Affirmed AAAsf A-3 36250SAC3 LT AAAsf Affirmed AAAsf A-4 36250SAD1 LT AAAsf Affirmed AAAsf A-5 36250SAE9 LT AAAsf Affirmed AAAsf A-AB 36250SAF6 LT AAAsf Affirmed AAAsf A-S 36250SAJ8 LT AAAsf Affirmed AAAsf B 36250SAK5 LT AA-sf Affirmed AA-sf C 36250SAL3 LT A-sf Affirmed A-sf D 36250SAM1 LT BBBsf Affirmed BBBsf E 36250SAR0 LT BBB-sf Affirmed BBB-sf F 36250SAT6 LT BB-sf Affirmed BB-sf G-RR 36250SAV1 LT B-sf Affirmed B-sf X-A 36250SAG4 LT AAAsf Affirmed AAAsf X-B 36250SAH2 LT AA-sf Affirmed AA-sf X-D 36250SAP4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable loss Expectations: The affirmations reflect overall stable performance and loss expectations for the pool since issuance. Fitch's current ratings incorporate a base case loss of 3.75%. There have been limited changes to the pool metrics since issuance, with no losses to date, minimal paydown, and no loans are currently delinquent or specially serviced. Fitch identified eight loans (22.3% of the pool) as Fitch Loans of Concern (FLOCs), including three (15.4%) of the top-15 loans for significant tenant vacancy and occupancy declines. The Negative Outlooks reflect losses that could reach 5.0% when factoring in a sensitivity stress to the largest loan in the pool, GSK North American HQ, due to the single-tenant GlaxoSmithKline (GSK) vacating. Fitch Loans of Concern: The largest FLOC is the GSK North American HQ loan (9.4% of the pool), which is secured by a 207,779-square foot (sf) office property located in the Navy Yards in Philadelphia, PA. The property was built-to-suit for British pharmaceutical company GlaxoSmithKline (GSK), which leases the entire building on a NNN basis through September 2028, with two five-year extension options and no termination options. GSK is planning on vacating the space in the first half of 2022, however according to the servicer GSK has verbally agreed to continue paying rent through their September 2028 lease expiration whilst marketing for sub-lease tenants. Fitch's base case analysis assumes no loss on the loan, given GSK's commitment to continue paying rent. Due to refinance concerns with the loan maturity in June 2023, Fitch also applied a sensitivity scenario with an outsized loss of 20% on the maturity balance, which considered a dark value with assumptions for market rent, downtime between leases, carrying costs, and re-tenanting costs. The Negative Outlooks reflect this analysis. The second largest FLOC is the 3300 East 1st Avenue loan (2.8%), which is secured by a 96,896-sf mixed-use property located in Denver, CO. The property is split 33,465-sf retail space and 63,432-sf office space and contains granular rent roll with the largest tenant Zone Athletic Clubs (27.4% of NRA; through March 2033) as the only tenant that occupies more than 6% of NRA individually. The loan has been identified as a FLOC due to occupancy declines since issuance, falling to 75.6% as of YE 2021 from 78.9% at YE 2020, 82.2% at YE 2019 and 84.9% at issuance. As a result, the YE 2021 Net Operating Income (NOI) declined 27% from YE 2020 and is 14% below the issuers underwritten NOI. Fitch's base case loss of approximately 10% is based off the YE 2021 NOI and an 8.75% cap rate. Minimal Change in Credit Enhancement: As of the April 2022 remittance report, the transactions aggregate balance has been reduced by 1.1% to $801.8 million from $810.7 million. No loans have been repaid or defeased since issuance. Based on the scheduled balance at maturity, the pool is expected to pay down by 5.2%. There are 15 loans (63.8% of the pool) that are full-term, interest-only; six loans (13.7%) are still in their partial, interest-only periods and four loans (8.1%) have transitioned to their amortizing period; the remaining nine loans (14.5%) have been amortizing since issuance. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming loans. Downgrades to the 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may happen should interest shortfalls occur; -- Downgrades to the 'BBBsf' and 'Asf' categories would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE; -- Downgrades to the 'Bsf' and 'BBsf' category would occur should loss expectations increase due to an increase in defaulted and/or specially serviced loans and continued performance deterioration of the FLOCs, particularly if the GSK North American HQ loan faces refinance risks at the June 2023 maturity and/or loss expectations increase. 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: -- Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse; -- Upgrades to the 'BBBsf' category would also take into account 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 were likelihood for interest shortfalls; -- Upgrades to the 'Bsf' and 'BBsf' categories are not likely until the later years in a 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 classes. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2019-GC40: Fitch Affirms B- Rating on Class G-RR Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 16 classes of GS Mortgage Securities Trust 2019-GC40 commercial mortgage pass-through certificates, series 2019-GC40. In addition, Fitch has revised the Rating Outlook on one class to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- GSMS 2019-GC40 A-1 36257HBL9 LT AAAsf Affirmed AAAsf A-2 36257HBM7 LT AAAsf Affirmed AAAsf A-3 36257HBN5 LT AAAsf Affirmed AAAsf A-4 36257HBP0 LT AAAsf Affirmed AAAsf A-AB 36257HBQ8 LT AAAsf Affirmed AAAsf A-S 36257HBT2 LT AAAsf Affirmed AAAsf B 36257HBU9 LT AA-sf Affirmed AA-sf C 36257HBV7 LT A-sf Affirmed A-sf D 36257HAA4 LT BBBsf Affirmed BBBsf E 36257HAE6 LT BBB-sf Affirmed BBB-sf F 36257HAG1 LT BB-sf Affirmed BB-sf G-RR 36257HAL0 LT B-sf Affirmed B-sf X-A 36257HBR6 LT AAAsf Affirmed AAAsf X-B 36257HBS4 LT A-sf Affirmed A-sf X-D 36257HAC0 LT BBB-sf Affirmed BBB-sf X-F 36257HAJ5 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The overall pool performance remains stable since Fitch's prior rating action and remains in-line with Fitch's expectations at issuance, with a base case loss of 3.25%. The Rating Outlook revision to Stable from Negative on class G-RR reflects performance stabilization of properties negatively impacted by the pandemic. There are no delinquent or specially serviced loans. Three loans (13.9% of the pool) were identified as FLOCs, due to ongoing occupancy and performance declines. The largest FLOC is the 57 East 11th Street (2.2%) loan, which is 100% leased to WeWork. Property NOI declined 46% in 2021 due to rent credits/abatements following a lease modification executed in June 2021. However, WeWork began paying full rent as of January 2022. 101 California Street (8.0%) and Waterford Lake Town Center (3.7%) continue to underperform underwritten expectations and have suffered from declining occupancy. Minimal Change in Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate balance has been reduced by 0.98%. No loans have paid off or defeased. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 4.9% prior to maturity, which is lower than the average for transactions of a similar vintage. Twenty-three loans (64.3% of the pool) are interest-only for the full term. An additional six loans (8.5%) were structured with partial IO periods. The remaining six loans (16.4%) are amortizing balloon loans. Investment-Grade Credit Opinion Loans: Six loans (excluding B-notes) representing approximately (35.1% of the pool) were assigned investment-grade credit opinions on a standalone basis at issuance. Loans with investment-grade credit opinions; ARC Apartments (3.9%) received an investment-grade credit opinion of 'A-sf', The Diamondback Industrial Portfolios (10.8%), 101 California Street (8.0%), Moffett Towers II Building V (6.9%), and Newport Corporate Center (5.5%) each received a stand-alone credit opinion of 'BBB−sf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital stack, but may occur at 'AAAsf' or 'AA-sf' should additional interest shortfalls occur. Downgrades to classes C, D and E are possible should any additional loan defaults occur. Classes F and G-RR could be downgraded should the performance of FLOCs fail to stabilize or deteriorate further. 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: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to classes D and E would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to classes F and G-RR is not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2022-PJ5: Moody's Assigns (P)B3 Rating to Cl. B-5 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 57 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities 2022-PJ5, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (99.1% by balance) and GSE-eligible (0.9% by balance) residential mortgages acquired by GSMC (99.0% by balance), MCLP Asset Company, Inc. (MCLP) (0.7% by balance), and MTGLQ Investors, L.P. (MTGLQ) (0.3% by balance), the mortgage loan sellers, from certain originators or the aggregator, MAXEX Clearing LLC and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing and United Wholesale Mortgage, LLC. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2022-PJ5 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-X*, Assigned (P)Aa1 (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4A, Assigned (P)Aaa (sf) Cl. A-4-X*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6A, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-10-X*, 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-13-X*, 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-16-X*, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-19-X*, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-22-X*, 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-25-X*, 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-28-X*, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-30, Assigned (P)Aaa (sf) Cl. A-31, Assigned (P)Aaa (sf) Cl. A-31-X*, Assigned (P)Aaa (sf) Cl. A-32, Assigned (P)Aaa (sf) Cl. A-33, Assigned (P)Aaa (sf) Cl. A-34, Assigned (P)Aa1 (sf) Cl. A-34-X*, Assigned (P)Aa1 (sf) Cl. A-35, Assigned (P)Aa1 (sf) Cl. A-36, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. PT, Assigned (P)Aaa (sf) Cl. A-X*, Assigned (P)Aa1 (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 0.64%, in a baseline scenario-median is 0.44% and reaches 4.54% at a stress level consistent with Moody's Aaa rating. 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. HGI CRE CLO 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------------ DBRS, Inc. confirmed the ratings on all classes of commercial mortgage-backed notes issued by HGI CRE CLO 2021-FL1, Ltd. (the Issuer) as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. The initial collateral included 23 mortgage loans or senior notes secured by multifamily properties with an initial cut-off date balance totaling $498.2 million. Most of the loans contributed at issuance were secured by cash flowing assets, with stated business plans and loan structures to stabilize the collateral. The transaction included a 180-day ramp-up acquisition period, which was completed in December 2021 when the cumulative loan balance totaled $549.9 million. The transaction includes an 18-month reinvestment period, expiring with the November 2022 Payment Date. During this period, reinvested principal proceeds are subject to Eligibility Criteria, which include a rating agency no-downgrade confirmation by DBRS Morningstar for all new mortgage assets and funded companion participations exceeding $1.0 million, among others. Of important note, all reinvestment collateral must be secured by multifamily properties, excluding student housing and senior housing. Since issuance, seven loans with a cumulative balance of $98.0 million have been added to the trust. As of the February 2022 reporting, the Reinvestment Account had a balance of $28.4 million available to the collateral manager to purchase additional loan interests into the transaction. As of the February 2022 remittance, a total of 28 loans secured by 31 properties remain in the trust with an aggregate principal balance of $546.8 million. In general, borrowers are progressing toward completing their stated business plans. Through January 2022, the collateral manager had released $5.8 million in loan future funding to seven individual borrowers to aid in property stabilization efforts. An additional $31.8 million of unadvanced loan future funding allocated to 16 individual borrowers remains outstanding. All loans in the total pool are secured by multifamily properties across 11 states, with the heaviest concentrations in Texas (17.7% of the cumulative funded loan balance) and Florida (16.0% of the cumulative funded loan balance). Multifamily properties have historically seen lower probability of default lower expected losses within the DBRS Morningstar model. According to the February 2022 remittance, there are no loans in special servicing and three loans (9.6% of the pool) on the servicer's watchlist. Two of the loans, Park Terrace (Prospectus ID#5, 5.9% of the pool) and GA Cardinal (Prospectus ID#20, 2.1% of the pool), were flagged for deferred maintenance, while Oak Creek (Prospectus ID#22, 1.8% of the pool) is being monitored because of an insurance claim as a result of fire damage. Notes: All figures are in U.S. dollars unless otherwise noted. HGI CRE CLO 2022-FL3: DBRS Finalizes B(low) Rating on G Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes to be issued by HGI CRE CLO 2022-FL3, LLC: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The initial collateral consists of 22 floating-rate mortgages secured by 35 mostly transitional properties with a cut-off balance of $546,821,293, including approximately $60 million of ramp-up mortgage assets and one delayed close, identified as Euclid Grand, having an expected trust principal balance of $56,220,000, which is expected to close prior to the Closing Date or within 90 days of the Closing Date. In addition, there is a two-year reinvestment period during which the Issuer may use principal proceeds to acquire additional eligible loans, subject to the eligibility criteria. During the reinvestment period, the Issuer may acquire future funding commitments, funded companion participations, and additional eligible loans subject to the eligibility criteria. The transaction stipulates a no-downgrade confirmation from DBRS Morningstar for all companion participations (greater than $1,000,000) if a participation of the underlying loan is already in the trust. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is NCF, 20 loans, representing 84.7% of the initial pool, had a DBRS Morningstar As-Is debt service coverage ratio (DSCR) below 1.00 times (x), a threshold indicative of default risk. Additionally, the DBRS Morningstar Stabilized DSCRs for eight loans, representing 37.5% of the initial pool balance, are below 1.00x. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets to stabilize above market levels. With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis by, for example, front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. All loans in the pool are secured by multifamily properties across 13 states with the largest pool concentrations in Florida (18.4%), Texas (16.4%), and Georgia (11.9%). Multifamily properties have historically seen lower probabilities of default (PODs) and typically see lower expected losses within the DBRS Morningstar model. Multifamily properties benefit from staggered lease rollover and generally low expense ratios compared with other property types. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to respond when the market improves. Additionally, most loans in the pool are secured by traditional multifamily properties, such as garden-style communities or mid-rise/high-rise buildings, with no independent living/assisted-living/memory care facilities or student housing properties included in this pool. Furthermore, during the transaction's reinvestment period, only multifamily properties (excluding senior housing and student housing properties) are eligible to be brought into the trust. Acquisition financing represents 88.5% of the Closing Date cut-off balances. Acquisition loans are considered more favorable because the sponsor is usually required to contribute a significant amount of cash equity as part of the transaction. Acquisition financing is also generally based on actual transaction values rather than an appraiser's estimate of market value. The DBRS Morningstar Business Plan Score (BPS) for loans DBRS Morningstar analyzed was between 1.6 and 2.7, with an average of 2.04. On a scale of 1 to 5, a higher DBRS Morningstar BPS indicates more risk in the sponsor's business plan. DBRS Morningstar considers the anticipated lift at the property from current performance, planned property improvements, sponsor experience, projected time horizon, and overall complexity. Compared with similar transactions, this pool has a lower average DBRS Morningstar BPS, which is indicative of lower risk. None of the loans in the current pool are secured by properties in areas with a DBRS Morningstar Market Rank of 7 or 8, which are more densely populated and urban in nature. Loans secured by properties in such areas have historically benefited from increased liquidity and consistently strong investor demand, even during times of economic distress. Consequently, loans in these dense, urban locations often exhibit lower expected losses, and the lack of collateral in these areas can be a negative credit characteristic. Conversely, 16 loans, representing 62.8% of the current portfolio balance, are secured by properties in areas with a DBRS Morningstar Market Rank of 3 or 4, which are more suburban in nature. Loans secured by properties in such areas have historically exhibited elevated PODs and often have higher expected losses in the DBRS Morningstar approach. The DBRS Morningstar weighted-average (WA) Market Rank of 3.8 for this pool is generally indicative of a higher concentration of properties in less densely populated suburban areas. All loans in the pool have floating interest rates and are interest only (IO) during the initial loan term, creating interest rate risk and a lack of principal amortization. Based on the initial pool balances, the overall DBRS Morningstar WA As-Is DSCR of 0.76x and WA As-Is loan-to-value ratio (LTV) of 91.2% generally reflect high-leverage financing. Most of the assets are generally well positioned to stabilize, and any realized cash low growth would help offset a rise in interest rates and improve the loans' overall debt yield. DBRS Morningstar associates its loss severity given default based on the assets' As-Is LTV, which does not assume that the stabilization plan and cash flow growth will ever materialize. The DBRS Morningstar As-Is DSCR for each loan at issuance does not consider the sponsor's business plan as the DBRS Morningstar As-Is NCF is generally based on the most recent annualized period. The sponsor's business plan could have an immediate impact on the underlying asset performance that the DBRS Morningstar As-Is NCF is not accounting for. Because of the ongoing coronavirus pandemic, DBRS Morningstar was able to perform site inspections on only two loans in the pool, The Cynwyd and Burlington Pointe. As a result, DBRS Morningstar relied more heavily on third-party reports, online data sources, and information from the Issuer to determine the overall DBRS Morningstar property quality score for each loan. DBRS Morningstar made relatively conservative property quality adjustments with eight loans, comprising 26.2% of the pool, having Average– or Below Average property quality. Notes: All figures are in U.S. dollars unless otherwise noted. HUDSON'S BAY: DBRS Confirms B Rating on Class X-2-FL Certs ---------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-HBS issued by Hudson's Bay Simon JV Trust 2015-HBS as follows: -- Class A-FL at AA (high) (sf) -- Class B-FL at A (low) (sf) -- Class C-FL at BB (sf) -- Class X-2-FL at B (sf) -- Class D-FL at B (low) (sf) -- Class E-FL at CCC (sf) -- Class X-A-7 at AAA (sf) -- Class A-7 at AA (high) (sf) -- Class X-B-7 at A (sf) -- Class B-7 at A (low) (sf) -- Class C-7 at BB (sf) -- Class D-7 at B (low) (sf) -- Class E-7 at CCC (sf) -- Class X-A-10 at AAA (sf) -- Class A-10 at AA (high) (sf) -- Class X-B-10 at A (sf) -- Class B-10 at A (low) (sf) -- Class C-10 at BB (sf) -- Class D-10 at B (low) (sf) -- Class E-10 at CCC (sf) With this review, DBRS Morningstar removed all classes from Under Review with Negative Implications, where they were originally placed on September 29, 2020. The trends on classes A-FL, B-FL, X-A-7, A-7, X-B-7, B-7, X-A-10, A-10, X-B-10, and B-10 are Stable. The remaining trends are Negative, which reflects DBRS Morningstar's view that the values for the underlying collateral are at risk of further decline given the continued dark status for a significant portion of the collateral and uncertainty surrounding the ability to lease or sell those spaces, given the headwinds for regional malls over the last several years that have been heightened amid the Coronavirus Disease (COVID-19) pandemic. DBRS Morningstar downgraded 18 classes of this transaction in August 2021, based largely on the dark values for the vacant stores as estimated in appraisals obtained by the loan sponsor and finalized in 2019. For additional information on these rating actions, please see the press release dated August 3, 2021, on the DBRS Morningstar website. The rating confirmations and Stable trends with this review reflect the resolution of the previous litigation against the borrower following the execution of a loan modification in October 2021. As part of the loan modification, the borrower repaid all accrued and unpaid debt service from the date of default through September 30, 2021. Various reserves will be funded in order to help reposition the dark collateral properties and, following the funding of these reserves, excess cash flow will be applied to the principal balance of the loan. Among other items, the maturity dates for loan Components A and B were both extended to August 2024, with a 12-month extension option to bring the fully extended maturity dates co-terminus with Component C in August 2025. With the borrower in compliance with all loan modification terms thus far, the loan was returned to the master servicer in January 2022. Given these developments, the sponsors appear committed to the loan and collateral but there remains uncertainty regarding the value of the underlying collateral, supporting the Negative trends as outlined above. The transaction consists of an $846.2 million first-mortgage loan secured by 34 cross-collateralized properties previously leased to 24 Lord & Taylor stores and 10 Saks Fifth Avenue stores in 15 states. The collateral properties represent 19 fee-simple ownership interests (64.1% of the pool balance) and 15 leasehold interests (35.9% of the pool balance), totaling 4.5 million square feet. Individual tenant storefronts are located in various malls and freestanding locations with a concentration in New Jersey and New York, totaling 15 stores across the two states. The loan includes a $149.9 million floating-rate Component A, a $371.2 million fixed-rate Component B, and a $324.9 million fixed-rate Component C. Following the recently executed loan modification, all three Components are scheduled to mature in August 2025. The loan is sponsored by a joint venture between Hudson's Bay Company (HBC) and Simon Property Group (SPG). Whole loan proceeds of $846.2 million, SPG equity of $63.0 million, and implied equity of $609.5 million from the contribution of HBC's then-owned properties financed the acquisition of the properties for $1.4 billion and funded tenant improvements totaling $63.0 million. The portfolio was formerly 100% leased to Lord & Taylor and Saks Fifth Avenue on two master leases with 20-year initial terms and six five-year extension options for each store. The operating leases are fully guaranteed by HBC. Following Lord & Taylor's bankruptcy filing in 2020, all Lord & Taylor stores were closed, resulting in 24 of the 34 collateral properties becoming fully vacant. In April 2020, the loan transferred to special servicing and SitusAMC (Situs), the special servicer at the time, discovered that the loan's Operating Lease Guarantor was subject to a post-privatization corporate restructuring that appeared to have taken place in March 2020 without lender consent. In May 2020, the lender filed litigation against the borrower in federal court in an effort to obtain documentation and knowledge regarding the activities affecting the Operating Lease Guarantor. The lender had not been able to obtain sufficient documentation and transparency to accurately assess the Operating Lease Guarantor's current creditworthiness. Situs alleged that HBC violated loan covenants and related guarantees and that the entity that guaranteed the rental payments no longer exists. Additionally, Situs asserted that the financial strength of the Operating Lease Guarantor was a key consideration in the funding and structure of the loan and that the corporate restructuring has likely materially reduced the financial strength and capabilities of the Operating Lease Guarantor. As part of the loan modification, the guaranty litigation was dismissed as both the loan guarantor and Operating Lease Guarantor have provided updated financials and reaffirmed their guarantees, which were considered satisfactory to the special servicer. At issuance, the portfolio was valued at $1.4 billion; however, updated appraisals commissioned by HBC in connection with a privatization plan produced an aggregate portfolio value of $1.235 billion, representing a decline of -11.8% since issuance. Furthermore, the aggregate dark value for the portfolio was determined to be $723.4 million (it is worth noting that the special servicer disputed these valuations when they were disclosed in December 2019). DBRS Morningstar analyzed the individual November 2019 appraisals, calculating an aggregate go-dark value of $336.3 million for the Lord & Taylor stores. Combined with the aggregate as-is value of the Saks Fifth Avenue stores of $503.6 million, the total implied portfolio value totaled $839.9 million (loan-to-value of 100.9%); however, DBRS Morningstar opines that the true value of the collateral is likely lower today, and DBRS Morningstar assumed a stressed value based on the 2019 figures as part of the downgrades in 2021 and for the subject review. Notes: All figures are in U.S. dollars unless otherwise noted. JAMESTOWN CLO II: S&P Raises Class D-R Notes Rating to 'BB- (sf)' ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2-R, B-R, C-R, and D-R notes from Jamestown CLO II Ltd. At the same time, S&P affirmed its rating on the class A-1-R notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from April 12, 2022, trustee report. The upgrades reflect the transaction's $45.14 million in paydowns to the class A-1-R notes since our September 2020 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 10, 2020, trustee report, which S&P used for its previous rating actions: -- The class A O/C ratio improved to 135.54% from 125.58%. -- The class B O/C ratio improved to 123.21% from 116.28%. -- The class C O/C ratio improved to 113.25% from 108.52%. -- The class D O/C ratio improved to 107.63% from 104.04%. 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 $8.69 million reported as of the April 2022 trustee report, compared with $35.84 million reported as of the July 2020 trustee report. Over the same period, the par amount of defaulted collateral has decreased to $0 from $2.78 million. The transaction has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 3.47 years reported as of the April 2022 trustee report, compared with 4.55 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 B-R and C-R notes. However, based on increasing concentration risk as the portfolio amortizes and current subordination and O/C levels, we limited the upgrades on these classes to maintain rating cushion. "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 Jamestown CLO II Ltd. Class A-2-R to 'AA+ (sf)' from 'AA (sf)' Class B-R to 'A+ (sf)' from 'A (sf)' Class C-R to 'BBB (sf)' from 'BBB- (sf)' Class D-R to 'BB- (sf)' from 'B+ (sf)' Rating Affirmed Jamestown CLO II Ltd. Class A-1-R: AAA (sf) JP MORGAN 2021-MHC: DBRS Confirms BB Rating on Class E Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on the following classes of JPMCC 2021-MHC Mortgage Trust Commercial Mortgage Pass-Through Certificates issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-MHC (JPMCC 2021-MHC or the Issuer): -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X-CP at A (high) (sf) -- Class X-EXT at A (high) (sf) -- Class D at A (sf) -- Class E at BB (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations at issuance. The JPMCC 2021-MHC transaction is a single-asset/single-borrower transaction collateralized by the borrower's fee-simple interest of 93 manufactured housing communities (MHCs) containing 11,129 pads and one self-storage property across 13 states, with the largest concentrations in the Midwest and Texas. Of the 11,129 total pads, 10,897 are manufactured housing pads, 194 are recreational vehicle pads, and 38 are site-built homes. According to the March 2022 remittance, the current loan balance is $478.5 million, reflecting nominal collateral reduction since issuance, driven by the release of two properties within the collateral portfolio. The $488.6 million first-mortgage loan, $40.0 million mezzanine loan, and $258.8 million of sponsor equity were used to acquire the portfolio for $743.3 million, fund an earn-out reserve of $11.0 million, finance an immediate repair upfront reserve of $1.0 million, and cover closing costs of $32.2 million. The sponsor for the transaction is Horizon Land Co. The Issuer's debt service coverage ratio (DSCR) was 2.25 times (x), compared with the DBRS Morningstar DSCR of 1.96x. Given the recent vintage, updated financial reporting has been limited, but the servicer has confirmed the loan remains paid as agreed. DBRS Morningstar notes performance is expected to have remained stable since issuance because the property type benefits from its status as a more affordable housing option within the portfolio's markets compared with home ownership, and multifamily and single-family home rental rates. As a result, MHC pad renters tend to have higher renewal probabilities even with annual rental rate increases than traditional multifamily renters, as the cost to move manufactured homes deters pad lessees from moving manufactured homes to competitive MHCs. The DBRS Morningstar loan-to-value ratios (LTV) on the trust loan and the total debt stack are high at 119.8% and 129.6%, respectively. The high leverage point, combined with the lack of amortization, could potentially result in elevated refinance risk and/or loss severities in an event of default. DBRS Morningstar considers the significant equity contribution at close, which represented 34.8% of the $743.3 million purchase price, a mitigating factor for the high DBRS Morningstar LTV. In addition, MHC properties have historically performed well during the past economic recessions relative to other property types. DBRS Morningstar believes the overall risk profile of the asset remains relatively stable from issuance and does not expect any interruptions in the debt service payments over the near to moderate term. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2022-ACB: DBRS Finalizes B(low) Rating on Class G Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-ACB issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-ACB (JPMCC 2022-ACB): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The JPMCC 2022-ACB single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in two Class A residential towers overlooking the East River in the Murray Hill neighborhood of New York. Despite the uncertainty around short- and medium-term demand for multifamily rental product in New York, DBRS Morningstar takes a positive view on the credit characteristics of the collateral, which has continued to exhibit strong leasing velocity and stabilizing concessions. The Midtown East submarket where the collateral is located has exhibited favorable vacancy and rent growth over the past decade, although rent growth has been relatively volatile. Between 2013 and 2019, the submarket experienced annual rent growth between -0.8% and 6.0%, and vacancy rates ranging from 1.9% to 3.2%. Midtown East has exhibited strong submarket characteristics because of its proximity to major transit centers, including Grand Central, and many large office properties that are well within walking distance. The American Copper Buildings benefit from significant 421-a tax exemptions during the loan term and, in return, have designated approximately 21.0% of the units at the property as affordable. The market-rate units at the property are generally not subject to any restrictions on rental rates. The property is in an irreplaceable location with close proximity to the East River as well as many attractions and demand drivers of Midtown East, including many office properties that house some of the city's largest employers. Many units feature sweeping views of Midtown, the East River, Long Island City in Queens, and Greenpoint in Brooklyn. The property also benefits from convenient access and proximity to Grand Central, the 33rd Street subway station, and the East 34th Street ferry station. The surrounding neighborhood has long been a popular residential neighborhood in Manhattan's Midtown. In addition to a significant number of high-end residential buildings, there are many popular restaurants and high-end retail offerings in the area. The property benefits from an extensive, high-end amenity package that includes condominium-quality interior finishes and resort-quality common area amenities. Tenants have the option to sign up for a Copper Tone membership for full access to all amenities within the sky bridge, which includes a lap pool, a fitness center, a rock climbing wall, a yoga and Pilates studio, and spa facilities. Additional common area amenities outside of the Copper Tone membership include a rooftop infinity pool, an outdoor lounge, and a resident lounge. Additionally, the units feature floor-to-ceiling windows, stainless-steel appliances, stone countertops and backsplashes, Nest thermostat systems, and washers/dryers. Borrower equity of approximately $204.3 million is being used to facilitate the acquisition of the collateral for $837.0 million. DBRS Morningstar views transactions more favorably when the sponsor contributes significant cash equity to an acquisition. The property benefits from a substantial floor value based on its desirable location within Midtown Manhattan. The appraiser's concluded land value was approximately $302.0 million, or approximately $396,846 per unit, which covers approximately 44.7% of the first-mortgage balance. The property benefits from substantial property tax savings as a result of the long-term 421-a exemptions that have been in place since July 2018 and will end in June 2038. The abatement exempts 100% of the allowable assessed value, leaving only a minimal approximately $10.0 million of nonallowable value to be taxable. The 100% exemption remains in place for the first 12 years, with the exemption percentage declining every other year in 20% increments until the 20th year. According to the appraisal, in the 2021–22 tax year, the taxes due are estimated to be $1.2 million while the full tax liability would have been approximately $16.3 million. In return, the developer is required to satisfy certain conditions, including designating and maintaining a portion of the units as affordable housing. The ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges and risks to virtually all commercial real estate property types and has created an element of uncertainty around rental rates and future demand for multifamily rental product and the macroeconomy more generally. DBRS Morningstar believes some short- and medium-term softening in the multifamily market is likely, but the long-term fundamentals for multifamily properties in high-density urban areas remain favorable. The DBRS Morningstar loan-to-value (LTV) ratio on the first mortgage debt is 102.67%, which is relatively high compared with other recently analyzed single-asset transactions collateralized by Class A multifamily properties, whose DBRS Morningstar LTV ratios range from 85.5% to 102.8%. The property is indirectly encumbered by approximately $63.6 million in mezzanine debt, which represents approximately 9.4% of the total financing package. The all-in DBRS Morningstar LTV of 113.3%, inclusive of the mezzanine debt, is moderately higher than the secured debt LTV of 102.67%. While the mezzanine loan is not collateralized directly by any true assets (rather, it is collateralized by a pledge of 100% of the equity interest in the mortgage loan borrower), it is still a form of debt that must be serviced indirectly from property cash flow. The property never stabilized prior to the coronavirus pandemic, even though the property was constructed in 2017 and, thus, there is limited operating history that exhibits a stabilized occupancy. The property's leased rate peaked in February 2020 at approximately 92.5% and then fell precipitously during the pandemic, consistent with other comparable multifamily properties in Manhattan. The property did not return to a leased rate above pre-pandemic levels until June 2021. As a result, there is not yet a full year of stabilized historical performance. The property has had to offer concessions in order to preserve occupancy as a result of the coronavirus pandemic, which amounted on average to one month of free rent from September 2021 to December 2021. The amount of concessions offered has remained elevated, even as the effects of the pandemic have subsided. As a result, DBRS Morningstar applied a concessions loss equivalent to one month on market-rate units in its cash flow analysis. The borrower is a joint venture between Black Spruce Management (BSM) and The Orbach Group. BSM has completed the acquisition of 42 properties in four boroughs of New York City, including Manhattan, Brooklyn, Queens, and the Bronx, worth approximately $1.4 billion. The Orbach Group owns and manages a portfolio worth more than $1.5 billion and focuses primarily on affordable housing. As previously mentioned, the property benefits from certain tax exemptions and regulatory agreements. If the borrower were to breach the regulatory agreements and/or is not in compliance with the requirements under Section 421-a, these benefits could be lost. One of the borrowing entities is anticipated to enter into a "reverse exchange" under Section 1031 of the Internal Revenue Code. Within 10 business days of the loan origination, the entity will enter into a lease with a master tenant for its tenancy-in-common interest and the master tenant will become a borrower under the mortgage loan. Within 180 days of the origination date, the exchange must be completed, the lease will be collapsed and the master tenant will no longer be a borrower. The potential exists for the exchange to fail to take place, which would preclude any anticipated tax benefits. Notes: All figures are in U.S. dollars unless otherwise noted. KAWARTHA CAD 2022-1: DBRS Gives Prov. BB Rating on Class E Notes ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Boreal Series 2022-1 Class B Notes (the Class B Notes), the Boreal Series 2022-1 Class C Notes (the Class C Notes), the Boreal Series 2022-1 Class D Notes (the Class D Notes), and the Boreal Series 2022-1 Class E Notes (the Class E Notes) (collectively, the Notes) contemplated to be issued by Kawartha CAD Ltd. (the Issuer) referencing the executed Junior Loan Portfolio Financial Guarantees (the Financial Guarantee) to be dated on or about April 14, 2022, between the Issuer as Guarantor and the Bank of Montreal (BMO; rated AA with a Stable trend by DBRS Morningstar) as Beneficiary with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO: -- Class B Notes at AA (low) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (low) (sf) -- Class E Notes at BB (sf) The provisional ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the Scheduled Termination Date (as defined in the Financial Guarantee referenced above). The payment of the interest due to the Notes is subject to the Beneficiary's ability to pay the Guarantee Fee Amount (as defined in the Financial Guarantee referenced above). To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate, internal assessment, or ratings mapping of BMO's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. The ratings reflect the following: (1) The draft Financial Guarantee to be dated on or about April 14, 2022. (2) The integrity of the transaction structure. (3) DBRS Morningstar's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates. With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis by, for example, front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. Notes: All figures are in Canadian dollars unless otherwise noted. KRUGER PRODUCTS: DBRS Confirms B(high) Issuer Rating ---------------------------------------------------- DBRS Limited confirmed Kruger Products L.P.'s (KPLP or the Company) Issuer Rating at BB and its Senior Unsecured Notes (the Notes) rating at B (high), both with Stable trends. The Recovery Rating on the Notes remains RR6. DBRS Morningstar anticipates that KPLP's operating performance will remain pressured by the challenging operating environment presented by commodity price volatility, input and operating cost inflation, and rising labor costs in the near term. That said, DBRS Morningstar has confirmed the ratings with Stable trends based on the expectation that, as the TAD Sherbrooke and Sherbrooke Expansion Projects ramp up, KPLP's business risk profile will strengthen, thus driving earnings growth and an improvement in credit metrics in the medium term. KPLP's ratings continue to be supported by its strong brands and leading market position in the Canadian tissue products market, stable demand, and significant barriers to entry. The Company's ratings also continue to reflect intense competition, volatile input costs, and product/market concentration. DBRS Morningstar forecasts revenue to grow above $1.7 billion in 2022, from approximately $1.5 billion in 2021, attributable to volume recovery and growth in the Consumer and Away-From-Home (AFH) segments, coupled with the benefit of potential selling-price increases. DBRS Morningstar expects volumes in the Consumer segment to remain above pre-pandemic levels as pandemic-related behavioral shifts, including enhanced cleaning and sanitization measures, remain, while AFH volumes are expected to recover and grow toward pre-pandemic levels in line with population mobility. The ramp up of the TAD Sherbrooke Project will also benefit the topline. In the near-term, DBRS Morningstar believes that EBITDA margins will remain pressured by the challenging operating environment, notwithstanding the impact of potential selling price increases, a shift in mix as the Company grows its market share in the higher-margin Consumer segment as the TAD Sherbrooke Project ramps up, increased in-house manufacturing in the AFH segment, and efficiency-improving benefits from the Operational Excellence Program. Consequently, DBRS Morningstar forecasts EBITDA to be approximately $175 million in 2022, compared with $153 million in 2021. In the medium term, EBITDA will continue to benefit from the ramp up of the TAD Sherbrooke and Sherbrooke Expansion Projects. KPLP's financial profile and credit metrics are expected to recover over the medium term, primarily supported by the forecast growth in earnings. DBRS Morningstar forecasts free cash flow (FCF) after dividends and before changes in working capital will remain negative in 2022, as operating cash flow continues to trend in line with earnings, the cash dividend outlay remains relatively flat on 2021 levels at approximately $50 million, and capital expenditure increases to around $200 million on account of the Sherbrooke Expansion Project, the construction of a Facial Tissue line at K.T.G. (USA) Inc., and Artificial Intelligence implementation at KPLP's manufacturing network. DBRS Morningstar anticipates that the forecast FCF shortfall, IFRS 16 principal lease payments, and mandatory debt repayments will be funded by available cash on hand, higher borrowings, and proceeds from Kruger Inc.'s dividend reinvestment plan participation, which DBRS Morningstar anticipates will remain at 50% in 2022. As EBITDA is forecast to grow modestly in 2022, and by a greater proportion than the increase in debt, DBRS Morningstar forecasts a modest improvement in debt-to-EBITDA to below 7.0 times (x) from just over 7.0x in 2021, with a potential for a further improvement in the medium term from growth in EBITDA and mandatory debt repayments. Should credit metrics deteriorate for a sustained period as a result of weaker-than-expected operating performance and/or more aggressive financial management, the ratings will be pressured. Although unlikely, DBRS Morningstar could take a positive rating action should the Company's business risk profile meaningfully strengthen and credit metrics improve on a normalized and sustainable basis. Notes: All figures are in Canadian dollars unless otherwise noted. LIFE MORTGAGE 2022-BMR2: Moody's Assigns Ba3 Rating to HRR Certs ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of CMBS securities, issued by LIFE 2022-BMR2 Mortgage Trust Commercial Mortgage Pass-Through Certificates: Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba1 (sf) Cl. HRR, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The certificates are collateralized by a first-lien mortgage on the fee and/or leasehold interests in 24 commercial properties, primarily of life science office build, totaling 5,110,740 square feet (SF) of rentable area (the "Portfolio"). Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Portfolio includes 17 lab-office properties, 5 office properties, a single multifamily property, and a single ground leased parcel. Lab-office and office property sizes range from 21,562 SF to 1,389,517 SF and average 229,639 SF. Construction dates range from 1922 to 2016, however, 11 of the properties (41.5% of ALA) have been renovated between 1998 and 2021. The Portfolio has benefited from $262.2 million ($54.48 PSF) of capital investment between 2018 and 2021, and the functionality offering appears to be well suited for the existing tenancy. The portfolio is located across five of the top ten US life science real estate markets with most of the portfolio (81.3% of ALA) being in the top three markets. The largest concentration is Cambridge, MA (five properties, 31.4% of ALA), with each property in close proximity to the MIT campus. The second largest concentration is San Francisco Bay area (four properties, 30.4% of ALA). The third largest concentration is San Diego, CA (12 properties, 19.5% of ALA). The three remaining properties are in Boulder, CO (one property, 11.8% of ALA), and Seattle, WA (two properties, 6.8% of ALA ). The portfolio rent roll is characterized by a mixture of pharmaceutical, biotechnology and technology companies. As of March 31, 2022, the portfolio was 95.5% leased to 144 underwritten tenants. There are 85 tenants representing 54.7% of base rent use the properties as either domestic or global headquarters, including six of the top 10 tenants. Additionally, approximately 34.9% of base rent is generated by tenants that are rated, or whose parent entity is rated, investment grade by Moody's. The top five properties in the portfolio account for approximately 60.2% of the portfolio's total underwritten net cash flow and 60.8% of ALA. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 2.89X and Moody's mortgage actual stressed DSCR is 0.82X. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 109.3% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 94.6%, compared to 94.5% issued at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 0.82. Notable strengths of the transaction include: the Portfolio's strategic location, tenant credit quality, life science sector fundamentals and experienced sponsorship. Notable concerns of the transaction include: the high Moody's LTV ratio, property age, tenant rollover, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. MELLO MORTGAGE 2022-INV2: DBRS Finalizes BB Rating on B-4 Certs --------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings and assigned a new rating to the Mortgage Pass-Through Certificates, Series 2022-INV2 issued by Mello Mortgage Capital Acceptance 2022-INV2 (MELLO 2022-INV2): -- $390.2 million Class A-1 at AAA (sf) -- $390.2 million Class A-1-A at AAA (sf) -- $263.0 million Class A-2 at AAA (sf) -- $263.0 million Class A-2-A at AAA (sf) -- $375.8 million Class A-2-B at AAA (sf) -- $310.0 million Class A-3 at AAA (sf) -- $310.0 million Class A-3-A at AAA (sf) -- $310.0 million Class A-3-B at AAA (sf) -- $310.0 million Class A-3-X at AAA (sf) -- $232.5 million Class A-4 at AAA (sf) -- $232.5 million Class A-4-A at AAA (sf) -- $232.5 million Class A-4-B at AAA (sf) -- $232.5 million Class A-4-X at AAA (sf) -- $77.5 million Class A-5 at AAA (sf) -- $77.5 million Class A-5-A at AAA (sf) -- $77.5 million Class A-5-X at AAA (sf) -- $195.1 million Class A-6 at AAA (sf) -- $195.1 million Class A-6-A at AAA (sf) -- $195.1 million Class A-6-B at AAA (sf) -- $195.1 million Class A-6-X at AAA (sf) -- $114.9 million Class A-7 at AAA (sf) -- $114.9 million Class A-7-A at AAA (sf) -- $114.9 million Class A-7-X at AAA (sf) -- $37.4 million Class A-8 at AAA (sf) -- $37.4 million Class A-8-A at AAA (sf) -- $37.4 million Class A-8-X at AAA (sf) -- $23.9 million Class A-9 at AAA (sf) -- $23.9 million Class A-9-A at AAA (sf) -- $23.9 million Class A-9-X at AAA (sf) -- $53.6 million Class A-10 at AAA (sf) -- $53.6 million Class A-10-A at AAA (sf) -- $53.6 million Class A-10-X at AAA (sf) -- $65.8 million Class A-11 at AAA (sf) -- $65.8 million Class A-11-X at AAA (sf) -- $65.8 million Class A-11-A at AAA (sf) -- $65.8 million Class A-11-AI at AAA (sf) -- $65.8 million Class A-11-B at AAA (sf) -- $65.8 million Class A-11-BI at AAA (sf) -- $65.8 million Class A-11-C at AAA (sf) -- $65.8 million Class A-12 at AAA (sf) -- $65.8 million Class A-13 at AAA (sf) -- $14.4 million Class A-14 at AAA (sf) -- $14.4 million Class A-15 at AAA (sf) -- $321.9 million Class A-16 at AAA (sf) -- $68.3 million Class A-17 at AAA (sf) -- $390.2 million Class A-X-1 at AAA (sf) -- $390.2 million Class A-X-2 at AAA (sf) -- $65.8 million Class A-X-3 at AAA (sf) -- $14.4 million Class A-X-4 at AAA (sf) -- $14.8 million Class B-1 at AA (sf) -- $10.6 million Class B-2 at A (sf) -- $10.8 million Class B-3 at BBB (sf) -- $7.3 million Class B-4 at BB (sf) -- $5.1 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-11-AI, A-11-BI, A-X-1, A-X-2, A-X-3, and A-X-4 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-1-A, A-2, A-2-A, A-2-B, A-3, A-3-A, A-3-B, A-3-X, A-4, A-4-A, A-4-B, A-4-X, A-5, A-5-A, A-5-X, A-6, A-6-B, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI, A-11-B, A-11-BI, A-11-C, A-12, A-13, A-14, A-16, A-17, A-X-2, and A-X-3 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates. Classes A-2, A-2-A, A-2-B, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-6, A-6-A, A-6-B, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B, A-11-C, A-12, and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 11.75% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (low) (sf) ratings reflect 8.40%, 6.00%, 3.55%, 1.90%, and 0.75% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of a portfolio of first-lien, fixed-rate prime conventional investment-property residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,094 loans with a total principal balance of approximately $442,105,486 as of the Cut-Off Date (March 1, 2022). MELLO 2022-INV2 is the sixth prime securitization composed of fully amortizing fixed-rate mortgages on non-owner occupied residential investment properties issued under the MELLO shelf. The portfolio consists of conforming mortgages with original terms to maturity of primarily 30 years, which were underwritten by loanDepot using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Approximately 5.3% of the loans were granted appraisal waivers by the government-sponsored enterprises (GSEs). Such loans did not require a new home appraisal, and the property value for the related mortgage was based on a valuation provided by the lender and accepted by Fannie Mae or Freddie Mac's AUS. In its analysis, DBRS Morningstar applied property value haircuts to such loans, which increased the expected losses on the collateral. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. loanDepot.com, LLC (loanDepot) is the Originator, Seller, and will act as Servicer for the transaction. Computershare Trust Company, N.A. (Computershare) is the Master Servicer and Securities Administrator of the mortgage loans. Mello Credit Strategies LLC is the Sponsor of the transaction. LD Holdings Group LLC will serve as the Guarantor with respect to the remedy obligations of the Seller. Mello Securitization Depositor LLC, a subsidiary of the Sponsor and an affiliate of the Seller, will act as the Depositor of the transaction. Wilmington Savings Fund Society, FSB will serve as the Trustee, and Deutsche Bank National Trust Company will serve as the Custodian. For this transaction, the servicing fee comprises three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Coronavirus Disease (COVID-19) Pandemic Impact The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes shortly after the onset of the pandemic. Such mortgage delinquencies were mostly in the form of forbearances, generally short-term payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, and it drove forbearances to a very high level. When the dust settled, coronavirus-induced forbearances in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. MFA 2022-INV1: DBRS Gives Prov. B Rating on Class B-2 Certs ----------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2022-INV1 to be issued by MFA 2022-INV1 Trust (the Issuer) as follows: -- $160.2 million Class A-1 at AAA (sf) -- $22.3 million Class A-2 at AA (high) (sf) -- $26.4 million Class A-3 at A (high) (sf) -- $15.5 million Class M-1 at BBB (sf) -- $9.0 million Class B-1 at BB (sf) -- $10.3 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Certificates reflects 37.90% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (high) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 29.25%, 19.00%, 13.00%, 9.50%, and 5.50% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,137 mortgage loans with a total principal balance of $257,995,347 as of the Cut-Off Date (February 28, 2022). The originator and servicer for the whole mortgage pool is Lima One Capital, LLC. MFA Financial, Inc. is the Sponsor and the Servicing Administrator of the transaction. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Since the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA/RESPA Integrated Disclosure rule. The Sponsor and Servicing Administrator are the same entity and the Depositor is its affiliate. The initial Controlling Holder is expected to be the Depositor. The Depositor will retain an eligible horizontal interest consisting of the Class B-3 and XS Certificates representing at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Additionally, the Depositor will initially own the Class B-2 and Class A-IO-S Certificates. Computershare Trust Company, N.A. (Computershare; rated BBB with a Stable trend by DBRS Morningstar) will act as the Securities Administrator and Certificate Registrar. Deutsche Bank National Trust Company, Computershare, and Wilmington Trust, National Association will act as the Custodians. On or after the earlier of (1) the distribution date occurring in March 2025 or (2) the date when the aggregate unpaid principal balance (UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, and any post-closing deferred amounts due to the Class XS Certificates (optional redemption). After such purchase, the Depositor may complete a qualified liquidation, which requires (1) a complete liquidation of assets within the trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Servicing Administrator will have the option to terminate the transaction by purchasing all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any preclosing deferred amounts and expenses that are payable or reimbursable to the transaction parties (optional termination). An optional termination is conducted as a qualified liquidation. For this transaction, the Servicer or any other transaction party will not fund advances on delinquent principal and interest (P&I) on any mortgage. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). Of note, if the Servicer defers or capitalizes the repayment of any amounts owed by a borrower in connection with the borrower's loan modification, the Servicer is entitled to reimburse itself from the excess servicing fee, first, and from principal collections, second, for any previously made and unreimbursed servicing advances related to the capitalized amount at the time of such modification. The transaction employs a sequential-pay cash flow. Principal proceeds and excess interest can be used to cover interest shortfalls on the Certificates, but such shortfalls on the Class A-3 Certificates and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Of note, principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Certificates (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated bonds. The excess spread can be used to cover (1) realized losses and (2) cumulative applied realized loss amounts preceding the allocation of funds to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-2. Coronavirus Impact The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. MFA 2022-NQM1: DBRS Finalizes B Rating on Class B-2 Certs --------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2022-NQM1 issued by MFA 2022-NQM1 Trust (MFA 2022-NQM1): -- $236.5 million Class A-1 at AAA (sf) -- $21.6 million Class A-2 at AA (sf) -- $23.6 million Class A-3 at A (sf) -- $15.8 million Class M-1 at BBB (sf) -- $12.3 million Class B-1 at BB (sf) -- $9.7 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 certificates reflects 28.95% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 22.45%, 15.35%, 10.60%, 6.90%, and 4.00% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 701 mortgage loans with a total principal balance of $332,807,360 as of the Cut-Off Date (February 28, 2021). The pool is, on average, nine months seasoned with loan age ranges from five months to 56 months. Citadel Servicing Corporation doing business as Acra Lending (CSC) is the Originator and Servicer for approximately 94.7% of loans in the pool by balance. 5th Street Capital, Inc. and Impac Mortgage Corp. originated about 4.3% and 1.0% of the loans, respectively. Planet Home Lending, LLC and Select Portfolio Servicing, Inc. are Servicers for a combined 5.3% of the loans in this pool. The CSC-serviced mortgage loans will generally be subserviced by ServiceMac, LLC, under a subservicing agreement dated September 18, 2020. CSC has three programs under which it originates loans. The Non-Prime and Maggi Plus (Maggi+) products are CSC's core mortgage programs, with Maggi+ aimed at higher credit profiles. CSC's Outside Dodd-Frank products include loans exempt from the Consumer Financial Protection Bureau's (CFPB) rules. Although the applicable mortgage loans were originated to satisfy the CFPB Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, 61.6% of the loans are designated as non-QM. Approximately 38.4% of the loans are made to investors for business purposes or foreign nationals, which are not subject to the QM/ATR rules. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal interest consisting of the Class B-3 and XS certificates representing at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) three years after the Closing Date or (2) the date when the aggregate unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding certificates at a price equal to the class balances of the related certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any pre-closing deferred amounts due to the Class XS certificates, and other amounts described in the transaction documents (optional redemption). After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. On any date following the date on which the aggregate unpaid principal balance of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Servicing Administrator will have the option to terminate the transaction by purchasing all of the mortgage loans and any real estate owned (REO) property from the issuer at a price equal to the sum of the aggregate unpaid principal balance of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, and expenses that are payable or reimbursable to the transaction parties, as described in the transaction documents (optional termination). An optional termination is conducted as a qualified liquidation. For this transaction, the Servicers will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). Of note, if a Servicer defers or capitalizes the repayment of any amounts owed by a borrower in connection with the borrower's loan modification, the Servicer is entitled to reimburse itself from the excess servicing fee (applicable to the loans serviced by such Servicer), first, and from principal collections, second, for any previously made and unreimbursed servicing advances related to the capitalized amount at the time of such modification. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls first on the Class A-1 and second, on A-2 certificates (IIPP) before being applied sequentially to Class A-1, Class A-2, and to more subordinate classes of certificates to amortize their balances. For Class A-3 and more subordinate certificates, principal proceeds can be used to cover interest shortfalls after the more senior certificates are paid in full. Also, the excess spread can be used to cover realized losses by reducing the balance of Class A-1 certificates and then, sequentially, of the other certificates, before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3. Coronavirus Disease (COVID-19) Impact The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downwards, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. MFA 2022-NQM2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to MFA 2022-NQM2 Trust's mortgage pass-through certificates series 2022-NQM2. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans primarily secured by single-family residences, planned unit developments, condominiums, condotels, two- to four-family homes, and three manufactured housing properties to both prime and nonprime borrowers. The pool has 709 loans, which are primarily non-qualified mortgage loans. The preliminary ratings are based on information as of May 24, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The pool's geographic concentration; and -- The current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency (FF) for the archetypal pool at 3.25% given our current outlook for the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Preliminary Ratings Assigned MFA 2022-NQM2 Trust(i) Class A-1, $355,210,000,000: AAA (sf) Class A-2, $42,710,000,000: AA (sf) Class A-3, $62,440,000,000: A (sf) Class M-1, $27,310,000,000: BBB (sf) Class B-1, $24,330,000,000: BB- (sf) Class B-2, $17,300,000,000: B- (sf) Class B-3, $11,356,478: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R: NR (i)The collateral and structural information in our presale report reflects the term sheet received on May 19, 2022. The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. MONROE CAPITAL X: Moody's Assigns Ba3 Rating $28MM Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Monroe Capital MML CLO X, LLC (the "Issuer"). Moody's rating action is as follows: US$139,500,000 Class A-1R Senior Floating Rate Notes due 2034, Assigned Aaa (sf) US$94,500,000 Class A-2R Senior Fixed Rate Notes due 2034, Assigned Aaa (sf) US$34,000,000 Class B-R Floating Rate Notes due 2034, Assigned Aa2 (sf) US$26,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2034, Assigned A2 (sf) US$30,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2034, Assigned Baa3 (sf) US$28,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of middle market loans. At least 95% of the portfolio must consist of senior secured loans and eligible investments, and up to 5% of the portfolio may consist of second lien loans, permitted non-loan assets, and senior unsecured loans. Monroe Capital CLO Manager LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the manager may not reinvest and all proceeds received will be used to amortize the notes in sequential order. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; additions to the CLO's ability to hold workout and restructured assets; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 43 Weighted Average Rating Factor (WARF): 3762 Weighted Average Spread (WAS): 4.75% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 45.5% Weighted Average Life (WAL): 7 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MORGAN STANLEY 2014-C18: Fitch Affirms 'B' Rating on 300-E Certs ---------------------------------------------------------------- Fitch Ratings has affirmed the ratings of five classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2014-C18 (MSBAM 2014-C18). Fitch only rates the 300 North LaSalle B Note (300 North LaSalle rake certificates) issued by MSBAM 2014-C18. These certificates are subordinate in right of payment of interest and principal to the 300 North LaSalle A notes and derive their cash flow solely from the 300 North LaSalle Street loan. The 300 North LaSalle rake certificates are generally not subject to losses from any of the other loans collateralizing the MSBAM 2014-C18 transaction. Fitch does not rate any other classes issued by MSBAM 2014-C18. DEBT RATING PRIOR ---- ------ ----- MSBAM 2014-C18 – 300 North LaSalle Rake 300-A 61763XBF2 LT AA-sf Affirmed AA-sf 300-B 61763XBH8 LT A-sf Affirmed A-sf 300-C 61763XBK1 LT BBB-sf Affirmed BBB-sf 300-D 61763XBM7 LT BB-sf Affirmed BB-sf 300-E 61763XBP0 LT Bsf Affirmed Bsf KEY RATING DRIVERS Stable Performance; Institutional-Quality Tenants: As of the January 2022 rent roll, the property was 96.6% occupied compared with 95.4% in January 2021, 95.9% in April 2019, 96.7% in April 2018, 94.4% in March 2017 and 98.1% at issuance. The five largest tenants occupy approximately 79.4% of the net rentable area (NRA) and 82.4% of the total base rent. These tenants are Kirkland & Ellis, LLP (50.9% of NRA; lease expiration in February 2029), The Boston Consulting Group (11.4%; December 2024), Quarles and Brady LLP (7.7%; lease expirations in 2024 and 2031), GTCR Leasing, LLC (5.7%; March 2024), and Aviva USA Corporation (3.8%; March 2022), which vacated at lease expiration. Leases for approximately 22.9% of the net rentable area (NRA) and 24.2% of base rent are scheduled to expire prior to the loan's August 2024 loan maturity. According to the servicer, the top two tenants, whose leases expire after the loan maturity, have indicated intentions to vacate the property. Kirkland & Ellis, LLP has a one-time termination option in 2025, requiring 24 months' notice and a $51.2 million termination fee/reserve deposit, and a final lease expiration in February 2029. The second largest tenant, Boston Consulting Group, has a lease expiring at the end of 2024, four months after loan maturity. The servicer-reported TTM NCF DSCR as of June 2021 was 1.73x, compared with 1.66x in the TTM period ended June 2020, 2.05x in the TTM period ended June 2019, 2.24x in the TTM period ended June 2018, and 2.07x in the TTM ended June 2017. The non-rated senior portion of the debt began amortizing in August 2019, contributing to 4.7% paydown of the whole loan since issuance. The annual debt service payment of the whole loan was approximately $27.1 million for FYE 2021. The TTM statement ended June 2021 indicated performance in-line with and slightly above that of the June 2020 TTM. Fitch expects this loan will continue to perform in line with issuance expectations. High Asset Quality and Strong Market Positioning: 300 North LaSalle, which was constructed in 2009, is a 60-story, class A, LEED Platinum central business district office building. The property is located along the north bank of the Chicago River in the River North neighborhood and features high-quality amenities. 300 North LaSalle is considered by Fitch to be one of the premier buildings in the city of Chicago. Fitch assigned the subject a property quality grade of 'A' at issuance. High Fitch Leverage: The $452.49 million whole loan current balance (total debt of $347psf) has a Fitch-stressed DSCR and LTV of 0.99x and 89.5%, respectively, compared with 1.00x and 89% at issuance. The 10-year loan was interest-only for the first five years of its term. In August 2019, it began amortizing on a 30-year schedule for the remaining five years of the loan term. Currently, paydown from the amortization is only allocated to the non-rated A-1, A-2 and A-3 bonds. This will result in a scheduled 9.6% reduction to the original loan balance at maturity. Loan Structural Features: A DSCR trigger period will commence upon an event of default or the DSCR dropping below 1.20x. During a DSCR trigger period, the borrower is required to fund several reserve accounts. Additionally, in the event Kirkland & Ellis, LLP ever gives notice of its intentions to exercise an early termination, the borrower is required to deposit $51.2 million ($75 psf of Kirkland's space) into a reserve account. The 10-year loan was interest-only for the first five years of its term. Experienced Sponsorship: The loan is sponsored by The Irvine Company LLC, which dates its history back to 1864 and the Irvine Ranch. Since then, the company has grown to be the largest owner and manager of commercial real estate in California. Concentration Risk: The Fitch-rated bonds are secured by a single property and are therefore more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. The social and market disruption caused by the effects of the coronavirus pandemic and related containment measures were not a factor in this review. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include a significant and sustained decline in performance of the underlying asset, transfer of the loan to special servicing or a loan default. Should the sponsor not successfully re-lease expected vacancies and/or face refinance risks, negative ratings actions are possible. 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: An upgrade to classes 300-A and 300-B would occur with paydown of the bonds and continued stable performance of the asset. An upgrade of class 300-C would occur with significant improvement in credit enhancement. An upgrade to classes 300-D and 300-E could occur should rental income continue to trend upward and expenses remain stable. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MORGAN STANLEY 2015-420: S&P Affirms BB+(sf) Rating on Cl. E Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on six classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2015-420, a U.S. CMBS transaction. This U.S. CMBS transaction is backed by a fixed-rate, partial interest-only (IO) senior portion of a whole loan secured by the borrower's leasehold interest in a 30-story, 1.5 million-sq.-ft. office building in the Grand Central office submarket. Rating Actions S&P said, "The affirmations of the principal- and interest-paying classes reflect our reevaluation of the office property that secures the sole loan in the transaction. Our analysis considers the declining reported occupancy rate, which as of the Dec. 31, 2021, rent roll, the office was 81.2% leased (in line with our underwritten level from our last published review in August 2020). Additionally, the March 31, 2022, rent roll indicates similar occupancy of 81.3%. However, occupancy at the property has improved slightly, as our late-April-2022 correspondence with the master servicer indicates an 84.0% occupancy rate, and a similar rate was cited on LoopNet, a commercial real estate leasing site. After analyzing these data points, as well as current and anticipated submarket performance and developments (including an added demand driver in the East Side Access project, which is discussed more below), we expect long-term property occupancy to remain in line with our assumed level from our August 2020 review. "Our property-level analysis also considers the leasehold nature of the collateral, as the property is subject to a ground lease that expires on Dec. 31, 2029, followed by a second 20-year ground lease that commences Jan. 1, 2030, with two 15-year extension options (through Dec. 31, 2080). The ground lessor is Landgray Associates. The current contractual ground rent payment is approximately $11.2 million annually through Dec. 31, 2029. The annual ground rent payment resets on Jan. 1, 2030, to the greater of $12.3 million and 6% of the then fair market value of the land at the property. To account for the uncertainty surrounding the reset, we've maintained our estimated ground rent expense of $24.6 million ($24 per sq. ft.; same as our prior reviews). The ground rent reset is admittedly one of the biggest uncertainties surrounding the property. We believe our estimate of $24.6 million is appropriate because in terms of recent ground lease comparables, a May 2022 Green Street report cited a recent ground rent reset at 330 West 34th Street to an annual rate of approximately $22 per sq. ft., and Green Street forecasts PENN 1's ground rent to reset to $18 per sq. ft. in 2023. Both data points are below our $24 per sq. ft. assumption. "We derived a sustainable net cash flow (NCF) of $15.3 million (up just 3.5% from our last published review NCF of $14.8 million, reflecting base rent increases), using an assumed 81.2% occupancy rate (same as in-place per the Dec. 31, 2021, rent roll). We divided our sustainable NCF by a 6.25% S&P Global Ratings' capitalization rate (unchanged from our prior reviews), added approximately $12.8 million for future rent steps associated with the Metro-North Railroad lease and $87.6 million for the present value ground rent savings, and deducted $2.9 million for value adjustment to arrive at an expected-case value of $342.9 million, or $230 per sq. ft., the same as our last review. This yielded an S&P Global Ratings' loan-to-value ratio (LTV) of 68.2% on the senior loan balance (83.5% on the whole loan balance) and an S&P Global Ratings' debt service coverage (DSC) of 1.64x on the senior loan balance (1.29x on the whole loan balance). "For classes B, C, and E, although the model-indicated ratings were higher than the classes' respective current rating levels (due primarily to loan amortization), we affirmed our ratings on these classes in recognition of uncertainties around both the future of the overall office sector, and this property's upcoming ground rent reset." The mortgage loan had a reported current payment status through its May 2022 debt service payment date. According to the borrower, they were successful in negotiating rent deferral agreements with any office tenant who requested relief (although a detailed list was not provided). S&P said, "We will continue to monitor the property's performance, the loan's status at its Oct. 2024 anticipated repayment date (ARD), and other comparable ground lease data points. Should anything in our ongoing monitoring indicate that a change to any of our key underlying assumptions is warranted, we will revisit our analysis and adjust our ratings as necessary. "We affirmed our rating on the class X-A IO certificates based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references class A." Property-Level Analysis The property is a 30-story, 1.5 million-sq.-ft. (of which 51,874 sq. ft. is retail space, including an Equinox gym) office building located at 420 Lexington Avenue, in the Grand Central office submarket of New York City. The class A office building was originally constructed in 1927 and renovated in 1999, is located directly above Grand Central Terminal, and has a convenient passageway to Grand Central's Main Concourse, which serves the commuter railroads and multiple subway lines, making the property an attractive location for companies with workers commuting from multiple regions and boroughs. S&P feels this aspect of the property's appeal will be enhanced with the East Side Access project, which will extend the Long Island Rail Road into a new station under Grand Central Terminal, that is slated to open in late 2022. Since 1999, the building has undergone approximately $84 million ($56 per sq. ft.) in renovations and capital improvements. According to the December 2021 rent roll, the five largest tenants at the property comprise 39.0% of net rentable area (NRA): Metro-North Commuter Rail (22.9% of NRA; 20.7% of base rent, as calculated by S&P Global Ratings; Nov. 2034 lease expiration); New York Life Insurance (7.5%; 9.6%; Sept. 2030); Greenberg Traurig LLP (3.0%; 4.4%; Nov. 2037); Pride Technologies (2.9%; 4.7%; Dec. 2032); and Equinox (2.6%; 2.6%; February 2045). The property also benefits from tax exemption because the portion of space that is leased to Metro-North Commuter Rail qualifies for tax exemption that is available to real estate that is 100% leased to public benefit corporation. S&P said, "Our property-level analysis considered that while reported occupancy has declined each year since 2015, to 81.2% in 2021 (in line with our underwritten level from our last published review) from 96.9% in 2015, our April 2022 correspondence with the master servicer and May 2022 LoopNet listings indicate that occupancy has ticked back up to around 85.0% since then. Our analysis also considers that the impact of the declining occupancy is being moderated by rising rents at the property." For example, the property's largest tenant, Metro-North Commuter Rail, has seen its base rent (as calculated by S&P Global Ratings) move from $32.49 per sq. ft. as of our 2015 issuance, to $43.79 per sq. ft. as of our current review, implying a 4.4% average annual rent increase. Similarly, base rent for New York Life Insurance, the property's second-largest tenant, moved from $47.98 per sq. ft. to $61.94 per sq. ft. over the same period, implying a 3.7% average annual rent increase. According to CoStar, for year-to-date 2022, the Grand Central office submarket in which the property is located had a $76.61 per sq. ft. market rent, a 13.4% vacancy rate, and an 18.4% availability rate. Through 2026, market rent is forecasted to increase to $92.89, while vacancy is forecasted to decline to 12.0%. S&P said, "We assumed an occupancy rate of 81.2% (in line with our underwritten level from our last published review, and the submarket's current availability rate) and an in-place base rent of $59.59 per sq. ft. (well below the submarket's current rate) using the December 2021 rent roll. Our base rent forecast looks past any remaining free/deferred rent periods and considers the tenants' contractual rents. Paired with our 74.2% operating expense ratio (reflecting our $24.6 million assumed ground rent payment, more than double the current ground rent payment of $11.2 million, as discussed above), our analysis results in an S&P Global Ratings' NCF of $15.3 million (up just 3.5% from our last published review NCF of $14.8 million). Given the proximity of these two figures, we ultimately reverted to our last review expected-case value of $342.9 million, or $230 per sq. ft. (as discussed above)." Transaction Summary This is a stand-alone (single-borrower) transaction backed by a fixed-rate, partial IO senior portion of a whole loan secured by the borrower's leasehold interest in the Graybar Building, a 30-story, 1.5 million-sq.-ft. (of which 51,874 sq. ft. is retail space, including an Equinox fitness center) office building located at 420 Lexington Avenue, in the Grand Central office submarket. As of the May 16, 2022, trustee remittance report, the whole loan balance is comprised of a $233.8 million senior note (down from $245.0 million at issuance) that is in the trust and a $52.5 million subordinate B note (down from $55.0 million at issuance) held outside the trust. The whole loan was IO through Oct. 2019, then began to amortize on a 30-year schedule, and has an ARD in Oct. 2024, with one 16-year extension term (final maturity is in Oct. 2040). Prior to the ARD, the senior note pays a per annum fixed interest rate of 3.77%, and the subordinate B note pays a per annum fixed interest rate of 4.95%. Following the ARD, the whole loan will experience a minimum 3.00% increase in its interest rate, and the senior note will begin to hyper-amortize. To date, the transaction has not experienced any principal losses. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the COVID-19 pandemic, as well as the importance and benefits of vaccines. S&P said, "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 Affirmed Morgan Stanley Capital I Trust 2015-420 Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: BB+ (sf) Class X-A: AAA (sf) MORGAN STANLEY 2015-XLF2: DBRS Confirms C Rating on 3 Classes ------------------------------------------------------------- DBRS Limited confirmed the ratings of the following Commercial Mortgage Pass-Through Certificates, Series 2015-XLF2 issued by Morgan Stanley Capital I Trust 2015-XLF2: -- Class SNMA at CCC (sf) -- Class SNMB at C (sf) -- Class SNMC at C (sf) -- Class SNMD at C (sf) These ratings do not carry a trend. DBRS Morningstar has maintained the Interest in Arrears designations on all Classes. The rating confirmations reflect DBRS Morningstar's expectation that all rated classes are at risk of a realized loss given the value declines for the remaining underlying collateral (three regional malls) in the last few years. At issuance, the transaction was secured by two floating-rate, interest-only loans. One of the loans was secured by a hotel portfolio of seven full-service hotels (Ashford Full Service II Portfolio), and the second loan was secured by a retail portfolio (Starwood National Mall Portfolio) composed of three super-regional malls. The Ashford Full Service II Portfolio loan was repaid in June 2018, and the associated bonds, Classes AFSA, AFSB, AFSC, and AFSD, were retired. As of the March 2022 remittance, the trust balance of $120.7 million comprised the remaining $62.7 million senior note balance, which was paid down from the issuance balance of $103.0 million, and $58.0 million in subordinate notes. There are also nontrust subordinate notes in the amount of $77.0 million. The Starwood National Mall portfolio loan had an initial maturity date in November 2017, with two one-year extension options available, both of which the sponsor exercised. The extension options were subject to principal paydowns and debt-yield hurdles, which were successfully met. In January 2020, the servicer granted a forbearance to allow additional time for securing a replacement loan. During this time, the servicer also continued discussions with the sponsor regarding a potential loan modification if takeout financing could not be secured. The loan ultimately transferred to special servicing in March 2020, where it has remained since. As of the most recent appraisals obtained by the special servicer, dated August 2020 and provided in the servicer's reporting in November 2020, the portfolio was valued at $89.0 million on an as-is basis, with a relatively moderate improvement to $112.8 million on a stabilized basis. This represents a significant decline from the values estimated as part of the February 2020 appraisals previously obtained by the special servicer, which estimated an as-is value of $165.8 million, compared with the issuance portfolio value of $345.2 million. Most recently, the special servicer reports that all three properties within the portfolio have been sold in two separate transactions expected to close in April 2022. The sale price remains confidential at this time; however, DBRS Morningstar analyzed 24 specially serviced regional malls that received new appraisals in 2020 and 2021 and found that on average those updated values reflected a median value decline of over 60%, reflecting a median loan to value over 180%. Based on these comparables, DBRS Morningstar believes the loss estimates initially assumed as part of the April 2021 rating actions (for further information, please see the DBRS Morningstar press release for this transaction dated April 27, 2021) remain valid, supporting the ratings confirmations with this review. It is noteworthy that the special servicer recently applied a $15.0 million principal curtailment with funds applied from an excess cash flow reserve; DBRS Morningstar did not give credit to that reserve in the analysis for the April 2021 rating action given the possibility those funds could have been used for property-related expenses. The Shops at Willow Bend collateral, representing 48.4% of the allocated loan amount, is a 772,000-square foot (sf) portion of a 1.2 million-sf super-regional mall in Plano, Texas, approximately 20 miles north of the Dallas central business district (CBD). As of the December 2021 rent roll, the collateral portion of the subject was approximately 65.0% occupied, remaining in line with the November 2020 occupancy rate of 65.7%, but well below the figure of 94.0% at November 2018. The property is anchored by a noncollateral Dillard's, Neiman Marcus, and Macy's, in addition to a vacant Saks Fifth Avenue, which was previously slated to be renovated to house a movie theatre tenant in a deal that ultimately collapsed amid the Coronavirus Disease (COVID-19) pandemic. The Fairlane Town Center collateral, representing 29.2% of the allocated loan amount, is a 681,000-sf portion of a 1.4-million-sf super-regional mall in Dearborn, Michigan, approximately 10 miles southwest of the Detroit CBD. As of the December 2021 rent roll, the collateral portion was 87.0% occupied, compared with 88.2% at November 2020 and 75.0% at December 2018. At issuance, the noncollateral anchors included Macy's, JCPenney, Sears, and Lord & Taylor. The Sears space has remained vacant since 2018, while the former Lord & Taylor space was partially backfilled. The Stony Point Fashion Park collateral, representing 22.3% of the allocated loan amount, is a 385,000-sf portion of a 675,000-sf open-air regional mall located in Richmond, Virginia, approximately 10 miles west of Downtown Richmond. As of the December 2021 rent roll, the collateral portion was 53.6% occupied, compared with 44.0% at December 2020 and well below the November 2019 occupancy rate of 81.0%. The property is anchored by noncollateral Saks Fifth Avenue, Dillard's, and a collateral Dick's Sporting Goods, the last of which has remained vacant since 2018. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-XLF2: Fitch Affirms 'C' Rating on SNMD Debt --------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed one class of Morgan Stanley Capital I Trust MSCI 2015-XLF2, commercial mortgage pass-through certificates, series 2015-XLF2. In addition, classes SNMA and SNMB were assigned Positive Outlooks, following the upgrade. DEBT RATING PRIOR ---- ------ ----- MSCI 2015-XLF2 SNMA 61765VAA6 LT BBsf Upgrade CCCsf SNMB 61765VAC2 LT Bsf Upgrade Csf SNMC 61765VAE8 LT CCCsf Upgrade Csf SNMD 61765VAG3 LT Csf Affirmed Csf TRANSACTION SUMMARY The Starwood National Mall Portfolio loan was originally secured by three regional malls totaling 3.3 million sf, of which 1.6 million sf was collateral. These malls included Shops at Willow Bend in Plano, TX, Fairlane Town Center in Dearborn, MI and Stony Point Park in Richmond, VA. The malls were purchased by Starwood from Taubman in 2014. KEY RATING DRIVERS The upgrades reflect increased credit enhancement from significantly better than expected recoveries on the Stony Point Park asset, which sold in April 2022. The asset was sold for $14.625 million, which was well-above Fitch's stressed value of $5.775 million at the last rating action and exceeding the most recent appraisal valuation of $8.25 million. In addition to sales proceeds from the asset, the servicer indicated an additional $4.5 million in past due receivables were also received. Combined, this resulted in over $19 million of principal paydown to class SNMA in April 2022. Fitch performed a recovery and loss analysis on the two remaining malls, Shops at Willow Bend and Fairlane Town Center, both of which are in special servicing. The servicer indicated the sales of these two malls have recently closed, with net proceeds and realized loss calculations in the process of being finalized. The Positive Outlooks reflect significantly better recovery prospects for these two malls since the last rating action given improved market liquidity of these regional mall assets. Based on their recent appraisal valuations, sales proceeds are expected to pay off classes SNMA and SNMB. However, given the uncertainty surrounding net sales proceeds and any liquidation expenses/fees from the sale of the remaining assets that could be passed through to the trust, the upgrade of class SNMC was limited to 'CCCsf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Class SNMD would be downgraded to 'Dsf' when losses are realized. Downgrades of classes SNMA and SNMB are unlikely given expected proceeds from the sale of the remaining two malls would pay off these classes in full. A downgrade of class SNMC is not expected unless sales proceeds are less than expected and/or liquidation expenses/fees from the sale of the remaining assets are greater than expected. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Further positive rating actions are not expected as all three of the remaining malls have been sold. 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. MORGAN STANLEY 2017-CLS: DBRS Confirms B Rating on Class HRR Certs ------------------------------------------------------------------ DBRS Limited confirmed its ratings on the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2017-CLS issued by Morgan Stanley Capital I Trust 2017-CLS as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The loan is secured by the Center for Life Science, an office and laboratory building in Boston's Longwood Medical Area. The property was constructed in 2008 by BioMed Realty Trust, Inc. (BioMed Realty), and the subject was acquired by The Blackstone Group (Blackstone) in January 2016 through Blackstone's $8.0 billion acquisition of BioMed Realty. The trust amount of $700.0 million, along with $70.0 million of junior mezzanine debt and $70.0 million of senior mezzanine debt, refinanced existing debt, covered closing costs, and returned more than $104.6 million of equity to the sponsor. The loan is interest only and had an initial term of two years with three one-year extension options. The borrower has exercised its third and final extension option with a final maturity date of November 2022. The property is a research hub; many of the tenants have demonstrated long-term commitment to the property by investing significant capital into their units and are significantly intertwined with surrounding businesses. As of the September 2021 rent roll, the collateral remains 100.0% occupied by eight tenants, five of which are investment grade, including the largest three tenants: Beth Israel (51.5% of the net rentable area (NRA), lease expiry June 2023), Children's Hospital Corp. (14.3% of the NRA, lease expiry April 2023), and Dana-Farber Cancer Institute (7.2% of the NRA, lease expiry March 2028). Beth Israel and Children's Hospital Corp. have lease expirations beyond the fully extended term of the loan, and both tenants have numerous extension options remaining in their leases. The tenants are required to notify the borrower at least 18 months prior to the respective lease expiration dates. The loan includes a cash trap in the event either of the tenants does not renew and gives notice of its departure, and as of the February 2022 remittance, no cash flow sweeps have been triggered. There is minimal near-term rollover, as only one lease representing 2.4% of the NRA has an expiration date prior to loan maturity. According to Reis, office properties in the Back Bay/Fenway submarket of Boston reported an average YE2021 vacancy rate of 8.3%, an increase from the YE2020 and YE2019 rates of 7.3% and 7.2%, respectively. The trailing 12 months ended September 2021 net cash flow (NCF) was reported to be $55.6 million, compared with the YE2020 NCF of $53.7 million, YE2019 NCF of $54.9 million, and the DBRS Morningstar NCF figure of $51.8 million. Although there was a slight dip in NCF in YE2020, primarily attributed to a 9.4% increase in operating expenses, specifically in real estate taxes and management fees, the YE2020 NCF is still in line with the DBRS Morningstar NCF. As of the March 2022 reserve report, the loan has a sizable tenant reserve balance of $15.6 million. Notes: All figures are in U.S. dollars unless otherwise noted. MTN COMMERCIAL 2022-LPFL: DBRS Finalizes BB(low) Rating on E Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the classes of MTN Commercial Mortgage Trust 2022-LPFL, Commercial Mortgage Pass-Through Certificates, Series 2022-LPFL as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. Classes F and HRR are not rated by DBRS Morningstar. The MTN Commercial Mortgage Trust 2022-LPFL (MTN 2022-LPFL) transaction is collateralized by the borrower's fee-simple and leasehold interests in a portfolio of 82 industrial properties (78 fee-simple properties, two PILOT leasehold properties, and two ground leasehold properties) totaling approximately 15.9 million sf. The portfolio is part of Industrial Logistics Properties Trust's (ILPT) larger $4 billion acquisition of Monmouth Real Estate Investment Corporation, and the collateral properties are across 25 states and 52 individual industrial markets including, Charlotte, North Caroline (three properties, 6.9% of NCF), Kansas City, Missouri (five properties, 6.5% of NCF), Dallas, Texas (three properties, 6.0% of NCF) Savannah, Georgia (two properties, 5.9% of NCF), and Indianapolis, Indiana (two properties, 4.9% of NCF). The properties themselves are a mix of warehouse (88.2% of NRA), manufacturing (10.8% of NRA), and light manufacturing (1.0% of NRA) assets. Overall, the subject markets have solid fundamentals with positive annual growth in rents while absorbing new supply and compressing vacancies. DBRS Morningstar continues to take a favorable view on the long-term growth and stability of the warehouse and logistics sector. The portfolio benefits from favorable tenant granularity, strong sponsor strength, favorable asset quality, and strong leasing trends, all of which contribute to potential cash flow stability over time. The portfolio's WA year built of 2011 is significantly newer than the average of industrial portfolios DBRS Morningstar recently analyzed (1991). In addition, the portfolio has a WA property size of 193,344 sf, WA clear heights of 29.5 feet, and a minimal 4.9% office buildout. The portfolio mainly consists of single-tenant properties with NNN leases and is 96.5% occupied by 81 unique tenants. Approximately 83.9% of gross rent is derived from investment-grade-rated tenants, including FedEx (Moody's Baa2/S&P: BBB, 59.1% of gross rent), Shaw Industries (Moody's: Aa2/S&P: A+/Fitch: AA, 3.6% of gross rent), Amazon.com, Inc. (Moody’s: A1/S&P: AA-/Fitch: AA, 3.1% of gross rent), and International Paper (Moody's: Baa2/Fitch BBB, 2.7 % of gross rent). The diverse tenant roster includes a variety of industries, including air freight and logistics, Internet and catalog retail, commercial services and supplies, specialty retail and food and beverage. Other than Fedex, no tenant accounts for more than 5.2% of NRA or 3.6% of gross rent. The top one, five, and 10 tenants account for 59.1%, 71.7%, and 80.3% of gross rent, respectively, and 46.8%, 62.6%, and 75.5% of NRA, respectively. The portfolio has a WA lease term of 6.8 years, with no more than 17.2% of NRA or 15.7% of gross rent rolling in any given year over the fully extended loan term. Leases representing approximately 56.0% of the portfolio's NRA and 52.2% of the gross rent are scheduled to roll through the fully extended loan term in 2027. However, the rollover is relatively granular with no more than 17.2% of NRA or 15.7% of gross rent rolling in any given year over the fully extended loan term. The transaction sponsor is a joint venture of which 61% is owned and controlled by an ILPT entity, and 39% is owned by an institutional investor in connection with the acquisition of the Monmouth Real Estate Investment Corporation. ILPT is a publicly traded REIT formed to own and lease industrial and logistics properties throughout the U.S.. As of September 30, 2021, ILPT owned 294 industrial and logistics properties with 36.5 million rentable sf, which are approximately 99.0% leased to 261 different tenants with a weighted-average lease term (WALT) of approximately 9.0 years. Approximately 50% of annualized rental revenues come from 68 industrial and logistics properties with approximately 19.8 million sf in 33 states on the U.S. mainland. The remaining approximately 50% of annualized rental revenues come from 226 properties with approximately 16.7 million sf located on the island of Oahu, Hawaii. The trust collateral was originated by Citi Real Estate Funding Inc., UBS AG, New York Branch, Bank of America, N.A., Bank of Montreal, and Morgan Stanley Bank, N.A. and consists of a mortgage loan in the amount of $1.40 billion. The two year interest only loan with three, one year extension options pay interest at a rate of Term SOFR + 2.4200%. The mortgage loan is evidenced by five pari passu componentized promissory notes, all of which are expected to be contributed to the trust and support payments on the rated certificates. The loan has a partial pro rata/sequential-pay structure that allows for pro rata paydown of the first 20% of the unpaid principal balance. DBRS Morningstar generally considers this structure to be credit negative, particularly at the top of the capital structure. Under a partial pro rata paydown structure, deleveraging of the senior notes through the release of individual properties occurs at a slower pace than a sequential-pay structure. DBRS Morningstar penalized the senior classes of the transaction's capital structure to account for the partial pro rata structure. The borrowers can release individual properties with customary requirements. However, the prepayment premium for the release of individual assets is just 105% of the ALA for such property until the original principal balance has been reduced to 80% of the original loan balance, and 110% of the ALA for such property balance thereafter. DBRS Morningstar considers the release premium to be weaker than a generally credit-neutral standard of 110%. DBRS Morningstar applied a penalty to the transaction's capital structure to account for the weak property release premiums. The sponsorship is contributing approximately $1.6 billion of cash equity to facilitate the acquisition of MNR, representing 44.6% of the approximately $3.4 billion total cost. DBRS Morningstar generally views acquisition financings involving significant amounts of cash equity contributions from the transaction sponsors favorably given the stronger alignment of economic incentives when compared with cash-out financings. The nonrecourse carveout guarantor is Mountain Industrial REIT LLC, which is only required to maintain a net worth of at least $500 million, excluding the properties, effectively limiting the recourse back to the sponsor for bad act carveouts. Bad boy guarantees and consequent access to the guarantor help mitigate the risk and increased loss severity of bankruptcy, additional encumbrances, unapproved transfers, fraud, misappropriation of rents, physical waste, and other potential bad acts of the borrower or its sponsor. The underlying mortgage loan for the transaction will pay a floating rate indexed to Term SOFR. However, if upon the sunsetting of Libor, Term SOFR doesn't survive in its current form, or if a different benchmark replacement is chosen, the loan could be subject to potential benchmark transition risk. Given that Term SOFR is a relatively new rate, there is the potential for higher volatility in the near term than other indexes. If Term SOFR is no longer available as a benchmark, it will be replaced with the Prime Rate. There are no performance triggers, financial covenants, or fees required for the borrower to exercise the three one-year extension options. The options are exercisable by the borrower, subject only to compliance with the following conditions: (1) no EOD existing as of the commencement of the applicable extension term, (2) borrower's purchase of a cap agreement for each extension term providing for a cap on SOFR which when added to the spread results in a DSCR of 1.10x. Notes: All figures are in U.S. dollars unless otherwise noted. MVW 2022-1: S&P Assigns BB- (sf) Rating on $29.656MM Class D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to MVW 2022-1 LLC's timeshare loan-backed fixed-rate notes. The note issuance is an ABS securitization backed by vacation ownership interval (timeshare) loans. The ratings reflect: -- The credit enhancement available in the form of overcollateralization, subordination for the class A, B, and C notes, a reserve account, and available excess spread; -- Marriott Ownership Resorts Inc.'s servicing ability and experience in the timeshare market; and -- S&P's expectation that the transaction structure is able to pay timely interest and ultimate principal by the notes' legal maturity dates under its stressed cash flow scenarios. S&P said, "Despite the Omicron variant, U.S. lodging in 2022 could recover closer to 2019 levels, in our view. The shape of the lodging recovery in 2022 is highly dependent on the impact of the Omicron variant on group and business travel. Overall, the outlook for timeshare developers in the near-to-medium term is stable to positive, reflecting the potential of credit metrics being restored in the next few quarters (see "Travel + Leisure Co. Outlook Revised To Stable On Travel Rebound And Improving Revenue Forecast; Ratings Affirmed," published Oct. 29, 2021). We believe timeshare resort occupancy will remain high due to the investment that owners have made in this purchased product, in comparison to alternative vacation options such as hotel stays. The leisure travel recovery held up well in recent months due to pent-up demand, with fourth-quarter 2021 occupancies at select Marriott Vacations Worldwide Corp. (MVW) locations exceeding same-period 2019 levels. "We expect the stable performance trends of the rated securitizations to continue well into 2022, supported by ongoing leisure travel recovery. Bookings and occupancy are at pre-COVID-19 pandemic levels at most resorts and are expected to support the strong recovery also. Increased occupancy would potentially lead to higher sales tours and conversion. "Given the stabilizing industry trends we have observed, including those discussed above, we removed the 1.25x increase to our base-case default assumption, in favor of a more issuer/program-specific approach that factors in recent performance trends." Ratings Assigned MVW 2022-1 LLC Class A, $220.025 million: AAA (sf) Class B, $77.487 million: A (sf) Class C, $47.832 million: BBB (sf) Class D, $29.656 million: BB- (sf) MVW LLC 2022-1: Fitch Assigns 'BB' Rating on Class D Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Outlooks to notes issued by MVW 2022-1 LLC (MVW 2022-1). DEBT RATING PRIOR ---- ------ ----- MVW 2022-1 LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB(EXP)sf VIEW ADDITIONAL RATING DETAILS TRANSACTION SUMMARY The notes are backed by a pool of fixed-rate timeshare loans originated by Marriott Ownership Resorts, Inc. (MORI) or one of its wholly owned subsidiaries or affiliates. MORI is a subsidiary of Marriott Vacations Worldwide Corporation (MVWC/MVW). A portion of the timeshare loans are from Vistana Signature Experiences (VSE), the exclusive licensee for Westin and Sheraton brands in vacation ownership (VO) and Hyatt Vacation Ownership (HVO), the exclusive licensee for the Hyatt brand in VO. The MVW 2022-1 pool also includes timeshare loans originated by The WHV Resort Group, Inc. (WHV) This follows the acquisition of ILG, Inc. (ILG) on Sept. 1, 2018 and the acquisition of WHV Hospitality Group, Inc. on April 1, 2021. Post-acquisitions, the Westin, Sheraton, Hyatt and WHV VO's were combined with MVW VO's. This is MORI's 26th term securitization. KEY RATING DRIVERS Borrower Risk - Slightly Weaker Collateral Pool: This is the sixth transaction to include originations from both the MVW and VSE platforms. Overall, the pool is slightly weaker than the 2021-2 pool, as the weighted average (WA) FICO score decreased to 726 from 733 in 2021-2, while higher than 719 in 2021-1W. 15-year loans increased to 44.2% from 39.6% in 2021-2. However, the seasoning increased notably to 14 months from seven months in 2021-2. The concentration of foreign obligors is at 3.9% down from 8.8% in 2021-2, which included a significant concentration of loans from the Marriott Vacation Club, Asia Pacific program. The 2022-1 pool includes 25.0% of Sheraton collateral, up from 10.8% in 2021-2, which performs worse than Marriott Vacation Club (MVC) across all FICO bands. The Westin collateral concentration is 18.7% generally in line with 15.0% in 2021-2. This is the fourth transaction to include Hyatt-branded loans and the third transaction to include WHV-branded loans, which represent 3.1% and 8.1%, respectively, of the initial pool, and have historically had higher forecast losses compared to other brands. Forward-Looking Approach on Cumulative Gross Default (CGD) Proxy - Varied Performance: With the exception of certain foreign segments, MVC 2010-2016 vintages continue to display improved performance relative to the weaker 2007-2009 periods, although more recent vintages remain under stress. The VSE and WHV portfolios also experienced stress during the recession. Since then, the Westin loan performance has improved but has experienced elevated defaults in recent periods. The Sheraton loan performance has deteriorated in recent years, driven by Sheraton Flex and the longer 15-year term loans, with the newly included Hyatt-branded loans since the 2020-1 transaction showing overall high projected losses on par with, and in some cases, exceeding those of other VSE brands, including Sheraton. WHV loan performance in recent vintages has been tracking consistently below that of the recessionary 2006-2009 vintages but has been weaker compared to the 2010-2013 periods. Fitch's base case CGD proxy is 15.25% for 2022-1. Structural Analysis - Higher Credit Enhancement Structure: Initial hard credit enhancement (CE) is 43.00%, 22.75%, 10.25% and 2.50% for class A, B, C and D notes, respectively. CE is notably higher for class A, B and C notes relative to 2021-2. Available CE is sufficient to support stressed 'AAAsf', 'Asf', 'BBBsf' and 'BBsf' multiples of Fitch's base case CGD proxy of 15.25%. As with prior MVW/MVW Owner Trust (MVWOT) transactions, 2022-1 has a prefunding account that will hold up to 25% of the initial collateral balance after the closing date to buy eligible timeshare loans, consistent with 2021-2. This account is required to be used to buy new originations that conform to specified requirements. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: MVW/MORI, VSE and WHV demonstrated sufficient abilities as originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of securitized trusts and of the managed portfolio. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Declining default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analysis by stressing both a transaction's initial base case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade, 'BBsf' and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The prepayment sensitivity includes 1.5x and 2.0x increases to the prepayment assumptions representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Additionally, Fitch conducts increases of 1.5x and 2.0x to the CGD proxy, which represents moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Fitch has revised global economic outlook forecasts as a result of the Ukraine War and related economic sanctions. Downside risks have increased, and we have published an assessment of the potential rating and asset performance impact of a plausible, but worse-than-expected, adverse stagflation scenario on Fitch's major SF and CVB subsectors. Fitch expects the Timeshare ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on rating performance, indicating very few (less than 5%) rating or Outlook changes. Fitch expects "Mild to Modest Impact" on asset performance, indicating asset performance to be modestly negatively affected relative to current expectations and a 25% chance of sector outlook revision by YE 2023. Factors that could, individually or collectively, lead to positive rating action/upgrade: Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For the class B, C and D notes, the multiples would increase resulting in potential upgrade of one rating category, two notches and one rating category, respectively. 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 due diligence information from Ernst & Young LLP. The due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and recalculation of certain characteristics with respect to 250 sample loans by Ernst & Young LLP. Fitch considered this information in its analysis, and the findings did not have an impact on the agency's analysis. 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. NYC COMMERCIAL 2021-909: DBRS Confirms BB(low) Rating on E Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass Through Certificates, Series 2021-909 issued by NYC Commercial Mortgage Trust 2021-909 as follows: -- Class A at AAA (sf) -- Class X at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The rating confirmations reflect a deal that is early in its lifecycle with limited reporting and no changes to the underlying performance of the transaction since issuance. The loan is secured by the leasehold interest in 909 Third Avenue, a 32-story, 1.35 million-square foot (sf) Class A, LEED Gold certified office tower in Midtown, Manhattan. The property is prominently situated between 54th Street and 55th Street, occupying the entire eastern block of Third Avenue. The office portion of the collateral sits atop approximately 492,000 sf of flex industrial space, which is occupied by the United States Postal Service's (USPS') main New York City mail-handling facility. The property is subject to a ground lease with the next maturity scheduled in May 2031 and a fully extended maturity of November 2063. The trust loan of $250.0 million consists of $135.6 million of senior debt along with $114.4 million of junior debt; total debt is $350 million and includes additional senior notes, which are held outside the trust. The fixed-rate loan, which is sponsored by Vornado, is interest only (IO) for the full 10-year term. The USPS has been a tenant at the property since 1968 and currently occupies 36.5% of net rentable area (NRA) on a lease expiring in October 2023. The tenant has three five-year extensions remaining, bringing the fully extended lease expiration date to October 2038. Given the unique nature of the space, its mission critical location in the heart of Manhattan, the tenant's renewal history, and its well-below-market rents of approximately $14.20 per sf (psf), DBRS Morningstar expects that the USPS will renew and believes there is substantial long-term upside embedded in this space. The collateral was 97.9% occupied as of September 2021, which is unchanged from issuance. Approximately 66.1% of the NRA is leased to investment-grade-rated tenants, which includes the three largest tenants at the property, cumulatively representing 40.8% of the NRA and 52.4% of the gross rent. These tenants are USPS, IPG DXTRA, a subsidiary of The Interpublic Group of Companies (17.1% of NRA; expiring in February 2028), and the AbbVie Inc.-owned pharmaceutical company Allergan Sales, LLC (12.5% of NRA; expiring in January 2027). According to Reis, the Plaza submarket reported an average effective rental rate and vacancy rate of $99.98 psf and 11.1%, respectively, as of Q4 2021. Rollover risk is minimal over the first five years of the loan term. Although USPS has an expiration in October 2023, the tenant represents only 11.2% of gross rents at the property. The deal closed in April 2021, and there has been little updated financial reporting since then. DBRS Morningstar's net cash flow derived at issuance was $26.5 million. Given the property's stable occupancy and limited rollover risk in the near term, DBRS Morningstar projects the loan will continue to perform in line with expectations. Notes: All figures are in U.S. dollars unless otherwise noted. NYT 2019-NYT: DBRS Confirms BB(high) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed the following ratings of the Commercial Mortgage Pass-Through Certificates issued by NYT 2019-NYT Mortgage Trust: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class X-EXT at A (high) (sf) -- Class D at A (sf) -- Class E at BBB (sf) -- Class F at BB (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance since issuance. The transaction consists of a $515 million non-recourse, first-lien mortgage loan secured by 715,341 square feet (sf) of office space on floors 28 through 50 and 23,044 sf of ground-floor retail space in The New York Times Building, a Class A office building at 620 Eighth Avenue in Manhattan's Times Square submarket. Floors 2 through 27 are used as the New York Times headquarters and are not collateral for the loan. In November 2021, the borrower exercised the second of five 12-month extension options for the underlying mortgage loan, which has a floating rate, interest-only structure. There is an interest rate cap agreement in place that caps the spread over Libor at 3.5%. The whole loan amount of $635 million includes the $515 million mortgage loan contributed to the subject transaction, as well $120 million of secured subordinate debt held outside the subject transaction. There is also $115 million of unsecured mezzanine debt in place, also held outside the subject transaction. The leasehold interest in the collateral is subject to a ground lease that runs through December 11, 2100, with an option to purchase in 2032 for a nominal amount. Forest City Enterprises L.P., which is ultimately owned by Brookfield Property Partners L.P. (rated BBB (low) with a Stable trend by DBRS Morningstar), is the loan sponsor, which contributed equity of $279.6 million at closing to indirectly acquire the collateral property. As of January 2022, the servicer reported an occupancy rate of 100% for the subject property, consistent with reporting since issuance. The year-end (YE) 2021 analysis completed by the servicer showed a net cash flow (NCF) of $46.7 million, a 10.9% decline from the YE2020 figure of $52.4 million but still above the DBRS Morningstar NCF of $43.5 million derived in 2020 when the ratings were assigned. The year-over-year decline in the servicer's reported NCF in 2021 is reflective of an 8.2% drop in revenue over the previous year. As the occupancy rate was flat year over year, with no significant leases rolling in the near term, DBRS Morningstar expects in-place revenues to return to prior levels in 2022. The largest tenants include ClearBridge Investments (27.2% of the net rentable area (NRA), expiring in December 2023) and the law firms Covington & Burling LLP (26.2% of the NRA, expiring in September 2027) and Seyfarth Shaw LLP (17.5% of the NRA, expiring in December 2032). The retail space generates a relatively small portion of the rent (approximately 3%) and is mostly leased to food-service tenants. Tenant rollover in the next 12 months includes Osler, Hoskin & Harcourt LLP (Osler) (8.6% of the NRA, expiring in May 2022) and Goodwin Procter LLP (Goodwin) (8.5% of the NRA, expiring in March 2023), both of which are not expected to renew, according to a servicer-provided update. Pepper Hamilton, which currently subleases one of Osler's floors, signed a direct lease to keep the space through 2026. The servicer also noted ongoing discussions between the borrower and another subtenant in the building for a large, non-contiguous block of space that would include the spaces to be vacated by Osler and Goodwin. The concentrated rollover through the next few years that includes the largest tenant and the two tenants mentioned above is noteworthy given the submarket trends that have shown increasing vacancy rates and declining asking rents. According to Reis, the subject's Midtown West submarket had an overall vacancy rate of 11.5%, with asking rents averaging $68.95 per square foot (psf) as of Q4 2021, compared with the pre-pandemic figures of 7.7% and $72.37 psf, respectively, at Q4 2019. According to Reis, as of December 2021, the property's asking rent was $89.31 psf, which is well above the submarket averages, showcasing the subject's superior position within the submarket given its desirable location within proximity to major bus and subway lines and newer construction year of 2007. Reis's baseline scenario shows vacancy rates in Midtown West hovering near 11% over the next few years, suggesting the leasing dynamics may be challenged as compared with pre-pandemic conditions, but still reflective of generally healthy demand. Notes: All figures are in U.S dollars unless otherwise noted. OCP CLO 2022-24: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to OCP CLO 2022-24 Ltd./OCP CLO 2022-24 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 Onex Credit Partners LLC. The preliminary ratings are based on information as of May 20, 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OCP CLO 2022-24 Ltd./OCP CLO 2022-24 LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $5.00 million: Not rated Class B, $59.00 million: AA (sf) Class C (deferrable), $24.00 million: A+ (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $35.10 million: Not rated OCTAGON LTD 64: Fitch Assigns 'BB(EXP)' Rating on Class E Debt -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Octagon 64, Ltd. DEBT RATING PRIOR ---- ------ ----- Octagon 64, Ltd. X LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B-1 LT AA+(EXP)sf Expected Rating B-2 LT AA+(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D LT BBB+(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Octagon 64, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured notes and subordinated notes will provide financing on a portfolio of approximately $850.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.9% first-lien senior secured loans and has a weighted average recovery assumption of 74.7%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class A-1, A-2, B (B-1 and B-2 together), C, D and E notes can withstand default rates of up to 62.0%, 59.2%, 53.8%, 49.1%, 41.2% and 33.7%, respectively, assuming portfolio recovery rates of 38.0%, 38.0%, 46.2%, 55.5%, 64.8% and 70.1% in Fitch's 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf' and 'BBsf' scenarios, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are between 'A-sf' and 'AAAsf' for class A-1 notes, between 'BBB+sf' and 'AAAsf' for class A-2 notes, between 'BB+sf' and 'AA+sf' for class B notes, between 'B+sf' and 'A+sf' for class C notes, between less than 'B-sf' and 'BBB+sf' for class D notes, and between less than 'B-sf' and 'BBsf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. As discussed in the Highlights section on page 2 of the presale report, the issuer has the flexibility to apply principal proceeds to acquire loss mitigation qualified obligations so long as each coverage test is satisfied after giving effect to the acquisition. This could lead to the manager using principal proceeds to purchase such loans and, therefore, could result in higher defaults and/or lower recovery expectations, in contrast to the assets modeled in the Fitch stressed portfolio. Fitch ran a sensitivity to test scenarios where the maximum allowable amount of principal proceeds is applied to purchase these loans and assumed such loans have recovery prospects commensurate with the notes respective rating stress. In this sensitivity, class A-1, A-2, B, C and E notes have model-implied ratings in line with their respective assigned expected ratings, whereas class D notes have the model-implied rating at one rating notch below their assigned expected rating. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. OHA CREDIT 11: Moody's Assigns B3 Rating to $1.25MM Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by OHA Credit Funding 11, Ltd., (the "Issuer"). Moody's rating action is as follows: US$400,000,000 Class A Senior Secured Floating Rate Notes due 2033, Assigned Aaa (sf) US$1,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2033, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. OHA Credit Funding 11, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, and up to 10% of the portfolio may consist of second lien loans, unsecured loans or permitted non-loan assets. The portfolio is approximately 95% ramped as of the closing date. Oak Hill Advisors, L.P. (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 issued four 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: $625,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3203 Weighted Average Spread (WAS): 3.45% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 7 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. PALMER SQUARE 2022-2: Moody's Assigns Ba2 Rating to Class D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued and one class of loans incurred by Palmer Square Loan Funding 2022-2, Ltd. (the "Issuer" or "Palmer Square 2022-2"). Moody's rating action is as follows: US$300,000,000 Class A-1 Loans maturing in 2030, Definitive Rating Assigned Aaa (sf) US$244,000,000 Class A-1 Senior Secured Floating Rate Notes due 2030, Definitive Rating Assigned Aaa (sf) US$96,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030, Definitive Rating Assigned Aa1 (sf) US$47,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2030, Definitive Rating Assigned A2 (sf) US$29,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030, Definitive Rating Assigned Baa3 (sf) US$28,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030, Definitive Rating Assigned Ba2 (sf) The debt listed are referred to herein, collectively, as the "Rated Debt." 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. Palmer Square 2022-2 is a managed cash flow CLO. The issued notes and incurred debt will be collateralized primarily by broadly syndicated senior secured corporate loans. The portfolio is 100% ramped as of the closing date. Palmer Square Capital Management LLC (the "Servicer") may engage in disposition of the assets on behalf of the Issuer during the life of the transaction. Reinvestment is not permitted and all sale and unscheduled principal proceeds received will be used to amortize the debt in sequential order. In addition to the Rated Debt, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt 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: $800,000,000 Diversity Score: 88 Weighted Average Rating Factor (WARF): 2487 Weighted Average Spread (WAS): 3.20% (LIBOR loans) and 3.40% (SOFR loans) (modeled as two separate groups and using actual spread vectors of the portfolio) Weighted Average Recovery Rate (WARR): 47.78% Weighted Average Life (WAL): 5.14 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 Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Servicer's investment decisions and management of the transaction will also affect the performance of the Rated Debt. PFP 2019-5: DBRS Hikes Class G Notes Rating to B(high) ------------------------------------------------------ DBRS, Inc. upgraded the ratings on the following classes of secured floating-rate notes issued by PFP 2019-5, Ltd.: -- Class B to AA (high) (sf) from AA (low) (sf) -- Class C to A (high) (sf) from A (low) (sf) -- Class D to A (low) (sf) from BBB (sf) -- Class E to BBB (high) (sf) from BBB (low) (sf) -- Class F to BB (high) (sf) from BB (low) (sf) -- Class G to B (high) (sf) from B (low) (sf) In addition, DBRS Morningstar confirmed the following rating: -- Class A-S at AAA (sf) All trends are Stable. The rating for Class A was discontinued as the class was fully repaid as of the March 2022 remittance report. The rating upgrades reflect the increased credit support to the bonds as a result of recent collateral reduction as 11 loans, representing 30.0% of the original trust balance, have been fully repaid since the last DBRS Morningstar review in May 2021. DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. DBRS Morningstar continues to monitor the largest loan in the pool, Ross Tower (Prospectus ID#1, 24.9% of the pool), which is secured by a high-rise office building in the Dallas central business district (CBD). The sponsor's lease-up plan is behind schedule as a result of soft submarket demand for office space following the disruption caused by the Coronavirus Disease (COVID-19) pandemic. The property was 68.2% occupied as of January 2022, and the most recently reported net cash flow figure narrowly supported debt service payments. According to Q4 2021 Reis data for the Dallas CBD, the average vacancy rate for office properties in the submarket was 30.1%. The loan maturity was recently extended by one year to February 2023, and refinance risk remains high as the loan has a final maturity date in February 2024. As a result, DBRS Morningstar increased the probability of default in its analysis as it is unlikely the sponsor will achieve its business plan during the extended loan term. As of the March 2022 remittance, 14 of the original 35 loans remain in the pool. The initial pool balance of $764.2 million has been reduced by 58.3% to $318.5 million. Loans secured by office properties represent 48.7% of the current pool balance, followed by multifamily properties at 27.2%. One multifamily loan, totaling 9.2% of the trust balance, is secured by a student housing property near the University of Houston. The transaction is structured with a Permitted Funded Companion Participation Acquisition Period, ending with the April 2022 Payment Date. Through this date, the collateral manager can purchase funded loan participation interests into the trust subject to Eligibility Criteria as defined at issuance. As of March 2022 reporting, the Permitted Funded Companion Participation Acquisition Account had a balance of $1.0 million. With the exception of the Ross Tower loan, borrowers are continuing to progress in their respective business plans, as the collateral manager has advanced $40.5 million to 12 individual borrowers. Of this amount, the borrower of the Ross Tower loan received an advance of $16.2 million, most of which is allocated for completing planned capital improvements at the property. There remains an additional $39.3 million of loan future funding allocated to nine individual borrowers to further aid in property stabilization efforts. Of this amount, $19.0 million is allocated to the Ross Tower loan, exclusively for accretive leasing costs. As of March 2022, nine loans, representing 52.6% of the pool balance, are on the servicer's watchlist, primarily because of either a low debt service coverage ratio or an upcoming loan maturity date. All remaining loans are currently in their respective extended loan terms and are structured with an additional 12-month extension option outstanding, subject to extension fees and performance tests. An additional six loans, representing 32.1% of the pool balance, have been modified or have received forbearances since the onset of the pandemic. Notes: All figures are in U.S. dollars unless otherwise noted. PRKCM 2022-AFC1: S&P Assigns Prelim B+(sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to PRKCM 2022-AFC1 Trust's mortgage pass-through notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest-only periods). The pool consists of 703 non-qualified mortgage (non-QM/ATR compliant) and ATR-exempt loans. The preliminary ratings are based on information as of May 25, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency (FF) for the archetypal pool at 3.25%. Preliminary Ratings Assigned PRKCM 2022-AFC1 Trust(i) Class A-1, $212,654,000: AAA (sf) Class A-1A, $180,700,000: AAA (sf) Class A-1B, $31,954,000: AAA (sf) Class A-2, $27,161,000: AA (sf) Class A-3, $35,948,000: A (sf) Class M-1, $15,658,000: BBB (sf) Class B-1, $11,184,000: BB (sf) Class B-2, $8,468,000: B+ (sf) Class B-3, $8,467,833: Not rated Class A-IO-S, Notional(i): Not rated Class XS, Notional(i): Not rated Class R, N/A: Not rated (i)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $319,540,833. N/A--Not applicable. RCKT MORTGAGE 2022-4: Moody's Assigns (P)B3 Rating to Cl. B-5 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 48 classes of residential mortgage-backed securities (RMBS) issued by RCKT Mortgage Trust 2022-4, and sponsored by Woodward Capital Management LLC. The securities are backed by a pool of prime jumbo residential mortgages originated and serviced by Rocket Mortgage, LLC (long term corporate family rating, Ba1). The complete rating actions are as follows: Issuer: RCKT Mortgage Trust 2022-4 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)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aa1 (sf) Cl. A-23, Assigned (P)Aa1 (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aa1 (sf) Cl. A-X-13*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) Cl. A-2A Loans, Assigned (P)Aaa (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 1.00%, in a baseline scenario-median is 0.72% and reaches 6.40% 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, 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. REALT 2019-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------- DBRS Limited confirmed its ratings on all Commercial Mortgage Pass-Through Certificates, Series 2019-1 issued by Real Estate Asset Liquidity Trust (REALT), Series 2019-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class X at A (high) (sf) -- Class C at A (sf) (sf) -- Class D-1 at BBB (sf) -- Class D-2 at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since DBRS Morningstar's last review. As of the March 2022 remittance, 46 of the original 48 loans remain in the pool, with an aggregate trust balance of $402.2 million, representing a collateral reduction of 9.9% since issuance as a result of the two loan repayments and scheduled loan amortization. There are no loans in special servicing and there are eight loans on the servicer's watchlist, representing 19.6% of the current trust balance. A majority of the watchlisted loans have been affected by the Coronavirus Disease (COVID-19) pandemic. Five of these loans, representing 6.1% of the current trust balance, are being monitored for a low debt service coverage ratio (DSCR) that can primarily be attributed to the effects of the pandemic. In total, six loans, representing 24.1% of the pool, received some form of loan modification or forbearance in response to the respective borrowers' relief requests, including the largest loan in the pool, WSP Place (Prospectus ID#1, 8.9% of the pool). The WSP Place loan is secured by an office property in downtown Edmonton, Alberta. The loan was added to the servicer's watchlist in May 2020, as the borrower, who serves as the full recourse entity, requested coronavirus-related payment relief. In lieu of a short-term forbearance, the borrower was permitted to use leasing reserves to cover payments through July 2020, with the used funds to be replenished if the reserve balance were to fall below a designated threshold. The servicer has confirmed the terms of the loan modification have been met. In addition to the borrower's relief request, the servicer has been monitoring the loan for delinquent property taxes and two outstanding mechanic's liens. The property taxes are now confirmed to be current and, of the two outstanding liens, one was withdrawn in February 2022 and the other is expected to be resolved within the near term. WSP Place lost its third-largest tenant at issuance, AIMCo (9% of the net rentable area (NRA)), which vacated at lease expiration in December 2019, leaving the property 82.0% occupied at the time. The two largest remaining tenants are WSP (18% of the NRA, expiring July 2026) and Alberta Health Servicers (24% of the NRA, expired September 2021). WSP, which previously occupied 36% of the NRA, downsized half of its space in early 2021, resulting in the occupancy falling to 67%. WSP's lease modification in 2021 included the right to terminate its lease with 12 months' notice at the end of 2021 or 2023, subject to $3.0 million and $2.0 million termination fees, respectively. Alberta Health Services (AHS), meanwhile, has no renewal options but has been a tenant at the subject since October 2004. According to the AHS website, the tenant remains in operation at the subject property as of March 2022, and an online listing by Avison Young for the property, updated as of February 2022, showed 28,173 square feet available across five suites, totaling 15.3% of the NRA. DBRS Morningstar has requested a leasing update and a current rent roll for the property and the servicer's response is pending. Given the year-end 2020 DSCR was reported at 1.39 times, based on a cash flow that would have included WSP's pre-downsize rent amount, DBRS Morningstar estimates the in-place DSCR is likely below breakeven. Notes: All figures are in U.S. dollars unless otherwise noted. ROCKFORD TOWER 2022-1: Moody's Assigns Ba3 Rating to $20MM E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued by Rockford Tower CLO 2022-1, Ltd. (the "Issuer" or "Rockford Tower CLO 2022-1"). Moody's rating action is as follows: US$287,900,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$32,100,000 Class A-2 Senior Secured Fixed Rate Notes due 2035, Assigned Aaa (sf) US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, 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. Rockford Tower CLO 2022-1 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, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is expected to be at least 96% ramped as of the closing date. Rockford Tower Capital Management, L.L.C. (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 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: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2881 Weighted Average Spread (WAS): SOFR + 3.5% Weighted Average Coupon (WAC): 6.25% Weighted Average Recovery Rate (WARR): 47% 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. RUN 2022-NQM1: DBRS Finalizes B(high) Rating on Class B-2 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2022-NQM1 issued by RUN 2022-NQM1 Trust (the Issuer): -- $237.5 million Class A-1 at AAA (sf) -- $22.5 million Class A-2 at AA (high) (sf) -- $17.7 million Class A-3 at A (high) (sf) -- $18.9 million Class M-1 at BBB (sf) -- $10.1 million Class B-1 at BB (high) (sf) -- $12.8 million Class B-2 at B (high) (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Notes reflects 28.35% of credit enhancement provided by subordinate notes. The AA (high) (sf), A (high) (sf), BBB (sf), BB (high) (sf), and B (high) (sf) ratings reflect 21.55%, 16.20%, 10.50%, 7.45%, and 3.60% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 525 loans with a total principal balance of approximately $331,490,127, as of the Cut-Off Date (March 1, 2022). RUN 2022-MQM1 represents the first rated mortgage loan securitization issued by the Sponsor, RUN 2022-NQM1 Sponsor, LLC, from the RUN shelf. The Sponsor is a special-purpose entity affiliated with Marathon Asset Management (Marathon), a global credit manager with approximately $23 billion of assets under management, as of September 30, 2021, and its managed accounts and Long Run Partners LLC, an aggregator of mortgage loans funded by Marathon. The top originator for the mortgage pool is Oaktree Funding Corp. (65.2%). The remaining originators each comprise less than 15.0% of the mortgage loans. Select Portfolio Servicing, Inc. is the servicer for all the loans in the pool. As of the Cut-Off Date, approximately 20.3% of the loans in the pool were serviced by an interim servicer and are scheduled to transfer to the Servicer on or before April 1, 2022. The pool is about three months seasoned on a weighted-average (WA) basis, although seasoning may span from zero to eight months. All loans were current as of the Cut-Off Date. Also, most loans (99.5% of the pool) have been always performing since origination. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 55.8% of the loans by balance are designated as non-QM. Approximately 44.2% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until loans become 180 days delinquent or are otherwise deemed unrecoverable. Of note, the Servicer will make P&I Advances with respect to any loan where the borrower has been granted forbearance (or a similar loss mitigation action) as a result of the Coronavirus Disease (COVID-19) pandemic or otherwise (to the extent that such P&I advance amounts are deemed recoverable). Additionally, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and retain an eligible horizontal interest in the Issuer consisting of a portion of the Class B-2, Class B-3, and Class XS Notes in the amount of not less than 5.0% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns the Sponsor's and investor's interest in the capital structure. Additionally, it is expected the Sponsor will initially own the remaining portion of the Class B-2 Notes, a portion of the Class B-1 Notes, and the entire Class A-IO-S Notes. The Depositor may, at its option, on or after the earlier of (1) the payment date occurring in March 2025 or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date, purchase all of the loans and REO properties at the optional termination price described in the transaction documents (Optional Redemption). The Controlling Holder (the majority holder or holders of the Class XS Notes; initially, the Sponsor), at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Banker Association (MBA) method (or in the case of any loan that has been subject to a pandemic-related forbearance plan, on any date from and after the date on which such loan becomes 90 days MBA delinquent following the end of the forbearance period) at the repurchase price (Optional Purchase Price) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. For the Class A-3 Notes and for the mezzanine and subordinate classes of notes, principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. CORONAVIRUS IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes, shortly after the onset of the coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of the coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. SANTANDER BANK 2022-A: Fitch Assigns 'B(EXP)' Rating on Cl. D Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the notes issued by Santander Bank, N.A., Santander Bank Auto Credit-Linked Notes series 2022-A (SBCLN 2022-A). DEBT RATING ---- ------ Santander Bank Auto Credit- Linked Notes, Series 2022-A A-1-R LT NR(EXP)sf Expected Rating A-2-R LT NR(EXP)sf Expected Rating B LT BBB(EXP)sf Expected Rating C LT BB(EXP)sf Expected Rating D LT B(EXP)sf Expected Rating E LT NR(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance - Strong Credit Quality: 2022-A has a weighted average (WA) FICO score of 772, with 91.8% of scores above 675 and the remaining 8.2% in the 626-675 range. The pool has a larger concentration of extended term loans, with 84-month loans totaling 20%, up slightly from 15% in 2021-1. Vehicle type and make concentrations have remained consistent compared with SBCLN 2021-1; the concentration among the top three vehicle models is slightly higher at 97.7% versus 97.3% in 2021-1. The pool's WA loan-to-value ratio (LTV) is 95.1%, and WA seasoning is 14.4 months. Payment Structure - Only Note Subordination for CE: Initial hard CE totals 4.50%, 3.50% and 2.80% for classes B, C and D, respectively, consistent with the prior transaction, entirely consisting of subordinated note balances, including the additional class E and R notes. There is no additional enhancement provided, including no excess spread. Initial CE is sufficient to withstand Fitch's base case CNL proxy of 1.80% at the applicable rating loss multiples. Seller/Servicer Operational Review - Stable Origination/Underwriting/Servicing: Santander Consumer USA Inc. (SCUSA) demonstrates adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio delinquency, loss experience and prior securitization performance. Fitch deems SCUSA capable to service this series. Pro-Rata Pay Structure (Negative): Auto loan cash flows are allocated among the class B and C notes based on a pro-rata pay structure, with the class A certificates (retained by SBNA) receiving a pro-rata allocation payment, and the subordinate class D, E and R notes are to remain unpaid until all other classes are paid in full, in sequential order. In addition, lower-rated subordinated classes will be locked out of principal entirely if the transaction CNL exceeds a set CNL schedule. The lockout feature helps maintain subordination for a longer period should CNL occur earlier in the life of the deal. This feature redirects subordinate principal to classes of higher seniority sequentially, except class A certificates. Further, if the pool CNL exceeds 4.00%, the transaction switches from pro rata and pays fully sequentially, including for class A certificates. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, class E and R notes are locked out of payments until other classes of notes are paid in full, leading to a floor amount of subordination of 2.50% below the class D notes at issuance. Excessive Counterparty Exposure: The excessive exposure in the transaction arises due to SB's role providing a material degree of credit support to the transaction. Noteholders will not have recourse to the reference portfolio or to the cash generated by the assets. Instead, the transaction relies on SBNA to make interest payments based on the note rate and principal payments based on the performance of the reference pool. The monthly payment due will be deposited by SBNA into a segregated trust account held at Citibank, N.A. (A+/F1/Stable; the securities administrator) for the benefit of the notes. If SBNA fails to make a payment to noteholders, it will be deemed an event of default. SBNA is also the servicer and will retain the class A certificates. Given this dependence on the bank, ratings on the notes are directly linked to, and capped by, the IDR of the counterparty, SBNA (BBB+/F2/Stable). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Changes in loss timing have the potential to shift the paydown of the outstanding notes, due to the timing of when performance triggers are tripped. Additionally, unanticipated increases in the frequency of defaults could produce CNL levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. For this transaction, Fitch conducted sensitivity analyses by stressing the transaction's assumed loss timing, the transaction's initial base case CNL and recovery rate assumptions, examining the rating implications on all rated classes of issued notes. The loss timing sensitivity modifies the base case loss timing curve to delay the sequential payment triggers to the middle of the transaction's life while maintaining overall loss levels. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Additionally, Fitch conducts a 1.5x and a 2.0x increase to the CNL proxy, representing both moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. A more prolonged disruption from the pandemic is accounted for in the severe downside stress of 2.0x and could result in downgrades of up to two rating categories for the subordinate notes. Due to the pandemic, the U.S. and the broader global economy was under significant under stress, with surging unemployment and pressure on businesses stemming from government-led social distancing guidelines. While delinquencies and losses did increase slightly, the magnitude was limited due to government stimulus and lender support in the form of loan extensions. However, the U.S. economy has rebounded from weak pandemic levels. For sensitivity purposes, Fitch assumed a 2.0x increase in delinquency stress. The results below indicate no adverse rating impact to the notes. Despite this, Fitch acknowledges that lower prepayments and longer recovery lag times due to delayed ability to repossess and recover on vehicles may result from the pandemic. However, changes in these assumptions, all else equal, would not have an adverse impact on modeled loss coverage, and Fitch has maintained its stressed assumptions. Fitch has revised global economic outlook forecasts as a result of the Ukraine War and related economic sanctions. Downside risks have increased and we have published an assessment of the potential rating and asset performance impact 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 North American Prime Auto ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on asset and ratings performance, indicating very few (less than 5%) rating Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the scenarios shown above that increase the default expectations by 2.0x.For sensitivity purposes, Fitch assumed a 2.0x increase in delinquency stress. The results below indicate no adverse rating impact to the notes. However, Fitch acknowledges that lower prepayments and longer recovery lag times due to delayed ability to repossess and recover on vehicles may result from the pandemic. However, changes in these assumptions, all else equal, would not have an adverse impact on modeled loss coverage. Fitch has maintained its stressed assumptions. Loss Timing Sensitivity As mentioned previously, prior to the triggering of a sequential payment event through the CNL schedule, the class B and C notes are paid pro rata until paid in full. This pro-rata paydown presents a risk to the notes, which may share in any losses incurred and not receive adequate principal paydown over time. In Fitch's front-loaded primary scenario, this trigger activates almost immediately, leading to higher loss coverage than the mid- and back-loaded scenarios presented previously. While Fitch believes a more backloaded scenario is less likely, to evaluate the potential structural challenge, an additional timing scenario was considered in which 20% of the CNL is expected to occur within the first two years of the transaction's life was delayed to the second two years, in a 15%/15%/35%/35% loss curve. The delayed loss curve leads to the sequential order event occurring later in the life of the transaction under the class B, C and D stress scenarios. However, due to the delay in defaults, the class B, C and D notes are able to pay down sooner than in the prior back-loaded curve, which delays the trigger events but sees a more significant portion of losses occurring earlier in the deal. Because of this, loss coverage improves in an extremely back-loaded scenario, due to the other subordinate notes (including the class D) being locked out until the B and C notes are paid in full under any scenario. In the below scenario, class B and D notes would see no change in ratings, whereas the C notes, remaining pro rata with the B notes for the most part, achieve a rating multiple level with the class B notes. Cumulative Net Loss Rating Sensitivity In addition to the delayed timing mentioned above, Fitch stressed each class of notes prior to any amortization to its first dollar of default to examine the structure's ability to withstand the aforementioned stressed CNL scenarios. Defined Rating Categories The first sensitivity analysis consists of utilizing the break-even CNL loss coverage available to the notes and assessing the level of CNL it would take to reduce each rating by one full category, to non-investment grade and to 'CCCsf'. The implied CNL proxy necessary to reduce the ratings as stated above will vary by class based on the break-even loss coverage provided by the CE structure. Under this analysis, all analytical assumptions are unchanged, with total loss coverage available to class B notes at 4.33%. Therefore, as shown in the following table, the implied CNL proxy would have to increase to 2.89% for class B notes to be downgraded by one rating category or a 1.5x multiple (4.33%/1.50 = 2.89%). Applying the same approach but increasing net losses to levels commensurate with rating downgrade to 'CCCsf' suggests net losses would have to increase to 7.22% to reach a 0.60x. The second sensitivity also focuses on stressing the impact of CNLs outside of base case expectations by a 1.5x and a 2.0x multiple relative to available loss coverage. This analysis provides a good indication of the rating sensitivity of the notes to unexpected deterioration of the trust's performance. In this example, under the 1.5x scenario, the base case proxy increases to 2.70% and an implied loss multiple of 1.60x, which would suggest a downgrade to the 'BBsf' range. Under the more severe 2.0x stress, the base case proxy increases to 3.60%, which results in an implied multiple of 1.20x or a downgrade to the 'B+sf' range. Due to de-levering and structural features, a typical auto loan ABS transaction tends to build CE and loss coverage levels over time, absent any increase to projected defaults/losses beyond expectations. However, the current transaction, which is based on a reference pool and is not a standard auto loan ABS transaction, sees only limited de-levering and increases in enhancement over the life of the transaction, as classes B and C pay down pro rata. The greatest risk of losses to an auto loan ABS transaction is over the first one to two years of the transaction, where the benefit of de-levering may be muted. This analysis does not give explicit credit to the de-levering and building CE typically afforded in auto loan ABS transactions. Recovery Rate Sensitivity Recoveries can have a material impact on auto loan pool performance, particularly in stressed economic environments where default frequency is higher. This sensitivity analysis evaluates the impact of stressed recovery rates on the considered structure and rating impact. Historically, recovery rates on auto loan collateral have ranged from 40% to 70%. Utilizing the base case of 1.80% detailed in the CNL sensitivities above, recovery rate credit under Fitch's primary scenario is 50%, resulting in a cumulative gross default (CGD) base case proxy of 3.60%. Applying a 50% haircut to the 50% recovery rate results in a stressed recovery rate of 25% and a base case CNL proxy of 2.70% (3.60% x 75% = 2.70%). Under this stressed scenario, the implied multiple declines to 1.60x (4.33%/2.70% = 1.60x), resulting in an implied rating of 'BBsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to marginally increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be raised one notch for class B (which are capped at the originator's ratings) and upgraded by one category for classes C and D. However, this upgrade potential is very remote, as low losses would mean the transaction remains pro rata for a longer period, leading to less enhancement build over time and no enhancement build for the class D notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. STONE STREET 2015-1: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following classes issued by Stone Street Receivables Funding 2015-1, LLC: -- Series 2015-1, Class A Notes at AAA (sf) -- Series 2015-1, Class B Notes at BBB (sf) -- Series 2015-1, Class C Notes at BB (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 Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that recent coronavirus 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 generally high credit quality of annuity providers and their improved capitalization positions and risk-management frameworks, which have been enhanced since the global financial crisis of 2008–09. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction's capital structure, and form and sufficiency of available credit enhancement. -- The transaction's performance to date, with minimal defaults and losses. Notes: The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (January 27, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. TELOS CLO 2014-6: S&P Affirms CCC+ (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class C-R and D-R notes from Telos CLO 2014-6 Ltd., a CLO transaction. At the same time, S&P affirmed its ratings on the class B-1-R, B-2-R, and E notes. The rating actions follow S&P's review of the transaction's performance using data from the April 2022 trustee report. The upgrades reflect the transaction's $65.04 million collective paydowns to the class A-1-R notes since our June 29, 2021, review. The paydowns resulted in the following improved reported overcollateralization (O/C) ratios since the April 2021 trustee report: -- The class A/B O/C ratio improved to 660.78% from 195.46%. -- The class C O/C ratio improved to 226.43% from 146.84%. -- The class D O/C ratio improved to 140.42% from 119.21%. -- The class E O/C ratio improved to 107.54% from 103.53%. Collateral obligations in the 'CCC' rating category declined to $17.83 million as of the April 2022 trustee report, compared with $26.61 million as of the April 2021 report. However, the amortization of assets rated 'B-' and higher during this period increased the transaction's exposure to 'CCC' rated obligations to 24.1% as of the April 2022 trustee report from 22.0% a year earlier. Despite the larger concentrations of 'CCC' rated collateral, the transaction benefited from a drop in its weighted average life, which fell to 2.58 years from 3.23 years due to underlying collateral's seasoning. The par amount of defaulted collateral also decreased to zero from $5.75 million during this time. S&P said, "On a standalone basis, the results of our cash flow analysis indicated a higher rating on the class D-R and E notes. However, because the transaction currently has a higher exposure to 'CCC' rated collateral and loans with distressed market values, we limited the upgrade on the class D-R notes to maintain rating cushion. "Our rating on the class E 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 a higher rating, the largest obligor default test constrained our ratings on the class E notes at the 'CCC+ (sf)'. The top five largest obligors in the transaction currently comprise more than 27.31% of the portfolio's performing collateral balance and only 41 unique obligors remain. "For CLO tranches rated 'B-' or lower, we also rely on our 'CCC' criteria and guidance. If we believe the payment of principal or interest when due depends on favorable business, financial, or economic conditions, we will generally assign a rating in the 'CCC' category. Based on the transaction's high exposure to collateral in this rating category, its exposure to distressed market values, the class E notes' current overcollateralization level, and our macroeconomic outlook, we believe the class E notes are dependent on those favorable conditions to meet its financial commitments. As a result, we affirmed our 'CCC+ (sf)' rating on the notes--even though our cash flow analysis indicated a higher rating on a standalone basis. "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 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 rated classes have adequate credit enhancement available at the 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 Telos CLO 2014-6 Ltd. Class C-R to 'AAA (sf)' from'AA- (sf)' Class D-R to 'A+ (sf)' 'BB (sf)' Ratings Affirmed Telos CLO 2014-6 Ltd. Class B-1-R: AAA (sf) Class B-2-R: AAA (sf) Class E: CCC+ (sf) TRK 2022-INV2: S&P Assigns B (sf) Rating on Class B-2 Certs ----------------------------------------------------------- S&P Global Ratings assigned its ratings to TRK 2022-INV2 Trust's mortgage pass-through certificates series 2022-INV2. The certificate issuance is an RMBS transaction backed by first-lien, fixed-rate, adjustable-rate, fully amortizing, and interest-only residential mortgage loans secured by single-family residences, planned unit developments, two- to four-family homes, condominiums, townhouses, and five- to 10-unit residential properties to both prime and nonprime borrowers. The pool consists of 733 business-purpose investor loans (including 115 cross-collateralized loans) backed by 1,351 properties that are exempt from qualified mortgage and ability-to-repay rules. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator and mortgage originators; and -- The current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook for the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Ratings Assigned TRK 2022-INV2 Trust Class A-1, $136,461,000: AAA (sf) Class A-2, $23,967,000: AA (sf) Class A-3, $31,670,000: A (sf) Class M-1, $18,219,000: BBB (sf) Class B-1, $12,961,000: BB (sf) Class B-2, $10,027,000: B (sf) Class B-3, $11,250,050: NR Class A-IO-S, Notional(i): NR Class XS, Notional(i): NR Class P, $100: NR Class R, Not applicable: NR (i)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. UBS-BARCLAYS 2012-C2: Moody's Lowers Rating on Class E Certs to C ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes and downgraded the ratings on seven classes in UBS-Barclays Commercial Mortgage Trust 2012-C2, Commercial Mortgage Pass-Through Certificates, Series 2012-C2. Cl. A-4, Affirmed Aaa (sf); previously on Dec 14, 2020 Affirmed Aaa (sf) Cl. A-S-EC, Downgraded to Baa1 (sf); previously on Apr 23, 2021 Downgraded to A2 (sf) Cl. B-EC, Downgraded to B2 (sf); previously on Apr 23, 2021 Downgraded to Ba3 (sf) Cl. C-EC, Downgraded to Caa2 (sf); previously on Apr 23, 2021 Downgraded to Caa1 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Apr 23, 2021 Downgraded to Caa2 (sf) Cl. E, Downgraded to C (sf); previously on Dec 14, 2020 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Dec 14, 2020 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Dec 14, 2020 Affirmed C (sf) Cl. X-A*, Downgraded to A2 (sf); previously on Apr 23, 2021 Downgraded to Aa2 (sf) Cl. X-B*, Affirmed Ca (sf); previously on Apr 23, 2021 Downgraded to Ca (sf) Cl. EC**, Downgraded to B2 (sf); previously on Apr 23, 2021 Downgraded to B1 (sf) * Reflects interest-only classes ** Reflects exchangeable class RATINGS RATIONALE The rating on one principal and interest (P&I), Cl. A-4 was affirmed due the significant credit support and expected paydowns from the performing loans that mature within the next three months. The ratings on two P&I classes, Cl. F and Cl. G, were affirmed due to the ratings being consistent with Moody's expected losses. The ratings on five P&I classes were downgraded due to anticipated losses and increased interest shortfall risk driven by the significant exposure to specially serviced loans, which are primarily secured by regional mall loans. Furthermore, the remaining loans all mature within the next three months and the risk of interest shortfalls will increase if certain loans are unable to pay off at their maturity date. Specially serviced loans now make up 51.7% of the pool, of which the four largest, representing 49.5%, are secured by regional malls with declining performance. Three of the regional mall loans in special servicing (43.2% of the pool) are either REO or undergoing the foreclosure process and appraisal reductions of greater than 30% of their respective loan balances has been recognized for these loans as of the May 2022 remittance date. Additionally, there may be increased refinance risk for two of three largest performing loans, which includes a regional mall loan (Southland Center Mall – 13.7% of the pool) and one office loan (Trenton Office Portfolio -12.7% of the pool) that has significant lease expirations by year-end 2022. The rating on one interest-only (IO) class, Cl. X-A, was downgraded due to decline in the credit quality of the referenced classes. The rating on one interest only (IO) class, Cl X-B, was affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class, Cl. EC, was downgraded due to decline in the credit quality of the 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 Moody's ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 38.2% of the current pooled balance, compared to 22.0% at Moody's last review. Moody's base expected loss plus realized losses is now 15.0% of the original pooled balance, compared to 15.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, 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 exchangeable classes and interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the May 12, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 61% to $476.4 million from $1.22 billion at securitization. The certificates are collateralized by fourteen mortgage loans ranging in size from less than 1% to 17.8% of the pool, with the top ten loans (excluding defeasance) constituting 97.2% of the pool. One loan, constituting 0.6% of the pool, has defeased and is secured by US government securities. The transaction has a significant concentration to five Class B regional malls, representing approximately 63.2% of the pool balance. Class B malls in secondary and tertiary locations have historically exhibited higher cash flow volatility, loss severity and may face higher refinancing risk compared to other major property types. Four of these regional malls (49.5% of the pool) have already been transferred to special servicing and three of the malls are already REO or in foreclosure. 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 8, compared to 13 at Moody's last review. As of the May 12, 2022 remittance report, loans representing 54.6% were current or within their grace period on their debt service payments and 45.4% were REO or in foreclosure. Six loans, constituting 47.7% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool since securitization. There are currently seven loans in special servicing, secured by six properties and constituting 51.7% of the balance. The specially serviced mall loans represent 43.2% of the pool and were already experiencing material declines in performance prior to 2020. The master servicer has already recognized aggregate appraisal reductions of $133.6 million across the specially serviced loans as of the May 2022 remittance report. The largest specially serviced exposure is the Louis Joliet Mall Loan ($85.0 million – 17.8% of the pool), which is secured by a 359,000 square foot (SF) portion of a 975,000 SF regional mall located in Joliet, Illinois. At securitization the mall was anchored by Macy's, Sears, JC Penney and Carson Pirie Scott & Co (all non-collateral). However, both Sears and Carson Pirie Scott & Co. closed their stores at this location in 2018. Two major collateral tenants, MC Sport and Toys R Us, also closed their stores in 2017 and 2018, respectively. As of December 2021, the total mall occupancy declined to approximately 56%, compared to 82% at prior year and 93% at closing. The property performance has declined significantly in recent years due to lower revenues and the pandemic caused performance to further deteriorate. The 2020 NOI declined 25% year over year and was 48% lower than in 2012. The loan transferred to special servicing in May 2020 due to imminent monetary default and as of the May 2022 remittance statement is last paid through its January 2021 payment date. The loan was interest-only for the entire term and had an original loan maturity in July 2022. The property became REO in January 2022 and the master servicer has recognized a $26.2 million appraisal reduction as of the May 2022 remittance date. Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the Crystal Mall Loan ($81.2 million – 17.0% of the pool), which is secured by a 518,500 SF portion of a 783,300 SF super-regional mall located in Waterford, Connecticut. At securitization the mall contained three anchors: Macy's, Sears, and JC Penney (Macy's and Sears were non-collateral anchors). Sears closed its store at this location in 2018 and the space remains vacant. The subject is the only regional mall within a 50-mile radius, but it faced significant competition from other retail centers including Waterford Commons and Tanger Outlets. Property performance has declined in recent years due to lower rental revenue and is significantly below underwritten levels. The 2020 NOI declined 30% year over year and was 60% below the NOI in 2012. For the full-year 2021, comparable in-line tenants occupying less than 10,000sf, generated sales of $336 PSF. As of June 2021, the collateral occupancy was 76% occupied, compared to 81% as of December 2020 and 87% as of December 2018. The property's reported June 2021 NOI DSCR was 0.72X, compared to 0.81X in December 2020 and 1.37X in December 2018. The loan transferred to special servicing in July 2020 due to imminent default and as of May 2022 remittance statement was last paid through its September 2021 remittance date. The loan is being reported in foreclosure process. The master servicer has already recognized $67.3 million appraisal reduction, which represents 82% of the current loan balance. Moody's anticipates a significant loss on this loan. The third specially serviced loan is the Pierre Bossier Mall Loan ($39.8 million – 8.4% of the pool), which is secured by a 265,400 SF portion of a 612,300 SF regional mall located in Bossier City, Louisiana. At securitization the mall contained four non-collateral anchors: Dillard's, Sears, JC Penney, and Virginia College. Both Sears and Virginia College closed at their locations in 2018. The property performance has declined annually since 2015 due to continued declines in rental revenues. The 2020 NOI was down 23% year over year and was 55% lower than its 2012 NOI and the NOI DSCR has been below 1.00X since 2019. Furthermore, the comparable inline stores less than 10,000 SF reported sales of approximately $317 PSF in 2021, compared to $352 PSF at closing. As of September 2021, reported occupancy was 66%, compared to 83% in December 2020 and 92% at closing. The loan transferred to special servicing in June 2020 due to imminent default and as of the May 2022 remittance date is last paid through its May 2021 payment date. The loan is being reported in foreclosure process. The master servicer has already recognized $33.9 million appraisal reduction, which represents 85% of the current loan balance. Moody's anticipates a significant loss on this loan. The four specially serviced loan is the Westgate Mall ($29.8 million – 6.3% of the pool), which is secured by a 453,544 SF portion of a regional mall. The mall anchors include Dillard's; Belk (both non-collateral) and JC Penney. A former anchor, Sears (193,000 SF), vacated in September 2018 and the space remains vacant. Major collateral tenants include: Bed Bath & Beyond (36,000 SF; lease expiration in January 2026) and Dick's Sporting Goods (lease expiration January 2030). As of December 2021, total occupancy was 88%, compared to 90% in December 2019, and 95% at closing. The property's performance has declined since 2012 due lower rental revenues, the 2021 NOI was 38% lower than in 2012. The December 2021 NOI DSCR was 1.41X, compared to 2.21X in 2012. CBL & Associates Properties, Inc. ("CBL"), which is the sponsor and manages the property, declared Chapter 11 bankruptcy in late 2020 and subsequently emerged from bankruptcy in November 2021. The loan has amortized nearly 26% since securitization and has continued to make its monthly debt service payment. The loan has a loan maturity date in July 2022 and the servicer is currently in discussion with the borrower in regard to the upcoming maturity date. Due to the recent declines in performance and the current retail environment, Moody's anticipates a moderate loss on this loan. Two remaining specially serviced loans are: the Behringer Harvard Portfolio Loan ($7.2 million – 1.5% of the pool), and the Neuro Care Medical Office ($3.3 million – 0.7% of the pool). The Behringer Harvard Portfolio originally consisted of two office properties located in Houston and Irving, TX. The office property in Irving was released in February 2016, leaving the 180,000 SF Houston property as the sole remaining collateral. The loan transferred to special servicing in March 2017 and the asset became REO in July 2017. The Neuro Care Medical Office is two story medical building located in Canton, OH. The property is vacant due to a tenant bankruptcy and the special servicer is pursuing a deed in lieu of foreclosure strategy. Moody's has estimated an aggregate loss of $175 million (71% expected loss on average) from the specially serviced loans. As of the May 2022 remittance statement cumulative interest shortfalls were $6.9 million and impacted up to the Cl. D. Moody's anticipates interest shortfalls are expected to increase as updated appraisals or loan modifications are executed on the specially serviced regional malls loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The 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 100% of the pool and partial or full year 2021 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 106%, compared to 96% 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 27% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 11.4%. Moody's actual and stressed conduit DSCRs are 1.33X and 1.16X, respectively, compared to 1.37X and 1.16X 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 conduit loans represent 39.6% of the pool balance. The largest loan is the Southland Center Mall Loan ($65.2 million – 13.7% of the pool), which is secured by a 611,000 SF portion of a 903,500 SF super-regional mall located in Taylor, Michigan. The mall is currently anchored by Macy's (non-collateral) and JC Penney. Other major tenants include Best Buy and a 12-screen, all-digital, Cinemark multiplex theater. As of December 2021, the total mall occupancy was 91%, compared to 94% in December 2019 and 83% at securitization. For the trailing twelve month period ending September 2021 period, comparable in-line tenants occupying less than 10,000 sf, generated sales of $526 PSF, compared to $424 PSF for the FY 2019 and $374 PSF at securitization. The property's performance has declined annually since 2019 but remains above levels at securitization. The full -year 2021 NOI was 9% higher than in 2012 and the NOI DSCR 1.79X as of December 2021. The loan sponsor is Brookfield Properties. The loan is on the servicer's watchlist due to upcoming maturity in July 2022. The loan has amortized 17% since securitization and Moody's LTV and stressed DSCR are 99% and 1.17X. The second largest conduit loan is the Two MetroTech Loan ($62.9 million – 13.2% of the pool), which is secured by a 10-story, Class-A office building containing 511,920 SF of net rentable area located in Brooklyn, New York. The property is well located approximately five minutes from downtown Manhattan and is accessible via 12 subway lines and the Long Island Railroad. The improvements are situated on New York City owned land. The ground lease expires in 2087, and beginning in 2025, the ground rent will be adjusted to be 10% of the fair market value of the land, considered as unimproved and unencumbered by the ground lease. As of December 2021, the building was approximately 99% leased, essentially unchanged since 2013. The five largest tenants represent 94% of the property's square footage. One tenant, 24% of NRA, has its lease expirations in December 2022. The loan is on the servicer's watchlist due to upcoming maturity in June 2022. The loan has amortized 17% since securitization and Moody's LTV and stressed DSCR are 88% and 1.11X. The third largest conduit loan is the Trenton Office Portfolio Loan ($60.6 million – 12.7% of the pool), which is secured by two Class-A mid-rise office buildings containing 473,658 SF in aggregate and are located in downtown Trenton, New Jersey. As of December 2021, the buildings were approximately 96% leased, unchanged since 2013. The largest tenant is the State of New Jersey, which leases approximately 86% of the aggregate square footage on leases through December 2022. Due to the lease concentration risk, a lit/dark analysis was applied at this review. The loan is on the servicer's watchlist due to upcoming maturity in June 2022. The loan may have an increased risk of maturity default if the State of New Jersey does not renew its lease prior the maturity date. The loan has amortized 17.5% since securitization and Moody's LTV and stressed DSCR are 132% and 1.26X. UNITY-PEACE PARK: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Unity-Peace Park CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$399,750,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$25,025,000 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. Unity-Peace Park CLO, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of second lien loans, first-lien last-out loans, unsecured loans, and senior secured bonds. The portfolio is fully ramped as of the closing date. Blackstone Liquid Credit Strategies 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 four 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: $650,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3050 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8.0 years (covenant 9.0) 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. VENTURE 45 CLO: Moody's Assigns Ba3 Rating to $20MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by Venture 45 CLO, Limited (the "Issuer" or "Venture 45"). Moody's rating action is as follows: US$5,000,000 Class X Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$25,000,000 Class A-2 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aa2 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned A2 (sf) US$25,000,000 Class D1 Mezzanine Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned Baa3 (sf) US$5,000,000 Class DF Mezzanine Secured Deferrable Fixed Rate Notes due 2035, Definitive Rating Assigned Baa3 (sf) US$20,000,000 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. Venture 45 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 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 debt securities, provided no more than 5.0% of the portfolio may consist of permitted debt securities and no more than 2.5% of the portfolio may consist of unsecured permitted debt securities. The portfolio is approximately 95% ramped as of the closing date. MJX Asset Management 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 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: 83 Weighted Average Rating Factor (WARF): 2685 Weighted Average Spread (WAS): 3mS + 3.80% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.17 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. VERUS SECURITIZATION 2022-5: Fitch Gives B-(EXP) Rating on B-2 Note ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2022-5 (Verus 2022-5). DEBT RATING ---- ------ VERUS 2022-5 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 TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes to be issued by Verus Securitization Trust 2022-5 (Verus 2022-5) as indicated above. The notes are supported by 546 loans with a balance of $282 million as of the cutoff date. The notes are secured by mortgage loans originated by various originators and acquired by the sellers. Of the loans in the pool, 64.7% are designated as nonqualified mortgage (Non-QM), 0.7% are designated as safe-harbor qualified mortgages (SHQMs) and the remaining 34.7% are investment properties not subject to the Ability to Repay (ATR) Rule. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential payment structure. The transaction has a stop advance feature where the P&I advancing party will advance delinquent P&I for up to 90 days. 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 9% below 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 18.9% YoY nationally as of December 2021. Non-Prime Credit Quality (Mixed): The collateral consists of 3-, 5-, 7-, 15-, 30- and 40-year fixed-rate and adjustable-rate loans. Adjustable rate loans comprise 9.1% of the pool and the remaining 90.9% are fully amortizing loans. Of the loans, 9.1% are Interest-only (IO) loans. The pool is seasoned approximately eight months in aggregate, as calculated by Fitch. The borrowers in this pool have a strong credit profile with a 749 weighted average model FICO, 41.9% model debt-to-income ratio (DTI), and relatively moderate leverage of 73.4% sustainable loan to value ratio (sLTV). Approximately 2.4% of the pool have experienced a delinquency in the past 24 months and 2.2% of the loans are currently 30 days delinquent; 1.9% of the loans in the pool were underwritten to foreign national borrowers. The pool characteristics resemble recent non-prime collateral, and, therefore, the pool was analyzed using Fitch's non-prime model. Alternative Documentation Loans (Negative): For approximately 87% of the loans, alternative documentation was used to underwrite the loans. Of this, 24.1% were underwritten to a bank statement program to verify income, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on the bank statement loans. Besides loans underwritten to a bank statement program, 26.9% are a DSCR product, 18.2% are a WVOE product, 12.2% are P&L loans and 3.0% comprise an asset depletion product. Modified Sequential Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior notes while locking out the subordinate classes from principal payments until the senior classes are paid off. If a delinquency trigger event or a cumulative loss trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 notes until each class balance is reduced to zero. The structure includes a step-up coupon feature where the class A-1 fixed interest rate will increase by 100 bps on the June 2026 payment date and thereafter. This reduces the modest excess spread available to repay losses and turbo down bonds. The interest rate, however, is subject to the net WAC and any unpaid cap carryover amount for class A-1 may be reimbursed from the distribution amounts otherwise allocable to the unrated class B-3, to the extent available. Additionally, the class B-2 will have a step-down coupon feature where the coupon will go to 0.0% on June 2026. Advances of delinquent P&I will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing parties fail to make required advances, the master servicer, Nationstar Mortgage LLC (Nationstar), will be obligated to make such advance. If the master servicer fails to make advances, the paying agent (Citibank, N.A.) will fund advances. The stop advance feature limits the external liquidity to the bonds in the event of large and extended delinquencies, but the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I for the life of the transaction as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. 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 metropolitan statistical area (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 40.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% 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 10.0% 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 SitusAMC (AMC), Covius Real Estate Services (Covius), Mission Global (Mission), Selene Diligence (Selene) fka New Diligence Advisors, Canopy Financial Technology Partners (Canopy), Infinity International Processing Services, Inc. (Infinity) and Evolve Mortgage Services (Evolve). The third-party due diligence described in Form 15E focused on credit, compliance, property valuation and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Overall, the 100% due diligence performed on the pool received a model credit, which reduced the 'AAAsf' loss expectation by 45 bps. ESG CONSIDERATIONS VERUS 2022-5 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the originator, aggregator and servicing parties did not have an impact on the expected losses, the Tier 2 R&W framework with an unrated counterparty resulted in an increase in the expected losses. This has a negative 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. WELLS FARGO 2015-C27: DBRS Confirms C Rating on Class F Certs ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C27 issued by Wells Fargo Commercial Mortgage Trust 2015-C27 as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at BBB (high) (sf) -- Class PEX at BBB (high) (sf) -- Class X-B at BB (sf) -- Class D at BB (low) (sf) -- Class E at CCC (sf) -- Class F at C (sf) Classes C, D, X-B, and PEX continue to carry Negative trends, reflecting the uncertainty of resolution for the pool's seven specially serviced loans. All other trends are Stable. The Interest in Arrears designation has been removed from the Class E certificate as those were repaid with the February 2022 remittance. Interest in Arrears remains in place for the Class F certificate. The confirmations reflect the overall stable performance of the transaction since the last rating action. As of the March 2022 remittance, 78 of the original 95 loans remain in the pool, with a collateral reduction of 21.5% since issuance as a result of loan amortization, loan repayments, and the liquidation of two loans. An additional 12 loans, representing 8.4% of the current trust balance, have been fully defeased. The seven loans in special servicing represent 16.1% of the current pool balance. There are also 18 loans (28.4% of the current pool balance) on the servicer's watchlist. Since DBRS Morningstar's last review of this transaction, the $2.7 million Peoria Multifamily Portfolio (Prospectus ID#78; 1.4% of the pool) liquidated, resulting in a $2.7 million loss to the unrated Class G. The loss was in line with DBRS Morningstar's prior loss forecast of $2.6 million. The primary contributor to the ratings downgrades previously taken in May 2021 for this transaction, as well as the Negative trends that were maintained with this review, is the pool's largest loan in special servicing, Westfield Palm Desert (Prospectus ID#1; 7.6% of the pool), which is on the DBRS Morningstar Hotlist. The pari passu $125.0 million whole loan is fully interest only (IO) and is secured by a 572,724-square-foot (sf) portion of a 977,888-sf regional mall in Palm Desert, California. The loan transferred to special servicing in August 2020 due to payment default and most recently reported current as of the March 2022 remittance. According to the most recent commentary, the special servicer continues to pursue foreclosure after receivership was granted in October 2021. While in receivership, the property was rebranded as The Shops at Palm Desert and is expected to be marketed for sale once foreclosure is complete, according to the special servicer. An updated appraisal completed in July 2021 valued the property at $55.2 million, down 16.2% from the September 2020 value of $65.9 million and down 73.9% from the appraised value of $212.0 million at issuance. The sharp value decline is generally the product of cash flow declines that preceded the onset of the Coronavirus Disease (COVID-19) pandemic; however, the weakened appeal of regional mall properties, as well as the subject mall's tertiary location and related limitations in attracting replacement tenants to backfill existing vacancies were also significant contributors to the loss in value since the subject loan was made in 2015. It is also worth noting that the master servicer's reporting for the subject transaction does not appear to count the full debt service obligation for the subject loan, with the debt service coverage ratio (DSCR) reported artificially high since issuance. The reporting for the companion loan, held in Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 (also rated by DBRS Morningstar), does show the correct debt service calculation. Most recently, the special servicer reported a trailing 12 months' ended June 30, 2021, DSCR of 0.95 times (x), a decline compared with the year-end (YE) 2019 and YE2018 DSCR figures of 1.97x and 2.26x, respectively. Although the 2018 and 2019 figures were well above breakeven, those figures represent significant declines from the issuer's DSCR of 2.61x. The second-largest loan in special servicing is also exhibiting significantly increased risks from issuance. The 300 East Lombard (Prospectus ID#9; 3.0% of the pool) loan transferred to special servicing in March 2022 and is secured by a 20-story, 225,485-sf office property in the Baltimore central business district. The reason for the loan's transfer has not been provided as of yet, but DBRS Morningstar believes it is likely due to imminent monetary default related to the upcoming loss of the property's largest tenant; Ballard Spahr (15.0% of net rentable area (NRA)) is expected to vacate upon its April 2022 lease expiration, which will decrease occupancy to 65.0%, which is well below the occupancy rate of 96.0% at issuance. Given the low in-place occupancy rate, the loan has been placed on the DBRS Morningstar Hotlist. The sponsor will likely have challenges backfilling the space in the near term given the sluggish market conditions highlighted by a submarket vacancy rate of 18.9% according to Reis as of Q4 2021, which Reis expects to increase to 21.0% by 2025. There is a leasing reserve in place, with a balance of $1.0 million reported as of the March 2022 remittance. The most recent year-end financial reporting ended 2020 showed cash flow was in line with issuance levels with a DSCR of 1.37x; however, the DSCR fell to 1.27x for the Q3 2021 reporting period and it is worth noting that the subject property's occupancy rate has historically hovered around 80.0% since 2017, suggesting the soft submarket conditions have affected leasing efforts in recent years. The loan was analyzed with an elevated probability of default (PoD) to increase the expected loss in the analysis for this review. The transaction's third-largest loan, 312 Elm (Prospectus ID#3; 5.2% of the pool), secured by an office property in Cincinnati, is being monitored on the servicer's watchlist for cash flow declines from issuance. These trends are directly tied to occupancy losses, as the property's occupancy rate fell to 65.0% in 2017 (down from 85.0% at issuance) after the property's second- and third-largest tenant, General Services Administration (GSA), vacated at the respective lease expiration dates. Occupancy improved to 70.0% after two leases totaling 22,423 sf were signed in 2021. While the YE2021 net cash flow is up 40.8% compared with the previous year, the figure is 43.0% below issuance. The YE2021 DSCR was reported just above breakeven, at 1.02x; the coverage was below 1.0x for 2020 (0.73x at YE2020) and in line with the YE2021 figure at YE2019. The loan has been cash managed since the GSA leases were not renewed and has never been reported delinquent; it is also worth noting that no coronavirus-related relief request was processed in the last few years. Although the recent lease signings are concerning, DBRS Morningstar notes it appears likely the property's largest remaining tenant, Gannett Satellite Info Network (29.0% of the NRA), will not be renewing at its lease in December 2022 based on the availability rate of 57.2% in a CBRE listing for the property found online as of March 2022. DBRS Morningstar has requested a leasing update from the servicer, but notes the DSCR will fall well below breakeven if that tenant's space is vacated and not backfilled in short order. The servicer's reporting shows a balance of approximately $1.8 million in the leasing reserve, which would equate to approximately $9.50 per sf on the space needed to be leased to get the property back to the issuance occupancy rate of 85.0%, based on the CBRE listing availability; this figure is exponentially lower than what would be required to fund tenant improvements and leasing commissions for such an endeavor. Given the high availability rate, the loan has been added to the DBRS Morningstar Hotlist. The loan was analyzed with an increased PoD to stress the expected loss in the analysis for this review. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2020-C56: Fitch Affirms B-sf Rating on J-RR Certs ------------------------------------------------------------- Fitch Ratings has affirmed 29 classes of Wells Fargo Commercial Mortgage Trust 2020-C56 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WFCM 2020-C56 A-1 95002RAS7 LT AAAsf Affirmed AAAsf A-2 95002RAT5 LT AAAsf Affirmed AAAsf A-3 95002RAU2 LT AAAsf Affirmed AAAsf A-4 95002RAW8 LT AAAsf Affirmed AAAsf A-4-1 95002RBD9 LT AAAsf Affirmed AAAsf A-4-2 95002RBE7 LT AAAsf Affirmed AAAsf A-4-X1 95002RBF4 LT AAAsf Affirmed AAAsf A-4-X2 95002RBG2 LT AAAsf Affirmed AAAsf A-5 95002RAX6 LT AAAsf Affirmed AAAsf A-5-1 95002RBH0 LT AAAsf Affirmed AAAsf A-5-2 95002RBJ6 LT AAAsf Affirmed AAAsf A-5-X1 95002RBK3 LT AAAsf Affirmed AAAsf A-5-X2 95002RBL1 LT AAAsf Affirmed AAAsf A-S 95002RAY4 LT AAAsf Affirmed AAAsf A-S-1 95002RBM9 LT AAAsf Affirmed AAAsf A-S-2 95002RBN7 LT AAAsf Affirmed AAAsf A-S-X1 95002RBP2 LT AAAsf Affirmed AAAsf A-S-X2 95002RBQ0 LT AAAsf Affirmed AAAsf A-SB 95002RAV0 LT AAAsf Affirmed AAAsf B 95002RAZ1 LT AA-sf Affirmed AA-sf C 95002RBA5 LT A-sf Affirmed A-sf D-RR 95002RAA6 LT BBB+sf Affirmed BBB+sf E-RR 95002RAC2 LT BBBsf Affirmed BBBsf F-RR 95002RAE8 LT BBB-sf Affirmed BBB-sf G-RR 95002RAG3 LT BB+sf Affirmed BB+sf H-RR 95002RAJ7 LT BB-sf Affirmed BB-sf J-RR 95002RAL2 LT B-sf Affirmed B-sf X-A 95002RBB3 LT AAAsf Affirmed AAAsf X-B 95002RBC1 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall performance and loss expectations for the pool have remained stable since issuance. Fitch's current ratings incorporate a base case loss of 4.25%. There are two Fitch Loans of Concern (FLOCs; 8.1% of pool). The largest FLOC is the largest loan, Supor Industrial Portfolio (7.1%), which was flagged due to the loan being reported as 30 days delinquent in April 2022. Per the servicer, the borrower had turnover at their company that delayed payment processing, and the loan has since been brought current. The collateral benefits from its strong location nine miles west of Manhattan, with significant connectivity to infrastructure projects within the New York and New Jersey MSA. The property is structured with a 20-year, absolute net operating lease agreement between the borrower and borrower-affiliated entities as tenants, which, in turn, enter into subleases and contracts at the property with end-user tenants. The initial annual rent of $4.25 million (NNN) has 2% rent escalations every five years, and has four, five-year lease extensions. At the time of issuance, the portfolio was 100% occupied by 126 different sub-tenants, the largest which included Public Service Enterprise Group, Inc. (PSEG), Con Edison (BBB+/Stable), Siemens (A+/Stable) and Permasteelisa. The other FLOC is Mira Monte Apartments (1.0%), which was flagged due to declining occupancy, declining cash flow and low DSCR. The collateral is a 116-unit multifamily property located in Fort Worth, TX. Property occupancy fell to 37% at YE 2021 from 97% at YE 2020 and 100% at issuance. Additionally, YE 2021 NOI was 95.6% lower than that at YE 2020. The servicer-reported YE 2021 NOI DSCR was 0.14x, compared with 3.24x at YE 2020. Minimal Change to Credit Enhancement: As of the April 2022 distribution date, the pool's aggregate principal balance has paid down by 0.8% to $725.4 million from $731.1 million at issuance. Twenty-six loans (61.2% of pool) are full-term, interest-only, and five loans (5.5%) still have a partial interest-only component during their remaining loan term, compared with nine loans (15.0%) at issuance. One loan (3.5%) matures in December of 2024, two loans (3.9%) in February of 2025, one loan (0.4%) in February of 2027, five loans (14.7%) in November and December of 2029 and 37 loans (77.5%) between January and April of 2030. Credit Opinion Loans: Three loans, representing 11.0% of the pool, had investment-grade credit opinions at issuance. These include University Village (4.1%; BBB+sf*), 650 Madison (3.5%; BBB-sf*) and Parkmerced (3.5%; BBB+sf*). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-1, A-2, A-3, A-SB, A-4 A-5, A-S, B, X-A and X-B are not likely due to the position in the capital structure but may occur should interest shortfalls affect these classes; -- Downgrades to classes C, D-RR, E-RR and F-RR may occur should expected losses for the pool increase substantially and/or all of the loans susceptible to the coronavirus pandemic suffer losses, which would erode credit enhancement; -- Downgrades to classes G-RR, H-RR and J-RR would occur should overall pool loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize and/or additional loans default or transfer to special servicing; -- 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: -- Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance; -- Upgrades to classes B and C may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic; -- Upgrades to classes D, E-RR, F-RR and G-RR 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 likelihood for interest shortfalls; -- Upgrades to classes H-RR and J-RR are not likely unless the later years of the transaction and performance of the remaining pool is stable, and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2022-INV1: Fitch Gives 'B(EXP)' Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Wells Fargo Mortgage-Backed Securities 2022-INV1 Trust (WFMBS 2022-INV1). DEBT RATING ---- ------ WFMBS 2022-INV1 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 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 B1 LT AA-(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating RR LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by Wells Fargo Mortgage Backed Securities 2022-INV1 Trust (WFMBS 2022-INV1) as indicated above. The certificates are supported by 1,580 prime fixed-rate mortgage loans with a total balance of approximately $475.8 million as of the cutoff date. This is the third 100% non-owner-occupied transaction issued on the WFMBS shelf. All of the loans were underwritten to agency guidelines but 0.3% are not eligible to be purchased. These loans were originated to Wells Fargo Bank, N.A (Wells Fargo)'s agency underwriting guidelines that generally conform to either or both of Fannie Mae and Freddie Mac's guidelines. 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 prices rising 18.9% yoy nationally as of December 2021. Prime Credit Quality (Positive): The pool consists entirely of 25- and 30-year fixed-rate loans to borrowers with a strong credit profile (761 FICO and 37% debt to income ratio) and relatively low leverage (76.0% sustainable loan to value ratio). The pool consists of 0.5% of loans where the borrower maintains a primary residence, and 91.8% of the loans were originated through a retail channel or directly by a correspondent. The remaining 8.2% of the loans were originated by a third party and acquired as such. 35.5% of the loans are designated as qualified mortgage (QM) loans, 0.3% are non-QM and the remaining 64.2% of loans are exempt from the QM Rule. Non-Owner-Occupied Loans (Negative): Of the loans in the pool, 99.4% were made to investors and 99.7% are conforming loans. All loans were underwritten to Fannie Mae and Freddie Mac's guidelines and approved per Desktop Underwriter (DU) or Loan Product Advisor (LPA), Fannie Mae and Freddie Mac's automated underwriting systems, respectively. Additionally, 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 probability of default (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 (99.7%), 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 the production model. 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 0.80% have been considered 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 Factors that could, individually or collectively, lead to negative rating action/downgrade: This defined stress sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 41.7% at 'AAA'. As shown in the table above, the analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all of the rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes 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 22.0% 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 9bps. ESG CONSIDERATIONS WFMBS 2022-INV1 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. WIND RIVER 2022-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Wind River 2022-1 CLO Ltd./Wind River 2022-1 CLO LLC 's fixed- and 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 First Eagle Alternative Credit LLC. The preliminary ratings are based on information as of May 25, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Wind River 2022-1 CLO Ltd./Wind River 2022-1 CLO LLC Class A, $240.00 million: AAA (sf) Class B-1, $59.00 million: AA (sf) Class B-2, $5.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $15.00 million: BBB+ (sf) Class D-2 (deferrable), $9.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $36.39 million: Not rated [*] DBRS Reviews 518 Classes from 42 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc. reviewed 518 classes from 42 U.S. resecuritizations of real estate mortgage investment conduits (ReREMICs) and residential mortgage-backed security (RMBS) transactions. Of the 518 classes reviewed, DBRS Morningstar upgraded 43 ratings, confirmed 425 ratings, downgraded and withdrew six ratings, and discontinued 44 ratings. The Affected Ratings Are Available at https://bit.ly/3G5VpWJ The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The downgraded and subsequently withdrawn ratings reflect the unlikely recovery of the bonds' principal loss amount. The discontinued ratings reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders. The pools backing the reviewed ReREMIC and RMBS transactions consist of Legacy Prime, Subprime, Alt-A, Scratch and Dent, Option Adjustable-Rate Mortgage, ReREMIC, Manufactured Housing, HELOC, Second Lien, and Prime collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output. -- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4 -- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4 -- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4 -- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4 -- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4 -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3 -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-A -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-X -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-Y -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-3-Z -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-4 -- GS Mortgage-Backed Securities Trust 2020-PJ3, Mortgage Pass-Through Certificates, Series 2020-PJ3, Class B-5 -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-4 -- GS Mortgage-Backed Securities Trust 2020-PJ6, Mortgage Pass-Through Certificates, Series 2020-PJ6, Class B-5 -- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3 -- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4 -- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4 -- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2 -- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4 -- TIAA Bank Mortgage Loan Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-3 CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. [*] DBRS Reviews 814 Classes from 76 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc. reviewed 814 classes from 76 U.S. residential mortgage-backed security (RMBS) transactions. Of the 814 classes reviewed, DBRS Morningstar upgraded 208 ratings, confirmed 556 ratings, and discontinued 50 ratings. The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the full repayment of principal to bondholders. The pools backing the reviewed RMBS transactions consist of re-performing mortgage collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade. -- Ajax Mortgage Loan Trust 2019-D, Mortgage-Backed Securities, Series 2019-D, Class A-3 -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3 -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3-IOA -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3-IOB -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B4 -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B4-IOA -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B4-IOB -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5 -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5-IOA -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5-IOB -- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B6 -- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B3 -- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B3-IOA -- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B3-IOB -- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B4 -- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B4-IOA -- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B4-IOB -- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B5 -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3 -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3-IOA -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3-IOB -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B4 -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B4-IOA -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B4-IOB -- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B5 -- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3 -- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3-IOA -- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3-IOB -- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B3 -- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B3-IOA -- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B3-IOB -- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B4 -- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B4-IOA -- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B4-IOB -- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B5 -- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B3 -- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B3-IOA -- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B3-IOB -- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B4 -- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B4-IOA -- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B4-IOB -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3 -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3- IOA -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3- IOB -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B4 -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B5 -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class B1 -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class B2 -- Citigroup Mortgage Loan Trust 2018-RP3, Mortgage-Backed Notes, Series 2018-RP3, Class M-2 -- Citigroup Mortgage Loan Trust 2018-RP3, Mortgage-Backed Notes, Series 2018-RP3, Class M-3 -- Citigroup Mortgage Loan Trust 2018-RP3, Mortgage-Backed Notes, Series 2018-RP3, Class B-1 -- Citigroup Mortgage Loan Trust 2018-RP3, Mortgage-Backed Notes, Series 2018-RP3, Class B-2 -- Citigroup Mortgage Loan Trust 2019-RP1, Mortgage-Backed Notes, Series 2019-RP1, Class M-2 -- Citigroup Mortgage Loan Trust 2019-RP1, Mortgage-Backed Notes, Series 2019-RP1, Class M-3 -- Citigroup Mortgage Loan Trust 2019-RP1, Mortgage-Backed Notes, Series 2019-RP1, Class B-1 -- Citigroup Mortgage Loan Trust 2019-RP1, Mortgage-Backed Notes, Series 2019-RP1, Class B-2 -- Citigroup Mortgage Loan Trust 2021-RP2, Mortgage-Backed Notes, Series 2021-RP2, Class M-2 -- Citigroup Mortgage Loan Trust 2021-RP2, Mortgage-Backed Notes, Series 2021-RP2, Class B-1 -- Citigroup Mortgage Loan Trust 2021-RP2, Mortgage-Backed Notes, Series 2021-RP2, Class B-2 -- Citigroup Mortgage Loan Trust 2021-RP2, Mortgage-Backed Notes, Series 2021-RP2, Class B-3 -- Citigroup Mortgage Loan Trust 2021-RP2, Mortgage-Backed Notes, Series 2021-RP2, Class A-3 -- Citigroup Mortgage Loan Trust 2021-RP2, Mortgage-Backed Notes, Series 2021-RP2, Class A-6 -- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class M-1 -- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class M-2 -- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class B-1 -- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class B-2 -- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class B-3 -- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class A-4 -- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class A-5 -- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class M1 -- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class M2 -- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class B1 -- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class B2 -- CSMC 2018-RPL9 Trust, Mortgage-Backed Notes, Series 2018-RPL9, Class M-2 -- CSMC 2018-RPL9 Trust, Mortgage-Backed Notes, Series 2018-RPL9, Class M-3 -- CSMC 2018-RPL9 Trust, Mortgage-Backed Notes, Series 2018-RPL9, Class B-1 -- CSMC 2018-RPL9 Trust, Mortgage-Backed Notes, Series 2018-RPL9, Class B-2 -- GCAT 2019-RPL1 Trust, Mortgage-Backed Notes, Series 2019-RPL1, Class M-2 -- GCAT 2019-RPL1 Trust, Mortgage-Backed Notes, Series 2019-RPL1, Class M-3 -- GCAT 2019-RPL1 Trust, Mortgage-Backed Notes, Series 2019-RPL1, Class B-1 -- GCAT 2019-RPL1 Trust, Mortgage-Backed Notes, Series 2019-RPL1, Class B-2 -- GS Mortgage-Backed Securities Trust 2018-RPL1, Mortgage-Backed Securities, Series 2018-RPL1, Class M1 -- GS Mortgage-Backed Securities Trust 2018-RPL1, Mortgage-Backed Securities, Series 2018-RPL1, Class M2 -- GS Mortgage-Backed Securities Trust 2018-RPL1, Mortgage-Backed Securities, Series 2018-RPL1, Class B1 -- GS Mortgage-Backed Securities Trust 2018-RPL1, Mortgage-Backed Securities, Series 2018-RPL1, Class B2 -- Legacy Mortgage Asset Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-4 -- Legacy Mortgage Asset Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-5 -- Legacy Mortgage Asset Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-1 -- Legacy Mortgage Asset Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-2 -- Legacy Mortgage Asset Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-1 -- Legacy Mortgage Asset Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-2 -- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed Securities, Series 2016-1, Class B2 -- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed Securities, Series 2017-1, Class B1 -- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed Securities, Series 2017-1, Class B2 -- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed Securities, Series 2017-2, Class B1 -- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed Securities, Series 2017-2, Class B2 -- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class M3 -- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class B1 -- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class B2 -- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class A4 -- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class A4 -- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class M3 -- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class B1 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class A4 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class M3 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class B1 -- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class B2 -- Mill City Mortgage Loan Trust 2018-3, Mortgage Backed Securities, Series 2018-3, Class A4 -- Mill City Mortgage Loan Trust 2018-3, Mortgage Backed Securities, Series 2018-3, Class M3 -- Mill City Mortgage Loan Trust 2018-3, Mortgage Backed Securities, Series 2018-3, Class B1 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class A3 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class A4 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class M2 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class M3 -- Mill City Mortgage Loan Trust 2018-4, Mortgage Backed Securities, Series 2018-4, Class B1 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class A3 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class A4 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class M2 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class M3 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class B1 -- Mill City Mortgage Loan Trust 2019-1, Asset-Backed Notes, Series 2019-1, Class B2 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M1 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M2 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M3A -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M3B -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class B1A -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class B1B -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class B2A -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class M3 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class B1 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class A2 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class A3 -- Mill City Mortgage Loan Trust 2019-GS2, Mortgage-Backed Securities, Series 2019-GS2, Class A4 -- MetLife Securitization Trust 2019-1, Residential Mortgage-Backed Securities, Series 2019-1, Class M2 -- MetLife Securitization Trust 2019-1, Residential Mortgage-Backed Securities, Series 2019-1, Class M3 -- MetLife Securitization Trust 2019-1, Residential Mortgage-Backed Securities, Series 2019-1, Class B1 -- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class M-2 -- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class B-1 -- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class B-2 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class M-1 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class M-2 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class B-1 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class B-2 -- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class A-4 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class M-1 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class M-2 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class B-1 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class B-2 -- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class A-4 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-1 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-2 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-1 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-2 -- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-4 -- Towd Point Mortgage Trust 2015-6, Asset Backed Notes, Series 2015-6, Class B2 -- Towd Point Mortgage Trust 2016-1, Asset Backed Notes, Series 2016-1, Class B2 -- Towd Point Mortgage Trust 2016-2, Asset Backed Securities, Series 2016-2, Class B2 -- Towd Point Mortgage Trust 2016-3, Asset Backed Securities, Series 2016-3, Class B2 -- Towd Point Mortgage Trust 2016-4, Asset Backed Securities, Series 2016-4, Class B1 -- Towd Point Mortgage Trust 2016-4, Asset Backed Securities, Series 2016-4, Class B2 -- Towd Point Mortgage Trust 2016-4, Asset Backed Securities, Series 2016-4, Class B3 -- Towd Point Mortgage Trust 2016-5, Asset Backed Securities, Series 2016-5, Class B1 -- Towd Point Mortgage Trust 2016-5, Asset Backed Securities, Series 2016-5, Class B2 -- Towd Point Mortgage Trust 2016-5, Asset Backed Securities, Series 2016-5, Class B3 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class B1 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class B2 -- Towd Point Mortgage Trust 2017-2, Asset Backed Securities, Series 2017-2, Class B1 -- Towd Point Mortgage Trust 2017-2, Asset Backed Securities, Series 2017-2, Class B2 -- Towd Point Mortgage Trust 2017-2, Asset Backed Securities, Series 2017-2, Class B3 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class M2 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class B1 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class B2 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities, Series 2017-3, Class B3 -- Towd Point Mortgage Trust 2017-4, Asset Backed Securities Series 2017-4, Class M2 -- Towd Point Mortgage Trust 2017-4, Asset Backed Securities Series 2017-4, Class B1 -- Towd Point Mortgage Trust 2017-4, Asset Backed Securities Series 2017-4, Class B2 -- Towd Point Mortgage Trust 2017-5, Asset-Backed Securities, Series 2017-5, Class B1 -- Towd Point Mortgage Trust 2017-5, Asset-Backed Securities, Series 2017-5, Class B2 -- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class M2 -- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class B1 -- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class B2 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities Series 2018-1, Class M1 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class M2 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class B1 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class B2 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class B3 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities Series 2018-1, Class A4 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class M1 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class M2 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class B1 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class B2 -- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class A4 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class M1 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class M2 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class B1 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class B2 -- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class A4 -- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class M1 -- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class M2 -- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class B1 -- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class B2 -- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class A4 -- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class M1 -- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class M2 -- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class B1 -- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class B2 -- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class A4 -- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class M2 -- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class B1 -- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class B2 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class B1 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class B2 -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2A -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2B -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2C -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2D -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2E -- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2X -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B2 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1A -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1AX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1B -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M1BX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2A -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2AX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2B -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2BX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1A -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1AX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1B -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1BX -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class A4 -- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class A5 CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. Notes: The principal methodologies are U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. [*] Moody's Hikes 22 Tranches From 7 MI CRT Deals Issued 202-2021 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 22 tranches from seven MI CRT transactions issued in 2020 and 2021. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by Ceding Insurers on a portfolio of residential mortgage loans. The complete rating actions are: Issuer: Bellemeade Re 2020-2 Ltd Cl. M-1C, Upgraded to A1 (sf); previously on Aug 3, 2021 Upgraded to A3 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Aug 3, 2021 Upgraded to Baa3 (sf) Cl. B-1, Upgraded to Baa3 (sf); previously on Aug 3, 2021 Upgraded to Ba2 (sf) Issuer: Bellemeade Re 2020-3 Ltd Cl. M-1B, Upgraded to Aa3 (sf); previously on Aug 4, 2021 Upgraded to A2 (sf) Cl. M-1C, Upgraded to A3 (sf); previously on Aug 4, 2021 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Aug 4, 2021 Upgraded to Ba2 (sf) Cl. B-1, Upgraded to Ba3 (sf); previously on Aug 3, 2021 Upgraded to B2 (sf) Issuer: Home Re 2020-1 Ltd. Cl. M-1B, Upgraded to A1 (sf); previously on Aug 4, 2021 Upgraded to Baa1 (sf) Cl. M-1C, Upgraded to Baa1 (sf); previously on Aug 4, 2021 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Aug 4, 2021 Upgraded to Ba2 (sf) Cl. B-1, Upgraded to Ba1 (sf); previously on Aug 4, 2021 Upgraded to Ba3 (sf) Issuer: Oaktown Re V Ltd. Cl. M-1B, Upgraded to Baa1 (sf); previously on Aug 4, 2021 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Aug 4, 2021 Upgraded to Ba2 (sf) Cl. B-1, Upgraded to Ba3 (sf); previously on Aug 4, 2021 Upgraded to B2 (sf) Issuer: Radnor Re 2020-2 Ltd. Cl. M-2, Upgraded to Baa2 (sf); previously on Aug 4, 2021 Upgraded to Ba3 (sf) Cl. B-1, Upgraded to Ba1 (sf); previously on Aug 4, 2021 Upgraded to B1 (sf) Issuer: Triangle Re 2020-1 Ltd. Cl. M-1C, Upgraded to Baa1 (sf); previously on Aug 4, 2021 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Aug 4, 2021 Upgraded to Ba2 (sf) Cl. B-1, Upgraded to Ba1 (sf); previously on Aug 4, 2021 Upgraded to Ba3 (sf) Issuer: Triangle Re 2021-3 Ltd. Cl. M-1A, Upgraded to Baa2 (sf); previously on Sep 2, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-1B, Upgraded to Ba2 (sf); previously on Sep 2, 2021 Definitive Rating Assigned Ba3 (sf) Cl. M-2, Upgraded to B2 (sf); previously on Sep 2, 2021 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The upgrade actions are primarily driven by the increased levels of credit enhancement available to the bonds. Driven by the low interest rate environment, these transactions have experienced high prepayment rates over the last several months. The six-month average CPR was approximately 25%, with less than one basis point of loss on the insured balance under each of the reinsurance agreements. High prepayments and the sequential pay structure have benefited the bonds by increasing the paydown speed and building up credit enhancement. On the closing date, the issuer and the ceding insurer entered into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes were deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account are also available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account were used to purchase eligible investments and were subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee liquidates assets in the reinsurance trust account to (1) make principal payments to the note holders as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the unfunded coverage levels are written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. In Moody's analysis Moody's considered the additional risk posed by borrowers enrolled in payment relief programs. Moody's increased Moody's MILAN model-derived median expected losses and Moody's Aaa losses to reflect the performance deterioration resulting from a slowdown in US economic activity due to the COVID-19 outbreak. This loss increase was based on Moody's assessment of the additional losses if 50% of such loans incur a deferral of the missed payments or a modification to the loan terms. Moody's also considered an additional scenario based on higher collateral loss expectations. Moody's updated loss expectation on the pool incorporates, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicers. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in Februray 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. [*] S&P Takes Various Actions on 100 Classes from 15 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 100 classes from 15 U.S. RMBS non-qualified mortgage (non-QM) transactions issued between 2019 to 2021. The review yielded 44 upgrades, 50 affirmations, and six discontinuances. A list of Affected Ratings can be viewed at: https://bit.ly/3NA63Yr S&P said, "For each transaction, we performed a credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. We also used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior-credit-event adjustment factors reflect the transactions' current pool composition. "The upgrades primarily reflect deleveraging because the related transactions each benefit from low or zero accumulated losses to date, high prepayment speeds to date, and a growing percentage of credit support to the rated classes. In addition, transactions' delinquency levels have been generally declining, partly due to borrowers exiting COVID-19-related forbearance plans via deferrals and/or loan modifications, or upon the completion of repayment plans. However, delinquency levels remain relatively elevated in some transactions because the borrowers who remain delinquent represent a higher proportion of the pool as it pays down. "We discontinued our ratings on six classes from Verus Securitization Trust 2019-3 because the transaction was paid in full in the April 2022 distribution period. "The affirmations reflect our view that the classes' projected collateral performance relative to our projected credit support remain relatively consistent with our previous projections." Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by the application of our criteria." These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. These considerations include: -- Collateral performance or delinquency trends, -- Priority of principal payments, -- Priority of loss allocation, -- Expected short duration, -- Available subordination and/or credit enhancement floors, and -- Potential excess spread. [*] S&P Takes Various Actions on 54 Classes from 22 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 54 ratings from 22 U.S. RMBS transactions issued between 2004 and 2006. The review yielded 29 upgrades, four downgrades, and 21 affirmations. A list of Affected Ratings can be viewed at: https://bit.ly/3sRucS5 Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Factors related to the COVID-19 pandemic; -- Collateral performance or delinquency trends; -- Increase or decrease in available credit support; -- Reduced interest payments due to loan modifications; -- Expected duration; -- Historical and/or outstanding missed interest payments/interest shortfalls; and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes. See the ratings list above for the specific rationales associated with each of the classes with rating transitions. 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