/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220605.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, June 5, 2022, Vol. 26, No. 155 Headlines AGL STATIC 18: Fitch Assigns 'BB+' Rating on Class F Debt AMMC CLO 25: Moody's Assigns Ba3 Rating to $18MM Class E Notes AVIS BUDGET 2019-3: Moody's Ups Rating on Class C Notes From Ba1 BAIN CAPITAL 2022-3: Fitch Rates Class E Debt 'BB-sf' BENEFIT STREET XXVI: S&P Assigns Prelim BB- (sf) Rating on E Notes BLUEMOUNTAIN CLO XXXV: Fitch Gives 'BB(EXP)' Rating on Class E Debt BRAVO RESIDENTIAL 2022-NQM2: Fitch Gives B(EXP) Rating to B-2 Debt CARVAL CLO VI-C: Moody's Assigns B3 Rating to $5MM Class F Notes CD 2018-CD7: Fitch Affirms 'B-' Rating on Class G-RR Certs CFIP CLO 2013-1: S&P Affirms B+ (sf) Rating on Class E-R Notes CIM TRUST 2022-R2: Fitch Rates Class B2 Notes 'Bsf' CITIGROUP 2022-GC48: Fitch Assigns 'B-(EXP)' Rating on 2 Tranches CITIGROUP 2022-GC48: Moody's Gives (P)B2 Rating to YL-D Certs COMM 2012-CCRE4: Fitch Lowers Rating on Class B Certs to CCCsf CSAIL 2018-CX12: Fitch Affirms 'B-' Rating on Class G-RR Debt CSMC 2022-ATH2: S&P Assigns B- (sf) Rating on Class B-2 Notes DAVIS PARK: Moody's Assigns (P)Ba3 Rating to $19MM Cl. E Notes DBJPM MORTGAGE 2017-C6: Fitch Affirms B- Rating on Cl. F-RR Certs DBWF 2016-85T: S&P Affirms BB- (sf) Rating on Class E Certs EAGLE RE 2020-2: Moody's Hikes Rating on 2 Tranches From Ba2 FANNIE MAE 2022-R06: S&P Assigns Prelim 'BB-' Rating on 1B-1 Notes FLAGSHIP CREDIT 2022-2: S&P Assigns BB-(sf) Rating on Cl. E Notes GS MORTGAGE 2012-GCJ7: Moody's Lowers Rating on 2 Tranches to Ca GS MORTGAGE 2022-PJ5: Fitch Gives 'B+' Rating on Class B5 Certs HINNT LLC 2022-A: Fitch Assigns 'B(EXP)' Rating on Class E Notes HULL STREET: S&P Affirms 'CC (sf)' Rating on Class F Notes INVESCO CLO 2022-2: S&P Assigns Prelim BB- (sf) Rating on E Notes JP MORGAN 2012-C8: S&P Lowers Class G Certs Rating to 'CCC (sf)' JP MORGAN 2013-C13: S&P Affirms B+ (sf) Rating on Class F Certs JP MORGAN 2018-ASH8: S&P Cuts X-EXT Certs Rating to 'BB-(sf)' JP MORGAN 2022-6: Fitch Assigns 'Bsf' Rating on Class B-5 Debt JPMDB COMMERCIAL 2016-C4: Fitch Affirms B- Rating on Class F Certs LONG POINT RE IV: Fitch Assigns 'BB-' Rating to 2022-1 Cl. A Notes MORGAN STANLEY 2012-C6: Fitch Cuts Rating on Class H Certs to Csf MORGAN STANLEY 2018-H3: Fitch Affirms 'B-' on Class G-RR Debt OBX TRUST 2022-INV4: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes OBX TRUST 2022-NQM5: Fitch Assigns 'B(EXP)' Rating on Cl. B2 Notes OCTAGON 58: S&P Assigns BB- (sf) Rating on $24MM Class E Notes OHA CREDIT 11: Fitch Assigns 'BB-' Rating to Class E Debt SARANAC CLO V: Moody's Hikes Rating on $18MM Class E-R Notes to B3 SHACKLETON 2015-VIII: S&P Affirms B- (sf) Rating on Class F Notes SLM STUDENT 2012-7: Fitch Affirms 'B' Rating on 2 Classes SYMPHONY CLO XIV: Moody's Ups Rating on $16MM Class F Notes to B3 SYMPHONY CLO XVII: Moody's Hikes Rating on $25MM E-R Notes to Ba1 UBS COMMERCIAL 2012-C1: Moody's Cuts Rating on Cl. E Certs to Ca UBS-BARCLAYS 2013-C6: Moody's Lowers Rating on Cl. D Certs to B3 WELLS FARGO 2013-LC12: Fitch Lowers Rating on Class E Debt to Csf WELLS FARGO 2017-C39: Fitch Affirms B- Rating on Class G-RR Certs WELLS FARGO 2019-C51: Fitch Affirms 'B-' Rating on Class G-RR Debt WELLS FARGO 2022-INV1: Fitch Assigns 'Bsf' Rating on Class B5 Certs WELLS FARGO 2022-INV1: S&P Assigns B-(sf) Rating on Cl. B-5 Certs WESTLAKE AUTOMOBILE 2022-2: S&P Assigns (P) B(sf) Rating on F Notes WFRBS COMMERCIAL 2014-C23: Fitch Affirms 'CCC' Rating on 2 Tranches [*] Fitch Takes Actions on Distressed Bonds in Five US CMBS Deals [*] Fitch Withdraws Ratings on All 42 Classes From Four CDOs [*] Moody's Takes Action on $272MM of US RMBS Issued 2002-2007 [*] Moody's Upgrades $365MM of US RMBS Issued 2001 to 2007 [*] Moody's Upgrades $41.5MM Scratch & Dent RMBS Issued 2005-2006 [*] S&P Takes Various Actions on 86 Classes from 17 U.S. RMBS Deals ********* AGL STATIC 18: Fitch Assigns 'BB+' Rating on Class F Debt --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL Static CLO 18 Ltd. DEBT RATING ---- ------ AGL Static CLO 18 Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D LT BBB+sf New Rating E LT BB+sf New Rating F LT BB+sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY AGL Static CLO 18 Ltd. (the issuer) is a static arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the purchased 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 purchased portfolio consists of 99.7% first-lien senior secured loans and has a weighted average recovery assumption of 74.1%. Portfolio Composition (Positive): The largest three industries comprise 30.9% of the purchased portfolio balance in aggregate while the top five obligors represent 3.1% of the purchased portfolio balance in aggregate. The level of diversity by industry, obligor and geographic concentration is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life (WAL) of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans as well as a one-notch downgrade on the Fitch Issuer Default Rating (IDR) Equivalency for assets with a Negative Outlook on the driving rating of the obligor. 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, each class of notes were able to withstand default rates in excess of its respective rating hurdle. 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 'Asf' and 'AAAsf' for class A, between 'BB+sf' and 'AA+sf' for class B, between 'B+sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, between less than 'B-sf' and 'BB+sf' for class E, and between less than 'B-sf' and 'BB+sf' for class F. 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 'AA-sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, between 'BBB+sf' and 'A+sf' for class E notes, and between 'BBB+sf' and 'Asf' for class F 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. AMMC CLO 25: Moody's Assigns Ba3 Rating to $18MM Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by AMMC CLO 25, Limited (the "Issuer" or "AMMC 25"). Moody's rating action is as follows: US$252,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$8,000,000 Class A-2 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$44,000,000 Class B Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$22,000,000 Class C Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$24,000,000 Class D Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$18,000,000 Class E 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. AMMC 25 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, cash and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and senior secured bonds. The portfolio is approximately 80% ramped as of the closing date. American Money Management Corporation (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: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2786 Weighted Average Spread (WAS): SOFR + 3.60% Weighted Average Coupon (WAC): 6.75% Weighted Average Recovery Rate (WARR): 47.50% 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. AVIS BUDGET 2019-3: Moody's Ups Rating on Class C Notes From Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on nine tranches of rental car asset-backed securities (ABS) issued by Avis Budget Rental Car Funding (AESOP) LLC (AESOP or the issuer). The issuer is an indirect subsidiary of the transaction sponsor and single lessee, Avis Budget Car Rental, LLC (ABCR, B1 stable). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc. and Payless Car Rental, Inc. (Payless). AESOP is ABCR's rental car securitization platform in the U.S. The collateral backing the notes is a fleet of vehicles and a single lease of the fleet to ABCR for use in its rental car business. Moody's actions on the rental car ABS are prompted by the increase in the minimum credit enhancement requirements and in the subordination available to the affected notes after the issuance of new Class D notes by Avis Budget Rental Car Funding (AESOP) LLC Series 2019-3 on May 26, 2022, and 2017-2 and 2018-1 on May 31, 2022. COMPLETE RATING ACTIONS Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2017-2 Series 2017-2 Fixed Rate Rental Car Asset Backed Notes, Class A, Upgraded to Aaa (sf); previously on May 17, 2022 Aa1 (sf) Placed Under Review for Possible Upgrade Series 2017-2 Fixed Rate Rental Car Asset Backed Notes, Class B, Upgraded to Aa3 (sf); previously on May 17, 2022 Baa1 (sf) Placed Under Review for Possible Upgrade Series 2017-2 Fixed Rate Rental Car Asset Backed Notes, Class C, Upgraded to A3 (sf); previously on May 17, 2022 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2018-1 Series 2018-1 Fixed Rate Rental Car Asset Backed Notes, Class A, Upgraded to Aaa (sf); previously on May 17, 2022 Aa1 (sf) Placed Under Review for Possible Upgrade Series 2018-1 Fixed Rate Rental Car Asset Backed Notes, Class B, Upgraded to Aa3 (sf); previously on May 17, 2022 Baa1 (sf) Placed Under Review for Possible Upgrade Series 2018-1 Fixed Rate Rental Car Asset Backed Notes, Class C, Upgraded to A3 (sf); previously on May 17, 2022 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2019-3 Series 2019-3 Rental Car Asset Backed Notes, Class A, Upgraded to Aaa (sf); previously on May 17, 2022 Aa1 (sf) Placed Under Review for Possible Upgrade Series 2019-3 Rental Car Asset Backed Notes, Class B, Upgraded to Aa3 (sf); previously on May 17, 2022 Baa1 (sf) Placed Under Review for Possible Upgrade Series 2019-3 Rental Car Asset Backed Notes, Class C, Upgraded to A3 (sf); previously on May 17, 2022 Ba1 (sf) Placed Under Review for Possible Upgrade RATINGS RATIONALE The actions on the rental car ABS were prompted by the increase in the minimum credit enhancement requirements and in the subordination available to the affected notes after the issuance of new Class D notes by Avis Budget Rental Car Funding (AESOP) LLC Series 2019-3 on May 26, 2022, and 2017-2 and 2018-1 on May 31, 2022. The required credit enhancement with respect to the new Class D notes will be calculated separately from the required credit enhancement for the Class A, Class B and Class C notes and will be determined as the sum of (1) 13.50% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by Moody's, (2) 16.80% for all other program vehicles, (3) 22.00% for non-program (risk) vehicles, and (4) 48.00% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. The required enhancement with respect to the Class D notes is calculated as a percentage of the aggregate outstanding balance of Class A, B, C and D notes, and any additional credit enhancement as a result of the Class D issuance will also be to the benefit of the Class A, Class B and Class C notes. After the issuance of the Class D notes, Moody's expect an increase in total credit enhancement requirements including subordination for the Class A, Class B and Class C notes of Series 2017-2, 2018-1 and 2019-3, to range from about 8.5 percentage points to 11 percentage points. Risk of sponsor default: Moody's assumed a 60% decrease in the probability of default (from Moody's idealized default probability tables) implied by the B1 rating of the sponsor. This decrease reflects Moody's view that, in the event of a bankruptcy, ABCR would be more likely to reorganize under a Chapter 11 bankruptcy filing, as it would likely realize more value as an ongoing business concern than it would if it were to liquidate its assets under a Chapter 7 filing. Furthermore, given the sponsor's competitive position within the industry and the size of its securitized fleet relative to its overall fleet, the sponsor is likely to affirm its lease payment obligations in order to retain the use of the fleet and stay in business. Moody's arrived at the 60% decrease assuming an 80% probability that Avis would reorganize under a Chapter 11 bankruptcy and a 75% probability (90% assumed previously) that Avis would affirm its lease payment obligations in the event of a Chapter 11 bankruptcy. Disposal value of the fleet: Moody's assumed the following haircuts to the net book value (NBV) of the vehicle fleet: Non-Program Haircut upon Sponsor Default (Car): Mean: 19% Non-Program Haircut upon Sponsor Default (Car): Standard Deviation: 6% Non-Program Haircut upon Sponsor Default (Truck): Mean: 35% Non-Program Haircut upon Sponsor Default (Truck): Standard Deviation: 8% Non-Program Haircut upon Sponsor Default (Tesla): Mean: 29% Non-Program Haircut upon Sponsor Default (Tesla): Standard Deviation: 10% Fixed Program Haircut upon Sponsor Default: 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Car): 20% Additional Fixed Non-Program Haircut upon Manufacturer Default (Truck): 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Tesla): 50% Fleet composition -- Moody's assumed the following fleet composition (based on the NBV of the vehicle fleet): Non-program Vehicles: 95% Program Vehicles: 5% Non-program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 25%, 2, A3 Baa Profile: 47%, 2, Baa3 Ba/B Profile: 25%, 1, Ba3; 3%, 1, Ba1 Program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 0%, 0, A3 Baa Profile: 50%, 1, Baa3 Ba/B Profile: 50%, 1, Ba3 Manufacturer Receivables: 0%; receivables distributed in the same proportion as the program fleet (Program Manufacturer Concentration and Manufacturer Receivables together should add up to 100%) Correlation: Moody's applied the following correlation assumptions: Correlation among the sponsor and the vehicle manufacturers: 10% Correlation among all vehicle manufacturers: 25% Default risk horizon -- Moody's assumed the following default risk horizon: Sponsor: 5 years Manufacturers: 1 year Moody's uses a fixed set of time horizon assumptions, regardless of the remaining term of the transaction, when considering sponsor and manufacturer default probabilities and the expected loss of the related liabilities, which simplifies Moody's modeling approach using a standard set of benchmark horizons. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations Methodology" published in October 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the Series 2017-2, 2018-1 and 2019-3 Notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. BAIN CAPITAL 2022-3: Fitch Rates Class E Debt 'BB-sf' ----------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Bain Capital Credit CLO 2022-3, Limited. DEBT RATING ---- ------ Bain Capital Credit CLO 2022-3, Limited A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Bain Capital Credit CLO 2022-3, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.0 versus a maximum covenant, in accordance with the initial expected matrix point of 28.0. 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 100.0% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.8% versus a minimum covenant, in accordance with the initial expected matrix point of 74.1%. Portfolio Composition (Positive): The largest three industries may constitute up to 39.0% 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 at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. 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-1, between 'BBBsf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA-sf' for class B, between 'B-sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrade scenarios are not applicable to the class A-1 and 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 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. BENEFIT STREET XXVI: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO XXVI Ltd./Benefit Street Partners CLO XXVI LLC's floating-rate notes. The transaction is managed by BSP CLO Management LLC. 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 preliminary ratings are based on information as of May 26, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Benefit Street Partners CLO XXVI Ltd./ Benefit Street Partners CLO XXVI LLC Class A, $248.0 million: AAA (sf) Class B, $56.0 million: AA (sf) Class C, $24.0 million: A (sf) Class D, $24.0 million: BBB- (sf) Class E, $13.4 million: BB- (sf) Subordinated notes, $35.7 million: Not rated BLUEMOUNTAIN CLO XXXV: Fitch Gives 'BB(EXP)' Rating on Class E Debt ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BlueMountain CLO XXXV Ltd. DEBT RATING ---- ------ BlueMountain CLO XXXV Ltd. A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY BlueMountan CLO XXXV Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Assured Investment Management LLC. Net proceeds from the issuance of the secured notes and subordinated notes will provide financing on a portfolio of approximately $550 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 98.5% first-lien senior secured loans and has a weighted average recovery assumption of 75.78%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% 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 B, C, D and E notes can withstand default rates of up to 54.5%, 49.0%, 41.3% and 36.1%, respectively, assuming portfolio recovery rates of 45.5%, 55.0%, 64.2% and 69.6% in Fitch's 'AAsf', '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 a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AAsf' for class B, between 'B+sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; 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. BRAVO RESIDENTIAL 2022-NQM2: Fitch Gives B(EXP) Rating to B-2 Debt ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by BRAVO Residential Funding Trust 2022-NQM2 (BRAVO 2022-NQM2). DEBT RATING ---- ------ Bravo 2022-NQM2 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 AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating FB LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 573 loans with a total interest-bearing balance of approximately $270 million as of the cutoff date. There is also roughly $860,000 of non-interest-bearing deferred amounts whose payments or losses will be used solely to pay down or write off the class FB notes. Loans in the pool were originated by multiple originators. The loans are serviced by Rushmore Loan Management Services LLC (Rushmore). 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 8.6% below a long-term sustainable level (versus 9.2% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.9% yoy nationally as of December 2021. Non-QM Credit Quality (Negative): The collateral consists of 573 loans totaling $270 million and seasoned approximately 39 months in aggregate, calculated as the difference between the origination date and the cutoff date. The borrowers have a moderate credit profile -- a 723 model FICO and a 38% debt to income ratio, which includes mapping for debt service coverage ratio (DSCR) loans -- and low leverage, as evidenced by a 65.0% sustainable loan to value ratio (sLTV). The pool comprises 71% of loans treated as owner-occupied, while 29% were treated as an investor property or second home, which includes loans to foreign nationals or loans where the residency status was not provided. Of the loans, 74.2% are designated as a nonqualified mortgage (non-QM) loan; for the remainder, the Ability to Repay Rule (ATR) does not apply. Lastly, 2.1% of the loans are 30 days' delinquent as of the cutoff date, while 29.9 are current but have experienced a delinquency within the past 24 months. Loan Documentation (Negative): Approximately 88.8% of the pool were underwritten to less than full documentation, and 44.4% 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. 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 ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigors of the ATR mandates regarding the underwriting and documentation of the borrower's ability to repay. Additionally, 13% comprise a DSCR or property cash flow-focused product, 4.5% are an asset depletion product and the remaining is a mix of other alternative documentation products. Separately, 33 loans were originated to foreign nationals or a residency status that was unable to be confirmed. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 notes until they are reduced to zero. No P&I Advancing (Mixed): The deal is structured without servicer advances for delinquent P&I. The lack of advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. Excess Cash Flow (Positive): The transaction benefits from excess cash flow that provides benefit to the rated notes before being paid out to class XS notes, although to a much smaller extent than seen in prior vintages. The excess is available to pay timely interest and protect against realized losses. As a sensitivity to Fitch's rating stresses, Fitch took into account a weighted-average coupon (WAC) deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.6% 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: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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. CARVAL CLO VI-C: Moody's Assigns B3 Rating to $5MM Class F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by CarVal CLO VI-C Ltd. (the "Issuer" or "CarVal CLO VI-C"). Moody's rating action is as follows: US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$20,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2034, Assigned Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$22,750,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$29,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$26,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) US$5,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2034, 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. CarVal CLO VI-C is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, up to 10% of the portfolio may consist of second lien loans, unsecured loans, and permitted non-loan assets, provided that not more than 5% of the portfolio may consist of permitted non-loan assets and not more than 3% of the portfolio may consist of senior unsecured bonds. The portfolio is approximately 95% ramped as of the closing date. CarVal CLO 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 four year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the 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): 2912 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.25% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 7.1 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. CD 2018-CD7: Fitch Affirms 'B-' Rating on Class G-RR Certs ---------------------------------------------------------- Fitch Ratings has affirmed 15 classes of CD 2018-CD7 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2018-CD7. In addition, Fitch has revised the Rating Outlooks on classes F-RR and G-RR to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CD 2018-CD7 A-1 12512JAR5 LT AAAsf Affirmed AAAsf A-2 12512JAS3 LT AAAsf Affirmed AAAsf A-3 12512JAV6 LT AAAsf Affirmed AAAsf A-4 12512JAW4 LT AAAsf Affirmed AAAsf A-M 12512JAY0 LT AAAsf Affirmed AAAsf A-SB 12512JAT1 LT AAAsf Affirmed AAAsf B 12512JAZ7 LT AA-sf Affirmed AA-sf C 12512JBA1 LT A-sf Affirmed A-sf D 12512JAE4 LT BBB-sf Affirmed BBB-sf E-RR 12512JAG9 LT BBB-sf Affirmed BBB-sf F-RR 12512JAJ3 LT BB-sf Affirmed BB-sf G-RR 12512JAL8 LT B-sf Affirmed B-sf X-A 12512JAX2 LT AAAsf Affirmed AAAsf X-B 12512JAA2 LT AA-sf Affirmed AA-sf X-D 12512JAC8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Pool Performance and Improved Loss Expectations: Performance across the pool remains stable. Loss expectations have improved since Fitch's prior rating action and remains in-line with Fitch's expectations at issuance, with a base case loss of 4.625%. Since the prior rating action, four loans (4.6% of the pool) have either transferred out of special servicing or defeased. As of the May 2022 remittance reporting, three loans are in special servicing, two of which are more than 90 days delinquent. Two loans (6.0%) have been identified as FLOCs, both of which are specially serviced. The Outlook revisions on classes F-RR and G-RR to Stable reflect performance stabilization from properties negatively affected by pandemic. Specially Serviced Loans: The largest loan in special servicing and largest FLOC is the NoLita Multifamily Portfolio (4.5%), which is secured by three multifamily properties and 5,528-sf of retail space. All three properties are located in the NoLita and SoHo neighborhoods of Manhattan. The loan entered special servicing on April 20, 2021 for imminent monetary default stemming from issues relating to the coronavirus pandemic. Performance has declined since issuance, reporting a September 2020 WA NOI DSCR of 0.93x and a WA occupancy of 97.3%, per the April 2022 appraisal. At issuance, the NOI DSCR and occupancy were 1.25x and 100%, respectively. The loan has remained delinquent since Fitch's prior rating action, and the special servicer is dual tracking negotiations with the borrower and seeking foreclosure. The second largest specially serviced loan, Rohnert Park Center (1.5%), is secured by a 137,000-sf retail center located in Rohnert Park, CA. This loan has remained delinquent since transferring to special servicing in June 2020 for payment default; however, the loan is expected to be reinstated with the master servicer. The loan remains a FLOC due to the upcoming rollover of the largest tenant at the subject, Reading Cinema (53.9% NRA) in 2023. Minimal Change in Credit Enhancement: Credit Enhancement has had minimal change since issuance due to limited amortization, zero loan payoffs and a single defeasance representing 1.1% of the pool. As of the May 2022 remittance report, the pool's aggregate balance has been paid down by 1.39% to $707.4 million from $717.4 million at issuance. There are 13 loans (50.0% of the pool) that are full-term interest-only, nine (10.4% of the pool) balloon loans and 20 (39.5% of the pool) partial IO then balloon loans. The pool does not have any fully amortizing loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to A-1 through B and IO classes X-A and X-B are not likely due to the position in the capital structure and the high CE but may occur should interest shortfalls affect these classes. Downgrades to classes C, D, E-RR and IO class X-D may occur should expected losses for the pool increase substantially. Downgrades to classes F-RR and G-RR could occur if the performance of the FLOCs fail to stabilize or deteriorate. 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 additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance. Upgrades of the 'BBB-sf' and below-rated classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely 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. CFIP CLO 2013-1: S&P Affirms B+ (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R, C-R, and D-R notes from CFIP CLO 2013-1 Ltd. At the same time, S&P affirmed its ratings on the class A-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 April 11, 2022, trustee report. The upgrades reflect the transaction's $157.14 million in paydowns to the class A-R notes since our August 2020 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 9, 2020, trustee report, which we used for our previous rating actions: -- The class A/B O/C ratio improved to 145.28% from 129.55%. -- The class C O/C ratio improved to 125.56% from 117.54%. -- The class D O/C ratio improved to 115.10% from 110.68%. -- The class E O/C ratio improved to 108.04% from 105.82%. -- 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 $7.77 million reported as of the April 2022 trustee report, compared with $31.07 million reported as of the July 2020 trustee report. Over the same period, the par amount of defaulted collateral has decreased to zero from $4.20 million. The transaction has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 3.25 years reported as of the April 2022 trustee report, compared with 4.52 years reported at the time of our August 2020 rating actions." The upgrades reflect the improved credit support at the prior rating levels; the affirmations reflect S&P's view that the credit support available is commensurate with the current rating levels. S&P said, "On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C-R, D-R and E-R notes. However, based on current subordination and O/C levels, and thin cash flow cushions at the higher ratings, we limited the upgrades on the class C-R and D-R notes and the affirmation on the class E-R notes to maintain more 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 CFIP CLO 2013-1 Ltd. Class B-R to 'AAA (sf)' from 'AA (sf)' Class C-R to 'AA (sf)' from 'A (sf)' Class D-R to 'BBB+ (sf)' from 'BBB- (sf)' Ratings Affirmed CFIP CLO 2013-1 Ltd. Class A-R: AAA (sf) Class E-R: B+ (sf) CIM TRUST 2022-R2: Fitch Rates Class B2 Notes 'Bsf' --------------------------------------------------- Fitch rates CIM Trust 2022-R2. DEBT RATING PRIOR ---- ------ ----- CIM 2022-R2 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(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 A-IO-S LT NRsf New Rating NR(EXP)sf C LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes to be issued by CIM Trust 2022-R2 as indicated above. The notes are supported by one collateral group that consists of 2,491 loans with a total balance of approximately $508 million, which includes $38.9 million, or 7.65%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the cut-off date. The pool generally consists of seasoned performing loans (SPLs) and re-performing loans (RPLs) and approximately 1.13% of the pool is seasoned less than 24 months, and was therefore considered new origination by Fitch. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not be advancing delinquent monthly payments of P&I. 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 9.2% 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 18.9% yoy nationally as of December 2021. Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage, seasoned performing and RPLs. Of the pool, 1.3% was 30 days delinquent as of the cut-off date and 33.7% of loans are current but have had recent delinquencies or incomplete pay strings. Approximately 65.0% of the loans have been paying on time for at least the most recent 24 months. Roughly 79.65% have been modified. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original CLTV of 80.7%. All loans received an updated BPO valuation which translate to a WA sustainable LTV (sLTV) of 65.4% at the base case. This is representative of low leverage borrowers, and is stronger than recently rated RPL transactions. No Servicer P&I Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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. CRITERIA VARIATION Fitch's analysis incorporated one criteria variation from the "U.S. RMBS Rating Criteria." The variation is that a full new origination due diligence review, including credit, compliance and property valuation, was not completed on one loan (0.04% by UPB) which is seasoned less than 24 months. A criteria variation was applied as only a compliance review was received. While a full credit review was not completed, the ATR status was confirmed and updated values were provided in lieu of a review. No adjustment was made to Fitch's loss expectations as a result of this variation. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for RPL collateral and also included a property valuation review in addition to the regulatory compliance and pay history review. All loans also received an updated tax and title search and review of servicing comments. Fitch considered this information in its analysis and, as a result, made the following adjustments to its analysis: increased the LS due to HUD-1 issues, increased liquidation timelines for loans missing modification agreements, applied 100% loss severity to Texas cash-out loans and increased the loss severity due to outstanding delinquent property taxes or liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 0.49%. 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 2022-GC48: Fitch Assigns 'B-(EXP)' Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings has issued a presale report on Citigroup Commercial Mortgage Trust 2022-GC48, commercial mortgage pass-through certificates, series 2022-GC48. Ratings are expected to be assigned as follows: DEBT RATING ---- ------ CGCMT 2022-GC48 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G LT B-(EXP)sf Expected Rating H LT NR(EXP)sf Expected Rating VRR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating X-F LT BB-(EXP)sf Expected Rating X-G LT B-(EXP)sf Expected Rating X-H LT NR(EXP)sf Expected Rating -- $3,961,000 class A-1 'AAAsf'; Outlook Stable; -- $93,366,000 class A-2 'AAAsf'; Outlook Stable; -- $72,500,000a class A-4 'AAAsf'; Outlook Stable; -- $245,358,000a class A-5 'AAAsf'; Outlook Stable; -- $5,942,000 class A-SB 'AAAsf'; Outlook Stable; -- $463,239,000b class X-A 'AAAsf'; Outlook Stable; -- $42,112,000 class A-S 'AAAsf'; Outlook Stable; -- $30,833,000 class B 'AA-sf'; Outlook Stable; -- $30,080,000 class C 'A-sf'; Outlook Stable; -- $60,913,000bc class X-B 'A-sf'; Outlook Stable; -- $33,841,000bc class X-D 'BBB-sf'; Outlook Stable; -- $15,040,000bc class X-F 'BB-sf'; Outlook Stable; -- $6,768,000bc class X-G 'B-sf'; Outlook Stable; -- $18,801,000c class D 'BBBsf'; Outlook Stable; -- $15,040,000c class E 'BBB-sf'; Outlook Stable; -- $15,040,000c class F 'BB-sf'; Outlook Stable; -- $6,768,000c class G 'B-sf'; Outlook Stable. Fitch is not expected to rate the following classes: -- $21,809,280c class H; -- $21,809,280bc class X-H; -- $31,663,699d class VRR Interest. a. The initial certificate balances of class A-4 and A-5 are not yet known but expected to be $317,858,000 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-$145,000,000, and the expected class A-5 balance range is $172,858,000-$317,858,000. 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 $317,858,000, class A-4 certificates will not be issued. b. Notional amount and interest only. c. Privately placed and pursuant to Rule 144A. d. 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 26, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 loans secured by 88 commercial properties with an aggregate principal balance of $633,273,980 as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Starwood Mortgage Capital LLC and Bank of Montreal. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association. The special servicers are expected to be Greystone Servicing Company LLC and Rialto Capital Advisors, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 39.9% of the properties by balance, cash flow analyses of 93.7% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Leverage Exceeds that of Recent Transactions: This transaction's leverage is higher than that of other multiborrower transactions recently rated by Fitch. The pool's Fitch debt service coverage ratio (DSCR) of 1.21x is lower than the YTD 2022 and 2021 averages of 1.38x. Additionally, the pool's Fitch loan to value (LTV) ratio of 100.6% is a slightly lower than the YTD 2022 and 2021 average of 101.1% and 103.3%, respectively. High Pool Concentration: The pool's 10 largest loans represent 62.9% of its cutoff balance, which is greater than the YTD 2022 and 2021 averages of 54.2% and 52.1%, respectively. This results in a Loan Concentration Index (LCI) score of 506 for the pool, which is higher than the YTD 2022 and 2021 averages of 397 and 381, respectively. Investment-Grade Credit Opinion Loans: The pool includes three loans, representing 12.0% of the cutoff balance, that received an investment-grade credit opinion. This is below both the YTD 2022 and 2021 averages of 16.8% and 13.3%, respectively. Yorkshire & Lexington Towers (9.5% of the pool), 360 Rosemary (1.3% of the pool) and 111 River Street (1.3% of the pool), each received a standalone credit rating of 'BBB-sf'. Minimal Amortization: Based on scheduled balances at maturity, the pool will pay down by only 1.75%, which is below the respective YTD 2022 and 2021 averages of 3.5% and 4.8%. Twenty-six loans representing 85.1 % of the pool are full-term interest-only (IO) loans, two loans (1.9% of the pool) are partial IO and one loan (3.7% of the pool) is an IO-Anticipated Repayment Date (ARD) loan. Additionally, three loans representing 9.3% of the pool are amortizing balloon loans. 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'/'B-sf'; -- 10% NCF Decline: 'A+sf'/'BBB+sf'/'BBB- sf'/'BB+sf'/'B+sf'/'CCCsf'/'CCCsf'; -- 20% NCF Decline: 'BBB+sf'/'BBB-sf'/'BBsf'/'B- sf'/'CCCsf'/'CCCsf '/'CCCsf'; -- 30% NCF Decline: 'BBB- sf'/'BB+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'/'B-sf'; -- 20% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'A-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 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. CITIGROUP 2022-GC48: Moody's Gives (P)B2 Rating to YL-D Certs ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of pooled CMBS securities and four classes of loan-specific CMBS securities, to be issued by Citigroup Commercial Mortgage Trust 2022-GC48, Commercial Mortgage Pass Through Certificates, Series 2022-GC48: Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P) Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-SB, Assigned (P)Aaa (sf) Cl. A-S, Assigned (P)Aa2 (sf) Cl. X-A*, Assigned (P)Aa1 (sf) Cl. YL-A****, Assigned (P)A3 (sf) Cl. YL-B****, Assigned (P)Baa3 (sf) Cl. YL-C****, Assigned (P)Ba3 (sf) Cl. YL-D****, Assigned (P)B2 (sf) * reflects interest-only classes **** reflects loan-specific classes RATINGS RATIONALE The pooled certificates, which are Class A-1, Class A-2, Class A-4, Class A-5, Class A-SB, Class A-S, Class X-A, are collateralized by 32 loans secured by 88 properties. The loan-specific ("rake") certificates, which are Class YL-A, Class YL-B, Class YL-C, Class YL-D, are collateralized by a $221.5 million B-note, which is a junior component of a $539.5 million, fixed-rate mortgage loan secured by the borrower's fee simple interest in the Yorkshire and Lexington Towers, two multifamily buildings located in the Upper East Side in Manhattan. The rake certificates will be entitled to receive distributions only from the B-note, which will not be part of the pool of mortgage loans backing the pooled certificates. Similarly, the rake certificates will only incur losses that are allocated to the B-note. Moody's assigned a SCA of a1 (sca.pd) to the senior component of the Yorkshire & Lexington Towers loan, which represents approximately 9.5% of the pool balance. The loan is secured by the borrower's fee interest in two multifamily buildings comprised of 808 residential units located in New York, NY. Moody's assigned a SCA of aa2 (sca.pd) to the Doubletree Ontario loan, which represents approximately 4.7% of the pool balance. The loan is secured by the borrower's fee simple in a 482-room hospitality property located in Ontario, CA. Moody's assigned a SCA of a3 (sca.pd) to the One Wilshire Street loan, which represents approximately 3.7% of the pool balance. The loan is secured by the borrower's fee simple interest in a 661,553 SF building comprised of data center and office space located in downtown Los Angeles, CA. Moody's assigned a SCA of baa2 (sca.pd) to the Roselle & Color loan, which represents approximately 2.1% of the pool balance. The loan is secured by the borrower's fee simple interest in two retail shopping center totaling 100,851 SF in New Jersey. Moody's assigned a SCA of aa3 (sca.pd) to the 360 Rosemary loan, which represents approximately 1.3% of the pool balance. The loan is secured by the borrower's fee simple interest in a 20-story, 313,002 square foot office building in West Palm Beach, FL. Moody's assigned a SCA of a2 (sca.pd) to the 111 River Street loan, which represents approximately 1.3% of the pool balance. The loan is secured by the borrower's fee simple interest in a 13-story, 557,714 square foot office building in Hoboken, NJ. Moody's approach to rating CMBS deals combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. 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 Actual DSCR of 1.91x (1.48x excluding SCAs) is lower than the 1Q 2022 trailing four quarter conduit/fusion transaction average of 2.61x (2.07x excluding SCAs). The Moody's Stressed DSCR of 0.98x (0.86x excluding SCAs) is lower than the 1Q 2022 trailing four quarter conduit/fusion transaction average of 1.05x (0.91x excluding SCAs). With respect to the Yorkshire & Lexington loan, Moody's first mortgage actual DSCR is 1.94x and Moody's first mortgage stressed DSCR is 0.64x. The pooled trust loan balance of $633,273,980 represents a Moody's LTV ratio of 112.1% (123.0% excluding SCAs), which is higher than the 1Q 2022 trailing four quarter conduit/fusion transaction average of 107.4% (116.5% excluding SCAs). The Moody's adjusted LTV is 98.8% (108.3% excluding SCAs) and is based on Moody's adjusted Moody's value taking into account the current interest rate environment. With respect to the Yorkshire & Lexington loan, the first mortgage balance of $539.5 million represents a Moody's LTV of 131.2% and a Moody's adjusted LTV of 113.6%. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level Herfindahl score is 19.8 (16.1 excluding SCAs). The transaction loan level diversity profile is lower than Moody's-rated transactions during the prior four quarters, which averaged 28.3 (26.3 excluding SCAs). With respect to property level diversity, the pool's property level Herfindahl score is 23.9 (19.5 excluding SCAs). Notable strengths of the transaction include: six loans assigned an investment grade Structured Credit Assessment, the number of loans securitized by multiple properties, and low single tenant share. Notable concerns of the transaction include: pool's high Moody's loan-to-value (MLTV) ratio, low pool diversity, amortization profile, high refinancing share and higher interest rate. 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 1.96 (2.06 excluding SCAs), which is below the 1Q 2022 trailing four quarters average score of 2.04 (2.28 excluding SCAs). With respect to the Yorkshire & Lexington Towers loan, the property quality grade is 1.25. The principal methodology used in rating all pooled classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. Moody's analysis of credit enhancement levels for conduit deals is driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment-grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. 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 paydowns 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. COMM 2012-CCRE4: Fitch Lowers Rating on Class B Certs to CCCsf -------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed nine classes of Deutsche Bank Securities, Inc.'s COMM 2012-CCRE4 commercial mortgage pass-through certificates, series 2012-CCRE4. The Rating Outlooks for two classes have been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- COMM 2012-CCRE4 A-3 12624QAR4 LT AAAsf Affirmed AAAsf A-M 12624QAT0 LT A-sf Affirmed A-sf A-SB 12624QAQ6 LT AAAsf Affirmed AAAsf B 12624QBA0 LT CCCsf Downgrade B-sf C 12624QAC7 LT Csf Affirmed Csf D 12624QAE3 LT Dsf Affirmed Dsf E 12624QAG8 LT Dsf Affirmed Dsf F 12624QAJ2 LT Dsf Affirmed Dsf X-A 12624QAS2 LT A-sf Affirmed A-sf X-B 12624QAA1 LT Csf Affirmed Csf KEY RATING DRIVERS High Loss Expectations: Fitch's loss expectations are high due to expected losses on the remaining mall asset in the pool, the Eastview Mall and Commons. The downgrade reflects refinance concerns related to the large outstanding total debt of $210 million, of which $120 million was contributed to this transaction, and the upcoming maturity in September 2022. Fitch's analysis included a paydown scenario assuming the Eastview Mall and Commons is the last remaining loan in the pool. In addition, higher expected losses were applied pool-wide to address the majority of loans' maturing this year. Fitch has identified four loans (21.1%) as Fitch Loans of Concern (FLOCs) with no loans in special servicing. Fitch's current ratings incorporate a base case loss of 11.20%. The Stable Outlooks on the investment grade classes reflect the expectation of repayment from performing loans in the pool maturing this year given their performance and lower leverage, while the distressed classes account for the potential for loss from the Eastview Mall and Commons loan. Mall of Concern/Largest Contributor to Loss: The largest FLOC and largest contributor to loss is the Eastview Mall and Commons (17.8% of the pool). It is secured by 802,636 sf of a 1.7 million-sf regional mall and power center in Victor, NY. The loan, which is sponsored by Wilmorite Properties, had previously transferred to special servicing in May 2020 due to distress from the pandemic, but was subsequently brought current and returned to the master servicer in July 2020. The loan has remained current since returning to the master servicer. The YE 2021 servicer-reported net operating income (NOI) was 6% below YE 2020 and 33% below issuance. Collateral occupancy and servicer-reported NOI debt service coverage ratio (DSCR) for this IO loan were 79% and 1.44x at YE 2021, down from 83% and 1.52x at YE 2020, 90% and 1.81x at YE 2019 and 94% and 2.19x at issuance. Non-collateral Sears closed in the fourth quarter of 2018 and non-collateral Lord & Taylor closed in the first quarter of 2021. The former non-collateral Sears space was backfilled by Dick's new experiential concept, Dick's House of Sports, which includes a rock-climbing wall, high-tech batting cage, virtual golf driving bays, and a 17,000-sf outdoor turf field and running track to host sports events which can be used as an ice arena in the winter. The mall portion is anchored by non-collateral JCPenney, non-collateral Macy's and non-collateral Von Maur, and the power center portion is anchored by non-collateral Home Depot and non-collateral Target. The largest collateral tenant is Regal Cinemas, which leases approximately 9.4% net rentable area through February 2026. Fitch's base case loss expectation of 55% reflects a 15% cap rate on the YE 2021 NOI and represents performance and imminent refinance concerns. The loan's interest rate is 4.625%. Increasing Credit Enhancement (CE) Offset by Higher Realized Losses: CE has increased since issuance due to amortization and loan repayments, with 39.1% of the original pool balance repaid. Additionally, 27.3% of the pool has been defeased. Since issuance, 16 loans have been liquidated contributing to realized losses of $102.9 million affecting classes D through G. Interest shortfalls are also currently affecting classes D through G. All loans are scheduled to mature this year with 23.9% of the pool maturing in the third quarter and 76.1% in the fourth quarter. Since the prior rating action, the Emerald Square loan, which was secured by 564,501-sf of a 1.02 million sf regional mall in North Attleboro, MA, was disposed with a high loss. The loan was in special servicing prior to liquidation and was resolved with losses of $24.9 million reflecting a loss severity of 62.3% based on the original loan balance. The recovery was less than appraisal values at the time of review, but was within the range of Fitch's sensitivity analysis, which reflected regional mall refinance concerns and persistent underperformance. Additionally, the prior liquidation of the Fashion Outlets of Las Vegas, which was previously the third largest loan in the pool, contributed to losses on the bottom classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the 'AAAsf' rated categories are not likely due to the senior positions in the capital structure and imminent paydown that is expected from the majority of the pool that matures in the coming months. Downgrades to the 'A-sf' rated category, while unlikely, would occur should overall pool losses increase with loans failing to repay at their respective maturities and the remaining mall asset incurs outsized losses beyond current estimates. The distressed 'Csf' and 'CCCsf' rated categories would be downgraded as losses become more certain or as 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. 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 investment grade rated categories would occur with significant improvement in CE and/or defeasance. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'CCCsf' and 'Csf' rated categories are not likely to reflect risks related to loans unable to refinance at maturity and the uncertainty of losses for the Eastview Mall and Commons loan remaining in the pool. 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. 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. CSAIL 2018-CX12: Fitch Affirms 'B-' Rating on Class G-RR Debt ------------------------------------------------------------- Fitch Ratings has affirmed all classes of CSAIL 2018-CX12 Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2018-CX12 and the 2018 CX12 III Trust horizontal risk retention pass through certificate (MOA 2020-CX12 E). Fitch has also revised the Outlook on four classes to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CSAIL 2018-CX12 A-2 12595XAR4 LT AAAsf Affirmed AAAsf A-3 12595XAS2 LT AAAsf Affirmed AAAsf A-4 12595XAT0 LT AAAsf Affirmed AAAsf A-S 12595XAX1 LT AAAsf Affirmed AAAsf A-SB 12595XAU7 LT AAAsf Affirmed AAAsf B 12595XAY9 LT AA-sf Affirmed AA-sf C 12595XAZ6 LT A-sf Affirmed A-sf D 12595XAC7 LT BBB-sf Affirmed BBB-sf E-RR 12595XAE3 LT BBB-sf Affirmed BBB-sf F-RR 12595XAG8 LT BB-sf Affirmed BB-sf G-RR 12595XAJ2 LT B-sf Affirmed B-sf X-A 12595XAV5 LT AAAsf Affirmed AAAsf X-B 12595XAW3 LT AA-sf Affirmed AA-sf X-D 12595XAA1 LT BBB-sf Affirmed BBB-sf MOA 2020-CX12 E E-RR 90216BAA4 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The overall pool performance remains stable from issuance. The Outlook revisions to Stable from Negative on classes E-RR, F-RR, and G-RR reflect the better than expected performance of loans expected to be affected by the coronavirus pandemic. Ten loans (29.1% of pool), including one (6.3%) in special servicing, were designated Fitch Loans of Concern (FLOCs). Fitch's current ratings reflect the original issuance base case loss of 4.9%. Specially Serviced Loan: SIXTY Hotel Beverly Hills (6.3% of the pool) is secured by a 118-unit full service hotel located in Beverly Hills, CA under the Sixty Hotels Flag Franchise. The loan transferred to special servicing in September 2020 and a modification was executed in May 2021. While the loan has been performing under the terms of the current Forbearance Agreement, the return to the master servicer has been delayed while the special servicer works through the borrower's request to extend the loan's maturity term. Minimal Change to Credit Enhancement (CE) Since Issuance: As of the April 2022 distribution date, the pool's aggregate balance has been reduced by 5.4% to $636 million from $673 million at issuance. Since Fitch's prior rating action, three loans/assets (3.4% of the issuance balance) repaid/disposed with losses lower than Fitch expected. One loan (2.2%) is fully defeased. Cumulative interest shortfalls of $1.0 million are currently affecting the non-rated NR-RR class. Thirteen loans representing 49.7% of the pool are interest only for the full term. An additional 11 loans representing 23.5% of the pool were scheduled with partial interest only periods and two loans representing 4.3% have not yet begun to amortize. 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 loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' rated classes should interest shortfalls occur. Downgrades of classes C and D are possible should Fitch's projected losses increase due to declines in pool performance, additional loan defaults, or greater than expected losses on the Specially Serviced loan. Downgrades of classes E-RR, F-RR, and G-RR are possible should the performance of the FLOCs fail to stabilize or decline 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: Factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B and C would likely occur with a significant improvement in CE and/or defeasance; however, increased concentrations, further underperformance of FLOCs, Specially Serviced loan, or new delinquencies/defaults may prevent this. An upgrade to class D would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades to classes E-RR, F-RR and G-RR are not likely due to actual or expected performance decline for FLOCs, but could occur if performance of the FLOCs improves, the current credit environment stabilizes and if there is an increase in 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. CSMC 2022-ATH2: S&P Assigns B- (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 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%." 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. DAVIS PARK: Moody's Assigns (P)Ba3 Rating to $19MM Cl. E Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by Davis Park CLO, Ltd. (the "Issuer" or "Davis Park"). Moody's rating action is as follows: US$312,500,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$19,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Davis Park 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 obligations that are not first lien loans, first lien last out loans and eligible investments. Moody's expect the portfolio to be approximately 85% 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 will issue three other classes of floating rate 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: 55 Weighted Average Rating Factor (WARF): 2985 Weighted Average Spread (WAS): SOFR + 3.40% Weighted Average Coupon (WAC): 5.25% Weighted Average Recovery Rate (WARR): 47.50% 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. DBJPM MORTGAGE 2017-C6: Fitch Affirms B- Rating on Cl. F-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of DBJPM Mortgage Trust commercial mortgage pass-through certificates, series 2017-C6. The Rating Outlooks for two classes have been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- DBJPM 2017-C6 A-2 23312JAB9 LT AAAsf Affirmed AAAsf A-3 23312JAC7 LT AAAsf Affirmed AAAsf A-4 23312JAE3 LT AAAsf Affirmed AAAsf A-5 23312JAF0 LT AAAsf Affirmed AAAsf A-M 23312JAH6 LT AAAsf Affirmed AAAsf A-SB 23312JAD5 LT AAAsf Affirmed AAAsf B 23312JAJ2 LT AA-sf Affirmed AA-sf C 23312JAK9 LT A-sf Affirmed A-sf D 23312JAQ6 LT BBB-sf Affirmed BBB-sf E-RR 23312JAS2 LT BB-sf Affirmed BB-sf F-RR 23312JAU7 LT B-sf Affirmed B-sf X-A 23312JAG8 LT AAAsf Affirmed AAAsf X-B 23312JAL7 LT A-sf Affirmed A-sf X-D 23312JAN3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: Overall pool performance and loss expectations have remained stable since Fitch's last rating action. The Outlook revisions to Stable from Negative reflect performance stabilization of properties that had been affected by the pandemic. Fitch has identified six Fitch Loans of Concern (FLOCs; 15% of pool) including three loans in special servicing (10.3%), the largest of which is performing (8.8%). Fitch's current ratings reflect a base case loss of 3.70%. Largest Contributors to Loss: The largest contributor to overall loss expectations is the Starwood Capital Group Hotel Portfolio loan (7.7%), which is secured by a portfolio of 65 hotels totaling 6,370 keys located across 21 states with 14 different franchises. The loan is considered a FLOC due to cash flow declines as a result of the pandemic. The borrower was granted pandemic-related relief through a modification that closed in September 2020 with terms that included three months of deferred non-tax, non-insurance and non-ground rent reserves and the ability to utilize non-tax, non-insurance and non-ground rent reserve funds towards three months of debt service payments. Repayment occurred over the 12-month period starting in February 2021. Performance has been stabilizing, with the portfolio's TTM September 2021 NOI increasing 92% from YE 2020. Total average portfolio occupancy, ADR, and RevPAR were 63.4%, $97 and $62, respectively, as of TTM September 2021, compared with 53.7%, $92 and $49 at YE 2020 and 73.7%, $116, and $86 at YE 2019. Fitch's base case loss of 15% reflects a cap rate of 11.50% applied to the portfolio's annualized September 2021 NOI. The second largest contributor to overall loss expectations is the Lakeforest Gateway loan (3.4%), which is secured by a 77,710-sf unanchored retail center located in Lake Forest, CA. The loan transferred to special servicing in June 2020 and returned to the master servicer in August 2021 after the borrower was granted forbearance. Property performance has begun to stabilize, with the servicer-reported YE 2021 NOI DSCR increasing to 1.09x compared with 0.92x at YE 2020. The YE 2021 NOI has increased 46% from YE 2020, primarily due to an increase in base rents from tenants impacted by the pandemic. YE 2021 occupancy was 79%, with minimal upcoming rollover. The largest tenants include Phoenix Salon Studios (10.4% NRA; through August 2025) and Peppinos (8.4%; December 2025). Fitch's base case loss of 14% reflects a cap rate of 9.25% and a 5% stress to the YE 2021 NOI. Slight Decline in Credit Enhancement: Credit enhancement to classes A-M through F-RR has eroded slightly due to the disposition of the special serviced Cincinnati Eastgate Holiday Inn loan (1.2%) with a realized loss of $5.6 million, which was better than Fitch had expected. As of the May 2022 distribution date, the pool's aggregate balance has been reduced by 7.9% to $1.04 billion from $1.13 billion at issuance. Thirteen full-term interest-only loans comprise 63.6% of the pool, and no loan remain in their partial interest-only period. There are also two anticipated repayment date (ARD) loans representing 9% of the pool. 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 the classes rated in the 'AA-sf' and 'AAAsf' categories are not likely due to their position in the capital structure but may occur should interest shortfalls affect these classes; -- Downgrades to the classes rated in the 'BBB-sf' and 'A-sf' categories 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 rated in the 'B-sf' and 'BB-sf' categories 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, 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, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse; -- Upgrades to the 'BBB-sf' rated classes would also consider these factors, but 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; -- Upgrades to the 'B-sf' and 'BB-sf' rated classes are not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient credit enhancement, which would likely occur when the nonrated class is not eroded and the senior classes pay off. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. DBWF 2016-85T: S&P Affirms BB- (sf) Rating on Class E Certs ----------------------------------------------------------- S&P Global Ratings affirmed its ratings on six classes of commercial mortgage pass-through certificates from DBWF 2016-85T Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS) transaction. This U.S. CMBS transaction is backed by a portion of a 10-year, fixed-rate, interest-only (IO) mortgage whole loan secured by an 11-story, 632,584-sq.-ft. office building with ground floor retail and restaurants located at 85 Tenth Avenue in Manhattan's Chelsea submarket. Rating Actions S&P said, "The affirmations of classes A, B, C, D, and E reflect our reevaluation of the office property that secures the sole loan in the transaction. Our analysis considers that the sponsor was able to increase the occupancy rate to 89.2%, according to the Dec. 31, 2021, rent roll, after it fell to 70.7% in 2020 due partly to the second-largest tenant, the GSA (178,948 sq. ft., 28.1% of net rentable area [NRA]), vacating at the end of its lease term in September 2020. The sponsor re-leased most of GSA's former space to a new tenant, Clear (119,226 sq. ft., 18.8%), at a higher net base rent. Consequently, although the servicer-reported net cash flow (NCF) for 2021 declined 44.2% to $19.9 million from $35.7 million in 2020, we expect the property's NCF to rebound to our long-term sustainable NCF assumption of $30.6 million that we derived at issuance and in the last review in 2019, due to the recent tenant leasing activities. "Our current property-level analysis considers the above-mentioned factors, the concentrated tenant rollover risk in 2026 when the leases of two of the largest tenants, Google (47.2%) and Telehouse International Corp. (9.6%), expire, as well as the softened office submarket fundamentals from lower demand and longer re-leasing timeframes as more companies adopt a hybrid work arrangement. Our revised sustainable NCF, using an 85.0% occupancy rate, is at the same level as the NCF of $30.6 million (based on a 94.0% occupancy rate) that we derived at issuance and in the last review in 2019. Using a 6.25% S&P Global Ratings' capitalization rate (unchanged from issuance and in the last review in 2019), we arrived at an expected-case valuation of $489.2 million, or $773 per sq. ft., which is the same as in the last review and at issuance. This yielded an S&P Global Ratings' loan-to-value ratio of 80.6% on the whole loan balance." The 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, Wells Fargo Bank N.A. (Wells Fargo), there is $9.6 million in the tenant reserve and $253,257 in the capital improvement reserve accounts as of May 2022. S&P said, "If there are reported negative changes in the performance beyond what we have already considered, we may 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 the aggregate balances of the class A and class B certificates." Property-Level Analysis The property, originally built in 1914 as an expansion of the Nabisco Factory, is an 11-story, 632,584-sq.-ft. office building with ground floor restaurants and retailers located at 85 Tenth Avenue in Manhattan's Chelsea submarket. Level 3 Communications acquired the subject property in 1999 and invested over $150.0 million ($237 per sq. ft.) to convert it into a telecom facility. The property was then acquired by Somerset Partners in 2005 and redeveloped as an office and retail building. Somerset Partners added new oversized windows, a new entranceway and lobby, new elevators, and a new heating system, as well as upgraded the electricals. The property has views of the Hudson River and open-floor plates with ceiling heights ranging from 14 ft. to approximately 19 ft. Amenities include 11 emergency generators with 22 megawatts of backup power, 320 tons of cooling capacity per floor, access to Chelsea Market via a sky bridge, and its proximity to the West Side Highway. The current sponsor, a joint venture between principals of the Related Companies L.P. and Vornado Realty Trust, acquired the property in 2007 and spent over $22.0 million on tenant improvement (TI) allowance and landlord work specific to the build out of Google's space. Google also invested approximately $100 per sq. ft. of its own funds into its space at the property. The property is located within Google's expanded Manhattan campus. Google, the largest tenant, currently occupies 298,658 sq. ft. (up from 179,948 sq. ft. at issuance) at the subject property, which is located about two blocks from Google's New York City headquarters at 111 Eighth Avenue. Google also occupies about 380,000 sq. ft. at the Chelsea Market building and 263,835 sq. ft. at the Pier 57 building, each of which is about one block from the subject property. S&P said, "At issuance, we noted that the building had a 10-year average historical occupancy of 98.6%; and according to the November 2016 appraisal, as of third-quarter 2016, the Chelsea office submarket had a vacancy rate of 6.7% and average asking rents of $62.58 per sq. ft. As such, we assumed a 6.0% vacancy rate to derive our long-term sustainable NCF of $30.6 million." As mentioned above, the property's occupancy rate dropped from 99.6% in 2019 to 70.7% after the GSA vacated in late 2020. However, according to the Dec. 31, 2021, rent roll, the sponsor signed a new tenant, Clear, for 18.8% of NRA until December 2038 at a net effective base rent (after considering its two-year free rent concession package) of $92.93 per sq. ft., as calculated by S&P Global Ratings. In comparison, the former tenant, GSA, leased about 28.1% of NRA at approximately $82.00 per sq. ft. prior to its departure. In addition, while Moet (56,000 sq. ft., 8.9%), which paid approximately $47.00 per sq. ft., vacated following its March 2021 lease expiration, Google expanded into its space at $73.00 per sq. ft. until February 2026. According to the December 2021 rent roll, the five largest tenants are: -- Google (47.2% of NRA, 48.4% of in place base rent, as calculated by S&P Global Ratings, February 2026 lease expiration); -- Clear (18.8%, 22.5%, December 2038); -- Telehouse International Corp. (9.6%, 11.3%, January 2026); -- Level 3 Communications (9.5%, 13.4%, January 2023); and -- 85 Tenth Restaurant: II Posto LLC (3.1%, 0.7%, January 2030). The property faces elevated tenant rollover risk in 2023 (9.5% of NRA) and 2026 (59.7%). S&P's revised expected-case assumptions and valuation of the property reflect the following factors: -- The weakened Chelsea office submarket (where the property is located) fundamentals, stemming from more companies embracing flexible work arrangements; -- Known tenant movements; and -- Concentrated rollover risk. According to CoStar, the Chelsea office submarket had experienced higher vacancy rates in recent years due to increased remote work. Market rent for four- and five-star properties was negatively impacted, dropping 4.2% in 2020 and another 0.9% in 2021. However, market rent increased 0.2% as of year-to-date (YTD) May 2022. Although CoStar projects 2.5% and 6.2% 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 $95.29 per sq. ft., 13.0%, and 19.7%, respectively. This compares with the submarket asking rent and vacancy rate of $93.29 per sq. ft. and 5.9%, respectively, in 2016 when the transaction was issued. CoStar projects average office submarket vacancy rate of 10.6% and asking rent of $103.73 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 noted above, we assumed an occupancy rate of 85.0% (compared with an 89.2%, according to the December 2021 rent roll) and an in-place base rent of $86.55 per sq. ft., as calculated by S&P Global Ratings, and a 36.2% operating expense ratio, which result in an S&P Global Ratings' NCF of $30.6 million, unchanged from issuance and at the last review in 2019. Using an S&P Global Ratings' capitalization rate of 6.25%, we derived an expected-case value of $489.3 million, or $773 per sq. ft." Transaction Summary This is a U.S. stand-alone (single borrower) transaction backed by a portion of a 10-year, fixed-rate, IO mortgage whole loan. The whole loan is secured by the borrower's fee interest in an 11-story, 632,584-sq.-ft. office building with ground floor retail and restaurants located at 85 Tenth Avenue in Manhattan's Chelsea submarket. The IO mortgage whole loan had an initial and current balance of $396.0 million, pays a per annum fixed interest rate of 3.82%, and matures on Dec. 6, 2026. The whole loan is split into six senior A and two subordinate B notes. The $271.0 million trust balance (according to the May 12, 2022, trustee remittance report) comprises the $78.0 million senior note A-1-S, the $52.0 million senior note A-2-S, the $84.6 million subordinate note B-1, and the $56.4 million subordinate note B-2. The $50.0 million senior notes are in Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3, and the $75.0 million senior notes are in CD 2017-CD3 Mortgage Trust, both U.S. CMBS transactions. The A notes are pari passu to each other and senior to the B notes. In addition, there are two mezzanine loans totaling $229.0 million. To date, the trust has not incurred any principal losses. Wells Fargo reported a 2.02x debt service coverage as of year-end 2021, down from 3.61x as of year-end 2020. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic as well as the importance and benefits of vaccines. While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses, and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, we do not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, we continue to assess how well each issuer adapts to new waves in its geography or industry. Ratings Affirmed DBWF 2016-85T Mortgage Trust Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: BB- (sf) Class X-A: AA- (sf) EAGLE RE 2020-2: Moody's Hikes Rating on 2 Tranches From Ba2 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of four tranches from Eagle Re 2020-2 Ltd. This transaction was issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by the Ceding Insurer (Radian Guaranty Inc.) on a portfolio of residential mortgage loans. The complete rating actions are as follows: Issuer: Eagle Re 2020-2 Ltd. Cl. B-1, Upgraded to Baa3 (sf); previously on Aug 4, 2021 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Aug 4, 2021 Upgraded to Ba1 (sf) Cl. M-2B, Upgraded to Baa1 (sf); previously on Aug 4, 2021 Upgraded to Ba1 (sf) Cl. M-2C, Upgraded to Baa2 (sf); previously on Aug 4, 2021 Upgraded to Ba2 (sf) A List of Affected Credit Ratings is available at https://bit.ly/3Q0faDN 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, this transaction has experienced high prepayment rates over the last several months. The six-month average CPR was approximately 30% with less than one basis point of loss on the insured balance under the reinsurance agreement. 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 our 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 our 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 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 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. FANNIE MAE 2022-R06: S&P Assigns Prelim 'BB-' Rating on 1B-1 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fannie Mae Connecticut Avenue Securities Trust 2022-R06's notes. The note issuance is an RMBS transaction in which the payments are determined by a reference pool of residential mortgage loans, deeds of trust, or similar security instruments encumbering mortgaged properties acquired by Fannie Mae. The preliminary ratings are based on information as of June 2, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments, but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which enhances the notes' strength, in S&P's view; -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying R&Ws framework; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. 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 Fannie Mae Connecticut Avenue Securities Trust 2022-R06 Class 1A-H(i), $24,025,047,986: NR Class 1M-1, $332,500,000: A- (sf) Class 1M-1H(i), $17,500,699: NR Class 1M-2A(ii), $83,125,000: BBB+ (sf) Class 1M-AH(i), $4,375,175: NR Class 1M-2B(ii), $83,125,000: BBB (sf) Class 1M-BH(i), $4,375,175: NR Class 1M-2C(ii), $83,125,000: BBB- (sf) Class 1M-CH(i), $4,375,175: NR Class 1M-2(ii), $249,375,000: BBB- (sf) Class 1B-1A(ii), $45,000,000: BB+ (sf) Class 1B-AH(i), $30,000,150: NR Class 1B-1B(ii), $45,000,000: BB- (sf) Class 1B-BH(i), $30,000,150: NR Class 1B-1(ii), $90,000,000: BB- (sf) Class 1B-2(ii), $82,500,000: NR Class 1B-2H(i), $55,000,274: NR Class 1B-3H(i)(iii), $75,000,150: NR (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The holders of the class 1M-2 notes may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes, and vice versa. The holders of the class 1B-1 notes may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes, and vice versa. The holders of the class 1M-2A, 1M-2B, 1M-2C, 1B-1A, 1B-1B, and 1B-2 notes may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. (iii)For the purposes of calculating modification gain or modification loss amounts, class 1B-3H is deemed to bear interest at SOFR plus 15%. NR--Not rated. FLAGSHIP CREDIT 2022-2: S&P Assigns BB-(sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Flagship Credit Auto Trust 2022-2's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 42.22%, 36.60%, 28.68%, 22.39%, and 17.98% credit support (including excess spread) for the class A-1, A-2, A-3 (collectively, class A), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x of S&P's 11.50%-12.00% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40.00%) of approximately 70.36%, 61.00%, 47.80%, 37.31%, and 29.96%, respectively. -- The hard credit enhancement in the form of subordination, overcollateralization, and reserve account, which increased to 1.05% from 1.00% at pricing, in addition to excess spread. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, 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 timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the assigned ratings. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. Ratings Assigned Flagship Credit Auto Trust 2022-2 Class A1, $75.40 million: A-1+ (sf) Class A2, $189.30 million: AAA (sf) Class A3, $139.16 million: AAA (sf) Class B, $45.15 million: AA (sf) Class C, $61.62 million: A (sf) Class D, $49.41 million: BBB (sf) Class E, $39.96 million: BB- (sf) GS MORTGAGE 2012-GCJ7: Moody's Lowers Rating on 2 Tranches to Ca ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on three classes in GS Mortgage Securities Trust 2012-GCJ7, Commercial Pass-Through Certificates, Series 2012-GCJ7 as follows: Cl. C, Affirmed Baa1 (sf); previously on Jul 30, 2020 Downgraded to Baa1 (sf) Cl. D, Downgraded to B3 (sf); previously on Jul 30, 2020 Downgraded to B1 (sf) Cl. E, Downgraded to Ca (sf); previously on Jul 30, 2020 Downgraded to Caa2 (sf) Cl. F, Affirmed C (sf); previously on Jul 30, 2020 Downgraded to C (sf) Cl. X-B*, Downgraded to Ca (sf); previously on Jul 30, 2020 Downgraded to Caa1 (sf) * Reflects interest-only classes RATINGS RATIONALE The rating on the P&I class, Cl. C, was affirmed due to the significant credit support and expected principal paydowns from the remaining loans in the pool. The ratings on the P&I classes Cl. D and Cl. E were downgraded due to anticipated losses and potential interest shortfall risk due to the pool's exposure to two specially serviced loans (79% of the pool). The largest specially serviced loan, the Bellis Fair Mall loan(69% of the pool), is secured by a regional mall property with significant declines in revenue and net operating income (NOI) in recent years. The pool also contains a specially serviced loan secured by three cross-collateralized and cross-defaulted limited service hotels in maturity default. The rating on the P&I class Cl. F was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Class F has already experienced a 66% loss as a result of previously liquidated loans. The rating on the IO Class Cl. X-B was downgraded due to a decline in the credit quality of its referenced 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 32.3% of the current pooled balance, compared to 7.0% at Moody's last review. Moody's base expected loss plus realized losses is now 6.3% of the original pooled balance, compared to 6.5% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool and 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 November 2021. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 79% of the pool is in special servicing and Moody's has identified an additional troubled loan representing 2% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled 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 2022 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $111 million from $1.62 billion at securitization. The certificates are collateralized by six mortgage loans (including three cross-collateralized and cross-defaulted loans) ranging in size from 2% to 69% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, compared to 15 at Moody's last review. Two loans, constituting 21% 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. Four loans have been liquidated from the pool, resulting in an aggregate realized loss of $66.1 million (for an average loss severity of 68.5%). Four loans(including three cross-collateralized and cross-defaulted loans), constituting 79% of the pool, are currently in special servicing. The largest specially serviced loan is the Bellis Fair Mall Loan ($76.3 million -- 69.1% of the pool), which is secured by a 538,000 square feet (SF) component of a regional mall located in Bellingham, Washington. The loan transferred to special servicing in February 2022 due to imminent maturity default. The mall anchors are Macy's, Target, Kohl's, JC Penney and Dick's Sporting Goods. Macy's is the only anchor whose space is included in the loan collateral. The property is the dominant mall within its trade area and the only enclosed regional mall within Bellingham and northwest Washington market. Property performance has deteriorated since 2015 and the reported 2019 NOI has declined 19% since 2015. The performance of the mall was further significantly impacted by the coronavirus pandemic due to its proximity to the Canada border and the decline in shoppers coming from Canada. As of December 2021, the entire mall was 83% leased with the inline space 69% leased. The loan has amortized over 18% since securitization. No appraisal reduction has been recognized on this loan as of the May 2022 remittance statement. The second largest specially serviced loan is the Anchorage Hotel Portfolio loan ($11.0 million – 9.9% of the pool), which is secured by three cross-collateralized and cross-defaulted limited service hotels comprised of a 65-room Motel 6, a 100-room Comfort Inn and a 79-room Microtel Inn totaling 100-rooms. The hotels are all located in Anchorage, Alaska. The properties were built between 1997 and 2004 and two of the hotels, the Motel 6 and the Comfort Inn, are subject to ground leases expiring in 2039 (35-year extension option) and 2067, respectively. Property performance has declined since securitization. The loan transferred to special servicing in June 2020 for payment default in relation to the coronavirus outbreak. The loan has amortized over 21% since securitization and no appraisal reduction has been recognized on this loan as of the May 2022 remittance statement. Moody's has also assumed a high default probability for a poorly performing loan ($2.5 million – 2.3% of the pool), which is secured by a 6,000 SF retail property located in Manhattan, New York. After the single tenant vacated their space at the lease expiration in June 2021, the loan was unable to pay off at its scheduled maturity in March 2022 and went into a forbearance. The loan has amortized nearly 16% since securitization and has remained current on its debt service payment as of the May 2022 remittance report. Moody's has estimated an aggregate loss of $35.7 million (a 40% expected loss on average) from these specially serviced and troubled loans. As of the May 2022 remittance statement cumulative interest shortfalls were $6.3 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced 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 sole performing loan is the Walgreens III Portfolio loan ($20.7 million – 18.8% of the pool), which is secured by six single tenant retail properties located in six different states and occupied by Walgreen. Each of the property's six leases contain 75-year lease terms which commenced between 2002 and 2011, but Walgreens has the ability to terminate each lease after the 25th lease year. The loan is structured with an anticipated repayment date(ARD) of July 5, 2021 and a final maturity date of July 5, 2026. As the loan has passed its ARD, a cash management has been set up and the loan is hyper-amortizing. Moody's LTV and stressed DSCR are 102% and 0.93X. GS MORTGAGE 2022-PJ5: Fitch Gives 'B+' Rating on Class B5 Certs --------------------------------------------------------------- Fitch rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2022-PJ5 (GSMBS 2022-PJ5). DEBT RATING PRIOR ---- ------ ----- GSMBS 2022-PJ5 A1 LT AA+sf New Rating AA+(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A10X LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16X LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A19X LT AAAsf New Rating AAA(EXP)sf A1X LT AA+sf New Rating AA+(EXP)sf A2 LT AA+sf New Rating AA+(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A22X LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A25X LT AAAsf New Rating AAA(EXP)sf A26 LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A28X LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf A3 LT AA+sf New Rating AA+(EXP)sf A30 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf A31X LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AA+sf New Rating AA+(EXP)sf A34X LT AA+sf New Rating AA+(EXP)sf A35 LT AA+sf New Rating AA+(EXP)sf A36 LT AA+sf New Rating AA+(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A4X LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6A LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7X LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf AX LT AA+sf New Rating AA+(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B3 LT BBB+sf New Rating BBB+(EXP)sf B4 LT BB+sf New Rating BB+(EXP)sf B5 LT B+sf New Rating B+(EXP)sf B6 LT NRsf New Rating NR(EXP)sf PT LT AA+sf New Rating AA+(EXP)sf TRANSACTION SUMMARY The certificates are supported by 490 prime-jumbo and agency conforming loans with a total balance of approximately $546 million, as of the cut-off date. The transaction is to close on May 31, 2022. 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 9.2% 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, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 20.2% yoy nationally as of February 2022. High Quality Mortgage Pool (Positive): The collateral consists of mostly 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned approximately five months in aggregate. The collateral comprises primarily prime-jumbo and less than 1% agency conforming loans. The borrowers in this pool have strong credit profiles (a 763 model FICO) and moderate leverage (a 75.8% sustainable loan-to-value ratio [sLTV] and a 68.7% mark-to-market [MTM] combined loan-to-value ratio [CLTV]). Fitch treated 100% of the loans as full documentation collateral, while all of the loans are safe-harbor qualified mortgages (SHQMs). Of the pool, 93.4% are loans for which the borrower maintains a primary residence, while 6.6% are for second homes. Additionally, 45.0% of the loans were originated through a retail channel or a correspondent's retail channel. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified-sequential structure. Subordination Floors (Positive): To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.45% of the original balance will be maintained for the senior certificates, and a subordination floor of 1.35% of the original balance will be maintained for the subordinate certificates. Servicer Advances (Mixed): Shellpoint Servicing and United Wholesale Mortgage (UWM) will provide full advancing for the life of the transaction. The master servicer will serve as the ultimate advancing backstop. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 41.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. 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 AMC Diligence LLC, Opus Capital Market Consultants, and Consolidated Analytics Inc. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction to each loan's probability of default. This adjustment resulted in a 24bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." AMC Diligence LLC, Opus Capital Market Consultants, and Consolidated Analytics Inc. were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section of this report for further details. 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. HINNT LLC 2022-A: Fitch Assigns 'B(EXP)' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes to be issued by HINNT 2022-A LLC (HINNT 2022-A). DEBT RATING ---- ------ HINNT 2022-A LLC A LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB(EXP)sf Expected Rating E LT B(EXP)sf Expected Rating KEY RATING DRIVERS Borrower Risk — Slightly Weaker Borrower Credit Quality: HINTT 2022-A's weighted average (WA) FICO score is 729, lower than the 735 for HINTT 2020-A but higher than the 710 for OLTT 2019-A. Consistent with 2020-A, the 2022-A collateral will comprise a minimum FICO score of 600. This transaction features a prefunding account, which covers approximately 10% of the total collateral balance and will be funded predominantly by loans that are already originated but do not yet qualify for addition to the pool at closing. These loans are statistically similar to the pool at closing, and any additional loans included to replace these loans due to delinquency or amortization must conform to criteria similar to the pool overall. Fitch did not incorporate a prefund stress given the visibility into the prefund collateral pool. Forward-Looking Approach on CGD Proxy — Weakening Performance: HICV's delinquency and default performance exhibited material increases during the Great Recession. Notable improvement was observed in the 2010-2014 vintages. However, the 2016 through 2019 vintages experienced slightly higher default rates than during the prior recession, due principally to integration challenges following the Silverleaf acquisition and defaults related to paid-product-exits (PPEs). In deriving its cumulative gross default (CGD) proxy of 22.00%, Fitch focused on extrapolations of the 2007-2010 and 2017-2019 vintages. Fitch takes into consideration the strength of the economy, as well as future expectations, by assessing key macroeconomic indicators correlated with timeshare loan performance, such as GDP and the unemployment rate. These were accounted for in the derivation of Fitch's CGD proxy for 2022-A. Structural Analysis — Shifting CE Structure: Initial hard credit enhancement (CE) is expected to be 78.05%, 55.50%, 36.75%, 9.65% and 3.50% for class A, B, C, D and E notes, respectively. The hard CE is higher compared to 2020-A for classes A, B, and C, lower for class D, and class E remains the same. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 7.6% per annum. The structure is sufficient to cover multiples of 3.00x, 2.00x, 1.50x, 1.25x and 1.00-1.10x for 'AAAsf', 'Asf', 'BBBsf', 'BBsf' and 'Bsf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: HICV has demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the securitized trusts and of the managed portfolio. While the resort footprint has grown in recent years, HICV's managed portfolio, as well as 2022-A, has shifted and now has a largest concentration in Texas versus Orlando, FL prior to the acquisition of Silverleaf. 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. Decreased 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 analyses 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 represent 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 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 subsectors (see "What a Stagflation Scenario Would Mean for Global Structured Finance" at www.fitchratings.com). 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: Conversely, 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 class B, C, D and E notes, the multiples would increase resulting in potential upgrade of two rating categories, two rating categories, one rating category 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 third-party due diligence information from Grant Thornton LLP. The third-party due diligence focused on a comparison and re-computation of certain characteristics with respect to 100 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on Fitch's analysis/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. HULL STREET: S&P Affirms 'CC (sf)' Rating on Class F Notes ---------------------------------------------------------- S&P Global Ratings raised its rating on the class C-R notes and lowered its rating on the class E notes from Hull Street CLO Ltd./Hull Street CLO LLC, a U.S. CLO transaction managed by First Eagle Investment Management. At the same time, S&P affirmed its ratings on the class D and F notes. The rating actions follow S&P's review of the transaction's performance using data from the April 6, 2022, trustee report. The transaction exited its reinvestment period in October 2018. Since then, the class A-R and B-R notes have fully paid down, while the current senior-most class C-R notes have paid down almost $28 million and now have a balance of about 26.00% of their original amount. S&P said, "Since our May 2021 review, paydowns to the transaction's class B-R and C-R notes totaled $61.21 million, resulting in improved overcollateralization (O/C) ratios for the class C and D tests. However, the class E O/C ratio has continued to decline according to the April 2022 trustee report, and the class E O/C ratio remains well-below its trigger level." Therefore, the class E and F notes continue to defer interest, and the interest proceeds are being diverted to pay down the class C-R notes until this test improves and passes its required threshold. With the latest paydowns, the trustee reported the following O/C ratios, compared to those reported in April 2021: -- The class C O/C ratio improved to 304.19% from 131.37%. -- The class D O/C ratio improved to 127.66% from 105.37%. -- The class E O/C ratio deteriorated to 83.93% from 89.89%. S&P said, "Portfolio credit quality has improved by some metrics since our May 2021 rating actions. Assets rated in the 'CCC' category have decreased to $10.14 million (17.90% of current portfolio) from $26.15 million (18.60% of portfolio as of April 2021), while defaulted assets have declined considerably, to $1.48 million (2.60% of portfolio) from $14.05 million (10.00% of portfolio). The trustee-reported weighted average life of the portfolio has also decreased to 2.55 years from 1.99 years, as assets in the portfolio mature and the proceeds are used to pay down the senior class C-R notes. "Our upgrade of the class C-R notes reflects the significantly improved credit support for this tranche, owing to its continued paydown and senior position in the current capital structure. "The downgrade of the class E notes reflects the continued decrease in credit support and deferral of interest for the class E notes since our last review, as well as the increased portfolio concentration. While the number of obligors has fallen to 25 from 52, 'CCC' rated and defaulted assets still comprise about 23.00% of the portfolio. The downgrade also reflects the results of our cash flow analysis and largest-obligor test, which are failing at the 'CCC' category for this class. "With the continued deferral of interest and deterioration in credit support for the class E notes, we now believe the total value of the assets is not sufficient to cover the principal and deferred interest balance for this class. Therefore, we lowered the rating on class E to 'CC (sf)' because we believe there is a virtual certainty of nonpayment. "For CLO tranches with ratings of 'B-' or lower, we rely primarily on our 'CCC' criteria and guidance. In our view, if the 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. On the other hand, if we believe a tranche has a virtual certainty of nonpayment, regardless of the time to default, we would generally assign a 'CC' rating. "Our affirmation of the class D notes reflects our view that the credit support available is commensurate with the current rating level. Additionally, we affirmed our 'CC (sf)' rating on the class F notes because of a further decline in credit support for this tranche and, in our view, a continued virtual certainty of nonpayment." Simultaneous upgrades and downgrades in the same transaction are not uncommon. This is particularly true for transactions in their amortization phase where senior note paydowns have boosted credit support for mezzanine tranches but increased concentration and negative rating migration in the portfolio are hurting more junior tranches as the CLO starts amortizing. S&P said, "On a standalone basis, our cash flow analysis indicates higher ratings for the class C-R and D notes. However, we note that the portfolio still has a high exposure to assets rated in the 'CCC' category. Additionally, the results of our largest obligor test for class D constrains the rating at the current 'B+ (sf)' level. "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 Hull Street CLO Ltd./Hull Street CLO LLC Class C-R: to 'AA+ (sf)' from 'A+ (sf)' Rating Lowered Hull Street CLO Ltd./Hull Street CLO LLC Class E: to 'CC (sf)' from 'CCC- (sf)' Ratings Affirmed Hull Street CLO Ltd./Hull Street CLO LLC Class D: 'B+ (sf)' Class F: 'CC (sf)' INVESCO CLO 2022-2: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Invesco CLO 2022-2 Ltd./Invesco CLO 2022-2 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 Invesco CLO Equity Fund 3 L.P., a subsidiary of Invesco Senior Secured Management Inc. The preliminary ratings are based on information as of June 1, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Invesco CLO 2022-2 Ltd./Invesco CLO 2022-2 LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $12.00 million: Not rated Class B, $44.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes(i), $39.50 million: Not rated (i)The transaction will also issue class Y notes to the holders of the subordinated notes. The class Y notes will have a notional balance of $3.95 million; however, no interest or principal will be paid on the notional balance, but payments will be made to the holders of these notes in an amount equal to 0.10% per annum multiplied by the fee basis amount, and will be paid according to the payment priorities. JP MORGAN 2012-C8: S&P Lowers Class G Certs Rating to 'CCC (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on six other classes and discontinued our rating on class A-SB from the same transaction. Rating Actions S&P said, "We downgraded classes D, E, F, and G, reflecting our reevaluation of the Gallery at Harborplace (14.0%), the largest nondefeased loan in the pool. Given the observed performance decline at the property, as well as the borrower's inability to pay off the loan by its May 2022 maturity date, we have revised our sustainable net cash flow (NCF) to be in line with the servicer's reported NCF for the year ended 2021 (further discussed below). Further, the downgrades on classes F and G also reflect the high pool level loan-to-value of 107.0%, as calculated by S&P Global Ratings. As a result, we believe these classes are susceptible to principal losses, as well as potential liquidity reduction (class F) and interruption (class G), in the event loans are transferred to special servicing, which may result in special servicing fees and appraisal subordinate entitlement reduction (ASER) amounts. As almost all of the pool's loans are scheduled to mature in 2022, we are concerned about the potential for the higher-quality loans to repay, leaving the transaction backed by a lower-quality asset pool with a higher propensity to experience maturity default and special servicing transfers. "The affirmations on classes A-3 and A-S reflect our view that the current ratings are in line with the model-indicated ratings. While the model-indicated ratings for classes B and C were higher than the classes' current rating levels, we affirmed their ratings considering the pool's exposure to the Gallery at Harborplace loan, as well as two additional watchlist loans of concern (19.0%) in the pool, Ashford Office Complex and Hotel Sorella CITYCENTRE. "We affirmed our 'AAA (sf)' rating on the class X-A interest-only (IO) certificates based on our criteria for rating IO securities, which states that the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount on class X-A references the aggregate balances of classes A-1, A-2, A-3, A-SB, and A-S. Classes A-1, A-2, and now A-SB have been repaid in full. The affirmation on the class EC exchangeable certificates reflects the lowest rating of the certificates for which it can be exchanged. The class EC exchangeable certificates can be exchanged for a ratable portion of classes A-S, B, and C. "Finally, we discontinued our rating on class A-SB following the full paydown of the class, as confirmed by the May 2022 remittance report. "We will continue to monitor the transaction's performance, specifically any developments around the watchlist loans and the pool's volume of 2022 loan maturities, especially in August and September 2022. To the extent future developments differ meaningfully from our underlying assumptions, we will take further rating actions as we deem necessary." Transaction Summary As of the May 2022 trustee remittance report, the collateral pool balance was $485.8 million, which is 42.7% of the pool balance at issuance. The pool currently includes 22 loans, down from 43 loans at issuance. As of the May 2022 remittance report, no loans are with the special servicer and eight loans ($222.6 million, 45.8%) are on the master servicer's watchlist. There are also five defeased loans ($145.5 million, 29.9%) in the pool. Excluding the five defeased loans and using adjusted servicer-reported numbers, we calculated a 1.25x S&P Global Ratings weighted average debt service coverage (DSC) and 107.0% S&P Global Ratings weighted average loan-to-value (LTV) ratio when applying an 8.18% S&P Global Ratings weighted average capitalization rate. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $291.5 million (60.0%). Loan details Gallery at Harborplace loan (14.0% of the pooled trust balance) This the largest nondefeased loan in the pool, with a current balance of $67.9 million, and it is currently on the master servicer's watchlist. The loan is secured by a 406,594-sq.-ft. mixed-use property built in 1987 in Baltimore, Md. The property consists of three components: a 15-story (floors 14-28), 267,100-sq.-ft. office tower, a four-story 139,494 sq. ft. retail center, and an interest in a five-level subterranean garage containing 1,169 parking spaces. The loan was placed on the master servicer's watchlist due to a low reported DSC (0.57x as of December 2021, down from 0.71x as of December 2020). The low DSC is primarily due to a decline in occupancy. Occupancy was 77.0% in 2018, 79.0% in 2019, and 68.0% in 2020, and fell further to 58.0% in 2021. The property's reported NCF has exhibited a declining trend: $8.2 million in 2018, $7.0 million in 2019, $3.8 million in 2020, and $3.1 million in 2021. According to information provided by the servicer, the property was 41.2% occupied as of June 2021 and increased to 58.0% in December 2021. The loan was scheduled to mature in May 2022, but the borrower failed to pay off the loan at maturity. The borrower has indicated that its financing has been delayed and the master servicer has indicated it would transfer the loan to the special servicer if a commitment letter is not provided within 60 days of maturity. The retail space was primarily vacant as of December 2021, and it is S&P's understanding that the borrower is attempting to repurpose the retail space to office space and market the spaces as such. Some of the major tenants at the property include SPACES (39,384 sq. ft., 9.7% of NRA), Barton & Wilmer Niles (21,835 sq. ft., 5.4%), Cigna Health and Life (21,417 sq. ft., 5.3%), Branch Bank & Trust Company (17,216 sq. ft., 4.2%), and Lupin Pharmaceuticals (17,216 sq. ft., 4.2%). In addition, per CoStar, Wells Fargo has signed a lease for 17,335 sq. ft. of office space in February 2022, with move-in expected in November 2022, although details on the lease are not currently available. S&P said, "Given the observed decline in occupancy and financial performance, as well as the loan not paying off at its scheduled maturity, we revised our sustainable NCF to $3.7 million (down 49.0% from our August 2021 last review), reflecting our adjusted servicer-reported NCF for 2021. Applying an S&P Global Ratings capitalization rate of 8.00% (increased from 7.69% at last review and at issuance, given the change in property type to full office space), we derived an S&P Global Ratings value of $46.8 million ($115 per sq. ft.), a 145.3% S&P Global Ratings LTV, and a 0.69x S&P Global Ratings DSC." Details on the two large watchlist loans of concern are as follows: Ashford Office Complex loan (10.3% of the pooled trust balance) This is the second-largest nondefeased loan in the pool, with a balance of $50.3 million, and it is currently on the servicer's watchlist. The loan is secured by an office complex comprising 569,986 sq. ft. across three class B office buildings built in 1980 in Houston, Texas. The portfolio is located within Houston's energy corridor. The loan was placed on the servicer's watchlist due to a low reported DSC (0.62x as of December 2021, down from 0.75x as of December 2020). The low DSC is primarily due to a decline in occupancy. Occupancy at issuance was 94.0% and started declining to 84.0% in 2016, 59.0% in 2017, and 51.0% in 2018, before rising slightly to 54.0% in 2019 and dropping again to 53.0% in 2020, before falling to 47.0% in 2021. The property's reported NCF has also exhibited an overall declining trend: $3.4 million in 2018, $2.0 million in 2019, $2.9 million in 2020, and $2.4 million in 2021. The property's financial performance has been declining since 2016, likely as a result of oil prices crashing in 2015, leading to a wave of tenant bankruptcies and lower capital expenditures in the energy field. The property's submarket operates specifically as an energy hub in Houston. Some of the major tenants at the property include Spire Engineering Services LLC (82,533 sq. ft., 14.5% of NRA), Sulzer GTC Technology US (41,846 sq. ft., 7.3%), Intermor (20,923 sq. ft., 3.7%), Afterbum Coaching LLC (9,643 sq. ft., 1.7%), and Expanse Electric (7,411 sq. ft., 1.3%). S&P said, "At the time of our last full review, we revised our sustainable NCF downward to $2.6 million (down 50.8% from issuance), in line with the servicer-reported NCF from year-end 2019, given the observed decline in occupancy and financial performance. At this time, we have not adjusted our sustainable NCF given that recent performance remains in line with our assumed sustainable NCF. Applying an S&P Global Ratings capitalization rate of 7.50% (unchanged from last review and at issuance), we derived an S&P Global Ratings value of $34.5 million ($60 per sq. ft.), a 145.9% S&P Global Ratings LTV, and a 0.67x S&P Global Ratings DSC." Hotel Sorella CITYCENTRE loan (8.6% of the pooled trust balance) This is the third-largest nondefeased loan in the pool, with a balance of $41.9 million, and it is currently on the servicers' watchlist. Hotel Sorella CITYCENTRE (now called the Moran Hotel) is a 244-room, full-service, upscale hotel located in Houston, Texas, which opened in late 2009. The loan was placed on the servicer's watchlist due to a low reported DSC (0.37x as of December 2021, up from (0.56)x as of December 2020). The low DSC is primarily due to a decline in occupancy and impact from the pandemic. Occupancy was 75.0% in 2018, 76.0% in 2019, and then fell to 29.0% in 2020, before increasing to 42.0% in 2021. The property's reported NCF has also exhibited a decline in 2020 and has begun to increase for 2021: $4.9 million in 2018, $4.8 million in 2019, $(1.8 million) in 2020, and $1.2 million in 2021. According to information provided by the servicer, the property was reporting year-to-date September 2021 NCF of $(0.2 million) and subsequently ended the 2021 year at $1.2 million, indicating a strong performance in the fourth quarter. The servicer indicated that per the borrower, business operations have picked up significantly at the end of 2021/early 2022. The property is currently cash managed with a hard lockbox and the current excess cash flow reserve balance as of May 2022 is at $1.4 million. S&P said, "At the time of last full review, we had revised our sustainable NCF downward to $4.8 million (down 7.7% from issuance), in line with the servicer-reported NCF from year-end 2019, given the observed decline in occupancy and financial performance and concerns from the pandemic. At this time, we have not adjusted our sustainable NCF due to the recent performance in the 2021 fourth quarter. Applying an S&P Global Ratings capitalization rate of 10.5% (unchanged from last review and increased from 9.0% used at issuance), we derived an S&P Global Ratings value of $45.9 million ($180,191 per unit), a 91.2% S&P Global Ratings LTV, and a 1.46x S&P Global Ratings DSC." Losses To date, the transaction has not experienced any principal losses. Additionally, no loans are currently with the special servicer. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 Commercial mortgage pass-through certificates Class D: to 'BBB (sf)', from 'A- (sf)' Class E: to 'BB- (sf)', from 'BBB- (sf)' Class F: to 'B- (sf)', from 'BB (sf)' Class G: to 'CCC (sf)', from 'B (sf)' Ratings Affirmed J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 Commercial mortgage pass-through certificates Class A-3: AAA (sf) Class A-S: AAA (sf) Class B: AA+ (sf) Class C: A+ (sf) Class X-A: AAA (sf) Class EC: A+ (sf) Rating Discontinued J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 Commercial mortgage pass-through certificates Class A-SB: to NR from 'AAA (sf)' NR--Not rated. JP MORGAN 2013-C13: S&P Affirms B+ (sf) Rating on Class F Certs --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on nine classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-C13, a U.S. CMBS transaction. Rating Actions S&P said, "The affirmations on classes A-4, A-SB, A-S, and B reflect our view that the ratings are in line with the model-indicated ratings. For classes C through F, the model-indicated ratings were higher than the current rating levels, but we affirmed the ratings considering the pool's exposure to the IDS Center loan, which has exhibited deteriorating performance, as well as the likelihood of potential adverse selection. As the entire collateral pool is scheduled to mature in 2023, we are concerned about the potential for the higher-quality loans to repay, leaving the transaction backed by a lower-quality asset pool with a higher propensity to experience maturity default and special servicing transfers. "We affirmed our 'AAA (sf)' rating on the class X-A interest-only (IO) certificates based on our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. Class X-A's notional amount references classes A-1 through A-S. "We will continue to monitor the transaction's performance, including the IDS Center loan and the pool's volume of 2023 loan maturities. To the extent future developments differ meaningfully from our underlying assumptions, we will take further rating actions as we deem necessary." Transaction Summary As of the May 2022 trustee remittance report, the collateral pool balance was $568.5 million, which is 59.1% of the pool balance at issuance. The pool currently includes 31 loans, down from 45 loans at issuance. Three loans ($95.5 million, 16.8%) are on the master servicer's watchlist and there are also 11 defeased loans ($193.1 million, 34.0%) in the pool. S&P calculated a 1.91x S&P Global Ratings weighted average debt service coverage (DSC) and 76.7% S&P Global Ratings weighted average loan-to-value (LTV) ratio when applying a 7.77% S&P Global Ratings weighted average capitalization rate. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $325.4 million (57.2%). Loan details Details on the loan with the materially revised S&P Global Ratings net cash flow (NCF) and valuation is noted below: IDS Center loan (14.1% of the pooled trust balance) This the second-largest nondefeased loan in the pool. The trust loan, with a current balance of $80.0 million, is currently on the master servicer's watchlist. The trust loan represents 50.7% of the total A-note balance (the other 49.3% is held outside of the trust in JPMBB 2013-C12 [rated by S&P Global Ratings]; all performance figures referenced herein are whole-loan based). The loan is secured by a 1.4-million-sq.-ft. class A multi-tenant office and retail complex in Minneapolis, Minn. The loan was placed on the servicer's watchlist due to a low reported DSC (1.18x as of December 2021, down from 1.25x as of December 2020). The low DSC is primarily due to a decline in occupancy. Occupancy was 84.0% in 2018, and fell to 80.0% in 2019, 73.0% in 2020, and then increased slightly to 74.0% in 2021. The property's reported NCF has exhibited a declining trend: $17.4 million in 2018, $16.6 million in 2019, $13.0 million in 2020, and $12.3 million in 2021. As of the March 2022 rent roll, the property was 75.4% occupied. Some of the major tenants at the property include Lathrop GPM LLP (100,198 sq. ft., 7.1% of NRA), Taft Stettiius & Hollister LLP (93,463 sq. ft., 6.6%), Ballard Spahr (81,041 sq. ft., 5.7%), Hays Companies Inc. (64,767 sq. ft., 4.6%), and Bank of America (33,985 sq. ft., 2.4%). Given the observed decline in occupancy and financial performance, we revised our sustainable NCF to $12.3 million (down 24.4% from our September 2021 last review) in line with the servicer-reported NCF. Applying a capitalization rate of 7.5% (unchanged from our last review and at issuance), S&P derived an S&P Global Ratings value of $164.4 million and a 96.3% S&P Global Ratings LTV on the whole loan. Losses To date, the transaction has not incurred any principal losses. There are currently no loans in special servicing. COVID Risk 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. While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, S&P's current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses, and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, S&P does not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, it continues to assess how well each issuer adapts to new waves in its geography or industry. Ratings Affirmed J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-C13 Commercial mortgage pass-through certificates Class A-4: AAA (sf) Class A-SB: AAA (sf) Class A-S: AAA (sf) Class B: AA+ (sf) Class C: A+ (sf) Class D: BBB+ (sf) Class E: BB+ (sf) Class F: B+ (sf) Class X-A: AAA (sf) JP MORGAN 2018-ASH8: S&P Cuts X-EXT Certs Rating to 'BB-(sf)' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on seven classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8, a U.S. CMBS transaction. This transaction is backed by a floating-rate, interest-only (IO) mortgage loan secured by the borrower's fee and leasehold interest in eight full-service hotels located in Oregon, California, Florida, Virginia, Minnesota, and Maryland. Rating Actions The downgrades of classes A, B, C, and D, as well as the further downgrades of classes E and F, reflect S&P's reevaluation of the eight-hotel portfolio that secures the sole loan in the transaction. S&P said, "Our analysis included a review of the most recent available borrower information provided by the master servicer, which included property-level financial statements for the trailing 12 months (TTM) ending February 2022, annual operating statements dating back to 2015, the property budgets for 2022, STR performance data for each hotel and its respective competitive set, the updated appraisal values, and our assessment that corporate transient and meeting/group demand at the properties has been adversely impacted by the onset of the COVID-19 pandemic. Specifically, the downgrades reflect our concern that the portfolio will continue to exhibit stressed net cash flow (NCF) performance because the TTM NCF as of February 2022 is 67% below 2019 levels and the sponsor projects the 2022 NCF to be 35% below 2019 NCF levels." Prior to the pandemic, revenue per available room (RevPAR) across the portfolio declined each year to $152.17 in 2017 and $147.11 in 2018 from $149.62 in 2016 and then notched slightly back up 1% to $149.13 in 2019. Due to the COVID-19 pandemic, RevPAR declined by 50% in 2020 to $49.53 from $149.13 in 2019. As of the TTM ending February 2022, RevPAR rebounded to $88.83 but is still 40% below the 2019 pre-pandemic level and 38% below S&P's assumption at issuance and in the last review in July 2020. S&P said, "Our review of the portfolio's recent performance as well as its projected performance led us to revise our long-term NCF expectations due, in large part, to the reductions in achieved occupancy and average daily rate (ADR) across the portfolio. We believe these decreases were driven in large part by the effects of the pandemic, the fact that four of the hotels derive significant demand from adjacent airports, and by what may be a more permanent shift in the performance of certain hotels, particularly the Sheraton Minneapolis. "In our analysis, we considered that the portfolio's underlying NCF declined to $33.7 million in 2019 from $37.2 million in 2018 and $39.6 million in 2017. The NCF was negative $2.9 million in 2020, and while it improved to $11.5 million in the TTM ending February 2022, both figures are dramatically lower than the $33.7 million achieved in 2019 and $32.9 million sustainable NCF we derived in the last review and at issuance. We also noted that one property (Key West Crowne Plaza La Concha) accounted for 85% of the NCF of $11.5 million for the TTM ending February 2022 compared to 18% of total NCF in 2019. Within the portfolio, three properties have negative NCF (Embassy Suites Santa Clara, Embassy Suites Crystal City, and Sheraton Minneapolis West) as of the TTM ending February 2022. "In consideration of the above, our expected-case valuation of $264.8 million, or $134,844 per guestroom, reflects a decline of 14.7% since our last review in July 2020, driven largely by the lower S&P Global Ratings' sustainable NCF to account for the aforementioned challenges facing the portfolio. "In our current analysis, we revised our RevPAR and sustainable NCF to $132.78 and $27.9 million, respectively, down from $135.29 and $32.6 million at issuance and in the last review. We also revised our expense assumptions, as we noticed expenses trending upward. The two areas that have the largest expense increase since issuance are property insurance and rooms expense. We applied a weighted average S&P Global Ratings' capitalization rate of 10.41%, the same as in our last review (but up from 9.41% at issuance), with a resulting expected-case valuation of $264.8 million ($134,844 per guestroom) and an S&P Global Ratings' loan-to-value (LTV) ratio of 149.20%. The debt service coverage (DSC) is 0.98x (using the LIBOR cap of 4.00% plus the 3.07% spread, and S&P Global Ratings' NCF). "At issuance, the appraised value of the portfolio was $523.1 million ($266,344 per guestroom). Following the loan's transfer to the special servicer in April 2020, new appraisals dated as of July 2020 concluded to a revised portfolio "as-is" value of $460.8 million ($234,623 per guestroom), approximately 12% below the issuance levels. Our revised S&P Global Ratings value of $264.8 million is 49% below the original appraised value and 43% below the July 2020 appraised value." Although the model-indicated ratings were lower than the revised rating levels for classes B, C, D, and E, S&P tempered its downgrades on these classes because we weighed certain qualitative considerations, including: -- The potential that the operating performance of the lodging portfolio could improve above our revised expectations; -- The significant market value decline (based on the July 2020 appraisal value of $460.8 million) that would be needed before these classes experience losses; -- The liquidity support provided in the form of servicer advancing; and -- The relative subordination of each class within the payment waterfall. S&P lowered its rating on the class X-EXT 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-EXT certificates references classes A, B, C, and D. Following its transfer to the special servicer in April 2020 due to imminent payment default, the loan was modified in January 2021. Per the terms of the modification, the borrower paid all delinquent debt service from April 2020 through December 2020, an amount totaling $7.7 million. Additionally, the borrower funded reserve deposits for property taxes and ground lease payments. The agreement also modified the terms of the remaining two extension options. The debt yield required to extend the loan in 2023 was lowered to 8.50% (versus 10.25% at issuance), and the debt yield test to extend the loan in 2024 was lowered to 9.25%. In January 2021, the loan was modified and returned to the master servicer as a corrected mortgage, and it has remained current on its obligations since. Property-Level Analysis The collateral portfolio consists of eight full-service hotels comprising 1,964 guestrooms. Seven of the hotels are operated under three different nationally-recognized brands: Hilton Embassy Suites (four hotels), Marriott Sheraton (one hotel), and IHG Crowne Plaza (one hotel). The Historic Inns of Annapolis is unflagged. The eight hotels in the portfolio are: -- Embassy Suites Portland Downtown--276 guestrooms, opened in 1912, -- Embassy Suites Santa Clara--257 guestrooms, opened in 1985, -- Hilton Orange County Costa Mesa--486 guestrooms, opened in 1987, -- Key West Crowne Plaza La Concha--160 guestrooms, opened in 1925, -- Embassy Suites Crystal City--267 guestrooms, opened in 1985, -- Embassy Suites Orlando Airport--174 guestrooms, opened in 1999, -- Sheraton Minneapolis West--220 guestrooms, opened in 1985, and -- Historic Inns of Annapolis--124 guestrooms, opened in 1776. The hotels continue to be managed by Remington Lodging & Hospitality LLC (Remington), an entity related to the sponsor, Ashford Hospitality Trust Inc. Three of the hotels' franchise agreements expire in 2023 (Embassy Suites Santa Clara, Embassy Suites Crystal City, and Embassy Suites Orlando Airport), and one expires in 2025 (Key West Crowne Plaza La Concha). The remaining four franchised hotels have agreements expiring in 2030 or later. The franchise fees generally consist of a monthly royalty fee of 5.0%-6.0% of rooms revenue, a monthly marketing assessment of 2.5%-4.0% of rooms revenue, and a monthly reservation fee. From 2015 to 2017, the sponsor spent approximately $21.8 million ($11,091 per key) on upgrades to rooms, lobbies, and common areas within the portfolio. The capital expenditure projects were distributed fairly evenly across the portfolio on a per property basis. S&P requested additional information regarding capital expenditure plans from the servicer. At this time, no information surrounding capital expenditures has been provided. The collateral exhibited declining performance prior to the COVID-19 pandemic. The portfolio's RevPAR was $152.17 in 2017, $147.11 in 2018, and $149.13 in 2019. The reported NCF was $40.0 million in 2017 and $37.9 million in 2018 and then declined to $34.5 million in 2019, driven mainly by a reduction in occupancy and an increase in expenses. In 2020, RevPAR was $49.43, and the portfolio reported a negative $2.9 million NCF due to the impact of the pandemic when demand was severely depressed and portfolio occupancy dropped to 33%. Based on sponsor-provided financials, the portfolio reported a RevPAR of $88.83 per the TTM ended February 2022 and NCF of $11.5 million in 2021 (of which 85% was generated from one property, Key West Crowne Plaza La Concha). The portfolio's 2022 budget forecasts a 67% occupancy, $173.37 ADR, $119.18 RevPAR, and $22.3 million NCF. S&P said, "To account for the portfolio's pre-pandemic performance decline as well as the longer duration likely needed for demand at these properties to rebound due to their market mix and locations, we have revised our valuation assumptions by using a lower occupancy rate of 80% (compared to 82% at issuance and last review) and while maintaining an ADR of $166.00, in line with the $166.00 at issuance and last review, to derive an S&P Global Ratings' sustainable NCF of $27.9 million, which is 15% lower than our last review in July 2020 and at issuance. In reviewing the portfolio's performance, we also noted an increase in rooms-related expense and thus adjusted our rooms expense upward. We also assumed a higher insurance expense based on the upward trending historical data and the budget provided by the sponsor. "We divided this revised sustainable NCF by an S&P Global Ratings' capitalization rate of 10.41% (unchanged from our last review but up from 9.41% at issuance), arriving at our expected-case value of $264.8 million ($134,844 per guestroom), which is down 14.7% from our last review value of $310.3 million and 22.9% from our issuance value of $343.5 million. "Our value is 49.3% below the most recent appraised value of $523.1 million ($266,344 per guestroom) completed in October 2017." Transaction Summary This is a U.S. stand-alone, single-borrower CMBS transaction backed by a floating-rate, interest-only mortgage loan secured by the borrower's fee and leasehold interests in eight full-service hotels located in Oregon, California, Florida, Virginia, Minnesota, and Maryland. According to the May 16, 2022, trustee remittance report, the loan has a trust balance of $395 million, equal to the balance at issuance. The loan originally had an initial two-year term with five one-year extension options. The loan currently pays a per annum floating rate equal to one-month LIBOR plus 3.07%, following a contractual increase of 15 basis points from issuance per the terms of an earlier extension. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the 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 Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 Class A to 'AA- (sf)' from 'AAA (sf)' Class B to 'A- (sf)' from 'AA- (sf)' Class C to 'BBB- (sf)' from 'A- (sf)' Class D to 'BB- (sf)' from 'BBB- (sf)' Class E to 'B- (sf)' from 'B (sf)' Class F to 'CCC- (sf)' from 'CCC (sf)' Class X-EXT to 'BB- (sf)' from 'BBB- (sf)' JP MORGAN 2022-6: Fitch Assigns 'Bsf' Rating on Class B-5 Debt -------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2022-6 (JPMMT 2022-6). DEBT RATING PRIOR ---- ------ ----- JPMMT 2022-6 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-2-A LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-B LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-B LT AAAsf New Rating AAA(EXP)sf A-5-C LT AAAsf New Rating AAA(EXP)sf A-5-D LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-B LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-B LT AAAsf New Rating AAA(EXP)sf A-7-C LT AAAsf New Rating AAA(EXP)sf A-7-D LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-B LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-B LT AAAsf New Rating AAA(EXP)sf A-9-C LT AAAsf New Rating AAA(EXP)sf A-9-D LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-A LT AAAsf New Rating AAA(EXP)sf A-10-B LT AAAsf New Rating AAA(EXP)sf A-10-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-A LT AAAsf New Rating AAA(EXP)sf A-11-B LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-12-A LT AAAsf New Rating AAA(EXP)sf A-12-B LT AAAsf New Rating AAA(EXP)sf A-12-X LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-A LT AAAsf New Rating AAA(EXP)sf A-13-B LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-A LT AAAsf New Rating AAA(EXP)sf A-14-B LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-15-A LT AAAsf New Rating AAA(EXP)sf A-15-B LT AAAsf New Rating AAA(EXP)sf A-15-X LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-16-A LT AAAsf New Rating AAA(EXP)sf A-16-B LT AAAsf New Rating AAA(EXP)sf A-16-X LT AAAsf New Rating AAA(EXP)sf A-17 LT AA+sf New Rating AA+(EXP)sf A-17-A LT AA+sf New Rating AA+(EXP)sf A-18 LT AA+sf New Rating AA+(EXP)sf A-18-A LT AA+sf New Rating AA+(EXP)sf A-19 LT AA+sf New Rating AA+(EXP)sf A-19-A LT AA+sf New Rating AA+(EXP)sf A-19-B LT AA+sf New Rating AA+(EXP)sf A-20 LT AA+sf New Rating AA+(EXP)sf A-X-1 LT AA+sf New Rating AA+(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AA+sf New Rating AA+(EXP)sf A-X-3-A LT AA+sf New Rating AA+(EXP)sf A-X-3-B LT AA+sf New Rating AA+(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2022-6 (JPMMT 2022-6) as indicated above. The certificates are supported by 465 loans with a total balance of approximately $506.03 million as of the cutoff date. The pool consists of prime-quality fixed-rate mortgages from various mortgage originators. The pool consists of loans originated by United Wholesale Mortgage (48.6%), loanDepot.com (29.5%), and the remaining 21.9% of the loans are originated by various originators each contributing less than 10% to the pool. The loan level representations and warranties are provided the various originators, or Maxex of Verus (aggregators). NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint Mortgage Servicing (Shellpoint), will act as interim servicer for approximately 21.3% of the pool from the closing date until the servicing transfer date, which is expected to occur on or about July 1, 2022. After the servicing transfer date, these mortgage loans will be serviced by JPMorgan Chase Bank, National Association (JPMCB). Since JPMCB will service these loans after the transfer date, Fitch performed its analysis assuming JPMCB is the servicer for these loans. JPMCB is also the servicer for 1.04% of the loans, which they are currently servicing. Other servicers in the transaction include United Wholesale Mortgage, LLC (servicing 48.6% of the loans) and loanDepot.com, LLC (servicing 29.1% of the loans). Nationstar Mortgage LLC (Nationstar) will be the master servicer. All of the loans qualify as safe-harbor qualified mortgage (SHQM), agency SHQM, or QM safe-harbor (average prime offer rate [APOR]). There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based off of 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 9.5% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since 1Q22). Underlying fundamentals are not keeping pace with growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.2% yoy nationally as of December 2021. High Quality Mortgage Pool (Positive): The pool consists of very high quality, fixed-rate, fully amortizing loans with maturities of 30 years. All of the loans qualify as SHQM, agency SHQM, or QM safe-harbor (APOR). The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of seven months, according to Fitch (five months per the transaction documents). The pool has a weighted average (WA) original FICO score of 763, as determined by Fitch, which is indicative of very high credit-quality borrowers. Approximately 68.0% (as determined by Fitch) of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 72.1%, translating to a sustainable loan-to-value (sLTV) ratio of 77.0%, represents substantial borrower equity in the property and reduced default risk. A 96.0% portion of the pool comprises nonconforming loans, while the remaining 4.0% represents conforming loans. All of the loans are designated as QM loans, with 52.3% of the pool being originated by a retail and correspondent channel. Of the pool, 100.0% is comprised of loans where the borrower maintains a primary residence. Single-family homes, planned unit developments (PUDs) and single-family attached dwellings constitute 92.7% of the pool; condominiums and co-ops make up 6.4%; and multifamily homes make up 0.9%. The pool consists of loans with the following loan purposes: purchases (49.9%), cashout refinances (31.4%) and rate-term refinances (18.7%). A total of 226 loans in the pool are over $1 million, and the largest loan is $2.98 million. Fitch determined that four of the loans were made to nonpermanent residents. Of the pool, 49.4% is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (17.4%), followed by the San Francisco-Oakland-Fremont, CA MSA (11.2%) and the San Jose-Sunnyvale-Santa Clara, CA MSA (5.1%). The top three MSAs account for 34% of the pool. As a result, there was no probability of default (PD) penalty applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent P&I on loans that enter into a coronavirus pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 1.60% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.10% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.1% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Digital Risk, Covius, and Opus. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.27% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Digital Risk, Covius and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS JPMMT 2022-6 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk due to strong due diligence results on 100% of the pool, an 'Above Average' aggregator, the majority of the pool being originated by an 'Above Average' originator, and 22% of the pool being serviced by 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. JPMDB COMMERCIAL 2016-C4: Fitch Affirms B- Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 12 classes of JPMDB Commercial Mortgage Securities Trust 2016-C4 commercial mortgage passthrough certificates. The Rating Outlook for class E has been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- JPMDB 2016-C4 A-2 46646RAH6 LT AAAsf Affirmed AAAsf A-3 46646RAJ2 LT AAAsf Affirmed AAAsf A-S 46646RAN3 LT AAAsf Affirmed AAAsf A-SB 46646RAK9 LT AAAsf Affirmed AAAsf B 46646RAP8 LT AA-sf Affirmed AA-sf C 46646RAQ6 LT A-sf Affirmed A-sf D 46646RAB9 LT BBB-sf Affirmed BBB-sf E 46646RAC7 LT BB-sf Affirmed BB-sf F 46646RAD5 LT B-sf Affirmed B-sf X-A 46646RAL7 LT AAAsf Affirmed AAAsf X-B 46646RAM5 LT AA-sf Affirmed AA-sf X-C 46646RAA1 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Performance and Improved Loss Expectations: Fitch's loss expectations for the pool have improved since the prior rating action. The Outlook revision on class E reflects better than expected 2021 performance on some of the Fitch Loans of Concern (FLOCs) and larger loans in the pool that were expected to be adversely affected by the pandemic. Fitch has designated eight FLOCs (20.7% of pool), including one loan (2.4%) in special servicing. Fitch's current ratings reflect a base case loss of 4.9%. Fitch Loans of Concern: The largest contributor to expected losses is the Fresno Fashion Fair Mall (5.6%), which is secured by the 561,989 sf portion of an 835,416 sf regional mall located in Fresno, CA. Non-collateral tenants include Macy's (Women's & Home, and Men's & Children's Stores), BJ's Restaurant and Brewhouse, Chick-fil-A and Fleming's. The largest collateral tenants include JCPenney (27.4% of NRA, lease expiry in November 2022), H&M (3.4%, January 2027), Victoria's Secret (2.6%, January 2027), Cheesecake Factory (1.8%, January 2026) and ULTA Beauty (1.8%, August 2027). The mall is demonstrating a strong recovery from the effects of the pandemic. As of YE 2021, occupancy improved to 93% compared to 85% at YE 2020 and 92.5% at YE 2019. In addition, sales are approaching pre-pandemic levels. As of the TTM ended March 2022, comparable inline sales for tenants under 10,000 sf were $701 psf (including Apple) and $605 psf (excluding Apple), up from $590 psf ($472 psf) at the TTM ended September 2020. Inline sales were $765 psf ($617 psf) as of the TTM ended March 2019. Macy's and JCPenney reported sales of $212 psf and $184 psf, respectively, compared to $87 psf and $75 psf as of the TTM ended September 2020 and $241 psf and $230 psf as of the TTM ended March 2019. Fitch's base case loss expectation of approximately 14% reflects an 11% cap rate on the YE 2021 NOI. The only loan in special servicing and second largest contributor to expected losses is the 100 East Wisconsin Avenue loan (2.4%). The loan is secured by a 435,629 sf office building located in downtown Milwaukee, WI. This loan transferred to the special servicer in May 2020 due to a pandemic-related relief request and imminent default. According to the sponsor, net cash flow declined due to the largest tenant vacating and other tenants requesting pandemic-related rent relief. The sponsor has requested a loan modification. The servicer has appointed a receiver to help stabilize the property while dual tracking continued discussions with the sponsor. Fitch's loss expectations of approximately 25% reflects a value of $91/sf. The third largest contributor to expected losses is the Riverwood Corporate Center I & III loan (2.1%), which is secured by a 180,198-sf suburban office building located in Pewaukee, WI. Per the YE 2021 rent roll, occupancy has declined to 58% due to the loss of several tenants. The loan has remained current while the borrower seeks to fill vacant spaces. Fitch's loss expectations of nearly 26% reflects a value of approximately $80/sf. Minimal Changes in Credit Enhancement: Credit Enhancement (CE) has had minimal changes since issuance. As of the May 2022 distribution date, the pool's aggregate principal balance has been reduced by 5.1% to $1.07 billion, down from $1.12 billion at issuance, resulting in minimal increases in CE to the senior classes. Seven of the largest 15 loans (39.1%), including one defeased loan (Starbucks Center; 6.1%), are full-term interest-only loans. One loan (4.7%) is still in its interest-only period, but the remaining loans in the pool are amortizing. Office Concentration: The pool has an above-average concentration of office properties, accounting for 50.8% of the pool. Fitch-rated transactions in 2016 had an average office concentration of 28.7%. 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/assets. Downgrades to classes rated 'AAAsf' and 'AA-sf' may occur should interest shortfalls affect these classes, or additional loans become FLOCs. Downgrades to classes B and C may occur should expected pool losses increase significantly. Classes D and E may be downgraded should loss expectations increase due to further performance decline for the FLOCs and/or higher than expected realized losses on the specially serviced loan. 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 include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B and C would only occur with significant improvement in credit enhancement and/or defeasance and with the stabilization of performance on the FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. An upgrade of classes D, E and F are not likely until the later years in the transaction and only if performance of the FLOCs have stabilized and the performance of the remaining pool is stable. 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. LONG POINT RE IV: Fitch Assigns 'BB-' Rating to 2022-1 Cl. A Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings to the $575 million Series 2022-1 Class A Principal At-Risk Variable Rate Notes due June 1, 2026, issued by Long Point Re IV Ltd., a registered special purpose insurer in Bermuda. Repayment of principal and payment of interest on the notes will be linked to the occurrence of one or more Covered Events including tropical cyclones, severe thunderstorms, winter storms and earthquakes. DEBT RATING PRIOR ---- ------ ----- Long Point Re IV Ltd. Class A Principal LT BB-sf New Rating BB-(EXP)sf At-Risk Variable Rate Notes due June 1, 2026 TRANSACTION SUMMARY This is the seventh "cat bond" sponsored by The Travelers Companies, Inc. (rated A+/Stable). Noteholders have not experienced any loss on these prior transactions, although there are no assurances of performance with Long Point Re IV. The Series 2022-1 Class A Notes provide four years of indemnity coverage, per occurrence, to various insurance subsidiaries or affiliates of Travelers for the Covered Events due to tropical cyclones, earthquakes, severe thunderstorms and winter storms. The Covered Area is restricted to the northeast U.S. and includes Connecticut, Delaware, District of Columbia, Maine, Maryland, Massachusetts, New Hampshire, New Jersey, New York, Pennsylvania, Rhode Island, Virginia, Vermont and all contiguous waters thereto. The Subject Business consists of personal lines and a subset of commercial lines property coverage provided by Travelers in the Covered Area. The Total Insured Limit of the Subject Business for the transaction is approximately $1.8 trillion, and is split 63% personal insurance and 37% commercial insurance (based on the Initial Data excluding non-modeled exposures). There are four annual risk periods to reflect changes in property exposures. The Modeling Agent, AIR Worldwide Corporation (AIR), will deliver a Reset Report based on the updated Subject Business at the beginning of each respective risk period, with effective Reset Dates scheduled each May of 2023, 2024 and 2025. At the respective Reset Dates, Travelers may elect to lower the attachment point to a dollar amount that results in a Maximum Trigger Probability of 1.848% (50 basis points higher than Initial Modeled Trigger Probability). The Risk Interest Spread will be adjusted to reflect any changes in the risk profile, but subject to a Minimum Risk Interest Spread of 3.81%. The initial Risk Interest Spread is 4.25%. For the first annual risk period, the 2022-1 Notes are exposed to principal loss if Covered Losses exceed the Initial Attachment Amount of $2.2 billion. The notes are totally exhausted if the Loss Amount exceeds the Initial Exhaustion Point of $2.9 billion. In the calculation of the Ultimate Net Loss (UNL), there is a Growth Limitation Factor, which is the lesser of 1.0 and the ratio of the Growth Allowance Factor (1.10) and the Actual Growth Factor. Consistent with previous Long Point Re transactions, loss adjustment expenses are excluded from the Ultimate Net Loss. The repayment of the notes to the note holders occurs subsequent to any qualified payments to Travelers for covered events. Note holders have no recourse against Travelers. The interest spread may be reduced if a Covered Event occurs. The notes may be extended monthly, up to 48 months if certain qualifying events occur; however, they are not exposed to any further catastrophe events during this extension period. At any time, the notes may be redeemed due to defined Early Redemption Events such as clean-up events or regulatory and tax law changes. Travelers also has the option to call the 2022-1 Note on the Early Redemption Dates corresponding to the end of the First, Second and Third Annual Risk Periods (subject to an additional repayment amount). The notes are exposed to Extension Risk (Neutral); under certain scenarios such as if a Covered Event occurs near the expected Redemption date, the notes may not mature until June 1, 2030. This provision is normally invoked when a Covered Event occurs near the Scheduled Redemption Date. AIR is the Catastrophe Risk Modeler (Neutral): The rating analysis supporting the evaluation of the natural catastrophe risk is highly model-driven. As with any model of complex physical systems, particularly those with low frequencies of occurrence and potentially high severity outcomes, the actual losses from catastrophic events may differ from the results of simulation analyses. Fitch is neutral to any of the major catastrophe modeling firms selected by the issuer. Results from other third-party modelers were not provided. Escrowed Models May Not Incorporate Latest Enhancements (Negative): AIR provided the risk analysis using their proprietary software and risk models implemented in Touchstone 9.05 and Touchstone Re 9.0.4. These models will be escrowed and used by AIR in determining any future annual reset. Although a common practice for these types of transactions, the escrow model may not reflect AIR's future methodology enhancements such as weather/climate variability or risk zones. KEY RATING DRIVERS The rating on the notes is determined by using a weakest link approach amongst the catastrophe risk, ceding insurer counterparty risk and permitted investments credit risk. Catastrophe Risk Initial Modeled Trigger Probability Corresponds With a 'BB-' rating (Neutral trait): AIR modeled the one-year attachment probability based on the base case analysis as 1.348%. Modelled results include an assumption of post event demand surge, as well as 5% of separately modeled storm surge for tropical cyclones. The calibration matrix found in Fitch's "Insurance-Linked Securities Rating Criteria" indicates the 'BB-' range as falling between 0.737% to 1.989%. Performance under Sensitivity Test (Neutral): A sensitivity case using AIR's "Warm Sea Surface Temperature Conditional Catalog" increased the attachment probability to 1.432%, which remains in the 'BB-' category. Performance under Historical Events (Positive): AIR modelled historical events based on the current Subject Business. Only two historical events breached the attachment level based on modelled results, including the Great New England storm of 1938 (100% modelled loss of principal) and Hurricane Donna in 1960 (5% loss of principal). Only as a point of reference, Travelers reported total case incurred losses of $803 million for Superstorm Sandy (which included areas outside the Covered Area of this note). A replay of that event for the Covered Area only resulted in a modelled Ultimate Net Loss that reached 31% of the Initial Attachment Amount. Non-Modelled Exposures (Negative): The initial data provided to AIR by Travelers does not include all exposures in the Subject Business that are covered in the transaction, potentially understating investors' exposure to loss. Various ensuing perils and costs related to Covered Events are not explicitly modelled by AIR in its analysis. Additionally, non-modelled exposures included in the reinsurance agreement include subsets of the subject personal lines business, such as personal article floaters, boats and yachts and other additional coverages. Within the subject commercial lines business, examples of non-modelled exposures include auto dealer open lot exposures and various inland marine vehicles. Additional Loss Obligations (Negative): For each Covered Event, losses may include extra contractual obligations (ECO) and losses in excess of policy limits (XPL) owed on the Subject Business, such losses will be limited to a maximum of 25% of the Ultimate Net Losses (excluding the amount attributed to ECO/XPL Losses) for the Covered Event. Losses from Modeled Subject Business Will Lag Ultimate Net Losses (Negative): Based on the historical growth of the Subject Business and ongoing heighted inflation in property values, Fitch expects interim growth in the Ultimate Net Losses (up to 10%), which is not modeled at the onset of the risk period. The basis for measuring growth is the calculation of the modeled Average Annual Loss (AAL) to the covered area, using updated exposure data as of the most recent applicable calendar-quarter end prior to a Covered Event, divided by modelled AAL as of the beginning of the corresponding risk period. In the case of a Covered Event, should the growth in the AAL exceed the growth allowance factor of 1.10, the event UNL will be formulaically scaled down to reflect the stated limitation on growth. Single Risk Cap Reduces Losses (Positive): Over 44% of the commercial business has a Total Replacement Cost in excess of $20 million. However, with respect to each insured, the maximum amount of losses included in Ultimate Net Losses, is initially limited to $20 million (Initial Single Risk Cap). This limit may be increased to no more than $40 million upon any Reset. Ceding Insurer Travelers (and subsidiaries) are highly rated (Positive): The Ceding Insurer(s) (IFS AA) and Travelers (IDR A+) are responsible for the periodic payment of the Risk Interest Spread to Long Point Re IV Ltd., which in turn, is used to pay noteholders. Catastrophe Claims Management (Positive): Travelers primarily utilizes its own personnel in the management of claims in response to a catastrophic event, limiting the use of third-party adjusters and appraisers. Fitch expects that Travelers' claims management sophistication and its use of internal staff to handle catastrophic events to result in more consistently settled claims and limit claims inflation on losses relative to industry peers. With an indemnity trigger, noteholders "follow the fortunes" of Travelers claim experience. Loss Adjustment Expenses Excluded (Positive): Paid losses, and if applicable loss reserves, net of salvage and subrogation will be used in the calculation of UNL. Loss adjustment expenses are excluded from the calculation of UNL, meaning investors in the transaction will not be exposed to the expense associated with investigating and settling claims from a Covered Event. Permitted Investments Highly Rated Qualified Permitted Investments (Positive): Assets held in the Reinsurance Trust Account will be U.S. Money Market Funds (or other highly-rated, short-term securities). Any nominal yield produced by these investments, in addition to the aforementioned Risk Interest Spread, constitutes the variable rate of this note. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: This rating is sensitive to the occurrence of a qualifying natural catastrophe event(s), Travelers' election to reset the notes' expected loss, changes in the data quality, the counterparty rating of Travelers and the rating or performance on the permitted investments held in the Reinsurance Trust Account. If a qualifying covered event occurs that results in a loss of principal, Fitch will downgrade the notes to reflect an effective default. The implied rating of the natural catastrophe risk profile may change if Travelers elects to significantly increase the Maximum Trigger Probability at the Reset Dates, which may affect the rating of the Series 2022-1 Class A Notes. To a lesser extent, the notes may be downgraded if Travelers' credit ratings, or the reinsurance trust account permitted investments were significantly downgraded to a level commensurate to the implied rating of the natural catastrophe risk. Factors that could, individually or collectively, lead to positive rating action/upgrade: At a Reset Date, if Travelers elects to decrease the Maximum Attachment Probability to a point where the implied rating associated with the catastrophe risk improved. Likewise, it is unlikely that the 2022-1 Notes would be rated above Travelers' ratings if the implied rating of the natural catastrophe risk was significantly reduced to those ratings. 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. MORGAN STANLEY 2012-C6: Fitch Cuts Rating on Class H Certs to Csf ----------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed eight classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) commercial mortgage pass-through certificates, series 2012-C6. DEBT RATING PRIOR ---- ------ ----- MSBAM 2012-C6 A-4 61761DAD4 LT AAAsf Affirmed AAAsf A-S 61761DAE2 LT AAAsf Affirmed AAAsf B 61761DAF9 LT AAsf Affirmed AAsf C 61761DAH5 LT Asf Affirmed Asf D 61761DAQ5 LT BBB+sf Affirmed BBB+sf E 61761DAS1 LT Bsf Downgrade BBsf F 61761DAU6 LT CCCsf Downgrade Bsf G 61761DAW2 LT CCsf Downgrade CCCsf H 61761DAY8 LT Csf Downgrade CCsf KEY RATING DRIVERS Greater Certainty of Loss: The downgrades reflect a greater certainty of loss from two regional malls (16.9% of the pool) as they approach their upcoming maturity dates, three specially serviced loans (8.5%), and a retail property with a vacant grocery anchor in the top 15 loans. There are 12 Fitch Loans of Concern (FLOCs; 36.6%), including three specially serviced loans. Fitch's current ratings incorporate a base case loss of 14.6%, which may increase should loans transfer to special servicing if they default at their respective maturity dates. Fitch's ratings also consider scenarios where malls and specially serviced assets are the remaining assets in the pool Fitch Loans of Concern/Specially Serviced Loans: The largest contributor to base case loss is the Greenwood Mall loan (10.1% of the pool), an 849,486-sf regional mall located in Bowling Green, KY, is anchored by JC Penney, Dillard's and Belk. Sears vacated their anchor space in early 2019 and in December 2021 a disaster recovery center operated by the Kentucky Division of Emergency Management and FEMA opened to support people impacted by a recent tornado. The loan transferred to the special servicer in October 2020 for payment default and returned to the master servicer in May 2021 after the loan became current. The comparable inline sales for tenants less than 10,000 sf were approximately $367 as of TTM ended in September 2021 compared with $280 psf as of YE 2020, $356 psf as of YE 2019, $312 psf as of YE 2018 and $342 psf as of the February 2012 TTM. Per the March 2022 rent roll, collateral occupancy was reported at 74.5% compared to 75.1% at March 2021, 80% at YE 2019 and 95% at YE 2018. The property NOI has declined to $6.9 million at YE 2021 compared with $7.3 million at YE 2020 from $9.1 million at YE 2019, $9.9 million at YE 2018 and $10.4 million at YE 2017. The NOI debt service coverage ratio (DSCR) is reported at 1.87x at YE 2021 from 1.97x at YE 2020, 2.45x at YE 2019, 2.69x at YE 2018 and 3.35x at YE 2017. The loan is sponsored by Brookfield Property Partners, which acquired the property and subject loan in August 2018. Fitch modeled a base case loss of 55% which reflects a 26.7% implied cap rate to the YE 2021 NOI which is consistent with similarly performing malls in Fitch's rated portfolio. The second largest contributor to base case loss is the specially serviced 470 Broadway (3.1%), 6,600-sf single tenant retail property located in the Soho neighborhood of Manhattan. The loan transferred to the special servicer in May 2020 due to imminent monetary default when Aldo (lease expiration in December 2023) filed Chapter 15 bankruptcy in May 2020 and has since rejected the lease. There are no prospects to backfill the space. The Foreclosure moratorium in NY has been lifted and the special servicer is proceeding with foreclosure while continuing discussions with borrower on a Deed-in-Lieu. Fitch's base case loss of 89% increased since the prior review reflecting a decline in the appraised value. The third largest contributor to base case loss is the Cumberland Mall (6.8%), a 943,897-sf regional mall located in Vineland, NJ that is anchored by Home Depot, Dicks Sporting Goods, Marshalls, Regal Cinemas, BJ's Wholesale Club, and Boscov's. Burlington vacated when their lease expired in February 2021 and Best Buy extended their lease until 2026. The loan transferred to the special servicer in May 2020 for imminent monetary default and returned to the master servicer in October 2020 after the special servicer provided relief by temporarily waiving reserve payments. The property NOI has increased by 9% at YE December 2021 from YE December 2020 but is down 6.4% compared with YE 2019. DSCR is reported at 1.80x for YE 2021 versus 1.65x at YE 2020, 1.93x at YE 2019, 2.07x at YE 2018 and 1.99x at YE 2017. Per the March 2022 rent roll, collateral occupancy was 93.5% compared to 79% at March 2021, 92% at December 2020, 89% in December 2019, and 93% in December 2018. The majority of the increase in collateral occupancy is due to signing Powerhouse Warehouse (Dec. 31, 2023 lease expiration) in the old Burlington space of 80k sf plus an additional 36k sf to be used as a distribution center that will handle outgoing orders for Cumberland Mall tenants as well as retailers outside the mall. Home Goods also signed a lease until 2033 for the space previously occupied by Bed Bath & Beyond. Toys R US vacated the mall in 2018 and the space remains vacant except for short term tenants. Fitch modeled a base case loss of 40% which reflects a 26.7% implied cap rate to the YE 2021 NOI. Increased Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate balance has been paid down by 49.5% to $567.8 million from $1.12 billion at issuance with 30 of the original 61 loans remaining. The top loan in the pool (22%) is a full-term interest only while all other loans are currently amortizing. Five loans (22.9%) are fully defeased. The pool has experienced no realized losses to date. Interest shortfalls are currently affecting the NR class. Alternative Loss Consideration: Fitch's analysis included a scenario that assumed performing loans pay in full at maturity, and the only remaining loans are the specially serviced assets and the two regional malls given concerns about potential continued performance deterioration and ability of the borrowers to refinance the loans. Fitch also considered a likely scenario where only the two malls remain. The downgrades and Negative Rating Outlooks considered these scenarios. Maturity Concentration: All loans in the pool mature from July through October 2022. 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 super-senior class A-4 is not likely due to the high CE but could occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to classes A-S, X-A, B, C, D, PST, and X-B may occur should overall pool losses increase significantly and if several large loans, particularly Greenwood Mall and Cumberland Mall, have an outsized loss. Further downgrades to class E, F, G, and H would occur should loss expectations increase due to an increase in specially serviced loans, the disposition of a specially serviced loan/asset at a high loss, or a decline in the FLOCs' performance. The Negative Rating Outlooks on classes D and E may be revised back to Stable if the FLOCs payoff at loan maturity, but it is unlikely to occur unless Greenwood Mall and Cumberland Mall successfully repay at maturity. 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. Upgrades of classes B, C, PST, and X-B may occur with further improvement in CE or defeasance but would be limited should the deal be susceptible to a concentration whereby the underperformance of FLOCs could cause this trend to reverse. An upgrade to classes D and E would also consider these factors but would be limited based on sensitivity to concentrations or the potential for future concentration, especially to the two malls. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Fitch considers upgrades to classes F, G and H unlikely but could occur with payoffs of the FLOCs at maturity, namely Greenwood Mall and Cumberland 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. MORGAN STANLEY 2018-H3: Fitch Affirms 'B-' on Class G-RR Debt ------------------------------------------------------------- Fitch Ratings has affirmed 15 ratings of Morgan Stanley Capital I Trust 2018-H3. Fitch has also revised the Rating Outlook on class F-RR to Stable from Negative. The Rating Outlook on class G-RR remains Negative. DEBT RATING PRIOR ---- ------ ----- MSC 2018-H3 A-2 61767YAV2 LT AAAsf Affirmed AAAsf A-3 61767YAX8 LT AAAsf Affirmed AAAsf A-4 61767YAY6 LT AAAsf Affirmed AAAsf A-5 61767YAZ3 LT AAAsf Affirmed AAAsf A-S 61767YBC3 LT AAAsf Affirmed AAAsf A-SB 61767YAW0 LT AAAsf Affirmed AAAsf B 61767YBD1 LT AA-sf Affirmed AA-sf C 61767YBE9 LT A-sf Affirmed A-sf D 61767YAC4 LT BBB-sf Affirmed BBB-sf E-RR 61767YAE0 LT BBB-sf Affirmed BBB-sf F-RR 61767YAG5 LT BB-sf Affirmed BB-sf G-RR 61767YAJ9 LT B-sf Affirmed B-sf X-A 61767YBA7 LT AAAsf Affirmed AAAsf X-B 61767YBB5 LT AA-sf Affirmed AA-sf X-D 61767YAA8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revision to Stable from Negative on class F-RR reflects lower loss expectations and performance stabilization on the pool's hotel properties still recovering from the coronavirus pandemic. Fitch's current ratings reflect a base case loss of 5.0%. The Negative Outlook on class G-RR reflects the continued underperformance of 55 Miracle Mile (2.6%) and Shoppes at Chino Hills (4.1%). Nine loans (20.7%) have been flagged as Fitch Loans of Concern (FLOCs) including one loan that has transferred to special servicing (1.1%). Eight loans have been flagged as FLOCs for high vacancy, upcoming lease expirations, low NOI debt service coverage ratio (DSCR), and/or pandemic-related underperformance. The largest contributor to modelled losses is Shoppes at Chino Hills (FLOC, 4.1%), which is secured by a lifestyle center located in Chino Hills, CA. Previously, the loan was transferred to special servicing in July 2020 for payment monetary default and was modified in October 2020 with terms including bringing the loan current with funds from reserves as well as new equity. The loan was returned to the master servicer as a corrected mortgage loan in late February 2021 and has since remained current. The property was 77.4% occupied in December 2021, down from 85.9% in December 2020 and 95.9% in December 2019. Former largest tenant Jacuzzi Brands (8.6% of NRA; 12% of total base rents) vacated at expiration in September 2021. Despite the occupancy decline, YE 2021 NOI rose 12.8% from YE 2020 due to increased parking income and percentage rent income. Upcoming lease rollover includes 14.4% of NRA in 2022, 33.8% in 2023 and 8.7% in 2024. Fitch's modelled loss of 18.4% considers an 8.8% cap rate and a 10% haircut on YE 2021 NOI to reflect upcoming lease expirations. 55 Miracle Mile (FLOC, 2.6%) is a mixed-use retail/office property located in Coral Gables, FL. Property occupancy has been volatile since issuance; March 2022 occupancy was 72% compared with 67% as of YE 2020, 66% as of YE 2019 and 96% at underwriting. Per the March 2022 rent roll, a number of the new tenants received rent abatements. YE 2021 NOI has fallen 29% from YE 2020 and 38% from underwritten NOI primarily due to the rent abatements and the volatile occupancy. The loan is currently cash managed. Additionally, the subject's second largest tenant, All-Inclusive Collections (NRA 12.4%), lease is scheduled to expire in June 2022. Fitch's expected loss of 16.2% assumes a 9% cap rate and a 10% haircut on YE 2020 NOI to reflect upcoming lease expirations. Minimal Change to Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate principal balance has paid down by 5.1% to $971.6 million from $1.024 billion at issuance. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 6.4%, which is below the 2018 average of 7.2% and the 2017 average of 7.9%. Since Fitch's prior rating action in 2021, one loan prepaid in full for $35 million in principal paydown. Two loans, 6330 West Loop South (5.3%) and University Business Center (1.1%), are scheduled to mature in the next 12 months. Of the remaining pool balance, 26 loans comprising 53.3% of the pool were classified as full interest-only through the term of the loan. 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/assets. Downgrades to classes A-1 through A-S and the interest-only class X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to classes B, C, D, E-RR, X-B and X-D are possible should performance of the FLOCs continue to decline and/or should further loans transfer to special servicing. Classes F-RR and G-RR could be downgraded should the specially serviced loan not return to the master servicer and/or as there is more certainty of loss expectations from other FLOCs. The Rating Outlook on Class G-RR may be revised back to Stable if performance of the FLOCs improves. 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 the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance. Upgrades of the 'BBB-sf' class are 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 'BB-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. OBX TRUST 2022-INV4: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 37 classes of residential mortgage-backed securities (RMBS) issued by OBX 2022-INV4 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of GSE-eligible (100% by balance) residential mortgages aggregated by Onslow Bay, originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: OBX 2022-INV4 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-IO1*, Assigned (P)Aaa (sf) Cl. A-IO4*, Assigned (P)Aaa (sf) Cl. A-IO6*, Assigned (P)Aaa (sf) Cl. A-IO8*, Assigned (P)Aaa (sf) Cl. A-IO10*, Assigned (P)Aaa (sf) Cl. A-IO12*, Assigned (P)Aaa (sf) Cl. A-IO14*, Assigned (P)Aa1 (sf) Cl. A-IO16*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-IO1*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B-IO2*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-3A, Assigned (P)Baa2 (sf) Cl. B-IO3*, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) 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 1.10%, in a baseline scenario-median is 0.81% and reaches 6.65% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. OBX TRUST 2022-NQM5: Fitch Assigns 'B(EXP)' Rating on Cl. B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to OBX 2022-NQM5 Trust (OBX 2022-NQM5). DEBT RATING ---- ------ OBX 2022-NQM5 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed notes issued by OBX 2022-NQM5 Trust (OBX 2022-NQM5) as indicated above. The transaction is scheduled to close on June 3, 2022. The notes are supported by 747 loans with a total unpaid principal balance of approximately $390.8 million as of the cutoff date. The pool consists of fixed-rate mortgages (FRMs) and adjustable-rate mortgages (ARMs) acquired by Annaly Capital Management, Inc. (Annaly) from various originators and aggregators. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-payment structure. The transaction has a stop-advance feature where the P&I advancing party will advance delinquent P&I for up to 120 days. Of the loans, 50% are designated as non-qualified mortgage (non-QM) and 47% are investment properties not subject to the Ability to Repay (ATR) Rule. 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 8.6% 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 18.9% yoy nationally as of December 2021. Non-Prime Credit Quality (Mixed): The collateral consists of 15-, 30- and 40-year fixed-rate and adjustable-rate loans. Adjustable-rate loans constitute 7.6% of the pool; 22.3% are interest-only (IO) loans and the remaining 77.7% are fully amortizing loans. The pool is seasoned approximately six months in aggregate. Borrowers in this pool have a moderate credit profile with a Fitch-calculated weighted average (WA) FICO score of 742, debt to income ratio (DTI) of 47.3% and moderate leverage of 77.0% sustainable loan to value ratio (sLTV). Pool characteristics resemble recent non-prime collateral. Investor Properties, Non-QM and Alternative Documentation (Negative): The pool contains a meaningful amount of investor properties (47%) and non-QM loans (50%). Fitch's loss expectations reflect the higher default risk associated with these attributes as well as loss severity (LS) adjustments for potential ATR challenges. Higher LS assumptions are assumed for the investor property product to reflect potential risk of a distressed sale or disrepair. For approximately 87% of the pool, alternative documentation was used to underwrite the loans. Of this, 33.1% 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, 40.9% are a DSCR product, 4.5% are a WVOE product, 5.2% are P&L loans and 0.4% comprise an asset depletion product. High California Concentration (Negative): Approximately 45% of the pool is located in California. Additionally, the top three metropolitan statistical areas (MSAs) -- Los Angeles (27%), New York (13%) and Miami (7%) -- account for 47% of the pool. As a result, a geographic concentration penalty of 1.07x was applied to the PD. Sequential-Payment Structure with Limited Advancing (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes. The structure includes a step-up coupon feature where the class A-1 fixed interest rate will increase by 100bps starting on the June 2026 payment date. This reduces the modest excess spread available to repay losses. However, the interest rate is subject to the net WAC, and any unpaid cap carryover amount for class A-1 may be reimbursed from the monthly excess cash flow, to the extent available. Additionally, class B-2 and B-3 interest rates will step down to 0.000% starting on the June 2026 payment date. Advances of delinquent P&I will be made on the mortgage loans for the first 120 days of delinquency, to the extent such advances are deemed recoverable. The P&I advancing party (Onslow Bay Financial LLC) is obligated to fund delinquent P&I advances for the Shellpoint, SPS and SLS loans. AmWest will be responsible for making P&I advances with respect to the AmWest serviced mortgage loans. If AmWest or the P&I advancing party, as applicable, fails to remit any P&I advance required to be funded, the master servicer (Wells Fargo) will fund the advance. 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: 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 40.6% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC), Canopy Financial Technology Partners (Canopy), Covius Real Estate Services (Covius), Evolve Mortgage Services (Evolve) and Inglet Blair. 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 adjustment(s) to its analysis due to the loan-level due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 47bps. 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. OCTAGON 58: S&P Assigns BB- (sf) Rating on $24MM Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Octagon 58 Ltd./Octagon 58 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Octagon Credit Investors LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Octagon 58 Ltd./Octagon 58 LLC Class A-1, $372.00 million: AAA (sf) Class A-2, $12.00 million: Not rated Class B, $72.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $36.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $58.20 million: Not rated OHA CREDIT 11: Fitch Assigns 'BB-' Rating to Class E Debt --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 11, Ltd. DEBT RATING ---- ------ OHA Credit Funding 11, Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY OHA Credit Funding 11, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $625.0 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 100.0% first-lien senior secured loans and has a weighted average recovery assumption of 76.23%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% 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 3.2-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, class B, C, D and E notes can withstand default rates of up to 52.7%, 47.6%, 40.4% and 32.9%, respectively, assuming recoveries of 46.1%, 55.6%, 64.7% and 70.0% in Fitch's '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 'BB+sf' and 'AA-sf' for class B notes, between 'B+sf' and 'Asf' 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: 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 'AAsf' for class C notes, between 'Asf' and 'A+sf' for class D notes and 'BBB+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. SARANAC CLO V: Moody's Hikes Rating on $18MM Class E-R Notes to B3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by SARANAC CLO V LIMITED: US$27,500,000 Class B-R Senior Secured Floating Rate Notes due 2029, Upgraded to Aaa (sf); previously on August 25, 2017 Assigned Aa1 (sf) US$27,000,000 Class C-R Secured Deferrable Floating Rate Notes due 2029, Upgraded to A1 (sf); previously on June 22, 2021 Upgraded to A2 (sf) US$20,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2029, Upgraded to Baa3 (sf); previously on August 17, 2020 Downgraded to Ba1 (sf) US$18,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2029, Upgraded to B3 (sf); previously on June 22, 2021 Upgraded to Caa1 (sf) SARANAC CLO V LIMITED, originally issued in November 2013 and refinanced in August 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2021. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2021. The Class A-R notes have been paid down by approximately 27.4% or $60 million since then. Based on Moody's calculation, the OC ratios for the Class A/B, Class C, Class D and Class E notes are currently at 145.24%, 126.86%, 115.99%, 107.69%, respectively, versus May 2021 levels of 133.95%, 120.72%, 112.49% and 105.99%, respectively. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $270,691,752 Diversity Score: 58 Weighted Average Rating Factor (WARF): 3078 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.6% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 48.46% Weighted Average Life (WAL): 3.7 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, near term defaults by companies facing liquidity pressure, deterioration in credit quality of the underlying portfolio, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SHACKLETON 2015-VIII: S&P Affirms B- (sf) Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R, C-R, D-R, and E-R notes from Shackleton 2015-VIII CLO Ltd./Shackleton 2015-VIII CLO LLC. At the same time, S&P affirmed its ratings on the class A-1-R, A-2-R, and F notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the April 11, 2022, trustee report. The transaction exited its reinvestment period in October 2019. Since then, the class A-1-R and A-2-R notes have collectively paid down about $134 million, which reduced their balances to 51% of the original amounts. The transaction, as permitted by its documents, continues to reinvest a portion of its unscheduled principal proceeds. The upgrades reflect the transaction's $117.27 million in paydowns to the class A-1-R and A-2-R notes since S&P's October 2020 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 9, 2020, trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 150.09% from 129.11%. -- The class C O/C ratio improved to 129.90% from 117.71%. -- The class D O/C ratio improved to 118.70% from 110.85%. -- The class E O/C ratio improved to 109.28% from 104.74%. -- The class F O/C ratio improved to 105.91% from 102.48%. Portfolio credit quality has also improved since S&P's October 2020 rating actions. Assets rated in the 'CCC' category have decreased to $22.19 million from $42.58 million over this period, while defaulted assets have declined to zero from $6.30 million. The trustee-reported weighted average life of the portfolio has also decreased to 3.11 years from 4.25 years. The upgrades reflect the improved credit support at the prior rating levels. The affirmations reflect S&P's view that the credit support available is commensurate with the current rating level. S&P affirmed its ratings on the class A-1-R and A-2-R notes, as each class passes its cash flow stresses at its current rating. S&P said, "Although our cash flow analysis indicates higher ratings for the class C-R, D-R, and E-R notes, we noted that the portfolio still has elevated exposure to assets rated in the 'CCC' category. Additionally, the current O/C levels of these tranches are reflective of the ratings following today's actions. "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 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 2020 pandemic 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 lack of defaulted assets in the portfolio, the current O/C ratio for class F, and our outlook, we believe the class F notes can withstand a steady-state scenario without being dependent on such favorable conditions to meet its financial commitments. As a result, we affirmed our 'B- (sf)' rating on this class, even though our cash flow analysis indicated a lower rating. "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 Shackleton 2015-VIII CLO Ltd./Shackleton 2015-VIII CLO LLC Class B-R: to 'AAA (sf)' from 'AA (sf)' Class C-R: to 'AA- (sf)' from 'A (sf)' Class D-R: to 'BBB+ (sf)' from 'BBB- (sf)' Class E-R: to 'BB- (sf)' from 'B (sf)' Ratings Affirmed Shackleton 2015-VIII CLO Ltd./Shackleton 2015-VIII CLO LLC Class A-1-R: AAA (sf) Class A-2-R: AAA (sf) Class F: B- (sf) SLM STUDENT 2012-7: Fitch Affirms 'B' Rating on 2 Classes --------------------------------------------------------- Fitch Ratings has affirmed the ratings of all outstanding classes of SLM Student Loan Trust 2003-10, 2011-3 and 2012-7. The Rating Outlooks for all classes of the three transactions have also been maintained. DEBT RATING PRIOR ---- ------ ----- SLM Student Loan Trust 2003-10 A-3 78442GJG2 LT AAAsf Affirmed AAAsf A-4 78442GJH0 LT AAAsf Affirmed AAAsf B 78442GJF4 LT Asf Affirmed Asf SLM Student Loan Trust 2011-3 A 78445UAA0 LT AAAsf Affirmed AAAsf B 78445UAD4 LT AAAsf Affirmed AAAsf SLM Student Loan Trust 2012-7 A-3 78447KAC6 LT Bsf Affirmed Bsf B 78447KAD4 LT Bsf Affirmed Bsf VIEW ADDITIONAL RATING DETAILS SLM 2003-10: The class A-3 and class A-4 notes passed all of Fitch's credit and maturity stresses in cash flow modeling, and Fitch has affirmed them at 'AAAsf'. The Negative Outlook on these classes is due to the Negative Outlook assigned to the U.S. sovereign's Issuer Default Rating (IDR). Although the class B notes have a model-implied rating of 'BBBsf', the affirmation at 'Asf' reflects the length of time to the legal final maturity date of the notes (more than 46 years away) and is consistent with the one-category rating tolerance allowed under Fitch's Federal Family Education Loan Program (FFELP) criteria. In the cash flow modeling analysis for SLM 2003-10, Fitch used higher transaction-specific servicing fees rather than the standard fees from Fitch's FFELP rating criteria. SLM 2011-3: The class A and class B notes passed all of Fitch's credit and maturity stresses in cash flow modeling, and Fitch has affirmed them at 'AAAsf'. The Negative Outlooks are due to the Outlook assigned to the U.S. sovereign IDR. SLM 2012-7: The class A-3 notes did not pass Fitch's base case stresses in cash flow modeling due to the notes not paying in full prior to their legal final maturity date. The rating of the class B notes is constrained by the rating of the senior notes, because in an event of default (EOD) caused by the class A-3 notes not paying in full prior to their legal final maturity date, the class B notes will not receive principal or interest payments. Fitch has affirmed the class A-3 and class B notes at 'Bsf', supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreement allowing Navient to lend to the trust, which would then be junior to the A-3 and B classes. Navient has the option but not the obligation to lend to the trust, so Fitch does not give quantitative credit to this agreement. However, this agreement provides qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. Navient Corporation's current Fitch rating is 'BB-'/Stable. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Negative. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 17.00%, 19.50% and 30.00% under the base case scenario and a default rate of 51.00%, 58.50% and 90.00% under the 'AAA' credit stress scenario for SLM 2003-10, 2011-3 and 2012-7, respectively. Fitch is maintaining its sustainable constant default rate assumption (sCDR) at 2.5%, 3.0% and 4.1% for SLM 2003-10, 2011-3 and 2012-7, respectively, in cash flow modeling. Fitch is also maintaining its sustainable constant repayment rate assumption (sCPR; voluntary and involuntary prepayments) at 8.0%, 9.5% and 10.0% for SLM 2003-10, 2011-3 and 2012-7, respectively. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case for all three transactions. The TTM levels of deferment are 3.13%, 3.95% and 5.97% for SLM 2003-10, 2011-3 and 2012-7, respectively. The TTM levels of forbearance are 9.87%, 11.64% and 17.03% for SLM 2003-10, 2011-3 and 2012-7, respectively. The TTM levels of income-based repayment (IBR; prior to adjustment) are 21.63%, 21.43% and 26.80% for SLM 2003-10, 2011-3 and 2012-7, respectively. These assumptions are used as the starting point in cash flow modeling, and subsequent declines and increases are modeled as per criteria. The borrower benefits are assumed to be approximately 0.18%, 0.15% and 0.04% for SLM 2003-10, 2011-3 and 2012-7, respectively, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent distribution dates, approximately 88.54%, 99.76% and 99.82% of the student loans in SLM 2003-10, SLM 2011-3 and SLM 2012-7, respectively, are indexed to LIBOR, and the balance of the loans is indexed to the 91-day T-bill rate. The outstanding notes in SLM 2003-10 are indexed to three-month LIBOR. All notes in SLM 2011-3 and SLM 2012-7 are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to the transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by over-collateralization (OC), excess spread and for the class A notes, subordination. As of the most recent collection period, the senior parity ratios (including the reserve account) are 111.11% (10.00% CE), 119.63% (16.41% CE) and 111.92% (10.65% CE) for SLM 2003-10, 2011-3 and 2012-7, respectively. The total parity ratios (including the reserve account) are 100.31% (0.31% CE), 106.37% (5.99% CE) and 101.33% (1.31% CE) for SLM 2003-10, 2011-3 and 2012-7, respectively. Liquidity support is provided by a reserve account sized at 0.25% of the outstanding pool balance. As of the most recent collection period, the reserve accounts are at their floors of $3,012,925, $1,197,172 and $1,248,784 for SLM 2003-10, 2011-3 and 2012-7, respectively. SLM 2003-10 and SLM 2011-3 will continue to release cash as long as 100.0% reported total parity is maintained. SLM 2012-7 will continue to release cash as long as 101.01% reported total parity is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. SLM Student Loan Trust 2003-10 Current Ratings: class A 'AAAsf'; class B 'Asf' Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'BBBsf' (Credit Stress) / 'Asf' (Maturity Stress) Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'BBBsf'; -- Default increase 50%: class A 'AAAsf'; class B 'BBsf'; -- Basis spread increase 0.25%: class A 'AAAsf'; class B 'Bsf'; -- Basis spread increase 0.50%: class A 'AAAsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'Asf'; -- CPR decrease 50%: class A 'AAAsf'; class B 'Asf'; -- IBR usage increase 25%: class A 'AAAsf'; class B 'Asf'; -- IBR usage increase 50%: class A 'AAAsf'; class B 'Asf'; -- Remaining term increase 25%: class A 'AAAsf'; class B 'Asf'; -- Remaining term increase 50%: class A 'AAAsf'; class B 'Asf'. SLM Student Loan Trust 2011-3 Current Ratings: class A 'AAAsf'; class B 'AAAsf' Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Default increase 50%: class A 'AAAsf'; class B 'AAAsf'; -- Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf'; -- Basis spread increase 0.50%: class A 'AAAsf'; class B 'AAAsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; -- CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; -- IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- IBR usage increase 50%: class A 'AAAsf'; class B 'AAAsf'; -- Remaining term increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Remaining term increase 50%: class A 'AAAsf'; class B 'AAAsf'. SLM Student Loan Trust 2012-7 Current Ratings: class A 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. 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 Fitch published, "What a Stagflation Scenario Would Mean for Global Structured Finance", an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario. Fitch expects the FFELP student loan ABS sector to experience mild to modest asset performance deterioration, indicating some Outlook changes (between 5% and 20% of outstanding ratings). Asset performance under this adverse scenario is expected to be more modest than the most severe sensitivity scenario below. The severity and duration of the macroeconomic disruption and thus portfolio performance is uncertain and is balanced by a strong labor market and the build-up of household savings during the pandemic, which will provide some support in the near term to households faced with falling real incomes. Factors that could, individually or collectively, lead to positive rating action/upgrade: SLM Student Loan Trust 2003-10 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible model-implied ratings. Credit Stress Sensitivity -- Default decrease 25%: class B 'BBBsf'; -- Basis Spread decrease 0.25%: class B 'Asf'. Maturity Stress Sensitivity -- CPR increase 25%: class B 'Asf'; -- IBR usage decrease 25%: class B 'Asf'; -- Remaining Term decrease 25%: class B 'Asf'. SLM Student Loan Trust 2011-3 No upgrade credit or maturity stress sensitivity is provided for either the class A or class B notes, as they are already at their highest possible model-implied ratings. SLM Student Loan Trust 2012-7 Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term decrease 25%: class A 'CCCsf'; class B 'CCCsf'. 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. SYMPHONY CLO XIV: Moody's Ups Rating on $16MM Class F Notes to B3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Symphony CLO XIV, LTD.: US$32,450,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2026, Upgraded to Aaa (sf); previously on February 1, 2021 Upgraded to Aa2 (sf) US$18,900,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2026, Upgraded to Aa2 (sf); previously on February 1, 2021 Upgraded to A2 (sf) US$48,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2026, Upgraded to Ba1 (sf); previously on February 1, 2021 Upgraded to Ba3 (sf) US$16,000,000 Class F Deferrable Mezzanine Floating Rate Notes due 2026, Upgraded to B3 (sf); previously on September 25, 2020 Downgraded to Caa3 (sf) Symphony CLO XIV, LTD., originally issued in May 2014 and partially refinanced in January 2017 and in October 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2018. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2021. The Class A-R notes have been paid down by approximately 73.8% or $175.5 million since then. Based on the trustee's May 2022 report[1], the OC ratios for the Class C-R, Class D-R and Class E notes are reported at 158.62%, 142.41% and 113.06%, respectively, versus May 2021 report[2] levels of 128.84%, 122.08% and 107.73%, respectively. The portfolio includes a number of investments in securities that mature after the notes do. Based on the trustee's May 2022 report[3], securities that mature after the notes do currently make up approximately 5.35% or $14.6 million of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $272,803,081 Defaulted par: $500,000 Diversity Score: 40 Weighted Average Rating Factor (WARF): 2891 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 2.87% Weighted Average Coupon (WAC): 5.31% Weighted Average Recovery Rate (WARR): 48.7% Weighted Average Life (WAL): 2.6 years Par haircut in OC tests and interest diversion test: 3.67% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, near term defaults by companies facing liquidity pressure, deterioration in credit quality of the underlying portfolio, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SYMPHONY CLO XVII: Moody's Hikes Rating on $25MM E-R Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Symphony CLO XVII, Ltd.: US$32,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to Aa1 (sf); previously on February 9, 2021 Upgraded to Aa3 (sf) US$31,500,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to A2 (sf); previously on February 9, 2021 Upgraded to Baa2 (sf) US$25,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2028, Upgraded to Ba1 (sf); previously on September 25, 2020 Confirmed at Ba3 (sf) US$20,000,000 Class 2 Combination Notes due 2028 (current rated balance of $12,701,153), Upgraded to Aaa (sf); previously on February 9, 2021 Upgraded to Aa2 (sf) US$20,000,000 Class 3 Combination Notes due 2028 (current rated balance of $13,511,906), Upgraded to Aa1 (sf); previously on February 9, 2021 Upgraded to Aa2 (sf) Symphony CLO XVII, Ltd. (the CLO), originally issued in March 2016 and refinanced in April 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2020. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2021. The Class A notes have been paid down by approximately 40% or $109.7 million since then. Based on the trustee's May 2022 report[1], the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 156.34%, 136.13%, 120.76% and 110.82%, respectively, versus May 2021[2] levels of 138.62%, 126.20%, 115.97% and 108.97%, respectively. The deal has also benefited from an improvement in the credit quality of the portfolio since May 2021. Based on the trustee's May 2022 report[3], the weighted average rating factor (WARF) is currently 3064 compared to 3268 in May 2021[4]. The upgrade rating action on the Combination Notes is primarily a result of the reduction of the Combination Notes' rated balance and an increase in the Combination Notes' rated balance collateralization coverage. The Class 2 Combination Notes have been paid down by approximately $0.9 million or 6.4% since May 2021. The rated balance for the Class 2 Combination Notes is fully collateralized by the Class B-R and Class C-R Notes components issued by the CLO. The Class 3 Combination Notes have been paid down by approximately $0.7 million or 5.1% since May 2021. The rated balance for the Class 3 Combination Notes is fully collateralized by the Class C-R Notes component issued by the CLO. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $341,231,622 Defaulted par: $0 Diversity Score: 57 Weighted Average Rating Factor (WARF): 2859 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.13% Weighted Average Coupon (WAC): 13% Weighted Average Recovery Rate (WARR): 48.24% Weighted Average Life (WAL): 3.34 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, deterioration in credit quality of the underlying portfolio, additional haricut on OC and lower recoveries on defaulted assets. Moody's rating of the Combination Securities addresses only the ultimate receipt of the Combination Securities Rated Balance by the holders of the Combination Securities. Moody's rating of the Combination Securities does not address any other payments or additional amounts that a holder of the Combination Securities may receive pursuant to the underlying documents. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021 . Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. UBS COMMERCIAL 2012-C1: Moody's Cuts Rating on Cl. E Certs to Ca ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on two classes in UBS Commercial Mortgage Trust 2012-C1, Commercial Mortgage Pass-Through Certificates, Series 2012-C1 as follows: Cl. D, Affirmed B3 (sf); previously on Apr 23, 2021 Downgraded to B3 (sf) Cl. E, Downgraded to Ca (sf); previously on Apr 23, 2021 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Jul 7, 2020 Downgraded to C (sf) Cl. X-B*, Downgraded to C (sf); previously on Apr 23, 2021 Downgraded to Caa2 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on one P&I class, Cl. D, was affirmed because the ratings are consistent with expected recovery of principal and interest from the remaining two specially loans. Cl. D has already paid down 86% from its original certificate balance. The rating on Cl. F was affirmed due to the anticipated losses from the specially serviced loans. The rating on Cl. E was downgraded due to higher interest shortfalls and higher anticipated losses driven by the pool's 100% exposure to two remaining specially serviced loans. Cl. E is likely to experience continued interest shortfalls due to the largest specially serviced loan, Poughkeepsie Galleria (85% of the pool), being declared non-recoverable. As of the May 2022 remittance statement Cl. E did not receive any interest distributions. The rating on the IO Class, Cl. X-B, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference 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 69.9% of the current pooled balance, compared to 11% at Moody's last review. Moody's base expected loss plus realized losses is now 5.9% of the original pooled balance, compared to 8.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool and an increase in realized and expected losses from specially serviced. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the interest-only class wases "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 each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the May 10, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $87.8 million from $1.3 billion at securitization. The certificates are collateralized by two remaining specially serviced loan exposures. As of the May 2022 remittance statement cumulative interest shortfalls were $7 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $17.5 million. Two loans, constituting 100% of the pool, are currently in special servicing. The largest specially serviced loan is the Poughkeepsie Galleria ($74.8 million -- 85.2% of the pool), which represents a pari passu portion of a $136 million whole loan. The loan is also encumbered with $38 million of mezzanine debt. The loan is secured by a 691,000 square feet (SF) portion of a 1.2 million SF regional mall located about 70 miles north of New York City in Poughkeepsie, NY. Collateral anchors at securitization included J.C. Penny, Regal Cinemas and Dick's Sporting Goods, along with non-collateral anchors Macy's, Best Buy, Target and Sears. During 2020, both Sear's (145,000 SF) and J.C. Penny (180,000 SF) closed their stores, and year-end occupancy for 2020 fell to 61%, down from 87% at securitization. The 2020 NOI was down sharply to $5.7 million driven by temporary closures from the pandemic. The 2021 NOI increased to $10.4 million, however, the DSCR has remained below 1.00X and the December 2021 NOI DSCR was 0.88X. The property is managed by the loan's sponsor, Pyramid Management Group, LLC. The loan has been in special servicing since April 2020 and passed its original maturity date in November 2021. The loan is last paid through its February 2021 payment date and the most recent appraisal from December 2021 was approximately 51% below the outstanding mortgage loan balance. As of the May 2022 remittance reported, the loan has been deemed non-recoverable by the master servicer. Moody's anticipates a significant loss on this loan. The second specially serviced exposure is the Action Hotel Portfolio ($13 million 14.8% of the pool), which is secured by a portfolio of three cross-collateralized, limited service hotels located throughout suburban Syracuse, NY. All three hotels operate as "Holiday Inn Express & Suites" hotels and are near major interstate highways. The loan transferred to the special servicer in March 2020 due to imminent payment default, as the hotels struggled due to the pandemic. The loans passed their original maturity date in February 2022 but have continued to make debt service payments through April 2022. The portfolio's most recently reported appraisal value from March 2022 is approximately 57% below the appraised value at securitization, but remains above the remaining loan amount. The portfolio has amortized 23% since securitization and special servicer commentary indicates the borrower is in the process of refinancing the loan. UBS-BARCLAYS 2013-C6: Moody's Lowers Rating on Cl. D Certs to B3 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eight classes and downgraded the ratings on five classes of UBS-Barclays Commercial Mortgage Trust 2013-C6, Commercial Mortgage Pass-Through Certificates ("UBS-BB 2013-C6"), as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Apr 23, 2021 Downgraded to Baa1 (sf) Cl. C, Downgraded to Ba3 (sf); previously on Apr 23, 2021 Downgraded to Ba2 (sf) Cl. D, Downgraded to B3 (sf); previously on Apr 23, 2021 Downgraded to B2 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Apr 23, 2021 Downgraded to Caa2 (sf) Cl. F, Affirmed C (sf); previously on Apr 23, 2021 Downgraded to C (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jul 1, 2020 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Ba1 (sf); previously on Apr 23, 2021 Downgraded to Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on six P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on one P&I class was affirmed because the ratings are consistent with Moody's expected loss. The rating on one IO class (Class X-A) was affirmed based on the credit quality of the referenced classes. The rating on one IO class (Class X-B) was downgraded due to a decline in the credit quality of its referenced classes. The ratings on four P&I classes were downgraded due to the decline in performance of loans secured by larger retail assets, which may pose greater refinancing risk at their upcoming maturity dates. 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 9.2% of the current pooled balance, compared to 11.3% at Moody's last review. Moody's base expected loss plus realized losses is now 7.7% of the original pooled balance, compared to 9.8% 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. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the May 10, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 16% to $1.1 billion from $1.3 billion at securitization. The certificates are collateralized by 68 mortgage loans ranging in size from less than 1% to 14.6% of the pool, with the top ten loans (excluding defeasance) constituting 61.6% of the pool. One loan, constituting 11.5% of the pool, has an investment-grade structured credit assessment. Twenty loans, constituting 18.5% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, compared to 13 at Moody's last review. Fourteen loans, constituting 28% 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. Five loans, constituting 14.2% of the pool, are currently in special servicing. The largest specially serviced loan is the Broward Mall loan ($95.0 million – 8.7% of the pool), which is secured by a 326,000 square feet (SF) portion of a 1.042 million SF super-regional mall located in Plantation, Florida. The mall is currently anchored by Macy's, JC Penney and Dillard's, none of which are part of the collateral. Seritage closed the fourth anchor, Sears, in 2018. As of March 2022, the property was 78% leased, while the collateral is 92% occupied. The loan is interest-only throughout the term. The loan's sponsor, Unibail-Rodamco-Westfield, plans to sell it US mall properties by the end of 2023. The loan transferred to special servicing in June 2020 due to imminent default as a result of the coronavirus outbreak. The receiver is in control of the property. The lender has filed foreclosure and is anticipating taking title. The foreclosure sale is anticipated to occur at the end of June. The second largest specially serviced loan is the DoubleTree Hotel & Miami Airport Convention Center loan ($30.5 million – 2.8% of the pool), which is secured by the borrower's fee simple interest in a 334 room full-service hotel, 198,000 SF convention center and 23,000 SF of retail located in Miami, Florida. The total net rentable area (NRA) of the property is approximately 521,000 SF. The hotel features an open area atrium lobby incorporating the lobby lounge and bar, 20,000 SF of meeting space, banquet room, restaurants and pool access. The loan transferred to special servicing in June 2020 for monetary default. The special servicer was dual tracking negotiations, however the loan was brought current as of November 2021 and continues to perform in accordance with a settlement agreement. The remaining two specially serviced loans are secured by retail and hospitality assets, which have been included in the conduit statistics. Moody's estimates an aggregate $74.1 million loss for the two largest specially serviced loans (59% expected loss on average). 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 full or partial year 2021 operating results for 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 105%, the same as 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 3% to the most recently available net operating income (NOI), excluding hotel properties that had significantly depressed NOI in 2020 and 2021. Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.66X and 1.11X, respectively, compared to 1.62X and 1.05X 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 loan with a structured credit assessment is the 575 Broadway Loan ($125.85 million -- 11.5% of the pool), which is secured by an approximately 170,000 SF mixed use retail and office building located in the SoHo neighborhood of New York City, New York. The property is encumbered by a ground lease through June 2060. As of December 2021, the property was 97% leased. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.26X, respectively, unchanged from the prior review. The top three conduit loans represent 27.6% of the pool balance. The largest loan is the Gateway Center Loan ($160 million -- 14.6% of the pool), which is secured by three cross-collateralized and cross-defaulted loans secured by a 355,000 SF portion of a 639,000 SF anchored retail center in Brooklyn, New York. The property was constructed in 2002 by The Related Companies. The properties are shadow anchored by Target and Home Depot. Collateral tenants include BJ's Wholesale Club, Bed Bath & Beyond, Dave and Busters, and Old Navy. As of March 2022, the property was 100% leased. Moody's LTV and stressed DSCR are 122% and 0.73X, respectively, unchanged from the last review. The second largest loan is The Shoppes at River Crossing Loan ($71.2 million – 6.5% of the pool), which is secured by the 528,000 SF portion of a 728,000 SF lifestyle center located in Macon, Georgia. Non-collateral anchors include Dillard's and Belk. Collateral tenants include Dick's Sporting Goods, Barnes & Noble, Jo-Ann Fabric, H&M, and DSW Shoe Warehouse. As of September 2021, the collateral was 91% leased, compared to 96% in December 2019 and 98% in 2018. The property benefits from amortization, having amortized almost 8% since securitization. Moody's LTV and stressed DSCR are 116% and 0.95X, respectively, compared to 119% and 0.93X at the last review. The third largest loan is the Santa Anita Mall Loan (6.4% of the pool), which represents a $70 million pari-passu interest in a $285 million mortgage loan. The loan is secured by a 956,000 SF portion of a 1.47 million SF super-regional mall located in Arcadia, California. The property is adjacent to the Santa Anita Park, a thoroughbred racetrack, which is a demand driver for the mall. The mall is anchored by J.C. Penney, Macy's, and Nordstrom, all of which are owned by their respective tenants and are not contributed as loan collateral. As of December 2021, the collateral was 86% leased compared to 89% at last review, 94% in March 2020 and 98% in December 2018. As of December 2021, inline occupancy was 80% compared to 90% at last review and 97% in December 2018. The property's historical performance generally improved from securitization through 2019, however, the property's performance was impacted by the pandemic and the 2021 revenue was approximately 20% lower than 2020 and 28% lower than in 2019. Due to the decline in revenues the year-end 2021 property NOI was 24% below underwritten levels, however, the loan still had a strong DSCR with a 2021 actual NOI DSCR of 2.43X compared to 3.46X in 2020 and 3.19X at securitization. The loan is interest only for its entire term and matures in February 2023. Moody's LTV and stressed DSCR are 109% and 0.97X, respectively, compared to 86% and 1.13X at the last review. WELLS FARGO 2013-LC12: Fitch Lowers Rating on Class E Debt to Csf ----------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed eight classes of Wells Fargo Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2013-LC12 (WFCM 2013-LC12). In addition, the Rating Outlook for class B is Stable following the downgrade. DEBT RATING PRIOR ---- ------ ----- WFCM 2013-LC12 A-3 94988QAE1 LT AAAsf Affirmed AAAsf A-3FL 94988QBG5 LT AAAsf Affirmed AAAsf A-3FX 94988QBQ3 LT AAAsf Affirmed AAAsf A-4 94988QAG6 LT AAAsf Affirmed AAAsf A-S 94988QAN1 LT Asf Affirmed Asf A-SB 94988QAL5 LT AAAsf Affirmed AAAsf B 94988QAQ4 LT Bsf Downgrade BBsf C 94988QAS0 LT CCCsf Downgrade B-sf D 94988QAU5 LT CCsf Downgrade CCCsf E 94988QAW1 LT Csf Downgrade CCsf F 94988QAY7 LT Csf Affirmed Csf PEX 94988QBJ9 LT CCCsf Downgrade B-sf X-A 94988QBC4 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS High Loss Expectations; Regional Mall Concentration: The downgrades reflect continued performance concerns, increasing refinance risks and greater certainty of losses on the underperforming regional mall loans. The four largest loans in the pool (31.7% of pool) are secured by regional malls, including three (22.8%) that were designated Fitch Loans of Concern (FLOCs) and two (15.0%) in special servicing. Fitch's loss expectations on the regional mall FLOCs remain high. Thirteen additional loans (11.4%), including three (1.7%) in special servicing were designated FLOCs primarily due to performance declines and/or concerns. Fitch's current ratings reflect a base case loss of 17.70%. Regional Mall FLOCs: The largest contributor to loss expectations, Rimrock Mall (7.1%), is secured by 428,661-sf of a 586,446-sf regional mall in Billings, MT. The loan, which was sponsored by Starwood Retail Partners, transferred to special servicing for Imminent Monetary Default in May 2020 at the borrower's request as a result of the coronavirus pandemic and became REO in January 2022. The servicer will work with the property management company to address renewals and analyze new lease opportunities. An analysis will be performed to determine disposition strategy. Fitch's base case loss of 89% reflects a 30% cap rate off the YE 2020 NOI. Fitch's analysis considers continued performance concerns exacerbated by the coronavirus pandemic, the regional mall's tertiary market, low tenant sales, a vacant anchor space and the REO asset. The YE 2020 NOI declined 34% from YE 2019 and 62% from the issuers underwritten NOI. NOI DSCR is low, falling to 0.69x at YE 2020 compared with 1.23x at YE 2019. Collateral occupancy was 79% as of January 2022 compared with 82% at YE 2020, 82% at YE 2019 and 97% at YE 2017. The occupancy declines were largely attributed to Herberger's (previously 14% net rentable area [NRA]) vacancy in August 2018. In-line tenant sales for tenants occupying less than 10,000 sf and reporting sales were $386 psf for the TTM ended November 2021 compared with $325 psf for the TTM ended April 2020 and $358 psf for the TTM ended September 2019. Sales at issuance were $445 psf. The second largest contributor to loss expectations, Carolina Place (7.9%), is secured by 693,196-sf of a 1.2 million-sf regional mall in Pineville, NC, approximately 10 miles southwest of the Charlotte CBD. The loan, which is sponsored by a joint venture between Brookfield Properties Retail Group and the New York State Common Retirement Fund, was designated a FLOC due to significant lease rollover concerns prior to maturity, declining occupancy, fluctuating sales since issuance, limited leasing progress on the vacant anchor space formerly occupied by Sears and significant market competition. Fitch's loss expectation of 57% reflects a 20% cap rate off the YE 2021 NOI. The remaining collateral anchor JCPenney (17% NRA) recently extended its lease for two years through May 2023. The non-collateral anchors are Dillard's and Belk. In 2019, Dick's Sporting Goods and Golf Galaxy began leasing a non-collateral anchor box formerly occupied by Macy's. Collateral occupancy and servicer-reported NOI DSCR were 72% and 1.36x, respectively at YE 2021 compared with 73% and 1.48x at YE 2020. Near-term rollover includes approximately 40% NRA by 2023 and is concentrated with JCPenney, which leases 17% NRA and has lease expiration in May 2023. In-line tenant sales were $488 psf as of the TTM ended February 2022 compared with $335 psf at YE 2020. The loan has remained current since issuance, and the borrower has not requested coronavirus relief to date. The third largest contributor to loss expectations, White Marsh Mall (7.9%), is secured by 702,317-sf of a 1.2 million-sf regional mall in Baltimore, MD. The collateral anchors are Boscov's, Macy's Home Store and Dave & Buster's. Non-collateral anchors include Macy's and JCPenney. The loan, which is sponsored by Brookfield Properties Retail Group, has been in and out of payment default since transferring to special servicing in August 2020 at the borrower's request for Imminent Monetary Default. The loan matured on May 1, 2021 without repayment. Per the most recent servicer updates, the lender continues to evaluate collateral and discussions with the borrower are ongoing. Fitch's base case loss of 56% reflects a discount to the most recent appraisal with an implied cap rate of 20% on the YE 2019 NOI. Fitch's analysis considers performance and refinance concerns increased by the coronavirus pandemic, near-term rollover risks, declining sales, and significant market competition. The YE 2020 NOI was 11% below YE 2019 and 18% below the issuers underwritten NOI driven by lower revenue. NOI DSCR declined to 2.27x at YE 2020 compared with 2.55x at YE 2019, 2.62x at YE 2018 and 2.77x at issuance. Most recently NOI DSCR was 2.23x as of the YTD September 2021. Collateral occupancy was 90% as of September 2021. Near term rollover includes 28.6% by 2023. Collateral occupancy has been relatively stable since issuance; however, Sears, a non-collateral anchor, closed in April 2020. Comparative in-line sales for tenants occupying less than 10,000 sf and reporting sales were $283 psf for the TTM ended March 2021, down from $361 psf at YE 2019 and $428 psf at issuance for YE 2012. Alternative Loss Consideration: Fitch considered an additional scenario in addition to its base case scenario, where only the three regional mall FLOCs remain in the pool. These loans face significant upcoming refinance risks including regional mall concerns, low occupancy and/or low DSCR. Classes B through G and class PEX are reliant on proceeds from these loans for repayment. In addition, Fitch's analysis considered a second scenario reflecting the paydown from defeased collateral and performing loans. Both scenarios are reflected in the current ratings and Outlooks. The Stable Outlooks on the 'AAAsf' rated classes reflect their senior position in the capital structure and payment priority. These classes are covered by defeased collateral and performing loans. The Stable Outlook on class A-S reflects the class not being reliant on proceeds from the regional mall FLOCs for repayment. The Outlook revision to Stable from Negative for class B reflects the sufficient credit enhancement relative to expected losses for the pool. Increase in Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate principal balance has been reduced by 28.0% to $1.01 billion from $1.41 billion at issuance. Three loans with a $10.9 million balance were disposed since Fitch's prior rating action. Realized losses to date total $14.1 million or 1% of the original pool balance. Cumulative interest shortfalls totaling $4.9 million are currently affecting classes D, E, F and the non-rated class G. The majority of the pool (80.6%) is currently amortizing. Eighteen loans (15.1%) are fully defeased. Pool Concentration: The top 10 loans comprise 59.3% of the pool. Loan maturities are concentrated in 2023 (91.6%). The largest concentrations by property type are retail at 49.4%, office at 25.3% and hotel at 8.0%. The largest loan, Cumberland Mall (8.8%), is secured by 541,527-sf of a 1.0 million-sf regional mall located in Atlanta, GA. The collateral includes a 147,409-sf portion that is ground leased to Costco. Macy's is a non-collateral anchor. The former Sears box (non-collateral), owned by a 50/50 joint venture between Brookfield and Seritage Growth Properties, was re-tenanted with Dick's Sporting Goods, Planet Fitness and Round 1. Performance continues to remain strong. Collateral occupancy and servicer-reported NOI DSCR were 98% and 3.35%, respectively, for this full-term interest-only loan, as of the YTD September 2021 compared with 96% and 3.22x at YE 2020. In-line tenant sales were $619 psf (excluding Apple) as of the TTM ended February 2022. The loan is sponsored by Brookfield Retail Properties Group and CBRE Group. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of the 'AAAsf' rated classes would occur should overall loss expectations increase but the payment priority of the classes would be considered. Should interest shortfalls occur or expected to be incurred, classes would be capped at 'Asf'. A further downgrade of class A-S is considered unlikely as the class is not reliant on proceeds from the regional mall FLOCs for repayment. Class B would be downgraded further if performance of the regional mall FLOCs continues to decline and or loss expectations increase significantly. Distressed classes C, D, E, F and PEX would be downgraded further with increased certainty of losses 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. 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 are not likely due to performance/refinance concerns with the regional mall FLOCs but could occur if performance of the FLOCs improves significantly and/or any of the mall FLOCs pay-off. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2017-C39: Fitch Affirms B- Rating on Class G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2017-C39 commercial mortgage pass-through certificates. The Rating Outlooks remain Negative on classes F-RR and G-RR. DEBT RATING PRIOR ---- ------ ----- WFCM 2017-C39 A-2 95000XAB3 LT AAAsf Affirmed AAAsf A-3 95000XAC1 LT AAAsf Affirmed AAAsf A-4 95000XAE7 LT AAAsf Affirmed AAAsf A-5 95000XAF4 LT AAAsf Affirmed AAAsf A-S 95000XAG2 LT AAAsf Affirmed AAAsf A-SB 95000XAD9 LT AAAsf Affirmed AAAsf B 95000XAK3 LT AA-sf Affirmed AA-sf C 95000XAL1 LT A-sf Affirmed A-sf D 95000XAM9 LT BBB+sf Affirmed BBB+sf E-RR 95000XAP2 LT BBB-sf Affirmed BBB-sf F-RR 95000XAR8 LT BB-sf Affirmed BB-sf G-RR 95000XAT4 LT B-sf Affirmed B-sf X-A 95000XAH0 LT AAAsf Affirmed AAAsf X-B 95000XAJ6 LT A-sf Affirmed A-sf KEY RATING DRIVERS Stable Overall Loss Expectations: Fitch's loss expectations for the overall pool have remained relatively stable since the prior rating action. Fitch's current ratings reflect a base case loss of 5.6%. There are 12 Fitch Loans of Concern ([FLOCs] 26.2% of pool) including four loans in special servicing (7.2%) that are modeling minimal losses. The Outlooks remain Negative on classes F-RR and G-RR due to several FLOCs that were impacted by the coronavirus pandemic, however remain current with property performance gradually improving from the pandemic lows. These classes may be downgraded should performance trends reverse and the properties do not stabilize. Largest Contributors to Loss: The largest contributor to loss expectations and fifteenth largest loan in the pool, Crown Plaza Dallas (2.4%), is secured by a 292-room full service hotel located in downtown Dallas, Texas. The property has been significantly impacted by the coronavirus pandemic, with occupancy falling to 27.4% by YE 2020 compared to 66.4% at YE 2019. The property reported negative NOI for 2020, compared to pre-pandemic NOI DSCR of 1.74x at YE 2019. In addition, operations were further impacted due to winter storm damage at the property in 1Q21, including burst pipes and no electricity, resulting in closure of the hotel and estimated damages of $5.0 million according to the servicer. Updated 2021 performance information was not available. The borrower was granted a short-term forbearance on loan payments between October 2020 and January 2021. The loan remains current as of the May 2022 distribution date. Fitch's analysis included a 26% stress to YE 2019 NOI, which resulted in a 34% loss severity (LS). The second largest contributor to overall loss expectations and ninth largest loan in the pool, Lincolnshire Commons (4%), is secured by 133,024-sf mixed-use (office/retail; approx. sf 70% retail) property located in Lincolnshire, Illinois. The office portion is primarily occupied by NorthShore University Healthcare System, IL (26.2% NRA) on a lease through 2031. The largest retail tenants are DSW (10.9% NRA; lease expiring January 2023) and Cheesecake Factory (7.8% NRA; lease expiring January 2026). Performance has been consistently declining since issuance. As of YE 2021, the property was 87% occupied, up from 83% in March 2021, but remains below 93.1% at YE 2018. Servicer reported NOI DSCR was 1.28x at YE 2021 compared to 1.44x at YE 2020 and 1.93x at YE 2018. Effective gross income declined approximately 7% at YE 2020 compared to the prior year primarily due to lower base rent, while operating expenses were 4.5% higher during the same period; this trend continued in 2021. The loan is currently modeling an 18% LS based off the 2021 NOI and a 9.0% cap rate, which exceeds Fitch expectations at issuance (5% LS). Fitch's analysis gives credit for the loan remaining current, recent leasing improvements, and the favorable location for the property type. The third largest contributor to loss expectations and tenth largest loan, Starwood Capital Group Hotel Portfolio (3.7%) is secured by 65 hotels offering a range of amenities, spanning the limited service, full service and extended stay varieties. The hotels range in size from 56 to 147 rooms, with an average count of 98 rooms. The portfolio was impacted by the pandemic. Performance has rebounded since YE 2020 but remains below pre-pandemic levels. Servicer reported NOI DSCR was 1.62x at YE 2021 compared to 0.92x at YE 2020 and 2.73x at YE 2019. Fitch's base case analysis applied 11.50% cap rate to the portfolio's YE 2021 NOI which resulted in a 18% LS. Minimal Change in Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate principal balance has been reduced by 3.3% to $1.10 billion from $1.13 billion at issuance. Since the last rating action two loans defeased (1.3%) and two loans were disposed; recoveries were lower than expected for one previously specially serviced asset. The non-rated class H-RR has absorbed $3.4 million in losses. Fourteen loans, representing 51.1% of the pool, are full-term interest-only. 26 loans, representing 34.1% of the pool, were structured with a partial interest-only component; 22 loans (26.6%) have begun to amortize. Based on the scheduled balance at maturity, the pool will pay down by only 7.1%. Investment-Grade Credit Opinion Loans: Four of the top 15 loans (17.3%) at issuance were assigned standalone investment-grade credit opinions at Issuance; 225 & 233 Park Avenue South (6.4%), 245 Park Avenue (4.1%), Two Independence Square (4.1%) and Del Amo Fashion Center (2.7%) received standalone investment-grade credit opinions of 'BBB-sf', 'BBB-sf', 'A-sf' and 'BBBsf', respectively. Pari Passu: 16 loans (53.1% of pool) are pari passu, including 11 loans (45.2%) in the top 15. 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 the classes rated in the 'AA-sf' and 'AAAsf' categories are not likely due to their position in the capital structure but may occur should interest shortfalls affect these classes; -- Downgrades to the classes rated in the 'BBB-sf' and 'A-sf' categories 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 rated in the 'B-sf' and 'BB-sf' categories would occur should loans susceptible to the pandemic not stabilize, particularly Columbia Park Shopping Center, Lincolnshire Commons and Starwood Capital Group Hotel Portfolio, overall pool loss expectations increase, 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, 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, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse; -- Upgrades to the 'BBB-sf' and 'BBB+sf' rated classes would also consider these factors, but 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; -- Upgrades to the 'B-sf' and 'BB-sf' rated classes are not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient credit enhancement, which would likely occur when the nonrated class is not eroded and the senior classes pay off. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WELLS FARGO 2019-C51: Fitch Affirms 'B-' Rating on Class G-RR Debt ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2019-C51 (WFCM 2019-C51). DEBT RATING PRIOR ---- ------ ----- Wells Fargo Commercial Mortgage 2019-C51 A-2 95001VAR1 LT AAAsf Affirmed AAAsf A-3 95001VAT7 LT AAAsf Affirmed AAAsf A-4 95001VAU4 LT AAAsf Affirmed AAAsf A-S 95001VAX8 LT AAAsf Affirmed AAAsf A-SB 95001VAS9 LT AAAsf Affirmed AAAsf B 95001VAY6 LT AA-sf Affirmed AA-sf C 95001VAZ3 LT A-sf Affirmed A-sf D 95001VAC4 LT BBB+sf Affirmed BBB+sf E-RR 95001VAE0 LT BBB-sf Affirmed BBB-sf F-RR 95001VAG5 LT BB-sf Affirmed BB-sf G-RR 95001VAJ9 LT B-sf Affirmed B-sf X-A 95001VAV2 LT AAAsf Affirmed AAAsf X-B 95001VAW0 LT A-sf Affirmed A-sf X-D 95001VAA8 LT BBB+sf Affirmed BBB+sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The overall pool performance remains relatively stable since Fitch's prior rating action and remains in-line with Fitch's expectations at issuance, with a base case loss of 3.875%. Six loans (15.3% of the pool) were identified as Fitch Loans of Concern (FLOCs), due to ongoing occupancy and performance declines. There are no specially serviced loans. The largest FLOC, El Con Center (6.4%), is secured by a 480,000-sf large anchored retail center located in Tucson, AZ. The property is anchored by Century Theaters (15% NRA, expires June 2024), Burlington Coat Factory (13.5%, expires April 2025) and ground leased pads include Home Depot, Target, and WalMart. Former largest collateral tenant JC Penney (46% NRA and 6% base rent) closed in October 2020, prior to lease expiration in August 2021. Due to the loss of JC Penney, property occupancy remains at 54% (not including ground leases) from 100% at YE 2019. Only one tenant had a co-tenancy clause tied to JC Penney; the tenant remains in place at this time. The NOI debt service coverage ratio (DSCR) at YE 2021 was 1.97x compared to 1.75x at YE 2020, and 1.82x at YE 2019. Minimal Change to Credit Enhancement (CE): As of the May 2022 remittance reporting, the pool's aggregate principal balance has paid down by 3.4% to $704.8 million from $729.5 million at issuance. Three limited service hotel loans totaling only $14.5 million were disposed of since issuance. The liquidation resulted in a total loss of approximately $1.8 million, which was fully incurred by the non-rated class H-RR. Interest shortfalls are currently affecting class H-RR. There are 11 loans (50.6%) that are full term IO. Eighteen loans (22.9%) are structured with partial IO periods; 11 (10.6%) have begun amortizing. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 7.6%. High Office Concentration: The largest property-type concentration is office at 39.6% of the pool, followed by retail at 27.9%. 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 senior classes (A-1 through A-S) are less likely due to high CE but may occur if losses increase substantially or if there is a likelihood for interest shortfalls. A downgrade to classes B, C, D and E-RR would likely occur if multiple large loans transfer to special servicing and expected losses increase significantly. Downgrades to classes F-RR and G-RR would occur with the transfer of loans to special servicing, or if performance of the FLOCs continue to deteriorate, specifically for El Con Center. 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 of interest shortfalls. Upgrades to classes B and C would occur with large improvements in CE and/or defeasance and with the stabilization of performance of the FLOCs. Upgrades to classes D and E would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Upgrades to classes F-RR and G-RR are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and 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. WELLS FARGO 2022-INV1: Fitch Assigns 'Bsf' Rating on Class B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed certificates issued by Wells Fargo Mortgage-Backed Securities 2022-INV1 Trust (WFMBS 2022-INV1). DEBT RATING PRIOR ---- ------ ----- WFMBS 2022-INV1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A-IO1 LT AAAsf New Rating AAA(EXP)sf A-IO2 LT AAAsf New Rating AAA(EXP)sf A-IO3 LT AAAsf New Rating AAA(EXP)sf A-IO4 LT AAAsf New Rating AAA(EXP)sf A-IO5 LT AAAsf New Rating AAA(EXP)sf A-IO6 LT AAAsf New Rating AAA(EXP)sf A-IO7 LT AAAsf New Rating AAA(EXP)sf A-IO8 LT AAAsf New Rating AAA(EXP)sf A-IO9 LT AAAsf New Rating AAA(EXP)sf A-IO10 LT AAAsf New Rating AAA(EXP)sf A-IO11 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B2 LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf RR LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates issued by Wells Fargo Mortgage Backed Securities 2022-INV1 Trust (WFMBS 2022-INV1) as indicated. 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's (Wells Fargo) 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, the agency 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. 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'. 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. WELLS FARGO 2022-INV1: S&P Assigns B-(sf) Rating on Cl. B-5 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Wells Fargo Mortgage Backed Securities 2022-INV1 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by residential mortgage loans. S&P said, "Since we assigned our preliminary ratings on May 16, 2022, the sponsor changed the principal waterfall allocation that occurs after the credit support depletion date so that principal is distributed first concurrently to the super senior certificates on a pro rata basis until each of their balances has been reduced to zero and, secondly, to the senior support certificates until its balance has been reduced to zero. This change did not affect our final ratings, which remain the same as the preliminary ratings." The ratings reflect: -- The high-quality collateral in the pool; -- The available credit enhancement; -- The transaction's associated structural mechanics; -- The representation and warranty framework; -- The geographic concentration of the collateral pool; -- The experienced originator; -- The statistically significant, random sample of due diligence results consistent with represented loan characteristics; 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 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 Wells Fargo Mortgage Backed Securities 2022-INV1 Trust Class A-1, $216,912,000: AAA (sf) Class A-2, $361,520,000: AAA (sf) Class A-3, $162,684,000: AAA (sf) Class A-4, $271,140,000: AAA (sf) Class A-5, $54,228,000: AAA (sf) Class A-6, $90,380,000: AAA (sf) Class A-7, $130,147,200: AAA (sf) Class A-8, $216,912,000: AAA (sf) Class A-9, $86,764,800: AAA (sf) Class A-10, $144,608,000: AAA (sf) Class A-11, $32,536,800: AAA (sf) Class A-12, $54,228,000: AAA (sf) Class A-13, $35,248,200: AAA (sf) Class A-14, $58,747,000: AAA (sf) Class A-15, $18,979,800: AAA (sf) Class A-16, $31,633,000: AAA (sf) Class A-17, $22,134,000: AAA (sf) Class A-18, $36,890,000: AAA (sf) Class A-19, $239,046,000: AAA (sf) Class A-20, $398,410,000: AAA (sf) Class A-IO1, $398,410,000(i): AAA (sf) Class A-IO2, $216,912,000(i): AAA (sf) Class A-IO3, $162,684,000(i): AAA (sf) Class A-IO4, $54,228,000(i): AAA (sf) Class A-IO5, $130,147,200(i): AAA (sf) Class A-IO6, $86,764,800(i): AAA (sf) Class A-IO7, $32,536,800(i): AAA (sf) Class A-IO8, $35,248,200(i): AAA (sf) Class A-IO9, $18,979,800(i): AAA (sf) Class A-IO10, $22,134,000(i): AAA (sf) Class A-IO11, $239,046,000(i): AAA (sf) Class B-1, $16,948,000: AA- (sf) Class B-2, $10,848,000: A- (sf) Class B-3, $10,846,000: BBB- (sf) Class B-4, $7,006,000: BB- (sf) Class B-5, $4,519,000: B- (sf) Class B-6, $3,391,958: Not rated Class R: Not rated RR interest(ii): $23,787,839: Not rated (i)Notional balance. (ii)The non-offered RR interest will be entitled to interest on any distribution date equal to a per annum rate equal to the net WAC rate for such distribution rate. The RR class is sized to approximately 5% of the collateral balance and will be entitled to payments from the retained certificate available distribution amount. WAC--Weighted average coupon. RR--Risk retention. WESTLAKE AUTOMOBILE 2022-2: S&P Assigns (P) B(sf) Rating on F Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2022-2's automobile receivables-backed notes series 2022-2. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of June 1, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 45.22%, 38.88%, 30.17%, 23.41%, 20.25%, and 15.35% credit support for the class A (A-1, A-2-A/A-2-B, and A-3), B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). These provide approximately 3.50x, 3.00x, 2.30x, 1.75x, 1.50x, and 1.10x, respectively, S&P's 12.50%-13.00% expected cumulative net loss (CNL) range. -- The transaction's ability to make timely interest and principal payments under stressed cash flow modeling scenarios appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, the ratings will be within the credit stability limits specified by section A.4 of the Appendix in "S&P Global Ratings Definitions," published Nov. 10, 2021. -- The collateral characteristics of the securitized pool of subprime automobile loans. -- Westlake Services LLC's long history in the subprime and specialty auto finance business. -- S&P's analysis of approximately 16 years (2006-2021) of static pool data on the company's lending programs. -- The transaction's payment, credit enhancement, and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2022-2 Class A-1, $230.60 million: A-1+ (sf) Class A-2-A/A-2-B, $422.89 million: AAA (sf) Class A-3, $148.58 million: AAA (sf) Class B, $90.23 million: AA (sf) Class C, $143.03 million: A (sf) Class D, $123.65 million: BBB (sf) Class E, $40.10 million: BB (sf) Class F, $100.92 million: B (sf) WFRBS COMMERCIAL 2014-C23: Fitch Affirms 'CCC' Rating on 2 Tranches ------------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of WFRBS Commercial Mortgage Trust 2014-C23 (WFRBS 2014-C23) commercial mortgage pass-through certificates and revised the Rating Outlooks of three classes to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- WFRBS 2014-C23 A-4 92939HAX3 LT AAAsf Affirmed AAAsf A-5 92939HAY1 LT AAAsf Affirmed AAAsf A-S 92939HBA2 LT AAAsf Affirmed AAAsf A-SB 92939HAZ8 LT AAAsf Affirmed AAAsf B 92939HBB0 LT AA-sf Affirmed AA-sf C 92939HBC8 LT A-sf Affirmed A-sf D 92939HAJ4 LT BBB-sf Affirmed BBB-sf E 92939HAL9 LT Bsf Affirmed Bsf F 92939HAN5 LT CCCsf Affirmed CCCsf PEX 92939HBD6 LT A-sf Affirmed A-sf X-A 92939HBE4 LT AAAsf Affirmed AAAsf X-C 92939HAA3 LT Bsf Affirmed Bsf X-D 92939HAC9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Stable Loss Expectation: Loss expectations have been stable since Fitch's prior review. Six loans (19.1%) are considered Fitch Loans of Concern (FLOCs). All remaining loans in the pool are performing. Fitch's current ratings incorporate a base case loss of 6.3%. The Outlook revisions to Stable reflect continued stabilization of properties impacted by the pandemic which includes the return of a previously specially serviced loan to master servicing. Largest Contributors to Loss: The largest loss contributor to the pool, Crossings at Corona (8.9%), is secured by an 834,075-sf retail property located in Corona, CA. The property, which is anchored by Kohl's and shadow-anchored by Target, has suffered from declining occupancy after four collateral anchor tenants vacated. Toys R Us (formerly 7.6% of NRA) and Sports Authority (4.5%) both vacated upon filing for bankruptcy, while Bed Bath & Beyond (2.9%) and Cost Plus (2.2%) both vacated at their respective lease expirations. As of YE 2021, occupancy had fallen to 78% from 81% at YE2019, 86% at YE2018 and 93% at YE2017. Fitch's analysis reflects a 5% stress to YE 2021 resulting in a stressed value of $106 psf. The second largest loss contributor to the pool, 677 Broadway (3.3%), is secured by a 117,682-sf office building located in downtown Albany, NY. The loan returned to the master servicer in July 2021 after the mezzanine lender completed a UCC foreclosure and took ownership of the property. A loan modification has been entered into with the new principals of the borrower as of March 2021 which provides for an extension of the IO period through January 2023, two-year accrual of a portion of the monthly interest receivable and extends the loan's maturity date by 12 months. The loan was previously in special servicing after two tenants vacated at lease expiration and the largest tenant downsized their space by 9,000 SF. As of YE2021, property occupancy was 60% with NOI DSCR of 0.3x, down from 91% and 1.41x at YE2019. Fitch's analysis reflects a 10% cap rate applied to the YE 2019 stressed by 35% due to the decline in performance. New ownership has announced plans to invest $3 million to improve the lobby, coffee shop, corridors and other updates to the building. Increasing Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate principal balance has paid down by 17.2% to $778.7 million from $940.8 million at issuance. Since issuance, 19 loans (9.5%) have paid off in full prior to or prior to the scheduled maturity dates. Twenty loans (14.5%) have fully defeased. Interest shortfalls are currently affecting the non-rated class G. Five remaining loans (18.6%) are full term interest-only. Seventy-two (98.6%) are scheduled to mature in 2024, with one loan in 2025. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the 'AAAsf' rated classes are not likely due to the position in the capital structure and the high CE. Downgrades to classes D and E are possible should expected losses for the pool increase substantially and with continued performance declines of the FLOCs. Classes rated 'CCCsf' are expected to be downgraded if 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. 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 additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur approaching maturity with significant improvement in Credit Enhancement (CE) and/or defeasance, and with the stabilization of performance on the FLOCs. Upgrades of the 'BBB-sf' and below-rated classes are 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 'Bsf' and 'CCCsf' rated classes is not likely unless the performance of the pool is stable and the senior classes pay off. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. [*] Fitch Takes Actions on Distressed Bonds in Five US CMBS Deals ----------------------------------------------------------------- Fitch Ratings, on May 26, 2022, took various actions on already distressed bonds across five U.S. commercial mortgage-backed securities (CMBS) transactions. DEBT RATING PRIOR ---- ------ ----- Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 A-J 07388VAH1 LT Dsf Downgrade Csf B 07388VAJ7 LT Dsf Downgrade Csf C 07388VAK4 LT Dsf Affirmed Dsf D 07388VAL2 LT Dsf Affirmed Dsf E 07388VAM0 LT Dsf Affirmed Dsf F 07388VAN8 LT Dsf Affirmed Dsf G 07388VAP3 LT Dsf Affirmed Dsf H 07388VAQ1 LT Dsf Affirmed Dsf J 07388VAR9 LT Dsf Affirmed Dsf K 07388VAS7 LT Dsf Affirmed Dsf L 07388VAT5 LT Dsf Affirmed Dsf M 07388VAU2 LT Dsf Affirmed Dsf N 07388VAV0 LT Dsf Affirmed Dsf O 07388VAW8 LT Dsf Affirmed Dsf MSCI 2015-XLF2 SNMA 61765VAA6 LT PIFsf Paid In Full BBsf SNMB 61765VAC2 LT PIFsf Paid In Full Bsf SNMC 61765VAE8 LT PIFsf Paid In Full CCCsf SNMD 61765VAG3 LT Dsf Downgrade Csf SNMD 61765VAG3 LT WDsf Withdrawn Dsf Wachovia Bank Commercial Mortgage Trust 2007-C30 E 92978QAN7 LT Dsf Downgrade CCsf E 92978QAN7 LT WDsf Withdrawn Dsf F 92978QAP2 LT Dsf Affirmed Dsf F 92978QAP2 LT WDsf Withdrawn Dsf G 92978QAR8 LT Dsf Affirmed Dsf G 92978QAR8 LT WDsf Withdrawn Dsf H 92978QAT4 LT Dsf Affirmed Dsf H 92978QAT4 LT WDsf Withdrawn Dsf J 92978QAV9 LT Dsf Affirmed Dsf J 92978QAV9 LT WDsf Withdrawn Dsf K 92978QAX5 LT Dsf Affirmed Dsf K 92978QAX5 LT WDsf Withdrawn Dsf COMM 2012-CCRE3 G 12624PAY1 LT Dsf Downgrade Csf Wachovia Bank Commercial Mortgage Trust 2006-C28 E 92978MAN6 LT Dsf Affirmed Dsf F 92978MAT3 LT Dsf Affirmed Dsf G 92978MAU0 LT Dsf Affirmed Dsf H 92978MAV8 LT Dsf Affirmed Dsf J 92978MAW6 LT Dsf Affirmed Dsf K 92978MAX4 LT Dsf Affirmed Dsf L 92978MAY2 LT Dsf Affirmed Dsf M 92978MAZ9 LT Dsf Affirmed Dsf N 92978MBA3 LT Dsf Affirmed Dsf O 92978MBB1 LT Dsf Affirmed Dsf P 92978MBC9 LT Dsf Affirmed Dsf Fitch has withdrawn all six remaining classes of Wachovia Bank Commercial Mortgage Trust 2007-C30 and Class SNMD from Morgan Stanley Capital I Trust 2015-XLF2 as there is no remaining collateral in the transactions, the trust balances have been reduced to zero and the transactions are no longer considered to be relevant to the agency's coverage. AUTOMATIC WITHDRAWAL OF THE LAST DEFAULT RATING Default ratings ('Dsf') assigned to the last rated class of a transaction will be automatically withdrawn within 11 months from the date of this rating action. A separate RAC will not be issued at that time. KEY RATING DRIVERS Fitch has downgraded one class of Wachovia Bank Commercial Mortgage Trust 2007-C30 to 'Dsf' as the class took its first dollar loss. Per the May remittance report, class E received $0 in principal paydown and $10.2 million in losses. The class was previously rated 'CCsf,' indicating default was probable. Fitch has also affirmed five classes of Wachovia Bank Commercial Mortgage Trust 2007-C30 at 'Dsf' as a result of previously incurred losses. Fitch has downgraded two classes of Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 to 'Dsf' as the classes took their first dollar losses. Per the May remittance report, class A-J received $21,841 in principal paydown and $46.9 million in losses, and class B received $0 in principal paydown and $42.1 million in losses. The classes were previously rated 'Csf,' indicating default was inevitable. Fitch has also affirmed 12 classes of Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 at 'Dsf' as a result of previously incurred losses. Fitch has downgraded one class of COMM 2012-CCRE3 Mortgage Trust and one class of Morgan Stanley Capital I Trust 2015-XLF2 to 'Dsf' as the classes took their first dollar losses. Per the May remittance report, class G of COMM 2012-CCRE3 Mortgage Trust received $0 in principal paydown and $5.3 million in losses, and class SNMD received $3.9 million in principal paydown and $18.1 million in losses. The classes were previously rated 'Csf,' indicating default was inevitable. Fitch has affirmed 11 classes of Wachovia Bank Commercial Mortgage Trust 2006-C28 at 'Dsf' as a result of previously incurred losses. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: No further negative rating changes are expected as these bonds have incurred principal losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. 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. [*] Fitch Withdraws Ratings on All 42 Classes From Four CDOs ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on 40 classes and upgraded two classes from four collateralized debt obligations (CDOs). Fitch has withdrawn the ratings for all 42 classes from the four CDOs. DEBT RATING PRIOR ---- ------ ----- Attentus CDO III, Ltd./LLC A-2 04973PAC3 LT BB+sf Affirmed BB+sf A-2 04973PAC3 LT WDsf Withdrawn BB+sf B 04973PAD1 LT B+sf Affirmed B+sf B 04973PAD1 LT WDsf Withdrawn B+sf C-1 04973PAE9 LT CCsf Affirmed CCsf C-1 04973PAE9 LT WDsf Withdrawn CCsf C-2 04973PAH2 LT CCsf Affirmed CCsf C-2 04973PAH2 LT WDsf Withdrawn CCsf D 04973PAF6 LT CCsf Affirmed CCsf D 04973PAF6 LT WDsf Withdrawn CCsf E-1 04973PAG4 LT Csf Affirmed Csf E-1 04973PAG4 LT WDsf Withdrawn Csf E-2 04973PAJ8 LT Csf Affirmed Csf E-2 04973PAJ8 LT WDsf Withdrawn Csf F 04973MAA4 LT Csf Affirmed Csf F 04973MAA4 LT WDsf Withdrawn Csf Taberna Preferred Funding IV, Ltd./Inc. A-1 87330YAB9 LT BBsf Affirmed BBsf A-1 87330YAB9 LT WDsf Withdrawn BBsf A-2 87330YAC7 LT B-sf Affirmed B-sf A-2 87330YAC7 LT WDsf Withdrawn B-sf A-3 87330YAD5 LT CCsf Affirmed CCsf A-3 87330YAD5 LT WDsf Withdrawn CCsf B-1 87330YAE3 LT Dsf Affirmed Dsf B-1 87330YAE3 LT WDsf Withdrawn Dsf B-2 87330YAK9 LT Dsf Affirmed Dsf B-2 87330YAK9 LT WDsf Withdrawn Dsf C-1 87330YAF0 LT Csf Affirmed Csf C-1 87330YAF0 LT WDsf Withdrawn Csf C-2 87330YAG8 LT Csf Affirmed Csf C-2 87330YAG8 LT WDsf Withdrawn Csf C-3 87330YAH6 LT Csf Affirmed Csf C-3 87330YAH6 LT WDsf Withdrawn Csf D-1 87330YAJ2 LT Csf Affirmed Csf D-1 87330YAJ2 LT WDsf Withdrawn Csf D-2 87330YAL7 LT Csf Affirmed Csf D-2 87330YAL7 LT WDsf Withdrawn Csf E 87330XAA3 LT Csf Affirmed Csf E 87330XAA3 LT WDsf Withdrawn Csf Taberna Preferred Funding II, Ltd./Inc. A-1A 87330UAA9 LT Bsf Affirmed Bsf A-1A 87330UAA9 LT WDsf Withdrawn Bsf A-1B 87330UAB7 LT Bsf Affirmed Bsf A-1B 87330UAB7 LT WDsf Withdrawn Bsf A-1C 87330UAC5 LT Bsf Affirmed Bsf A-1C 87330UAC5 LT WDsf Withdrawn Bsf A-2 87330UAD3 LT CCsf Affirmed CCsf A-2 87330UAD3 LT WDsf Withdrawn CCsf B 87330UAE1 LT Dsf Affirmed Dsf B 87330UAE1 LT WDsf Withdrawn Dsf C-1 87330UAF8 LT Csf Affirmed Csf C-1 87330UAF8 LT WDsf Withdrawn Csf C-2 87330UAG6 LT Csf Affirmed Csf C-2 87330UAG6 LT WDsf Withdrawn Csf C-3 87330UAH4 LT Csf Affirmed Csf C-3 87330UAH4 LT WDsf Withdrawn Csf D 87330UAJ0 LT Csf Affirmed Csf D 87330UAJ0 LT WDsf Withdrawn Csf E-1 87330UAK7 LT Csf Affirmed Csf E-1 87330UAK7 LT WDsf Withdrawn Csf E-2 87330UAL5 LT Csf Affirmed Csf E-2 87330UAL5 LT WDsf Withdrawn Csf F 87330UAM3 LT Csf Affirmed Csf F 87330UAM3 LT WDsf Withdrawn Csf Taberna Preferred Funding VI, Ltd./Inc. A-1A 87331AAA2 LT BBsf Upgrade Bsf A-1A 87331AAA2 LT WDsf Withdrawn BBsf A-1B 87331AAB0 LT BBsf Upgrade Bsf A-1B 87331AAB0 LT WDsf Withdrawn BBsf A-2 87331AAD6 LT CCsf Affirmed CCsf A-2 87331AAD6 LT WDsf Withdrawn CCsf B 87331AAE4 LT Dsf Affirmed Dsf B 87331AAE4 LT WDsf Withdrawn Dsf C 87331AAF1 LT Dsf Affirmed Dsf C 87331AAF1 LT WDsf Withdrawn Dsf D-1 87331AAG9 LT Csf Affirmed Csf D-1 87331AAG9 LT WDsf Withdrawn Csf D-2 87331AAH7 LT Csf Affirmed Csf D-2 87331AAH7 LT WDsf Withdrawn Csf E-1 87331AAJ3 LT Csf Affirmed Csf E-1 87331AAJ3 LT WDsf Withdrawn Csf E-2 87331AAK0 LT Csf Affirmed Csf E-2 87331AAK0 LT WDsf Withdrawn Csf F-1 87331AAL8 LT Csf Affirmed Csf F-1 87331AAL8 LT WDsf Withdrawn Csf F-2 87331AAM6 LT Csf Affirmed Csf F-2 87331AAM6 LT WDsf Withdrawn Csf TRANSACTION SUMMARY The CDOs are collateralized by trust preferred securities (TruPS), senior and subordinated debt issued by real estate investment trusts (REITs), corporate issuers, tranches of structured finance CDOs and commercial mortgage-backed securities. Fitch has withdrawn the ratings of notes issued by these four CDOs for commercial reasons as referenced in the report "Fitch Plans to Withdraw Ratings of 35 TruPS CDOs and 4 REIT TruPS CDOs," published on Feb. 10, 2022. KEY RATING DRIVERS All of the transactions experienced some deleveraging from collateral redemptions and/or excess spread, which led to the senior classes of notes receiving paydowns ranging from 1% to 4% of their last review note balances. This deleveraging led to the upgrades of the notes in Taberna Preferred Funding VI, Ltd./Inc. The credit quality of the collateral portfolios improved for one CDO, remained stable in two transactions, and one CDO experienced negative credit migration. One issuer in one CDO defaulted since last review. Upgrades were limited by the outcome of the sector wide migration sensitivity analysis described in the U.S. Trust Preferred CDOs Surveillance Rating Criteria for most notes. The Stable Outlooks on nine tranches in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with such classes' rating. Three of the four rated transactions are in acceleration, which diverts excess spread to the most senior classes outstanding while cutting off interest due on certain junior timely classes that are currently rated 'Dsf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: N/A Factors that could, individually or collectively, lead to positive rating action/upgrade: N/A 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. [*] Moody's Takes Action on $272MM of US RMBS Issued 2002-2007 -------------------------------------------------------------- Moody's Investors Service takes action on the ratings of 13 bonds from eight US residential mortgage backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A list of the Affected Credit Ratings is available at https://bit.ly/3t8KJBm Complete rating actions are as follows: Issuer: Aames Mortgage Trust 2002-1 Cl. A-3, Upgraded to Baa3 (sf); previously on Jan 17, 2017 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Baa2 (sf); previously on Sep 3, 2013 Upgraded to Ba1 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP1 Cl. A-1A, Upgraded to A1 (sf); previously on Nov 7, 2018 Upgraded to A3 (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust Series MO 2006-HE6 Cl. A1, Upgraded to Aa2 (sf); previously on Nov 20, 2018 Upgraded to A1 (sf) Cl. A5, Upgraded to Baa1 (sf); previously on Nov 20, 2018 Upgraded to Baa3 (sf) Issuer: BNC Mortgage Loan Trust 2007-1 Cl. A4, Upgraded to Baa3 (sf); previously on Jun 21, 2019 Upgraded to Ba2 (sf) Issuer: BNC Mortgage Loan Trust 2007-2 Cl. A3, Upgraded to Baa3 (sf); previously on Jun 21, 2019 Upgraded to Ba2 (sf) Issuer: BNC Mortgage Loan Trust 2007-3 Cl. A4, Upgraded to Baa2 (sf); previously on Jun 21, 2019 Upgraded to Ba1 (sf) Issuer: Carrington Mortgage Loan Trust Series 2006-FRE1 Cl. A-3, Upgraded to Ba1 (sf); previously on Jun 21, 2019 Upgraded to Ba3 (sf) Cl. A-4, Upgraded to Ba2 (sf); previously on Jun 21, 2019 Upgraded to B1 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-5 Cl. A-4A, Downgraded to Baa1 (sf); previously on Aug 24, 2018 Upgraded to A3 (sf) Underlying Rating: Downgraded to Baa1 (sf); previously on Aug 24, 2018 Upgraded to A3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-4B, Downgraded to Baa1 (sf); previously on Aug 24, 2018 Upgraded to A3 (sf) Cl. A-5B, Downgraded to Baa1 (sf); previously on Aug 24, 2018 Upgraded to A3 (sf) Underlying Rating: Downgraded to Baa1 (sf); previously on Aug 24, 2018 Upgraded to A3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and / or an increase in credit enhancement available to the bonds. The rating downgrades on Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-5 are a result of the potential interest shortfall risk on the related bonds. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment deferrals since the start of pandemic, which could result in higher realized losses. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 11% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. [*] Moody's Upgrades $365MM of US RMBS Issued 2001 to 2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 24 bonds from nine US residential mortgage backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3xclQHg Complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2004-2, Asset-Backed Notes, Series 2004-2 Cl. A-1, Upgraded to Baa2 (sf); previously on Oct 7, 2021 Upgraded to Ba1 (sf) Underlying Rating: Upgraded to Baa2 (sf); previously on Oct 7, 2021 Upgraded to Ba1 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-2, Upgraded to Baa2 (sf); previously on Oct 7, 2021 Upgraded to Ba1 (sf) Underlying Rating: Upgraded to Baa2 (sf); previously on Oct 7, 2021 Upgraded to Ba1 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Amortizing Residential Collateral Trust Mortgage Pass-Through Certificates, Series 2001-BC6 Cl. A, Upgraded to B1 (sf); previously on May 4, 2012 Downgraded to B3 (sf) Issuer: Bear Stearns Mortgage Funding Trust 2007-AR5 Cl. II-A-1, Upgraded to Ba1 (sf); previously on Mar 21, 2016 Upgraded to Ba3 (sf) Issuer: New Century Home Equity Loan Trust 2006-1 Cl. A-1, Upgraded to Baa2 (sf); previously on Jan 15, 2019 Upgraded to Ba1 (sf) Cl. A-2b, Upgraded to B2 (sf); previously on Jan 15, 2019 Upgraded to Caa2 (sf) Issuer: New Century Home Equity Loan Trust 2006-2 Cl. A-1, Upgraded to Ba1 (sf); previously on Jul 5, 2017 Upgraded to Ba3 (sf) Cl. A-2b, Upgraded to B3 (sf); previously on Jul 5, 2017 Upgraded to Caa2 (sf) Issuer: NovaStar Mortgage Funding Trust 2007-2 Cl. A-1A, Upgraded to A2 (sf); previously on Jun 21, 2019 Upgraded to Baa1 (sf) Cl. A-2B, Upgraded to B2 (sf); previously on Jun 21, 2019 Upgraded to Caa1 (sf) Issuer: Structured Asset Investment Loan Trust 2005-5 Cl. M3, Upgraded to Aaa (sf); previously on Apr 9, 2018 Upgraded to Aa1 (sf) Cl. M4, Upgraded to Baa2 (sf); previously on Apr 9, 2018 Upgraded to Ba2 (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF1 Cl. M1, Upgraded to Aaa (sf); previously on Oct 12, 2021 Upgraded to Aa1 (sf) Cl. M2, Upgraded to A2 (sf); previously on Oct 12, 2021 Upgraded to Baa1 (sf) Cl. M3, Upgraded to Baa1 (sf); previously on Oct 12, 2021 Upgraded to Baa3 (sf) Cl. M4, Upgraded to Ba3 (sf); previously on Oct 12, 2021 Upgraded to B2 (sf) Cl. M5, Upgraded to B3 (sf); previously on Oct 12, 2021 Upgraded to Caa2 (sf) Cl. M6, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF2 Cl. M2, Upgraded to Aa2 (sf); previously on Oct 12, 2021 Upgraded to A1 (sf) Cl. M3, Upgraded to A2 (sf); previously on Oct 12, 2021 Upgraded to Baa1 (sf) Cl. M4, Upgraded to Baa1 (sf); previously on Oct 12, 2021 Upgraded to Baa3 (sf) Cl. M5, Upgraded to Ba3 (sf); previously on Oct 12, 2021 Upgraded to B2 (sf) Cl. M6, Upgraded to Caa2 (sf); previously on Oct 12, 2021 Upgraded to Ca (sf) Cl. M7, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment deferrals since the start of pandemic, which could result in higher realized losses. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 11% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. [*] Moody's Upgrades $41.5MM Scratch & Dent RMBS Issued 2005-2006 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of seven bonds from two US residential mortgage backed transactions (RMBS), backed by scratch and dent mortgages issued by Bayview Financial Mortgage Pass-Through Trust. A list of Affected Credit Ratings is available at https://bit.ly/3apBiam Complete rating actions are as follows: Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-C Cl. B-1, Upgraded to Caa3 (sf); previously on Jul 7, 2011 Downgraded to C (sf) Cl. M-3, Upgraded to Aa1 (sf); previously on Aug 10, 2021 Upgraded to Aa3 (sf) Cl. M-4, Upgraded to Baa2 (sf); previously on Aug 10, 2021 Upgraded to Ba1 (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-A Cl. B-1, Upgraded to B1 (sf); previously on Oct 16, 2018 Upgraded to B3 (sf) Cl. B-2, Upgraded to Caa3 (sf); previously on Jan 25, 2013 Affirmed C (sf) Cl. M-3, Upgraded to Aa1 (sf); previously on Aug 30, 2021 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Baa1 (sf); previously on Oct 16, 2018 Upgraded to Baa3 (sf) RATINGS RATIONALE The rating upgrades reflect the increase in credit enhancement (CE) available to these bonds and also the recent performance as well as Moody's updated loss expectations on the underlying pools. The CE of the bonds in today's rating action have increased by around 10% over the last 12 months, primarily due to excess spread and the paydown on the bonds. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. [*] S&P Takes Various Actions on 86 Classes from 17 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 86 classes from 17 U.S. RMBS transactions issued between 2002 and 2005. The review yielded six upgrades, seven downgrades, 40 affirmations, and 33 withdrawals. In addition, S&P subsequently withdrew two of the lowered ratings. A list of Affected Ratings can be viewed at: https://bit.ly/3Q0w30U 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: -- Collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Erosion of or increases in credit support; -- Principal-only criteria; -- Interest-only criteria; -- Counterparty criteria; -- A small loan count; and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as 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. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "Our assessment of counterparty risk may constrain the rating assigned to a class if the maximum supported rating as determined under these criteria is lower than what would be supported under other applicable criteria in our analysis of that class. We lowered our ratings on classes A-1 and A-2 from Chevy Chase Funding LLC's series 2004-1, as a result of our assessment of our counterparty criteria on these ratings. The maximum supported ratings for these classes is constrained by the rating of the counterparty based on our assessment of the related transaction's replacement commitment and collateral posting framework, as described in our counterparty criteria. "We lowered our ratings on classes 1A6 and 1A7 from Prime Mortgage Trust 2004-1 to 'D (sf)' from 'B- (sf)' due to principal write-downs, and subsequently withdrew the ratings due to the small number of loans remaining within the related group or structure. "In addition, we withdrew our ratings on 33 classes from seven transactions due to the small number of loans remaining within the related group or structure. 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