/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220619.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 19, 2022, Vol. 26, No. 169 Headlines 610 FUNDING 1: Moody's Ups Rating on $22MM Cl. C-R Notes From Ba1 ACRES COMMERCIAL 2021-FL1: DBRS Confirms B(low) Rating on G Notes AFFIRM ASSET 2022-A: DBRS Gives Prov. BB Rating on Class E Notes AJAX MORTGAGE 2022-A: DBRS Finalizes B Rating on Class M-3 Trust ALESCO PREFERRED IX: Moody's Upgrades Rating on 4 Tranches to Caa1 ALESCO PREFERRED XII: Moody's Ups Rating on $70MM B Notes From Ba1 ALLEGRO CLO XV: Moody's Assigns B3 Rating to $2.8MM Class F Notes APRES STATIC 1: Fitch Affirms 'BB+' Rating on Class E-R Notes ARIVO ACCEPTANCE 2022-1: DBRS Finalizes BB Rating on Class D Notes ASHFORD HOSPITALITY 2018-ASHF: S&P Cuts E Certs Rating to 'B-(sf)' BANK 2022-BNK41: DBRS Gives Prov. BB Rating on Class F Certs BATTALION CLO XXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes BBCMS MORTGAGE 2020-C7: DBRS Confirms B Rating on Class F Certs BBSG 2016-MRP: S&P Lowers Class D Certs Rating to 'B- (sf)' BCRED BSL 2022-1: S&P Assigns BB-(sf) Rating on $21MM Cl. E Notes BDS 2021-FL7: DBRS Confirms B(low) Rating on Class G Notes BDS 2022-FL11: DBRS Finalizes B(low) Rating on Class G Notes BENCHMARK 2019-B12: Fitch Affirms 'B-' Rating on Class G-RR Certs BENCHMARK 2020-IG3: DBRS Confirms B(low) Rating on 825S-D Certs BENCHMARK 2022-B34: DBRS Finalizes B Rating on Class G Trust BENCHMARK 2022-B35: DBRS Gives Prov. BB Rating on Class X-G Notes CAMB COMMERCIAL 2019-LIFE: DBRS Confirms B(low) Rating on G Certs CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on Class E Certs CG-CCRE COMMERCIAL 2014-FL2: S&P Cuts Cl. B Certs Rating to 'BB+' CITIGROUP MORTGAGE 2022-RP1: DBRS Gives Prov. B Rating on B3 Notes COMM 2014-CCRE14: DBRS Downgrades Class F Certs Rating to C COMM 2019-521F: DBRS Confirms B Rating on Class F Certs CORNHUSKER FUNDING 1A: DBRS Gives Prov. B Rating on Class C Notes CORNHUSKER FUNDING 1B: DBRS Gives Prov. B Rating on Class C Notes CORNHUSKER FUNDING 1C: DBRS Gives Prov. B Rating on Class C Notes CPS AUTO 2022-B: DBRS Finalizes BB Rating on Class E Notes CSMC 2019-ICE4: DBRS Confirms BB Rating on Class F Certs DBGS 2018-BIOD: DBRS Confirms B(low) Rating on Class HRR Certs DBUBS 2017-BRBK: DBRS Confirms B Rating on Class F Certs DRYDEN 94: S&P Assigns BB- (sf) Rating on $20MM Class E Notes FANNIE MAE 2022-R06: S&P Assigns 'BB-' Rating on Class 1B-1 Notes FREDDIE MAC 2022-1: DBRS Finalizes B(low) Rating on Class M Trust FREDDIE MAC 2022-DNA5: S&P Assigns Prelim 'B' Rating on B-1I Notes GLS AUTO 2022-2: S&P Assigns BB- (sf) Rating on Class E Notes GOLD KEY 2014-A: DBRS Confirms BB(high) Rating on Class C GS MORTGAGE 2021-ROSS: DBRS Confirms B(low) Rating on Cl. G Certs GS MORTGAGE 2022-RPL2: DBRS Gives B Rating on Class B-2 Notes HOME RE 2022-1: DBRS Gives Prov. B(high) Rating on 2 Classes ICG US CLO 2022-1: S&P Assigns Prelim BB- (sf) Rating on E Notes INDEPENDENCE PLAZA 2018-INDP: DBRS Confirms B Rating on HRR Certs JP MORGAN 2016-JP3: Fitch Affirms 'B-' Rating on Class F Certs JP MORGAN 2022-5: DBRS Gives Prov. B(low) Rating on B-5 Certs JPMBB COMMERCIAL 2015-C29: DBRS Confirms C Rating on 2 Classes KAWARTHA CAD 2022-1: DBRS Finalizes BB Rating on Class E Notes LCCM 2021-FL2: DBRS Confirms B(low) Rating on Class G Notes MAD MORTGAGE 2017-330M: DBRS Confirms BB Rating on Class E Certs MELLO WAREHOUSE 2020-2: Moody's Cuts Rating on 2 Tranches to B3 MF1 2021-FL6: DBRS Confirms B(low) Rating on Class G Notes MFA 2022-NQM2: S&P Assigns B- (sf) Rating on Class B-2 Certs MORGAN STANLEY 2018-BOP: DBRS Confirms BB Rating on Class F Certs MORGAN STANLEY 2019-H7: Fitch Affirms 'B-' Rating on G-RR Certs MULTI SECURITY 2005-RR4: DBRS Confirms CCC Rating on Class N Certs NATIXIS COMMERCIAL 2017-75B: DBRS Confirms B(high) on 3 Classes NATIXIS COMMERCIAL 2018-ALXA: DBRS Confirms BB(high) on E Certs NATIXIS COMMERCIAL 2018-TECH: DBRS Confirms BB(low) on 2 Classes NEUBERGER BERMAN 49: Moody's Assigns Ba3 Rating to $25.6MM E Notes NEUBERGER BERMAN 50: Moody's Assigns (P)Ba3 Rating to Cl. E Notes OBX TRUST 2022-INV4: Moody's Assigns B3 Rating to Cl. B-5 Debt OCEAN TRAILS XII: Moody's Assigns Ba3 Rating to $12.96MM E Notes OCTAGON 64: Fitch Assigns 'BB' Rating on Class E Debt OCTAGON LTD 64: Moody's Assigns B3 Rating to $1MM Class F Notes ONEMAIN FINANCIAL 2018-2: S&P Raises Cl. E Notes Rating to BB+(sf) PALMER SQUARE 2022-2: S&P Assigns Prelim BB-(sf) Rating on E Notes PREFERRED TERM XVI: Moody's Ups Rating on $77MM Class C Notes to B3 PREFERRED TERM XX: Moody's Hikes Rating on $42MM C Notes to B3 RCKT MORTGAGE 2022-4: Moody's Assigns B3 Rating to Cl. B-5 Debt READY CAPITAL 2021-FL6: DBRS Confirms B(low) Rating on Cl. G Notes REGATTA XXII FUNDING: Moody's Assigns Ba3 Rating to $20MM E Notes RIAL 2022-FL8: DBRS Gives Prov. B(low) Rating on Class G Notes RLGH TRUST 2021-TROT: DBRS Confirms B(low) Rating on Class G Certs RMF BUYOUT 2022-HB1: DBRS Gives Prov. B Rating on Class M5 Notes SG COMMERCIAL 2019-787E: DBRS Confirms BB(low) Rating on F Certs SIGNAL PEAK 12: S&P Assigns Prelim BB-(sf) Rating on Class E Notes TAUBMAN CENTERS 2022-DPM: DBRS Gives Prov. BB(high) on HRR Certs TRUPS FINANCIALS 2017-2: Moody's Hikes Rating on B Notes From Ba1 US AUTO 2022-1: Moody's Assigns (P)B3 Rating to Class E Notes VERUS SECURITIZATION 2022-6: S&P Assigns (P) B- (sf) on B-2 Notes WAMU COMMERCIAL 2007-SL2: Moody's Cuts Rating on Class X Debt to C WAMU COMMERCIAL 2007-SL3: Moody's Ups Rating on Cl. H Certs to B1 WELLS FARGO 2011-C2: Fitch Lowers Rating on Class C Certs to 'CC' WELLS FARGO 2014-LC16: Moody's Lowers Rating on Cl. B Certs to Ba3 WESTLAKE AUTOMOBILE 2022-2: S&P Assigns B (sf) Rating on F Notes WIND RIVER 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes WIND RIVER 2022-2: Fitch Assigns 'BB-(EXP)' Rating on Class E Debt WORLDWIDE PLAZA 2017-WWP: DBRS Confirms BB Rating on F Certs [*] DBRS Reviews 142 Classes from 8 U.S. RMBS Transactions [*] DBRS Reviews 76 Classes from 24 U.S. RMBS Transactions [*] DBRS Takes Rating Actions on 12 CPS Auto Receivables Deals [*] Moody's Hikes $154MM of Scratch & Dent RMBS Issued 2005 to 2007 [*] Moody's Takes Action on $222.9MM of US RMBS Issued 2004-2006 [*] Moody's Takes Action on $231.2MM of US RMBS Issued 2002-2007 [*] S&P Takes Various Actions on 22 Classes from 14 U.S. RMBS Deals [*] S&P Takes Various Actions on 28 Classes from 7 ABS Deals [*] S&P Withdraws 10 Ratings from 4 U.S. RMBS Transactions ********* 610 FUNDING 1: Moody's Ups Rating on $22MM Cl. C-R Notes From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by 610 Funding CLO 1 Ltd.: US$48,500,000 Class A-2R Senior Secured Floating Rate Notes due 2029 (the "Class A-2R Notes"), Upgraded to Aaa (sf); previously on September 21, 2017 Assigned Aa2 (sf) US$24,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B-R Notes"), Upgraded to Aa3 (sf); previously on June 8, 2020 Downgraded to A3 (sf) US$22,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Upgraded to Baa3 (sf); previously on June 8, 2020 Downgraded to Ba1 (sf) 610 Funding CLO 1, Ltd., originally issued in June 2015 and refinanced in September 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 September 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 September 2021. The Class A-1-R notes have been paid down by approximately 54% or $136.7 million since that time. Based on the trustee's May 2022 report[1], the OC ratios for the Class A notes, Class B notes, and Class C notes are reported at 142.11%, and 127.23%, and 116.08% respectively, versus September 2021[2] levels of 128.82%, 119.04%, and 111.89%, respectively. The OC ratios reported on May 2022 trustee report do not reflect the principal payment of approximately $37.8 million made to the Class A-1-R notes on the transactions May 2022 payment date. 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: $253,497,881 Defaulted par: $737,622 Diversity Score: 50 Weighted Average Rating Factor (WARF): 3016 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.59% Weighted Average Recovery Rate (WARR): 47.48% Weighted Average Life (WAL): 4.32 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, 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. ACRES COMMERCIAL 2021-FL1: DBRS Confirms B(low) Rating on G Notes ----------------------------------------------------------------- DBRS Limited confirmed the ratings on all classes of notes issued by ACRES Commercial Realty 2021-FL1 as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The transaction closed in May 2021 with an initial collateral pool of 33 floating-rate mortgage loans secured by 37 mostly transitional real estate properties, with a cut-off pool balance totalling approximately $802.6 million, excluding approximately $50.1 million of future funding commitments. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction is a sequential- pay structure and does not include a ramp-up acquisition period. The transaction is structured with a Reinvestment Period through the May 2023 Payment Date, whereby the Issuer may acquire Funded Companion Participations and new loan collateral into the trust subject to Eligibility Criteria as defined at issuance. As of the March 2022 remittance, the pool comprises 35 loans secured by 36 properties with a cumulative trust balance of $741.0 million. Since issuance, 12 loans with a former cumulative trust balance of $350.6 million have been successfully repaid from the pool, and 15 loans with a current cumulative trust balance of $287.6 million have been contributed to the trust. As of the March 2022 remittance, the Reinvestment Account had a balance of $61.6 million. In general, borrowers are progressing toward completion of the stated business plans. Through December 2021 the collateral manager had advanced $21.8 million in loan future funding to 16 individual borrowers to aid in property stabilization efforts. An additional $66.3 million of unadvanced loan future funding allocated to 25 individual borrowers remains outstanding. The transaction is concentrated by property type as 23 loans are secured by multifamily properties, totalling 71.9% of the current trust balance; six loans are secured by office properties, totalling 20.4% of the current trust balance; and the remaining pool consists of loans secured by hotel, retail, manufactured housing, and self-storage properties. In comparison with transaction closing at May 2021, loans secured by office properties have grown from 12.4% of the trust balance at issuance. Although the remaining property type concentrations remain similar with issuance, loans secured by self-storage properties have decreased to 2.7% of the trust balance from 9.4% of the trust balance at closing. The transaction is also concentrated by loan size, as the largest 10 loans represent 47.2% of the pool. As of the March 2022 remittance, there are no loans on the servicer's watchlist, and there is one loan, Stonelake 1-5 (Prospectus ID#19), in special servicing, representing 2.7% of the current trust balance. The loan transferred to special servicing in January 2022 because of imminent maturity default; however, according to the collateral manager, the borrower is co-operating with the service and a resolution is expected to occur in the near term. In addition, the borrowers on two loans, Latham Square and Sawmill Plaza Shopping Center, totalling 7.6% of the current trust balance, executed loan modifications, which extended the respective maturity dates. In both cases, the borrowers were required to sign new floating interest rate cap agreements. Notes: All figures are in U.S. dollars unless otherwise noted. AFFIRM ASSET 2022-A: DBRS Gives Prov. BB Rating on Class E Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following notes to be issued by Affirm Asset Securitization Trust 2022-A (Affirm 2022-A): -- $405,620,000 Class A Notes at AAA (sf) -- $27,560,000 Class B Notes at AA (sf) -- $26,780,000 Class C Notes at A (sf) -- $18,200,000 Class D Notes at BBB (sf) -- $21,840,000 Class E Notes at BB (sf) The provisional ratings on the notes are based on DBRS Morningstar's review of the following considerations: (1) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns March 2022 Update, published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including the Russian invasion of Ukraine, rising inflation, and new coronavirus variants, the overall outlook for growth and employment in the United States remains relatively positive. (2) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, the Yield Supplement Overcollateralization Amount, and excess spread create credit enhancement levels that are commensurate with the proposed ratings. -- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) stress scenarios in accordance with the terms of the Affirm 2022-A transaction documents. (3) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for receivables that are permissible in the transaction. -- Concentration limits designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the revolving period and begin amortization. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (Affirm). (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), and Celtic Bank. (6) The ability of Nelnet Servicing to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB and Celtic Bank's status as the true lender. -- All loans in the initial pool included in Affirm 2022-A are originated by Affirm through its subsidiary ALS or by originating banks, CRB and Celtic Bank, New Jersey and Utah, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB and Celtic Bank as the true lenders are able to export rates that preempt state usury rate caps. -- Loans originated to borrowers in New York will be limited to the respective state usury cap. -- Loans originated to borrowers in Iowa will be eligible to be included in the Receivables to be transferred to the Trust. These loans will be originated under the ALS entity using Affirm's state license in Iowa. -- Loans originated to borrowers in West Virginia will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations that will enable it to operate the bank partner platform in West Virginia. -- Loans originated to borrowers in Colorado above the state usury cap will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations in the state of Colorado. -- Loans originated to borrowers in Vermont above the state usury cap will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations in the state of Vermont. -- Loans originated to borrowers in Connecticut above the state usury cap will be eligible to be included in the Receivables to be transferred to the Trust contingent on Affirm obtaining the required licenses and registrations in the state of Connecticut. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (9) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S dollars unless otherwise noted. AJAX MORTGAGE 2022-A: DBRS Finalizes B Rating on Class M-3 Trust ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Securities, Series 2022-A issued by Ajax Mortgage Loan Trust 2022-A (the Trust or the Issuer): -- $145.0 million Class A-1 at AAA (sf) -- $6.5 million Class A-2 at AA (sf) -- $3.4 million Class A-3 at A (sf) -- $3.8 million Class M-1 at BBB (sf) -- $16.9 million Class M-2 at BB (sf) -- $1.1 million Class M-3 at B (sf) The AAA (sf) rating on the Notes reflects 32.70% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 29.70%, 28.10%, 26.35%, 18.50%, and 18.00% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing, reperforming, and nonperforming first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 811 loans with a total principal balance of $215,467,392 as of the Cut-Off Date (February 28, 2022). In contrast to prior DBRS Morningstar-rated AJAX transactions, AJAX 2022-A comprises a portion of loans that are severely delinquent or in foreclosure as of the Cut-Off Date. In its cash flow analysis, DBRS Morningstar applied nonperforming loan (NPL) stresses to certain loans (Group 2) that are severely delinquent or in foreclosure and not demonstrating a cash flowing pattern. DBRS Morningstar applied reperforming loan (RPL) stresses to the remaining loans (Group 1). The mortgage loans are approximately 186 months seasoned. Although the number of months clean (consecutively zero times 30 (0 x 30) days delinquent) at issuance for Group 1 (78.2% of the total pool) is weaker relative to other DBRS Morningstar-rated seasoned transactions, the borrowers in Group 1 demonstrate reasonable cash flow velocity (as by number of payments over time) in the past six, 12, and 24 months. The borrowers in Group 2 are currently severely delinquent or in foreclosure and have not demonstrated a consistent cash flow velocity in the last 24 months. The portfolio contains 91.4% modified loans. The modifications happened more than two years ago for 90.6% of the modified loans. Within the pool, 245 mortgages (25.4% of the pool) have non-interest-bearing deferred amounts of $5,321,766, which equate to approximately 2.5% of the total principal balance. The mortgage loans were previously included in prior securitizations issued by Great Ajax Operating Partnership L.P. (Ajax or the Sponsor). The Seller will acquire such loans as a result of the exercise of certain note redemption and/or loan sale rights, and, on the Closing Date, the mortgage loans will be conveyed by the Seller to the Depositor. To satisfy the credit risk retention requirements, the Sponsor or a majority-owned affiliate of the Sponsor will retain at least a 5% eligible vertical interest in the securities. Gregory Funding LLC is the Servicer for the entire pool and will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicer is obligated to make advances in respect of prior liens, insurance, real estate taxes and assessments, as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. Since 2013, Ajax and its affiliates have issued 43 securitizations under the Ajax Mortgage Loan Trust shelf prior to AJAX 2022-A. These issuances were backed by seasoned loans, RPLs, or NPLs and are mostly unrated by DBRS Morningstar. DBRS Morningstar reviewed the historical performance of the Ajax shelf; however, the nonrated deals generally exhibit worse collateral attributes than the rated deals with regard to delinquencies at issuance. The prior nonrated Ajax transactions generally exhibit relatively high levels of delinquencies and losses compared with the rated Ajax securitizations, which are expected given the nature of these severely distressed assets. The Issuer has the option to redeem the rated Notes in full at a price equal to the remaining note amount of the rated Notes plus accrued and unpaid interest, and any unpaid expenses and reimbursement amounts (Rated Note Redemption Price). Such Rated Note Redemption Rights may be exercised on any date: -- Beginning the Payment Date after the Redemption Account equals or exceeds the Rated Note Redemption Price, -- Beginning three years after the Closing Date at the direction of the Depositor, or -- Beginning five years after the Closing Date at the direction of either the Depositor or the Majority Controlling Holders. The Redemption Date is any date when a Funded Redemption or an Optional Redemption occurs. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Redemption Date. P&I collections are commingled and are first used to pay interest to the Notes sequentially and then to pay Class A-1 until reduced to zero, which may provide for timely payment of interest to certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Redemption Date or upon the occurrence of an Event of Default. Prior to the Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in April 2029 (Step-Up Date), the Class A-1 Notes will be entitled to its initial Note Rate plus the Step-Up Note Rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the Step-Up Date, an Accrual Event will be in effect until the earlier of the Redemption Date or the occurrence of an Event of Default. If an Accrual Event is in effect and Class A-1 is outstanding, Class A-2 and more subordinate notes will become accrual Notes, and interest that would otherwise be allocated to such classes will be paid as principal to the Class A-1 Notes until reduced to zero. Any excess accrual amounts on such Payment Date will be deposited into the Redemption Account. All such accrual amounts will be added to the principal balance of the related outstanding accrual Notes. If an Accrual Event is in effect and Class A-1 is no longer outstanding, Class A-2 will be entitled to interest from available funds, or from the Redemption Account, as applicable. Class A-2 and more subordinate notes will only receive principal on the Redemption Date or upon the occurrence of an Event of Default. If a Redemption Date or an Event of Default has not occurred prior to the Stated Final Maturity Date, amounts in the Redemption Account will be paid, sequentially, as interest and then as principal to the Notes until reduced to zero (IPIP) on the Stated Final Maturity Date. In addition to the above bullet and accrual features, a certain aspect of the interest rates on the Notes is less commonly seen in DBRS Morningstar-rated seasoned securitizations as well. The interest rates on the Notes are set at fixed rates, which are not capped by the net weighted-average coupon or available funds. This feature causes the structure to need elevated subordination levels relative to a comparable structure with fixed-capped interest rates because more principal must be used to cover interest shortfalls. DBRS Morningstar considered such nuanced features and incorporated them in its cash flow analysis. The cash flow structure is discussed in more detail in the Cash Flow Structure and Features section of the related report. In contrast to prior DBRS Morningstar-rated Ajax-seasoned RPL securitizations, the representations and warranties (R&W) framework for this transaction incorporates the following new features: -- A pool-level review trigger that incorporates only cumulative losses, dissimilar to other rated RPL securitizations; -- The absence of a repurchase remedy by the Seller, dissimilar to other rated RPL securitizations, but similar to AJAX 2021-E; and -- A Breach Reserve Account, which will be available to satisfy losses related to R&W breaches. Such account is fully funded upfront and then funds after interest is paid to the Notes, dissimilar to other rated RPL securitizations. Although certain features (cumulative loss–only pool trigger, absence of the Seller repurchase remedy, and the Breach Reserve Account shortfall amounts funding after interest) weaken the R&W framework, the historical experience of having minimal putbacks and comprehensive third-party due-diligence for the shelf mitigates these features. In addition, the Breach Reserve Account is fully funded upfront, which is more favorable than other rated RPL securitizations. Details are further described in the Representations and Warranties section of the related report. CORONAVIRUS IMPACT The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value (LTV) ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downwards, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. ALESCO PREFERRED IX: Moody's Upgrades Rating on 4 Tranches to Caa1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by ALESCO Preferred Funding IX, Ltd.: US$365,000,000 Class A-1 First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2036 (the "Class A-1 Notes"), Upgraded to Aaa (sf); previously on October 29, 2019 Upgraded to Aa1 (sf) US$59,000,000 Class A-2A Second Priority Senior Secured Floating Rate Notes Due 2036 (the "Class A-2A Notes"), Upgraded to Aa1 (sf); previously on October 29, 2019 Upgraded to Aa2 (sf) US$3,000,000 Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes Due 2036 (the "Class A-2B Notes"), Upgraded to Aa1 (sf); previously on October 29, 2019 Upgraded to Aa2 (sf) US$51,000,000 Class B-1 Deferrable Third Priority Secured Floating Rate Notes Due 2036 (the "Class B-1 Notes"), Upgraded to A2 (sf); previously on October 29, 2019 Upgraded to Baa1 (sf) US$7,000,000 Class B-2 Deferrable Third Priority Secured Fixed/Floating Rate Notes Due 2036 (the "Class B-2 Notes"), Upgraded to A2 (sf); previously on October 29, 2019 Upgraded to Baa1 (sf) US$54,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2036 (the "Class C-1 Notes"), Upgraded to Caa1 (sf); previously on May 24, 2017 Affirmed Caa2 (sf) US$48,500,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036 (the "Class C-2 Notes"), Upgraded to Caa1 (sf); previously on May 24, 2017 Affirmed Caa2 (sf) US$12,500,000 Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036 (the "Class C-3 Notes"), Upgraded to Caa1 (sf); previously on May 24, 2017 Affirmed Caa2 (sf) US$7,000,000 Class C-4 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036 (the "Class C-4 Notes"), Upgraded to Caa1 (sf); previously on May 24, 2017 Affirmed Caa2 (sf) ALESCO Preferred Funding IX, Ltd., issued in December 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, full repayment of the Class D deferred interest balance, and the improvement in the credit quality of the underlying portfolio over the past year. The Class A-1 notes have paid down by approximately 36.9% or $57.3 million over the past year, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B, and Class C notes have improved to 363.3%, 222.4%, 164.3% and 106.0%, respectively, from levels a year ago of 266.1%, 190.1%, 150.8% and 105.0%, respectively. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. The Class B, Class C, and Class D notes will benefit from the pro rata diversion of excess interest as long as the Class D OC test continues to fail. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 1189 from 1256 a year ago. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par (after treating deferring securities as performing if they meet certain criteria) of $355.6 million, defaulted/deferring par of $15.0 million, a weighted average default probability of 11.45% (implying a WARF of 1189), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. ALESCO PREFERRED XII: Moody's Ups Rating on $70MM B Notes From Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by ALESCO Preferred Funding XII, Ltd.: US$370,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2037 (the "Class A-1 Notes"), Upgraded to Aaa (sf); previously on May 6, 2019 Upgraded to Aa1 (sf) US$87,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037 (the "Class A-2 Notes"), Upgraded to Aa2 (sf); previously on May 6, 2019 Upgraded to Aa3 (sf) US$70,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037 (the "Class B Notes"), Upgraded to Baa3 (sf); previously on May 6, 2019 Upgraded to Ba1 (sf) ALESCO Preferred Funding XII, Ltd., issued in October 2006, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since one year ago. The Class A-1 notes have paid down by approximately 16.7% or $18.9 million since one year ago using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, and Class B notes have improved to 333.8%, 173.7%, and 125.4%, respectively, from a year ago levels of 291.7%, 165.1%, and 122.3%, respectively. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 803 from 897 a year ago. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $315.2 million, defaulted/deferring par of $31.3 million, a weighted average default probability of 7.81% (implying a WARF of 803), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. ALLEGRO CLO XV: Moody's Assigns B3 Rating to $2.8MM Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued and one class of loan incurred by Allegro CLO XV, Ltd. (the "Issuer" or "Allegro XV"). Moody's rating action is as follows: US$195,000,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$61,000,000 Class A Loans maturing 2035, Assigned Aaa (sf) US$14,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) US$2,800,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." The Class A Loans may not be exchanged or converted into notes at any time. 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. Allegro XV is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, and bonds. The portfolio is approximately 80% ramped as of the closing date. AXA Investment Managers US Inc. (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 Debt, the Issuer issued three other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3023 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.50% 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 Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. APRES STATIC 1: Fitch Affirms 'BB+' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has upgraded the class B-R and D-R notes of Apres Static CLO 1, Ltd. and affirmed the remaining notes. Fitch also assigned or affirmed Positive Rating Outlooks on notes rated below 'AAAsf', while 'AAAsf'-rated tranches remain on Outlook Stable. DEBT RATING PRIOR ---- ------ ----- Apres Static CLO 1, Ltd. A-1-R 03835JBA0 LT AAAsf Affirmed AAAsf A-2-R 03835JBC6 LT AAAsf Affirmed AAAsf B-R 03835JBE2 LT AA+sf Upgrade AAsf C-R 03835JBG7 LT A+sf Affirmed A+sf D-R 03835KAL4 LT BBB+sf Upgrade BBB-sf E-R 03835KAN0 LT BB+sf Affirmed BB+sf TRANSACTION SUMMARY Apres Static CLO 1, Ltd. is a broadly syndicated collateralized loan obligation (CLO) serviced by ArrowMark Colorado Holdings, LLC. The transaction originally closed in April 2019 and reset in October 2020. The notes are securitized by a static pool of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Cash Flow Analysis: Since the last review in November 2021, an additional 20% of the original class A-1-R note balance has amortized, resulting in increased credit enhancement (CE) for all notes and 57% total amortization of the original class balance for this senior note. Fitch used a cash flow model to replicate the principal and interest waterfalls and to assess the effectiveness of various structural features of the transaction. The assigned ratings are in line with the model-implied ratings (MIRs). The MIRs are based on a portfolio that assumes a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor and extending the weighted average life from the current 3.41 years to the current maximum covenant of 4.55 years to account for potential maturity amendments. The Stable Outlooks on the AAAsf-rated senior notes reflect sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with the classes' respective ratings. The Positive Outlooks on the remaining notes reflect ongoing amortization of the capital structure, which would increase CE for the rated notes. Asset Credit Quality: Fitch assesses the average credit quality of the obligors to be at the 'B'/'B-' rating level. The Fitch calculated weighted average rating factor is at 24.7, per Fitch's CLOs and Corporate CDOs Rating Criteria. There are no defaulted assets in the portfolio per Fitch's analysis. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is at 8.9%. Issuers with a Fitch-derived rating with a Negative Outlook comprise 16.8% of the portfolio. The transaction is passing all collateral quality, portfolio profile and coverage tests. Asset Security: 99.1% of the portfolio comprises senior secured obligations. The Fitch weighted-average recovery rate of the current portfolio is 77.4%. Portfolio Composition: The portfolio remains fairly diversified and contains 131 obligors. The largest 10 obligors represent 17.9% of the portfolio. Portfolio Management: Since last review, portfolio management was limited to credit risk sales of 3.7% of the current target par balance, at an average price of 97.9. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels, would lead to downgrades (based on the MIRs) of up to six notches. -- Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' CE do not compensate for the higher loss expectation than initially anticipated. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels, would lead to upgrades (based on MIRs) of up to three notches. -- Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and deal performance, leading to higher notes' CE and excess spread available to cover expected losses. 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. ARIVO ACCEPTANCE 2022-1: DBRS Finalizes BB Rating on Class D Notes ------------------------------------------------------------------ DBRS, Inc. finalized provisional ratings on the following classes of notes issued by Arivo Acceptance Auto Loan Receivables Trust 2022-1 (ARIVO 2022-1 or the Issuer): -- $159,090,000 Class A Notes at AA (sf) -- $13,720,000 Class B Notes at A (sf) -- $17,720,000 Class C Notes at BBB (sf) -- $10,970,000 Class D Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the cash collateral account and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The DBRS Morningstar CNL assumption is 9.40% based on the cut-off date pool composition. (3) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2022 Update published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including Russian invasion of Ukraine, rising inflation and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive. (4) DBRS Morningstar performed an operational review of Arivo and considers the entity an acceptable originator and servicer of subprime and nonprime auto loans. The Transaction structure provides for a transition of servicing in the event a Servicer Termination Event occurs. Wilmington Trust, National Association (rated AA (low) with a Stable trend by DBRS Morningstar) is the Backup Servicer, and Systems & Services Technologies, Inc. is the contracted subagent to perform the backup servicer's duties. (5) The credit quality of the collateral and performance of Arivo's auto loan portfolio. The weighted-average (WA) remaining term of the Initial Receivables is approximately 65 months with WA seasoning of approximately five months. The nonzero WA credit score of the pool is 560 and the WA APR is 15.73%. (6) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Arivo, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 25.60% of initial hard credit enhancement provided by subordinated notes in the pool (20.10%), overcollateralization (4.50%) and cash collateral account (1.00% of the aggregate pool balance, including the initial pool balance plus the subsequent receivable balance, and nondeclining). The ratings on the Class B, C and D Notes reflect 19.10%, 10.70% and 5.50% of initial hard credit enhancement, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. ASHFORD HOSPITALITY 2018-ASHF: S&P Cuts E Certs Rating to 'B-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Ashford Hospitality Trust 2018-ASHF, a U.S. CMBS transaction. At the same time, S&P affirmed its 'AAA (sf)' rating on class A and 'CCC (sf)' rating on class F from the same transaction. This transaction is backed by a floating-rate, interest-only (IO) mortgage loan secured by the borrower's fee and leasehold interest in 11 full-service hotels and eight limited-service hotels located in 13 U.S. states: California, Colorado, Florida, Georgia, Illinois, Maryland, Massachusetts, Nebraska, New York, New Jersey, Texas, Virginia, and Washington. Rating Actions S&P said, "The downgrades of classes B, C, and D and the affirmations on class A and F, as well as the further downgrade of class E, reflect our reevaluation of the 19-hotel portfolio that secures the sole loan in the transaction. "Our review included an analysis of the most recently available borrower information provided by the master servicer, including property-level financial statements for the trailing 12 months (TTM) ending March 2022, annual operating statements from 2017 through 2021, property budgets for 2022, and March 2022 Smith Travel Research (STR) performance data for each hotel and its respective competitive set. "Specifically, the downgrades reflect our concerns that the portfolio will continue to exhibit stressed net cash flow (NCF) performance due to higher property expense levels, as well as our assessment that corporate transient and meeting/group demand at the properties will continue to be adversely impacted following the COVID-19 pandemic, and that therefore, room revenue will remain pressured. Both trends were reflected in the TTM NCF as of March 2022, which were 57% below pre-pandemic 2019 levels and the sponsor-projected 2022 NCF, which were 44% below pre-pandemic 2019 NCF levels. As we discuss in greater detail in the Property Level Analysis section below, we revised the S&P Global Ratings' portfolio NCF and value downward to $61.3 million and $604.1 million, respectively, both of which are 14.6% lower than those of our last review in 2020. "The 'CCC (sf)' affirmation on class F reflects our views that, based on an S&P Global Ratings' loan-to-value ratio of over 100%, this class is more susceptible to reduced liquidity support, and the risk of default and loss has increased due to current market conditions." Although the model-indicated ratings based on S&P's updated portfolio cashflow and valuation were lower than the revised rating levels for classes A, B, C, D, and E, it tempered its rating actions on these classes for 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 appraisal value of $1.107 billion 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 also lowered its rating on the class X-EXT interest-only (IO) certificates based on its 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, in this case, the class B, C, and D certificates. Collateral Overview The collateral portfolio currently consists of 11 full-service hotels and eight limited-service hotels comprising 5,269 guestrooms. Since issuance, three properties totaling 516 guestrooms in three states were released. The release of these three properties, along with the release premium, resulted in $61.9 million in paydown to the mortgage loan. Of the remaining 19 hotels, three are unflagged, and the other 16 are operating under three different nationally-recognized brands: Hilton, Hyatt, and Marriot. The 19 hotels in the portfolio are: -- Courtyard by Marriott Boston Downtown (limited-service): 315 guestrooms, opened in 1925; -- The Ritz-Carlton Atlanta (full-service): 444 guestrooms, opened in 1984; -- Melrose Georgetown Hotel (full-service): 240 guestrooms, opened in 1948; -- Hyatt Regency Savannah (full-service): 351 guestrooms, opened in 1980; -- Marriott DFW Airport North (full-service): 491 guestrooms, opened in 1982; -- Hilton Garden Inn Austin Downtown (limited-service): 254 guestrooms, opened in 1985; -- Sugar Land Marriott Town Square (full-service): 300 guestrooms, opened in 2002; -- Renaissance Palm Springs (full-service): 410 guestrooms, opened in 1987; -- Churchill Hotel Near Embassy Row (full-service): 173 guestrooms, opened in 1955; -- Hilton Parsippany (full-service): 353 guestrooms, opened in 1981; -- Hyatt Regency Long Island (full-service): 358 guestrooms, opened in 1989; -- Marriott Courtyard Denver (limited-service): 202 guestrooms, opened in 1997; -- Hilton Garden Inn Virginia Beach (limited-service): 176 guestrooms, opened in 2003; -- Courtyard Gaithersburg Washingtonian Center (limited-service): 210 guestrooms, opened in 2006; -- Silversmith Hotel Chicago Downtown (limited-service): 144 guestrooms, opened in 1897; -- Hilton Tampa Airport Westshore (full-service): 238 guestrooms, opened in 1982; -- Hampton Inn Parsippany (limited-service): 152 guestrooms, opened in 2008; -- Hilton Garden Inn BWI Airport (limited-service): 158 guestrooms, opened in 2001; and -- Omaha Marriott (full-service): 300 guestrooms, opened in 1982. 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 franchise agreements expire during the fully extended loan term occurring in April 2025. These hotels, the Sugar Land Marriott Town Square, Hilton Garden Inn Virginia Beach, and the Omaha Marriot collectively account for 12.2% of the loan by allocated loan amount (ALA). 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. The sponsor spent approximately $227.5 million ($39,328 per guestroom) on capital expenditures between 2013 and 2017. About half of this amount ($109.9 million) was spent and or committed between 2016 and 2017. S&P requested additional information regarding capital expenditure plans from the servicer. At this time, no information surrounding capital expenditures has been provided. Property-Level Analysis Prior to the pandemic, revenue per available room (RevPAR) across the portfolio exhibited stable performance: $124.20 in 2017, $124.29 in 2018, and $129.79 in 2019. After the onset of the COVID-19 pandemic, RevPAR declined 65% in 2020 to $49.90 from $129.79 in 2019. While RevPAR has rebounded to $91.54 as of the TTM ending March 2022, it is still 29% below the 2019 pre-pandemic level and 20% below S&P's assumption at issuance and at our last review in July 2020. S&P said, "We revised our long-term RevPAR and resulting NCF expectations due, in large part, to the reductions in achieved occupancy and increases in expense items across the portfolio. We believe the occupancy decreases were driven by three key factors: first, the immediate effect the pandemic had on hotel occupancies; second, the fact that many of the hotels are in urban infill locations; and lastly, many of the hotels derived a significant portion of occupancy from corporate and group business. The main drivers of the increased expenses were rooms expense, real property taxes, and insurance. Compared to issuance in 2018, we increased our room expense assumption on a per-occupied room basis by 14.66%. We also revised our fixed expense assumptions, which include real property taxes and insurance. These fixed expenses have increased 18.47% across the portfolio since issuance, and we have updated our assumptions on these line items in a commensurate manner. "The portfolio's 2022 budget forecasts a 65% occupancy, $164.09 average daily rate (ADR), $105.93 RevPAR, and $50.7 million NCF. We believe the portfolio as a whole will continue to rebound from these levels, but that its NCF performance is likely to fall short of our expectations at securitization and last review, which we estimated at $71.8 million. "We have lowered our occupancy rate to 73.3% (from 73.7% at issuance and last review) and slightly increased our ADR assumptions to $158.44 (155.05 at issuance), resulting in a revised RevPAR of $116.09, up from $114.29 at issuance/last review. We have also revised our expense assumptions, as noted above in rooms expense, real property taxes, and insurance leading to a sustainable NCF of $61.3 million. This revised NCF is down 14.7% from $71.8 million (adjusted for property release) at issuance and in our last review. "While our revised sustainable NCF of $61.3 million is higher than the budget, we also considered that the portfolio's underlying NCF, historically, had been stable at $89.9 million in 2019, $83.4 million in 2018, and $86.2 million in 2017. Following the onset of the pandemic, portfolio NCF declined precipitously to negative $9.2 million in 2020, improving to $38.9 million in the TTM ending March 2022, but still standing in stark contrast to the $89.9 million achieved in 2019. Within the portfolio, four properties have negative NCF (Melrose Georgetown Hotel, Churchill Hotel Near Embassy Row, Hilton Parsippany, and Silversmith Hotel Chicago Downtown) as of the TTM ending March 2022. "We capitalized our revised NCF with a weighted average S&P Global Ratings' capitalization rate of 10.2%, the same as in our last review (but up from 9.40% at issuance) to conclude to an expected-case valuation of $604.1 million ($114,658 per guestroom) and an S&P Global Ratings' loan-to-value (LTV) ratio of 119.3%. Our revised valuation is down 14.6% from our last review value of $707.9 million and 20.9% lower than our issuance value of $764.1 million." The appraised value of the portfolio, adjusted for the release of the three properties, was $1.107 billion ($210,192 per guestroom). S&P's revised S&P Global Ratings' value of $604.1 million is 45% below the appraised value, adjusted for the three properties. Transaction Summary The underlying mortgage loan was originated in April 2018, and securitized on May 2018. At origination, the loan had an initial two-year term with five one-year extension options, resulting in a fully-extended maturity date of April 2025. The borrower exercised its third extension option, and the loan matures in April 2023. The borrower has two (one year) extension options remaining, subject to various extension hurdles. Amongst the various extension hurdles, for the borrower to exercise the fourth extension option in April 2023, the borrower will need to meet a debt yield test of 9.54%, which is equivalent to an approximate NCF of $68.8 million for the portfolio. In addition to the trust mortgage loan, the borrower's equity interest also secured a senior mezzanine loan in the amount of $93.1 million as well as a junior mezzanine loan in the amount of $95.6 million. According to the June 2022 trustee remittance report, the loan has a trust balance of $720.7 million, $62.0 million lower than at issuance following the release of three properties totaling 109 keys in 2018 and 407 keys in 2019. The loan currently pays a per annum floating rate equal to one-month LIBOR plus 2.153%. If the sponsor exercises their fourth extension option on April 2023, the spread over one-month LIBOR will increase 12.5 basis points to 2.278% from 2.153%. The loan was transferred to the special servicer in April 2020 due to imminent payment default as the pandemic severely stressed the portfolio's cashflows. The loan received forbearance through a standstill agreement that was executed in July 2020. Per the terms of the standstill agreement, the borrower paid $15.3 million, which was used to pay delinquent debt service payments and funded property accounts. The borrower funded reserve deposits for operating expenses and capital expenditures and paid special servicer fees as well as legal costs resulting from the transfer and modification. Following the standstill agreement in July 2020, the loan was returned to the master servicer in April 2021 as a corrected mortgage, and it has remained current on its debt service obligations since. Per the June 2022 remittance report, class F has an outstanding interest shortfall of $2,952, the majority of which were trust expenses incurred for LIBOR transition/cessation. 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 Ashford Hospitality Trust 2018-ASHF 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 X-EXT to 'BB (sf)' from 'BBB- (sf)' Ratings Affirmed Ashford Hospitality Trust 2018-ASHF Class A: AAA (sf)' Class F: 'CCC (sf)' BANK 2022-BNK41: DBRS Gives Prov. BB Rating on Class F Certs ------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-BNK41 to be issued by BANK 2022-BNK41 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (high) (sf) -- Class X-D at BBB (sf) -- Class X-F at BB (high) (sf) -- Class X-G at BB (low) (sf) All trends are Stable. Class X-D, X-F, X-G, X-H, D, E, F, G, V, and R will be privately placed. The RR Interest Certificates will not be offered. The collateral consists of 69 fixed-rate loans secured by 138 commercial and multifamily properties. DBRS Morningstar elected to model Storage Express I and Storage Express II as one loan (representing 1.8% of the pool) because the loans are cross-collateralized and cross-defaulted. Throughout the remainder of this report, the pool will be referred to as a 68-loan pool. Three loans—Constitution Center, 601 Lexington Avenue, and Journal Squared Tower II, representing 17.0% of the pool—are shadow-rated investment grade by DBRS Morningstar. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off date balances were measured against the DBRS Morningstar net cash flow (NCF) and their respective actual constants, the initial DBRS Morningstar weighted average debt service coverage ratio (WA DSCR) of the pool was 3.39 times (x). No loans exhibited a DBRS Morningstar DSCR below 1.25x, a threshold indicative of a higher likelihood of midterm default. The pool additionally includes six loans, totaling 15.2% of the cut-off date pool balance, that exhibit a DBRS Morningstar loan-to-value ratio (LTV) greater than 67.1%, a threshold generally indicative of elevated default frequency. The WA DBRS Morningstar LTV of the pool at issuance is 51.9%, and the pool is scheduled to amortize down to a DBRS Morningstar LTV of 50.7% at maturity. These credit metrics are based on the A note balances. Excluding the shadow-rated loans, the deal still exhibits a favorable DBRS Morningstar WA Issuance LTV of 60.1%. The transaction is a sequential-pay pass-through structure. There are 25 loans, representing 33.7% of the pool, in areas identified as DBRS Morningstar Market Ranks of 7 or 8, which are generally characterized as highly dense urbanized areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Markets with these rankings benefit from lower default frequencies than less dense suburban, tertiary, and rural markets. Urban markets represented in the deal include New York; Washington, D.C.; and San Francisco. In addition, 39 loans, representing 60.0% of the pool balance, have collateral in metropolitan statistical area (MSA) Group 3, which represents the best-performing group in terms of historical CMBS default rates among the top 25 MSAs. Constitution Center, 601 Lexington Avenue, and Journal Squared Tower II exhibit credit characteristics consistent with investment-grade shadow ratings. Combined, these loans represent 17.0% of the pool. Constitution Center has credit characteristics consistent with an AA (low) shadow rating, 601 Lexington Avenue has credit characteristics consistent with an “A” shadow rating, and Journal Squared Tower II has credit characteristics consistent with an A (low) shadow rating. Additional information on these loans is provided in this report. Twenty-six loans in the pool, representing 10.8% of the transaction, are backed by residential co-operative loans. Residential co-operatives tend to have minimal risk, given their low leverage and low risk to residents if the co-operative associations default on their mortgages. The DBRS Morningstar WA Issuance and Balloon LTVs for these loans are 11.5% and 10.4%, respectively. Forty-seven loans, representing a combined 57.6% of the pool by allocated loan balance, exhibit issuance LTVs of less than 59.3%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. Even with the exclusion of the shadow-rated loans representing 17.0% of the pool and 26 co-operative loans representing 10.8% of the pool, the deal exhibits a favorable DBRS Morningstar Issuance LTV of 59.6%. Term default risk is low, as indicated by a strong DBRS Morningstar DSCR of 3.39x. Even with the exclusion of the shadow-rated and co-operative loans, the deal exhibits a very favorable DBRS Morningstar DSCR of 2.27x. Ten loans, representing 42.0% of the pool balance, received a property quality of Average + or better, including three loans, representing 16.0%, that were graded as Above Average. Seven loans, six of which are within the top 15 loans, representing 35.6% of the pool, have Strong sponsorship. Furthermore, DBRS Morningstar identified only four loans, representing just 9.1% of the pool, that have a sponsorship and/or loan collateral that results in DBRS Morningstar classifying the sponsor strength as Weak. The pool has a relatively high concentration of loans secured by office and retail properties with 21 loans, representing 59.8% of the pool balance. The ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges globally, and the future demand for office and retail space is uncertain. With many store closures, companies filing for bankruptcy or downsizing, and more companies extending their remote-working strategies, office and retail spaces are particularly at risk. Two of the nine office loans, Constitution Center and 601 Lexington Avenue, representing 15.0% of the total pool, are shadow-rated investment grade by DBRS Morningstar. Furthermore, six of the office loans, representing 32.1% of the pool balance, are in DBRS Morningstar MSA Group 3, which are typically defined as areas with increased liquidity even in times of economic stress. The office and retail properties exhibit a favorable DBRS Morningstar WA DSCR of 2.95x. Additionally, both property types have favorable DBRS Morningstar WA Issuance and Balloon LTVs of 55.0% and 54.2%, respectively. Six of the office and retail properties in the transaction, representing 33.6% of the pool balance, have a DBRS Morningstar sponsorship strength of Strong. There are 38 loans, representing 80.4% of the pool balance, structured with full-term interest-only (IO) periods. An additional four loans, representing 8.6% of the pool balance, are structured with partial IO terms ranging from 24 to 60 months. Loans that are full-term IO or partial IO do not benefit from amortization. Of the 38 loans structured with full-term IO periods, 17 loans, representing 51.9% of the pool balance, are in areas with a DBRS Morningstar MSA Group 3. The markets designated with a DBRS Morningstar MSA Group 3 are noted as markets with increased liquidity. Three of the loans, representing 17.0% of the pool balance, are shadow-rated investment grade by DBRS Morningstar. The full-term IO loans still benefit from a low leverage point as evidenced by the low DBRS Morningstar WA Issuance LTV of 54.3%, or 57.3% when excluding the shadow-rated and co-operative loans. Fifty loans, representing 51.0% of the total pool balance, are refinancing existing debt. DBRS Morningstar views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. The loans that are refinancing existing debt exhibit relatively low leverage. Specifically, the DBRS Morningstar WA Issuance and Balloon LTVs of the loans refinancing existing debt are 43.8% and 41.7%, respectively. The loans that are refinancing existing debt are generally in stronger DBRS Morningstar Market Ranks and MSA groups than the broader pool of assets in the transaction. The DBRS Morningstar WA Market Rank of the loans refinancing existing debt is 5.70, whereas the DBRS Morningstar WA Market Rank for the entire transaction is 5.36. Additionally, 32 of the 50 refinance loans are in DBRS Morningstar MSA Group 3, representing 31.3% of the pool balance. DBRS Morningstar increased the implied cap rate for four refinance loans, representing 3.5% of the pool balance, which resulted in higher LTVs for these loans. Notes: All figures are in U.S. dollars unless otherwise noted. BATTALION CLO XXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Battalion CLO XXIII Ltd./Battalion CLO XXIII LLC's floating- and fixed-rate debt. The transaction is managed by Brigade Capital Management L.P. 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 June 15, 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 Battalion CLO XXIII Ltd./Battalion CLO XXIII LLC Class A loans, $231.0 million: AAA (sf) Class A, $25.0 million: AAA (sf) Class B-1, $32.5 million: AA (sf) Class B-2, $15.5 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $16.0 million: BB- (sf) Subordinated notes, $37.5 million: Not rated BBCMS MORTGAGE 2020-C7: DBRS Confirms B Rating on Class F Certs --------------------------------------------------------------- DBRS Limited confirmed the ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-C7 issued by BBCMS Mortgage Trust 2020-C7 Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (high) (sf) -- Class E at BB (sf) -- Class X-F at B (high) (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar expectations at issuance. According to the March 2022 remittance, all 49 of the original loans remain in the trust, with a trust balance of $804.2 million. Given the transaction's recent vintage and limited seasoning, there has been minimal collateral reduction of 0.5% since issuance. Twenty-five loans, representing 64.2% of the pool balance, are interest-only (IO) and will not amortize during their respective loan terms. An additional 12 loans, representing 22.7% of the pool, were structured with partial IO periods, only one of which has begun to amortize. No loans are delinquent or in special servicing, but eight loans, representing 27.0% of the pool balance, are on the servicer's watchlist, including the largest loan in the pool. Based on the most recent financials provided by the servicer, the pool reported a weighted-average debt service coverage ratio (DSCR) of 2.22 times (x), compared with the DBRS Morningstar DSCR of 2.23x at issuance. The largest loan, Parkmerced (Prospective ID #1; 7.5% of the pool balance), is secured by a 3,165-unit apartment complex in San Francisco. It was added to the watchlist in March 2021 because of declines in occupancy and net cash flow. According to the annualized financials for the trailing nine months ended September 30, 2021, the loan reported an occupancy rate of 72.6% and a DSCR of 0.63x, compared with 75.9% and 0.86x, respectively, for YE2020. At issuance, the property was 94.3% occupied and the DBRS Morningstar DSCR was 3.95x. The transaction closed in July 2020, and DBRS Morningstar noted at issuance that rent collections for this property had declined to 88.3% as of May 2020 as a result of disruptions related to the pandemic. The subject is well located, adjacent to San Francisco University's campus and directly east of Lake Merced and Lake Merced Park. Downtown San Francisco to the northeast and Silicon Valley to the south are within easily commutable distances from the asset. According to Reis, the West San Francisco submarket reported a Q4 2021 vacancy rate of 1.4%, compared with a Q4 2020 vacancy rate of 1.7%. Given the property's excellent location within a tight submarket and its historically below-market rents, DBRS Morningstar anticipates the long-term outlook for the property, in terms of projected revenues and valuation, to be consistent with the issuance outlook, although re-stabilization following the effects of the pandemic may take longer than originally expected. At issuance, the Parkmerced loan, along with five other loans in the pool representing a combined 33.5% of the pool, was shadow rated as investment grade. These other loans include 525 Market Street (Prospectus ID#2; 7.5% of the pool), The Cove at Tiburon (Prospectus ID#3; 6.2% of the pool); Acuity Portfolio (Prospectus ID#8; 5.0% of the pool), F5 Tower (Prospectus ID#9; 4.9% of the pool), and 650 Madison Avenue (Prospectus ID#13; 2.7% of the pool). With this review, DBRS Morningstar confirmed that the loans remain consistent with investment-grade loan characteristics. Notes: All figures are in U.S dollars unless otherwise noted. BBSG 2016-MRP: S&P Lowers Class D Certs Rating to 'B- (sf)' ----------------------------------------------------------- S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through certificates from BBSG 2016-MRP Mortgage Trust, a U.S. CMBS transaction. This U.S. CMBS transaction is backed by a portion of a fixed-rate interest-only (IO) mortgage whole loan secured by a portion (540,867 sq. ft.) of The Mall at Rockingham Park, a 1.03-million-sq.-ft. regional mall in Salem, N.H. Rating Actions S&P said, "The downgrades of classes A, B, C, D, and E reflect our reevaluation of The Mall at Rockingham Park that secures the sole mortgage loan in the transaction. Our analysis included a review of the most recent financial performance data provided by the servicer and our assessment of the continued decline in reported performance at the property since the onset of the COVID-19 pandemic. Reported occupancy fell sharply to 54.2% in 2021 from 89.9% in 2020 and 96.4% in 2019, mainly attributable to the anchor collateral tenant, Lord & Taylor (158,594 sq. ft., 29.3% of net rentable area [NRA]), closing its store shortly after it filed for chapter 11 bankruptcy in August 2020, various inline tenants vacating, and sponsors unable to backfill the space on time. The reported net cash flow (NCF) declined 5.8% to $20.7 million in 2020 from $22.0 million in 2019, and a further 6.1% to $19.4 million in 2021. This compares to our assumed 88.0% occupancy rate and $19.9 million sustainable NCF that we derived in our last review in July 2020. "We revised and lowered our sustainable NCF by 22.2% to $15.5 million from our last review of $19.9 million, to account for the continued challenges facing the retail mall sector and declining occupancy rate and NCF at the property. Using an 8.25% S&P Global Ratings capitalization rate (unchanged from our last review), we arrived at an expected-case valuation of $187.8 million--a decline of 10.8% from our last review value of $210.4 million. This yielded an S&P Global Ratings loan-to-value (LTV)ratio of 139.5% on the whole loan balance. "The downgrade of class E to 'CCC (sf)' also reflects our view that, based on an S&P Global Ratings' LTV ratio of over 100%, this class is more susceptible to reduced liquidity support, and the risk of default and loss has increased due to current market conditions." Although the model-indicated ratings were lower than the revised rating levels for classes A, B, C, and D, S&P tempered its downgrades on these classes because we weighed certain qualitative considerations. These included: -- The mall's prominence in its trade area; -- The significant market value decline based on the $494.0 million appraisal value in 2016 that would be needed before these classes experience principal losses; -- The likelihood that the mall's operating performance stabilizes and improves above S&P's revised expectations by the loan's maturity date in June 2026; -- The liquidity support provided in the form of servicer advancing; and -- The relative position and subordination of the classes in the payment waterfall. S&P lowered its rating on the class X IO certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X references classes A and B. The whole loan had a reported current payment status through its June 2022 debt service payment date and the borrower, jointly owned by Simon Property Group L.P., Canadian Pension Plan Investment Board, and Institutional Mall Investors LLC, did not request COVID-19-related relief. The master servicer, Wells Fargo Bank N.A., reported a debt service coverage of 1.81x in 2021, down from 1.92x in 2020 and 2.05x in 2019. Property-Level Analysis The Mall at Rockingham Park is an enclosed, two-level, 1.0 million-sq.-ft. regional mall in Salem, N.H., approximately two miles north of the Massachusetts border and about 35 miles northwest of downtown Boston. Of the mall's total square footage, 540,867 sq. ft. serves as collateral for the whole loan. The mall was built in 1991 and last renovated in 2015. Non-collateral anchors at the property include Macy's (162,990 sq. ft.), JCPenney (121,106 sq. ft.), a partially vacant anchor space formerly occupied by Sears (121,727 sq. ft.), and Dick's Sporting Goods (78,900 sq. ft.), which subleases the second floor of the space previously occupied by Sears. S&P said, "Our property-level analysis considered the year-over-year decline in servicer reported NCF: -4.4% in 2018 to $22.4 million, -2.1% in 2019 to $22.0 million, -5.8% in 2020 to $20.7 million, and -6.1% in 2021 to $19.4 million due to declining gross rent. As discussed above, occupancy also dropped significantly in 2021 to 54.2% from 89.9% in 2020 due primarily to the collateral's anchor tenant, Lord & Taylor, and other smaller tenants (including Microsoft, Pottery Barn, and Banana Republic, totaling approximately 50,000 sq. ft.) closing its stores, with most vacating in second-quarter 2021 and minimal additional leases signed since our prior review. According to the Dec. 31, 2021, rent roll, the collateral property was 54.2% occupied." The five largest collateral tenants comprised 9.8% of NRA and include: -- Apple (2.9% of NRA; January 2024 lease expiration); -- Forever 21 (2.1%; June 2024); -- Express (1.7%; January 2024); -- Gap (1.7%; January 2026); and -- American Eagle Outfitters (1.4%; January 2027). The mall faces elevated tenant rollover risk in 2022 (10.5% of NRA) and 2024 (17.1%). The rollover risk in 2022 is diverisified with various tenants, the largest being Abercrombie & Fitch (7,529 sq. ft., 1.4% of NRA) and Michael Kors (5,580 sq. ft., 1.0%). Elevated rollover risk in 2024 is primarily due to Apple (15,467 sq. ft., 2.9%), Forever 21 (11,414 sq. ft., 2.1%), and Express (9,067 sq. ft., 1.7%). S&P said, "We have not received an update on the vacant anchor boxes at this time. It is our understanding that the former Lord & Taylor space as well as a large portion of the former Sears space are still vacant. According to the March 2022 tenant sales report, in-line tenant sales were $458 per sq. ft., as calculated by S&P Global Ratings, which is consistent with our prior reviews. "Our current analysis considered the declining NCF and occupancy at the property, which resulted in our assumed collateral occupancy rate of 54.2%. We derived a sustainable NCF of $15.5 million and, using an S&P Global Ratings capitalization rate of 8.25%, arrived at an expected-case value of $187.8 million." Transaction Summary This is a U.S. stand-alone (single-borrower) CMBS 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 and leasehold interest in a portion of The Mall at Rockingham Park in Salem, N.H. The IO mortgage whole loan had an initial and current balance of $262.0 million, pays an annual fixed interest rate of 4.04%, and matures on June 1, 2026. The whole loan is split into four senior A notes and two subordinate B notes. The $162.0 million trust balance (as of the June 7, 2022, trustee remittance report and unchanged from last review) comprises two senior pari passu A notes (A-1-A and A-2-A) totaling $42.5 million and two subordinate B notes (B-1 and B-2) totaling $119.5 million. The $60.0 million note A-1-B is in Wells Fargo Commercial Mortgage Trust 2016-C35 and the $40.0 million note A-2-B is in SG Commercial Mortgage Securities Trust 2016-C5, both U.S. CMBS transactions. The $142.5 million senior A notes are pari passu to each other and are senior to the $119.5 million subordinate B notes. To date, the trust has not incurred any principal losses. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic as well as the importance and benefits of vaccines. 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 BBSG 2016-MRP Mortgage Trust Class A to 'A- (sf)' from 'AA- (sf)' Class B to 'BBB- (sf)' from 'A- (sf)' Class C to 'BB- (sf)' from 'BBB- (sf)' Class D to 'B- (sf)' from 'BB- (sf)' Class E to 'CCC (sf)' from 'B- (sf)' Class X to 'BBB- (sf)' from 'A- (sf)' BCRED BSL 2022-1: S&P Assigns BB-(sf) Rating on $21MM Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to BCRED BSL CLO 2022-1 Ltd.'s fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Private Credit Fund. 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 BCRED BSL CLO 2022-1 Ltd./BCRED BSL CLO 2022-1 LLC Class A-1A, $292.00 million: Not rated Class A-1B, $50.00 million: Not rated Class A-2, $12.00 million: AAA (sf) Class B-1, $40.00 million: AA (sf) Class B-2, $26.00 million: AA (sf) Class C (deferrable), $51.00 million: A (sf) Class D (deferrable), $39.00 million: BBB- (sf) Class E (deferrable), $21.00 million: BB- (sf) Subordinated notes, $58.75 million: Not rated BDS 2021-FL7: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of notes issued by BDS 2021-FL7 Ltd: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The transaction closed in May 2021, with a cut-off pool balance totalling approximately $536.5 million, excluding approximately $59.3 million of future funding commitments. At issuance, the pool consisted of 22 floating-rate mortgage loans secured by 22 mostly transitional real estate properties. The majority of the collateral was in a period of transition, with plans to stabilize and improve asset value. The transaction was structured with an initial Ramp-Up Acquisition Period, which concluded with the November 2021 payment date when the cumulative trust loan balance totalled $593.3 million. The transaction also features a Reinvestment Period through the May 2023 Payment Date, whereby the Issuer may acquire Funded Companion Participations and new loan collateral into the trust subject to Eligibility Criteria as defined at issuance up to the maximum transaction amount of $600.0 million. As of April 2022, the pool comprises 24 loans secured by 24 properties with a cumulative trust balance of $597.5 million, and there is $2.5 million of available cash in the Reinvestment Account. Since issuance, two loans with a former cumulative trust balance of $25.8 million have successfully repaid from the pool, and four loans with a current cumulative trust balance of $65.2 million have been contributed to the trust. In general, borrowers are progressing toward completion of their stated business plans. Through April 2022, the collateral manager had advanced $29.9 million in loan future funding to 20 individual borrowers to aid in property stabilization efforts. The largest loan advances include $5.4 million to the borrower of the Mailwell Drive loan, which is using funds to renovate and lease an industrial warehouse property in Milwaukee, Wisconsin, and $3.6 million to the borrower of the Seventh Apartments loan, which is using funds to renovate unit interiors and tenant amenities and upgrade exterior items across the property. An additional $52.3 million of unadvanced loan future funding allocated to 21 individual borrowers remains outstanding. The largest individual allocation of unadvanced future funding, $15.1 million, is to the borrower of the 40th Avenue Industrial loan. The loan was recently added to the transaction in April 2022 and is secured by an industrial property in Denver, Colorado. The borrower's business plan is to modernize the property through a $13.1 million capital improvement plan and to spend up to an additional $5.7 million on accretive leasing costs. The pool is concentrated by property type as 21 loans, representing 94.0% of the current trust balance, are secured by traditional multifamily assets. The remaining loans are secured by a manufactured housing community (one loan; 3.1% of the current trust balance) and industrial properties (two loans; 2.9% of the trust balance). The pool continues to be composed of properties located in suburban markets, those identified with a DBRS Morningstar Market Rank of 3, 4, and 5. As of April 2022, this includes 23 loans, representing 96.9% of the current trust balance. At issuance, 20 loans, representing 93.7% of the trust balance, were secured by properties located in suburban markets. The transaction is also concentrated by loan size, as the largest 10 loans represent 62.9% of the pool. Overall pool leverage has remained relatively consistent from issuance. According to the April 2022 reporting, the weighted-average (WA) as-is appraised loan-to-value (LTV) is 71.1% and the WA stabilized appraised LTV is 65.1%. In comparison, these figures were 70.1% and 64.8%, respectively, at closing. As of the April 2022 remittance, there are two loans representing 4.5% of the pool on the servicer's watchlist. Both loans, The Life at Westland Estates and The Reserve at Eagle Landing, are being monitored for low debt service coverage ratios (DSCRs); however, the individual borrower's business plans called for stabilizing the occupancy and rental rates. Additionally, the borrower of The Reserve at Eagle Landing loan also planned to implement a $1.7 million capital improvement plan across the property. As a result, temporary cash flow disruption was expected and DBRS Morningstar does not view either loan as having increased credit risk from issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BDS 2022-FL11: DBRS Finalizes B(low) Rating on Class G Notes ------------------------------------------------------------ DBRS, Inc. finalized provisional ratings on the following classes of notes issued by BDS 2022-FL11 LLC (the Issuer): -- Class A-TS at AAA (sf) -- Class A-CS at AAA (sf) -- Class B at AA (low) (sf) -- Class B-E at AA (low) (sf) -- Class B-X at AA (low) (sf) -- Class C at A (low) (sf) -- Class C-E at A (low) (sf) -- Class C-X at A (low) (sf) -- Class D at BBB (sf) -- Class D-E at BBB (sf) -- Class D-X at BBB (sf) -- Class E at BBB (low) (sf) -- Class E-E at BBB (low) (sf) -- Class E-X at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The initial collateral consists of 32 short-term, floating-rate mortgage assets with an aggregate cut-off date balance of $865.6 million secured by 33 properties. The aggregate unfunded future funding commitment of the future funding participations as of the cut-off date is approximately $113.1 million. The holder of the future funding companion participations will be the seller, BDS IV Loan Seller LLC, or affiliates of BDS IV REIT, Inc. (Bridge REIT), which has full responsibility to fund the future funding companion participations on the closing date. The managed collateralized loan obligation (CLO) transaction features a 24-month reinvestment period. During the investment period, so long as the note protection tests are satisfied and no EOD has occurred and is continuing, the collateral manager may direct the reinvestment of principal proceeds to acquire reinvestment mortgage assets, including funded companion participations, meeting the eligibility criteria. The eligibility criteria, among other things, has minimum DSCR, maximum LTV, minimum Herfindahl score, and loan size limitations. This pertains to all loans in the pool. In addition, a no downgrade rating agency confirmation (RAC) is required from DBRS Morningstar during the reinvestment period for all new mortgage assets and funded companion participations, allowing DBRS Morningstar the ability to analyze them for any potential ratings impact. Finally, in respect to transaction structure, interest can be deferred for the Class C, Class D, Class E, Class F, and Class G Notes (including any corresponding Class C-E Notes, Class D-E Notes, and Class E-E Notes, if applicable), for so long as a note with a higher priority is outstanding, and such interest deferral will not result in an EOD. The transaction is a managed vehicle and will have a sequential-pay structure whereby interest and principal payments will be prioritized in order of seniority. In the event that a note protection test is not satisfied, then Interest Proceeds available for the Retained Notes will instead be used to redeem the Offered Notes and the MASCOT P&I Notes, if applicable, in accordance with the Priority of Payments until the note protection tests are satisfied. Of the 32 loans, 29 are secured by multifamily assets (92.6% of the mortgage asset cut-off date balance). The remaining three loans are secured by industrial properties (two loans; 5.1% of the mortgage asset cut-off date balance) and one full-service hotel (2.3% of the mortgage asset cut-off date balance). The loans are mostly secured by cash flowing assets, most of which are in a period of transition with plans to stabilize and improve the asset value. Four loans are whole loans, 27 are participations with companion participations that have remaining future funding commitments totaling $113.1 million, and one is a pari passu note. The future funding for each loan is generally for capex to renovate the property or build out space for new tenants. All of the loans in the pool have floating interest rates initially indexed to Libor or Term Secured Overnight Financing Rate (SOFR) and are IO through their initial terms. As such, to determine a stressed interest rate over the loan term, DBRS Morningstar used a stressed index, which was the lower of DBRS Morningstar's stressed rates that corresponded to the remaining fully extended term of the loans and the strike price of the interest rate cap with the respective contractual loan spread added. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if the other loan structural features are insufficient to support such treatment. Furthermore, even if the structure is acceptable, DBRS Morningstar generally does not assume the assets will stabilize above market levels. The transaction is sponsored by Bridge REIT, a wholly owned subsidiary of Bridge Debt Strategies Fund IV LP and an affiliate of Bridge Investment Group Holdings Inc. (Bridge Investment Group). The Sponsor has strong origination practices and substantial experience in originating loans and managing CRE properties. Bridge Investment Group is a privately held real estate investment and property management firm that manages more than $36.3 billion in assets as of December 31, 2021. Bridge is an active CRE CLO issuer, having completed four static CRE CLO transactions and six managed CRE CLO transactions as of the date of this report, not including this transaction which is the Sponsor's seventh managed CRE CLO. Thirty loans, representing 94.6% of the mortgage asset cut-off date balance, are for acquisition financing, where the borrowers contributed material cash equity in conjunction with the mortgage loan. Cash equity infusions from a sponsor typically result in the lender and borrower having a greater alignment of interests, especially compared with a refinancing scenario where the sponsor may be withdrawing equity from the transaction. The remaining two loans, or 5.4% of the mortgage asset cut-off balance, are refinance loans. The pool mostly comprises multifamily assets (92.6% of the mortgage asset cut-off date balance). Historically, multifamily properties have defaulted at much lower rates than other property types in the overall CMBS universe. The transaction is managed and includes a 24-month reinvestment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. The risk of negative migration is partially offset by eligibility criteria that outline minimum DSCR, maximum LTV, minimum Herfindahl score, property type, property location, and loan size limitations for reinvestment assets. A no downgrade RAC is required from DBRS Morningstar during the reinvestment period for all new mortgage assets and funded companion participations, allowing DBRS Morningstar the ability to analyze them for potential ratings impact. The Eligibility Criteria has a relatively low maximum concentration limit of 10.0% for industrial, office, mixed-use, and hospitality and 5.0% for student housing. These concentration limits reduce the likelihood that the pool's property type composition will shift considerably. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the in-place cash flow. It is possible that the sponsor will not successfully execute its business plans and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing Coronavirus Disease (COVID-19) pandemic and its impact on the overall economy. The sponsor's failure to execute the business plans could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar sampled a large portion of the loans, representing 74.0% of the pool cut-off date balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plans to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzes loss severity given default (LGD) based on the as-is credit metrics, assuming the loan is fully funded with no net cash flow (NCF) or value upside. Future funding companion participations will be held by affiliates of Bridge REIT and have the obligation to make future advances. Bridge REIT agrees to indemnify the Issuer against losses arising out of the failure to make future advances when required under the related participated loan. Furthermore, Bridge REIT will be required to meet certain liquidity requirements on a quarterly basis. Twelve loans, representing 37.7% of the pool balance, include a debt service reserve to cover any interest shortfalls. Based on the initial pool balance, the overall DBRS Morningstar Weighted-Average (WA) As-Is DSCR of 0.71 times and WA As-Is LTV of 80.8% generally reflect high-leverage financing. Most of the assets are generally well positioned to stabilize, and any realized cash flow growth would help to offset a rise in interest rates and improve the loans' overall debt yield. DBRS Morningstar associates its LGD based on the assets' as-is LTV, which does not assume that the stabilization plan and cash flow growth will ever materialize. The DBRS Morningstar As-Is DSCR for each loan at issuance does not consider the sponsor's business plan, as the DBRS Morningstar As-Is NCF is generally based on the most recent annualized period. The sponsor's business plan could have an immediate impact on the underlying asset performance that the DBRS Morningstar As-Is NCF is not accounting for. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2019-B12: Fitch Affirms 'B-' Rating on Class G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Benchmark (BMARK) 2019-B12 Mortgage Trust Commercial Mortgage Pass-Through Certificates. In addition, Fitch has revised the Rating Outlook on class F-RR to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- Benchmark 2019-B12 A-2 08162FAB9 LT AAAsf Affirmed AAAsf A-3 08162FAC7 LT AAAsf Affirmed AAAsf A-4 08162FAD5 LT AAAsf Affirmed AAAsf A-5 08162FAF0 LT AAAsf Affirmed AAAsf A-AB 08162FAE3 LT AAAsf Affirmed AAAsf A-S 08162FAG8 LT AAAsf Affirmed AAAsf B 08162FAH6 LT AA-sf Affirmed AA-sf C 08162FAJ2 LT A-sf Affirmed A-sf D 08162FAN3 LT BBBsf Affirmed BBBsf E 08162FAP8 LT BBB-sf Affirmed BBB-sf F-RR 08162FAQ6 LT BB-sf Affirmed BB-sf G-RR 08162FAR4 LT B-sf Affirmed B-sf X-A 08162FAK9 LT AAAsf Affirmed AAAsf X-B 08162FAL7 LT A-sf Affirmed A-sf X-D 08162FAM5 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Loss expectations have declined since Fitch's prior rating action; however, they remain slightly above Fitch's expectations at issuance. Fitch's current ratings incorporate a base case loss of 3.70%. There are 14 loans (21.7% of the pool) that were identified as Fitch Loans of Concern (FLOC), which includes two loans in special servicing (1.50%). The Outlook revisions to Stable from Negative for class F-RR reflects the stable or improved performance of the collateral pool, stabilized performance of most loans impacted by the pandemic and removal of pool-wide pandemic-related stresses. The Negative Outlook on class G-RR reflects continued performance concerns for several FLOC's that have been slow to recover from pandemic lows. Largest Contributor to Losses: The largest FLOC and largest contributor to loss expectations is the Zappettini Portfolio loan (5.6% of the pool), which is secured by a portfolio of 10 office buildings located in Mountain View, CA. Occupancy has declined to 82.4% per the March 2022 rent rolls, from 89% at December 2021 and 100% at issuance. Recent tenant departures include X Motors (6.6% of the NRA) in June 2021 and Vita Insurance Associates (5.9%) in December 2021. Near term roll-over risks include five leases totaling 35% of the NRA schedule to expire by YE 2023. The portfolio has also experienced significant lease renewals with its largest tenants: Iridex Corporation (14.8%) extended their lease from September 2021 to September 2023, and County of Santa Clara (9.9%) extended to August 2024 from February 2022. The loan has remained current since issuance. The servicer reported NOI DSCR declined to 1.66x as of YE 2021, from 1.96x at YE 2020 and 1.79x at YE 2019. Fitch's base case loss of 10.4% considers a 10% haircut to the YE 2021 NOI to account for the recent tenant departures and near-term rollover risks. The second largest contributor to overall loss expectations is the specially serviced Greenleaf at Howell (1.4% of the pool), which is secured by an anchored retail property in a primary commercial corridor within Howell, NJ. The loan transferred to the special servicer in September 2020 for imminent monetary default and remains delinquent. The property had experienced significant cash flow declines after Xscape Cinemas, which at issuance occupied 25% of the NRA and contributed to approximately 35% of rental revenues, vacated in the fall of 2020. As a result, occupancy declined and remains at 75% as of YE 2021, compared to 100% at issuance. Servicer commentary indicates the borrower requested an updated coronavirus relief proposal, which is currently being evaluated. Fitch's base case loss of approximately 45% factors in a discount to the most recent servicer provided appraised value, which was significantly below the outstanding debt amount. Alternative Loss Scenario: Fitch's analysis incorporates a sensitivity scenario that includes a potential outsized loss of 15.5% to the SWVP Portfolio (1.3% of the pool) to account for sustained pandemic-related performance declines. The pool loss increases to 3.80 % when factoring in the additional sensitivity stress. The current ratings and Outlook, including the Stable Outlook revision for class F-RR, are supported by this sensitivity analysis. Minimal Changes to Credit Enhancement: There has been minimal change to credit enhancement (CE). As of the May 2022 distribution date, the pool's aggregate balance has paid down by 1.7% to $1.16 billion from $1.18 billion at issuance. There are 29 loans (81.7% of the pool) that are full-term, interest-only (IO); 11 loans (9.1%) that are partial IO; and eight loans (9.2%) that are currently amortizing. Interest shortfalls of $287,840 and $8,540 are affecting the non-rated J-RR and VRR classes, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. -- Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are not considered likely due to their position in the capital structure but may occur should interest shortfalls affect these classes. -- Downgrades to the 'BBB-sf' through 'A-sf' rated classes may occur should expected losses for the pool increase substantially and all of the loans susceptible to the coronavirus pandemic suffer losses, which would erode credit enhancement. -- Downgrades to the 'B-sf' and 'BB-sf' rated classes could be downgraded if FLOC's impacted by the pandemic fail to stabilize and/or or additional loans transfer to special servicing. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. -- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in credit enhancement (CE) and/or defeasance; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse. -- Upgrades to the 'BBBsf' and below-rated classes are considered unlikely and 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. Additionally, an upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE, 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. BENCHMARK 2020-IG3: DBRS Confirms B(low) Rating on 825S-D Certs --------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-IG3 issued by Benchmark 2020-IG3 Mortgage Trust: -- Class A2 at AAA (sf) -- Class A3 at AAA (sf) -- Class A4 at AAA (sf) -- Class ASB at AAA (sf) -- Class AS at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class XA at AAA (sf) -- Class 825S-A at A (low) (sf) -- Class 825S-B at BBB (low) (sf) -- Class 825S-C at BB (low) (sf) -- Class 825S-D at B (low) (sf) -- Class T333-A at AA (low) (sf) -- Class T333-B at A (low) (sf) -- Class T333-C at BBB (low) (sf) -- Class T333-D at BB (high) (sf) -- Class BX-A at A (low) (sf) -- Class BX-B at BBB (low) (sf) -- Class BX-C at BB (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The transaction is a pooled securitization of 21 fixed-rate, noncontrolling (with the exception of 1501 Broadway) pari passu senior notes with an aggregate cut-off pooled balance of $608.5 million. The collateral consists of nine mortgage loans across 144 properties, with significant concentrations in California (nine properties; 47.7% of the pool), New York (four properties; 17.8% of the pool), and Washington (one property; 13.1% of the pool). The pool benefits from the high concentration of investment-grade assets. All nine loans that serve as the collateral for the pooled component of the transaction are shadow-rated investment grade and exhibit investment-grade credit characteristics on a stand-alone basis. All but one of the pooled loans in the transaction are interest only (IO) during their entire loan terms. The trust also includes 11 classes of loan-specific certificates, or rake bonds. Classes 825S-A, 825S-C, and 825S-D are loan-specific certificates associated with the subordinate component of the 825 South Hill loan. Classes T333-A, T333-B, T333-C, and T333-D are loan-specific certificates associated with the subordinate component of the Tower 333 loan. Classes BX-A, BX-B, and BX-C are loan-specific certificates associated with the subordinate component of the BX Industrial Portfolio loan. As of the March 2022 remittance report, there were four loans, representing 37.5% of the pool, on the servicer's watchlist, three of which have remained on the watchlist since DBRS Morningstar's last rating action. The largest senior-component loan on the watchlist is the City National Plaza loan (13.2% of the pool), which was added to the servicer's watchlist in February 2022 as a result of the debt service coverage ratio (DSCR) dropping below 80% of the underwritten figure. The loan is secured by two Class A 52-storey office towers that are LEED Platinum certified, totalling 2.5 million square feet in Los Angeles. Occupancy remains consistent, with issuance levels at 81.0% as of September 2021 compared with 81.4% in March 2020. In response to the Coronavirus Disease (COVID-19) pandemic, $1.5 million of rent relief was granted to tenants, and the sponsors funded a $13.6 million debt service reserve at issuance, which helped mitigate some of the risks associated with potential revenue volatility. The dip in reported DSCR, which was 3.21 times (x) at YE2020 compared with the issuer's figure of 4.59x at securitization, was likely due to rent relief measures and abatement periods for tenants that recently took occupancy. The year-to-date September 2021 DSCR of 3.97x indicates that revenue is stabilizing. The loan remains current and there is minimal lease rollover in the near term. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2022-B34: DBRS Finalizes B Rating on Class G Trust ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-B34 issued by Benchmark 2022-B34 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-M at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) -- Class X-A at AAA (sf) -- Class X-D at BBB (sf) -- Class X-F at BB (sf) -- Class X-G at B (high) (sf) All trends are Stable. Classes A-3, X-D, X-F, X-G, X-H, D, E, F, G, H, S, and R will be privately placed. The VRR Interest Certficates will not be offered. DBRS Morningstar discontinued and withdrew its ratings on the Class A-4 and X-B certificates initially contemplated in the offering documents, as it was removed from the transaction. DBRS Morningstar analyzed the conduit pool to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. The trust's collateral consists of 37 fixed-rate loans secured by 102 commercial and multifamily properties with an aggregate cut-off date balance of $914.8 million. Two loans, representing 18.6% of the pool, are shadow-rated investment grade by DBRS Morningstar. When the cut-off balances were measured against the DBRS Morningstar net cash flow (NCF) and their respective actual constants, the initial DBRS Morningstar weighted-average (WA) debt service coverage ratio (DSCR) of the pool was 2.21 times (x). The WA DBRS Morningstar Issuance loan-to-value ratio (LTV) of the pool at issuance was 58.1%, and the pool is scheduled to amortize down to a DBRS Morningstar Balloon WA LTV of 55.5% at maturity. These credit metrics are based on the A note balances. Excluding the shadow-rated loans, the deal still exhibits a favorable WA DBRS Morningstar Issuance LTV of 61.7% and WA DBRS Morningstar Balloon LTV of 58.5%. The pool additionally includes three loans, representing 10.1% of the allocated pool balance, that exhibit an issuance DBRS Morningstar LTV in excess of 67.1%, a threshold generally indicative of above-average default frequency. The transaction has a sequential-pay pass-through structure. Eight loans, representing 42.2% of the pool, are in areas identified as DBRS Morningstar Market Ranks 7 or 8, which are generally characterized as highly dense urbanized areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Urban markets represented in the deal include New York and Los Angeles. Furthermore, 13 loans, representing 48.3% of the pool balance, have collateral in MSA Group 3, which represents the best-performing group in terms of historical CMBS default rates among the top 25 MSAs. Two of the loans (18.6% of the pool) – 601 Lexington Avenue and One Wilshire– exhibited credit characteristics consistent with investment-grade shadow ratings. 601 Lexington Avenue has credit characteristics consistent with an “A” shadow rating while One Wilshire exhibits credit characteristics consistent with a BBB shadow rating. Fourteen loans, representing a combined 34.4% of the pool by allocated loan amount (ALA), exhibit issuance LTVs of less than 59.3%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. Even with the exclusion of the shadow-rated loans representing 18.6% of the pool, the transaction exhibits a favorable WA DBRS Morningstar Issuance LTV of 61.7%. Term default risk is low, as indicated by a strong DBRS Morningstar DSCR of 2.21x. Even with the exclusion of the shadow-rated loans, the deal exhibits a very favorable DBRS Morningstar DSCR of 1.94x. Nine loans, representing 38.7% of the pool balance, received a property quality assessment of Average + or better, including three loans, representing 12.5% of the pool, deemed to have Above Average quality. It is noted that only one loan had a property quality score of Average – and it accounts for 3.3% of the pool balance. Three loans, representing 27.9% of the pool, were classified by DBRS Morningstar as having Strong sponsorship strength. Furthermore, DBRS Morningstar identified no loans with sponsorship strength below Average. The pool has a relatively high concentration of loans secured by office and retail properties, with 25 loans representing 78.0% of the pool balance. The ongoing Coronavirus Disease (COVID-19) pandemic continues to pose challenges globally, and the future demand for office and retail space is uncertain, with many store closures and companies filing for bankruptcy, downsizing, or extending their remote-working strategy. Two of the 15 office loans, 601 Lexington Avenue and One Wilshire, which represent 18.6% of the total pool, are shadow-rated investment grade by DBRS Morningstar. Furthermore, six of the office loans, representing 39.2% of the total pool, are located in DBRS Morningstar Market Ranks 7 and 8, which represent the lowest historical commercial mortgage-backed securities (CMBS) probability of default (POD) and loss severity given default (LGD). The office and retail properties exhibit a favorable WA DBRS Morningstar DSCRs of 2.37x. Additionally, both property types exhibit favorable WA DBRS Morningstar Issuance and Balloon LTVs of 57.5% and 55.1%, respectively. Three office properties in the transaction, representing 27.9% of the total pool balance, have a DBRS Morningstar sponsorship strength of Strong. Seven office and retail properties in the transaction, representing 35.5% of the total pool balance, have Above Average or Average + property quality. Twenty-four loans, representing 76.4% of the pool balance, are structured with full-term interest-only (IO) periods. An additional seven loans, representing 13.7% of the pool balance, are structured with partial IO terms ranging from 12 to 60 months. Loans that are full-term IO do not benefit from amortization. Of the 24 loans structured with full-term IO periods, nine loans, representing 43.7% of the pool by ALA, are in areas with DBRS Morningstar Market Ranks of 6 or higher with 41.4% of those in DBRS Morningstar Market Ranks of 7 or 8. These urban markets benefit from increased liquidity even during times of economic stress. Two of the loans, 601 Lexington and One Wilshire, representing 18.6% of the total pool balance, are shadow-rated investment grade by DBRS Morningstar. The full-term IO loans are effectively pre-amortized, as evidenced by the low WA DBRS Morningstar Issuance LTV of only 55.6% for this concentration of loans. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2022-B35: DBRS Gives Prov. BB Rating on Class X-G Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Benchmark 2022-B35 Mortgage Trust (BMARK 2022-B35): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (low) (sf) -- Class H at B (high) (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class X-D at BBB (sf) -- Class X-F at BBB (low) (sf) -- Class X-G at BB (sf) -- Class X-H at BB (low) (sf) All trends are Stable. Classes A-3-2, A-4-2, D, E, F, G, H, J, X-B, X-D, X-F, X-G, X-H, X-J, S, and R will be privately placed. Classes X-A, X-B, X-D, X-F, X-G, X-H, and X-J are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. The collateral consists of 37 fixed-rate loans secured by 127 commercial and multifamily properties with an aggregate trust cut-off date balance of $1.1 billion. Three loans (One Wilshire, ILPT Logistics Portfolio, and 601 Lexington Avenue), representing 17.9% of the pool, are shadow-rated investment grade by DBRS Morningstar. DBRS Morningstar analyzed the conduit pool to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the DBRS Morningstar net cash flow (NCF) and their respective actual constants, the initial DBRS Morningstar WA debt service coverage ratio (DSCR) of the pool was 1.94 times (x). The WA DBRS Morningstar Issuance loan-to-value ratio (LTV) of the pool was 57.3%, and the pool is scheduled to amortize to a WA DBRS Morningstar Balloon LTV of 56.1% at maturity. These credit metrics are based on the A note balances. Excluding the shadow-rated loans, the deal still exhibits a favorable WA DBRS Morningstar Issuance LTV of 61.5% and WA DBRS Morningstar Balloon LTV of 60.1%. The pool additionally includes five loans, representing 16.4% of the allocated pool balance, that exhibit a DBRS Morningstar Issuance LTV in excess of 67.1%, a threshold generally indicative of above-average default frequency. The transaction has a sequential-pay pass-through structure. Notes: All figures are in U.S. dollars unless otherwise noted. CAMB COMMERCIAL 2019-LIFE: DBRS Confirms B(low) Rating on G Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-LIFE issued by CAMB Commercial Mortgage Trust 2019-LIFE as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class X-NCP at A (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since last review, with the collateral properties showing healthy cash flow growth from issuance. The $1.17 billion trust mortgage loan is secured by the sponsor's leasehold interest in eight life sciences office and laboratory buildings, totaling approximately 1.3 million square feet in Cambridge, Massachusetts. The senior mortgage loan had an initial two-year term with five one-year extension options, resulting in a fully extended maturity date of December 9, 2025. The loan pays floating-rate interest of Libor plus 2.0444% on an interest-only (IO) basis throughout the term. Additionally, the capital stack includes mezzanine debt of $130.0 million subordinate to and held outside of the trust. Loan proceeds, along with $448.7 million of borrower cash equity, facilitated the acquisition of the portfolio properties by the sponsorship group, Brookfield Asset Management. All eight properties are on the campus of the Massachusetts Institute of Technology (MIT) within the Cambridge submarket, which has limited available land for development and high barriers to entry. Cambridge has the largest concentration of life sciences researchers in the U.S. and strong historical occupancy driven by the high demand for specialized laboratory space by institutional tenants. As of YE2021, the servicer reported the properties were 100% occupied; this figure is in line with historical performance as the portfolio has reported an average physical occupancy rate near 98% since 2008. The December 2021 rent roll shows the tenant roster in place at issuance remains largely intact with no significant near-term lease rollover. As of YE2021, the loan reported a net cash flow (NCF) of $118.6 million, representing a 34.9% increase from the YE2020 cash flow of $87.8 million and an increase of 33.5% from the DBRS Morningstar NCF figure of $88.8 million derived when ratings were assigned to the transaction in July 2020. The YE2020 NCF figure was generally in line with the DBRS Morningstar NCF figure, with the significant increase in 2021 driven by a year-over-year increase of $15.8 million or 15.2% in base rent, as well as $10.5 million in parking income as no parking income was reported for 2020. According to the December 2021 rent roll, the average rental rate was $84.66 per square foot, compared with CB Richard Ellis's Q1 2022 Boston Metro Lab figures, which reported an asking rental rate in the Cambridge submarket of $119.88 with less than 1% vacancy. The in-place cover for this floating rate loan is quite healthy, with the servicer reporting a YE2021 debt service coverage ratio (DSCR) of 4.65 times (x), up from the Issuer's DSCR of 1.76x. There was an Interest Rate Cap Agreement in place at issuance that ran through December 15, 2020, which is required to be extended in conjunction with maturity date extension options being exercised. The portfolio benefits from a high concentration of institutional-quality tenants, with approximately 90.7% of the DBRS Morningstar base rent derived from public companies or major research institutions. As of the December 2021 rent roll, the largest tenant, Millennium Pharmaceuticals, Inc., occupies 31.7% of the net rentable area (NRA). Other large tenants include Agios Pharmaceuticals (15.8% of NRA), Blueprint Medicines Corporation (12.5% of NRA), and Brigham and Women's Hospital (9.3% of NRA). Other investment-grade tenants include Takeda Vaccines, Inc. (6.0% of NRA) and Sanofi Pasteur Biologics Co. (4.1% of NRA). Most of the in-place tenants have invested a considerable amount of their own capital into their space build-outs. Each property operates subject to a ground lease from MIT with maturity dates ranging from 2061 to 2076 with base rent and percentage rent components. The base rent for each of the properties is fixed for the entire term of the ground lease, while the percentage rent components are calculated based on the product of 15% and the gross revenue from the given property over a specified threshold. The threshold for each is subject to increases or decreases based on changes (on a dollar-for-dollar basis) in the deemed debt service due under the loan secured by the applicable property. The deemed debt service is calculated based on a maximum 75.0% loan-to-value ratio (LTV) (i.e., no debt service exceeding 75.0% LTV is to be considered) and an assumed fixed debt service equivalent stipulated in accordance with the lease documents. Additionally, the ground lessor has a right of first refusal with respect to a sale of the properties by the borrower and/or future proposed mortgage or mezzanine refinancing. Notes: All figures are in U.S. dollars unless otherwise noted. CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on Class E Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-FAX issued by CFK Trust 2019-FAX as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-A at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The loan is secured by the Fairfax Multifamily Portfolio, which consists of three Class B+ multifamily properties totaling 870 units, located in Fairfax and Herndon, Virginia. The loan sponsor is Tomas Rosenthal, the chief executive officer of Hampshire Properties Ltd., which is a New York-based privately held real estate investment firm specializing in value-add opportunities. The sponsor used loan proceeds as well as its ownership equity of $2.1 million and preferred equity of $36.0 million to acquire the Ellipse at Fairfax Corner asset for $98.0 million ($112,644 per unit) to refinance the short-term bridge loan on the Windsor at Fair Lakes and Townes at Herndon Center properties for $86.1 million, and to fund an upfront replacement reserve of $11.1 million. The whole loan is composed of an $82 million trust loan (two senior notes and two junior notes) and a $70 million non-trust pari passu companion loan (five senior notes) for a total first mortgage of $152 million. In addition to the senior debt, the transaction was structured with a $25 million senior mezzanine loan and a $20 million junior mezzanine loan, which are held outside the trust. The 10-year fixed rate trust loan is interest only (IO) for the entire period. The DBRS Morningstar value of $180.4 million represents a 28.3% haircut to the issuance appraised value of $251.5 million, and implies a loan-to-value (LTV) ratio of 84.2% on the whole loan and 109.2% including the mezzanine debt. As of year-end (YE) 2021, the portfolio has an average occupancy of 97.7% with the individual properties ranging from 95.3% to 100% occupied, which is in line with the average occupancy rate at issuance of 94.6%. According to Reis, as of Q4 2021, the Western Fairfax County submarket reported average vacancy of 3.9% with average effective rents of $1,795 per unit. Reis projected the effective rent in the submarket to increase by 2.7% during 2022 to $1,842 per unit, and by another 2.5% by YE2023. As of the YE2021 financials, the servicer reported the consolidated portfolio net cash flow (NCF) of $12.6 million and debt service coverage ratio (DSCR) of 1.42 times (x), an increase over the YE2020 NCF of $11.4 million and 1.29x, respectively. The YE2021 NCF compares with the DBRS Morningstar NCF of $11.4 million, and the issuer's NCF of $12.1 million. The previous owner invested more than $22.8 million in capital improvements and renovated 248 of the 870 units in the portfolio. The sponsor budgeted an additional $11.0 million, or $12,800 per unit, for future renovations and upgrades, which will increase in-place rents and keep the property competitive. At issuance, the sponsor was reported to have renovated 151 units at the largest of the three collateral properties, Ellipse at Fairfax Corner, achieving rental premiums ranging from $56 per unit to $103 per unit. As of April 2022, the replacement reserve reported a balance of $6.1 million compared to $7.4 million in May 2021, suggesting that renovations are progressing. DBRS Morningstar has again inquired about the status of the renovation program, and as of the date of this press release, a response is pending. Notes: All figures are in U.S. dollars unless otherwise noted. CG-CCRE COMMERCIAL 2014-FL2: S&P Cuts Cl. B Certs Rating to 'BB+' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from CG-CCRE Commercial Mortgage Trust 2014-FL2, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on four other classes from the same transaction. This U.S. large-loan CMBS transaction is currently backed by two uncrossed floating-rate mortgage loans, each secured by a regional mall property. Rating Actions S&P said, "The downgrades of classes B, C, and D and affirmation of class A reflect our reevaluation of the two regional mall properties that secure the two remaining mortgage loans: South Towne Center ($107.7 million; 60.0% of the pooled trust balance) and Colonie Center ($71.8 million; 40.0%) in the trust. Our analysis included a review of the malls' most recent available financial performance data provided by the servicer and our assessment of the continued significant decline in reported performance at the properties since the onset of the COVID-19 pandemic. The aggregated net cash flow (NCF) declined 29.0% from $22.2 million in 2019 to $15.8 million in 2020. It then dropped a further 28.3% to $11.3 million in 2021. "We lowered our aggregated sustainable NCF for the properties by 8.4% to $13.8 million from $15.0 million in our last review in July 2021, which reflects the continued challenges facing the retail mall sector and aligning our NCF between the 2020 and 2021 servicer-reported NCFs. As a result, our expected-case value, in aggregate, has also declined 8.4% since our last review in July 2021. "The affirmations on the class COL1 and COL2 nonpooled certificates reflect our reevaluation of the Colonie Center loan while the affirmation on the class STC1 nonpooled certificates reflects our reevaluation of the South Towne Center loan. The class COL1, COL2, and STC1 raked certificates derive 100% of their cash flows from subordinate nonpooled components of the Colonie Center and South Towne Center whole loans, respectively. "Specifically, the downgrade of class D to 'CCC (sf)' and the affirmations of classes COL1, COL2, and STC1 at 'CCC- (sf)' reflect our view that, based on an S&P Global Ratings' loan-to-value (LTV) ratio of over 100% on the two remaining loans, these classes are more susceptible to reduced liquidity support, and the risk of default and loss has increased due to current market conditions. "While the model-indicated rating on class A was higher than the class' current rating level, we affirmed the rating on class A at 'AA (sf)' because we qualitatively considered the class' exposure to two underperforming retail mall properties that continued to experience declining cash flows and the potential for their performance and valuations to deteriorate further due to the challenging retail mall landscape. Furthermore, we qualitatively considered that the two remaining loans, while modified and extended in 2021, were transferred to special servicing in 2019 because the sponsors were unable to pay them off upon their initial final maturity dates in 2019." Transaction Summary This is a U.S. large-loan CMBS transaction backed by two uncrossed floating-rate mortgage loans indexed to one-month LIBOR, down from six loans at issuance. As of the May 16, 2022, trustee remittance report, the trust had a pooled trust balance of $179.4 million and an aggregate trust balance of $246.6 million (including the nonpooled loan components), down from $410.2 million and $512.0 million, respectively, at issuance. The pooled trust has not incurred any principal losses to date. S&P's property-level analysis included a reevaluation of the two regional malls backing the two remaining loans in the pool using servicer-provided operating statements from 2017 through 2021 and the available 2021 rent rolls. Details on the two remaining loans are as follows: South Towne Center loan The South Towne Center loan, the larger of the two remaining loans in the pool, has a whole loan balance of $139.4 million that is divided into a $107.7 million senior pooled trust component (60.0% of the pooled trust balance) and a $31.7 million subordinate nonpooled trust component that supports the class STC1, STC2, and STC3 certificates. Classes STC2 and STC3 are not rated by S&P Global Ratings. At loan origination, the equity interest in the borrower of the whole loan secured $20.0 million in mezzanine debt. However, it is our understanding that as part of the 2021 loan modification, the mezzanine debt was extinguished. The interest-only (IO) whole loan pays a floating interest rate of LIBOR plus gross margin (2.49718% [pooled] and 4.6168% [nonpooled]) per year, and originally matured on Nov. 9, 2019. The loan, which has a reported current payment status, was transferred to special servicing on Oct. 30, 2019, due to imminent maturity default. According to the special servicer, KeyBank Real Estate Capital, the loan was assumed and modified on May 13, 2021, and returned back to the master servicer on Aug. 24, 2021. As part of the loan modification, a new sponsor assumed the loan and provided a new guarantor. In addition, the loan's maturity date was extended to Nov. 9, 2023, and the borrower has two additional one-year extension options (revised final maturity date in November 2025), and the 166,000-sq.-ft. anchor space formerly occupied by Dillard's (now partially occupied by tenants, Round One and Home Goods) was contributed as additional collateral for the loan. The South Towne Center loan is secured by 1.24 million sq. ft. (up from 1.07 million sq. ft. at issuance after reflecting the addition of the anchor space formerly occupied by Dillard's as collateral) of a 1.28 million-sq.-ft. super-regional mall and adjacent power center in Sandy, Utah. Our property-level analysis considered the generally declining servicer-reported net operating income (NOI): -10.2% in 2018, 2.4% in 2019, -11.2% in 2020, and -49.5% in 2021, due primarily to decreasing occupancy, base rent, expense reimbursement income, and other income. According to the Dec. 31, 2021, rent roll, the collateral was 83.2% occupied and the five largest collateral tenants comprising 43.1% of the collateral's net rentable area (NRA) included: Target (14.8% of NRA; May 2026 lease expiration), JCPenney (8.1%; August 2022), Automotive Addiction (8.1%; December 2022), Utah Arts Alliance (8.1%; June 2023), and Round One Entertainment (4.0%; July 2028). The mall faces significant tenant rollover in 2022 (10.7% of NRA) and 2026 (16.0%), mainly attributable to some of the larger-collateral tenants. S&P said, "Our current analysis on the South Towne Center loan excluded tenants that had closed, had announced impending closures, and/or had parent companies facing financial uncertainty (including JCPenney and short-term tenants Automotive Addiction and Utah Arts Alliance), bringing our assumed long-term collateral occupancy rate down to 57.4%. According to the updated appraisal on Jan. 14, 2022, the appraiser expects the anchor tenants to vacate the mall in the near term due to competing locations. "We derived a sustainable NCF of $6.9 million, down 7.4% from our last review. We then divided our NCF by a 10.00% S&P Global Ratings' capitalization rate (unchanged from the last review), resulting in our expected-case value of $69.3 million, down from $74.8 million in the last review. This yielded an S&P Global Ratings' LTV ratio that was significantly above 100% on the whole loan balance. In comparison, our revised valuation is 46.5% lower than the January 2022 appraisal value of $129.4 million. While the 2022 appraisal value is up from the March 2021 appraisal value of $88.6 million because it reflects the additional collateral, it is still 8.2% below the March 2020 appraisal value of $141.0 million and 37.8% below the issuance appraisal value of $208.0 million, respectively. The servicer reported debt service coverage (DSC) was 0.99x in 2021." Colonie Center loan The Colonie Center loan, the smaller of the two loans remaining in the pool, has a whole loan balance of $107.2 million that is split into a $71.8 million senior pooled trust component (40.0%) and a $35.4 million subordinate nonpooled trust component that supports the class COL1, COL2, COL3, and COL4 certificates. Classes COL3 and COL4 are not rated by S&P Global Ratings. The whole loan pays a floating interest rate of LIBOR plus gross margin (1.74720% [pooled] and 4.93610% [nonpooled]) per year, and originally matured on Aug. 9, 2019. The whole loan was transferred to special servicing on July 26, 2019, for imminent default because the borrower was unable to pay off the loan at maturity. Moreover, the borrower had unsuccessfully tried to sell the property in early 2020. According to the special servicer, LNR Partners LLC, the whole loan, which has a reported current payment status, was modified effective Feb. 9, 2021, and was returned to the master servicer on June 1, 2021, as a corrected mortgage loan. The modification terms included among other items, extending the loan's final maturity date to Dec. 9, 2023, and converting the loan to amortizing from IO. The Colonie Center whole loan is secured by 759,750 sq. ft. of a 1.33 million-sq.-ft. super-regional mall in Albany, N.Y. Our property-level analysis considered the generally stable servicer-reported NOI from 2017 to 2019: 6.2% in 2017, 4.0% in 2018, 0.2% in 2019, and the subsequent 45.7% decline in 2020 due primarily to lower overall revenue and higher operating expenses. While NOI increased 16.0% in 2021, it is still down significantly from pre-pandemic levels (-37.1% from 2019 NOI). Based on the Dec. 31, 2021, rent roll, the collateral's occupancy rate was 97.8%, and the five-largest collateral tenants, which made up 53.8% of collateral NRA, included: Boscov's (29.8% of NRA; October 2028 lease expiration), Christmas Tree Shop (7.5%; December 2023), Regal Cinemas (7.3%; May 2028), Nordstrom Rack (4.6%; September 2025), and Barnes & Noble Booksellers (4.6%; January 2023). S&P noted that the noncollateral anchor space formerly occupied by Sears (275,811 sq. ft.) is partially leased to Whole Foods. In addition, the property faces concentrated tenant rollover in 2022 (13.9% of NRA), 2023 (13.9%) and 2028 (41.8%), mainly attributable to some of the largest tenants noted above. S&P said, "Our current analysis on the Colonie Center loan excluded tenants that are no longer listed on the mall directory website or had expired lease terms, bringing our assumed long-term collateral occupancy rate down to 95.8%. We derived a sustainable NCF of $6.8 million, down 9.3% from our last review. Using an S&P Global Ratings' capitalization rate of 9.25% (unchanged from last review), we arrived at our expected-case value of $74.1 million, down from $81.7 million in the last review. Our expected-case value yielded an S&P Global Ratings' LTV ratio above 100% on the whole loan balance. In comparison, our revised valuation is 24.1% lower than the October 2020 appraisal value of $97.6 million and 48.9% lower than the securitization appraisal value of $145.0 million." The servicer reported DSC was 1.16x in 2021. 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 CG-CCRE Commercial Mortgage Trust 2014-FL2 Class B to 'BB+ (sf)' from 'BBB (sf)' Class C to 'B- (sf)' from 'B (sf)' Class D to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed CG-CCRE Commercial Mortgage Trust 2014-FL2 Class A: AA (sf) Class COL1: CCC- (sf) Class COL2: CCC- (sf) Class STC1: CCC- (sf) CITIGROUP MORTGAGE 2022-RP1: DBRS Gives Prov. B Rating on B3 Notes ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Notes, Series 2022-RP1 to be issued by Citigroup Mortgage Loan Trust 2022-RP1 (the Trust): -- $353.0 million Class A-1 at AAA (sf) -- $18.1 million Class A-2 at AA (high) (sf) -- $371.1 million Class A-3 at AA (high) (sf) -- $383.2 million Class A-4 at A (high) (sf) -- $393.0 million Class A-5 at BBB (high) (sf) -- $12.1 million Class M-1 at A (high) (sf) -- $9.8 million Class M-2 at BBB (high) (sf) -- $6.5 million Class B-1 at BB (high) (sf) -- $5.0 million Class B-2 at B (high) (sf) -- $4.2 million Class B-3 at B (sf) Classes A-3, A-4, and A-5 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes. The AAA (sf) rating on the Notes reflects 15.35% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), B (high) (sf), and B (sf) ratings reflect 11.00%, 8.10%, 5.75%, 4.20%, 3.00%, and 2.00% of credit enhancement, respectively. Other than the specified class above, DBRS Morningstar does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 3,709 loans with a total principal balance of $416,999,862 as of the Cut-Off Date (March 31, 2022). The mortgage loans are approximately 208 months seasoned. As of the Cut-Off Date, 93.7% of the loans are current (including 0.7% bankruptcy-performing loans), 5.2% of the loans are 30 days delinquent, 0.6% of the loans are 60 days delinquent, and 0.4% of the loans are 90+ days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Approximately 68.4% and 83.8% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 76.0% modified loans. The modifications happened more than two years ago for 81.9% of the modified loans. Within the pool, 1,129 mortgages have aggregate noninterest-bearing deferred amounts of $30,029,299, which comprise approximately 7.2% of the total principal balance. The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans through bulk whole loan acquisitions. The Seller will then contribute the loans to the Trust through an affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As the Sponsor, CGMRC or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities. As of the Closing Date, NewRez LLC doing business as Shellpoint Mortgage Servicing will be the Servicer of the loans. There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees in super lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance is reduced to less than 25% of the balance as of the Cut-Off Date, the directing noteholder may purchase all of the mortgage loans and real estate owned properties from the Issuer, as long as the aggregate proceeds meet a minimum price that meets or exceeds par plus interest. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired. In contrast with prior DBRS Morningstar-rated CMLTI RP securitizations, the interest rates on all the Notes are set at the Net Weighted-Average Coupon (Net WAC) of the mortgages rather than a fixed-capped rate for certain classes. This feature prevents the creation of excess spread and Net WAC shortfall amounts. DBRS Morningstar considered this nuanced feature and incorporated it in its cash flow analysis. The cash flow structure is discussed in more detail in the Cash Flow Structure and Features section of the related report. CORONAVIRUS PANDEMIC IMPACT The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downwards as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE14: DBRS Downgrades Class F Certs Rating to C ----------------------------------------------------------- DBRS, Inc. downgraded ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE14 issued by COMM 2014-CCRE14 Mortgage Trust as follows: -- Class E to CCC (sf) from B (low) (sf) -- Class F to C (sf) from CCC (sf) In addition, DBRS Morningstar confirmed the following ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) -- Class D at BB (high) (sf) DBRS Morningstar changed the trend on Class D to Negative from Stable. Classes E and F do not carry a trend given the CCC (sf) or lower rating. The trends on the other remaining classes are Stable. The rating downgrades and the Negative trend are primarily driven by the increased certainty of loss associated with the largest loan in special servicing, 175 West Jackson (Prospectus ID#8, 3.8% of the pool), which recently transferred to special servicing. The 175 West Jackson loan is secured by a 22-story, 1.54 million-square-foot (sf) office tower in the Chicago central business district. The loan has exhibited year-over-year performance declines since issuance and first transferred to the special servicer in 2018. It was returned to the master servicer in September 2018 following Brookfield Asset Management's (Brookfield) acquisition of the property for $305 million ($218/sf), which represented a 26% cut to the at-issuance appraised value. The loan transferred to the special servicer for a second time in November 2021 and remains due for the November 2021 and all subsequent debt service payments. There has been very little leasing activity in the Central Loop submarket, which reported a vacancy rate of 14.1% for office space as of Q4 2021 according to Reis. Property occupancy has improved marginally to 65.2% as of December 2021 from 61% as of YE2018. The servicer reported a YE2021 debt service coverage ratio of 0.34 times (x) compared with 0.50x at YE2020 and 0.82x at YE2019. The year-over-year decline was attributed to increased expenses and 12 months of rental abatements given to Sedgwick (9.1% of net rentable area, expiring May 2033) upon its lease renewal. The special servicer is in discussions with the borrower and has not yet determined a workout strategy. Based on the property's declining performance and assumed valuation, weakened submarket fundamentals, and Brookfield's demonstrated willingness to walk away from underperforming assets, DBRS Morningstar's analysis of this loan included a hypothetical liquidation scenario, using a haircut to the 2018 purchase price, which resulted in an implied loss severity of nearly 55%. As of the April 2022 remittance, 42 of the original 59 loans remain in the pool. The initial pool balance of $1.38 billion has been reduced by 29.7%, to $968.5 million. To date, six loans have incurred losses totaling $34.9 million, which is confined to the nonrated Class G certificate. Fourteen loans, representing 21.4% of the pool, are defeased. There are two loans, representing 4.7% of the pool, in special servicing. One loan in the pool, 625 Madison Avenue (Prospectus ID#3, 11.3% of the pool) had an anticipated repayment date in April 2018 and has since been amortizing. The loan has a final maturity date of December 2026, and according to the servicer, the borrower continues to make debt service payments. All remaining nondefeased loans in the pool are scheduled to mature in 2023 (40.0% of the pool) and 2024 (27.3% of the pool). Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2019-521F: DBRS Confirms B Rating on Class F Certs ------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of COMM 2019-521F Mortgage Trust, Commercial Mortgage Pass-Through Certificates, issued by COMM 2019-521F Mortgage Trust: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the underlying collateral, despite some cash flow and occupancy declines in the last year, as further described below. The $242.0 million first-lien mortgage loan is secured by 521 Fifth Avenue, a 39-storey Class A office building in New York that was built in 1929 and contains retail space on multiple levels. The property is well located within close proximity to Grand Central Terminal, Bryant Park, and the New York City Public Library. The sponsor, Savanna Capital Partners, acquired the property in May 2019 for $381.0 million. The building offers efficient and flexible floorplates with outdoor terraces that appeal to both large and boutique tenants. Tenants can enter the office space using the main office lobby along 43rd Street, which provides additional access to the two side street retail tenants within the property. The office floorplates range in size from 3,000 square feet (sf) to 22,500 sf. The property also has eight setback outdoor terraces on the fifth, 14th, 16th, 19th, 22nd, 24th, and 37th floors. The property consists of 89.9% office space and 10.1% retail space. Urban Outfitters occupies the prime Fifth Avenue retail space on the ground floor, while Equinox and Cazzolina Restaurant occupy the side street retail suites. The loan had an initial term of two years with the initial maturity date in June 2021, which was subsequently extended to June 2022. The borrower notified the servicer of its intent to exercise the second of three one-year extension options. These options are not subject to any performance hurdles and the servicer is expected to finalize the extension in the near term. According to the December 2021 rent roll, the property was 80.8% occupied at an average gross rental rate of $52.40 per square foot (psf), compared with the occupancy rate of 93% and average gross rental rate of $64.83 psf at issuance. The occupancy decline since issuance is the result of Modis (4.4% of the net rentable area (NRA)) vacating the subject upon its November 2021 lease expiration, along with several smaller tenants vacating in the last few years. A September 2021 article in Real Estate Weekly reported Savanna had recently signed three new leases for the property for a total of 20,000 sf (it is not clear if this includes tenants on the December 2021 rent roll). The article also noted the property benefits from a $4.0 million facade upgrade completed by the sponsor after the 2019 acquisition, as well as pre-built suites and built-to-suit options alike, a variety of floor plan options, and a recently added coffee/wine bar in the building lobby. The largest tenant, Urban Outfitters (5.2% of the NRA) has a lease that expires in February 2026 and is structured with two five-year extension options. The second-largest tenant is Equinox (5.2% of the NRA through January 2035), which occupies 25,735 sf of primarily below-ground-level retail space. No other tenant represents more than 5% of the NRA. Major office tenants at the property include BMO Capital Markets (4.5% of the NRA through May 2022 – this lease appears to have been renewed based on job postings located online for the tenant that show the subject as the location), Major, Lindsey & Africa (4.4% of the NRA through January 2024), and CTBC Bank Co. (4.2% of the NRA through January 2029). According to Q1 2022 Reis data, comparable office properties within the subject's Grand Central submarket reported an average rental rate of $75.90 psf and a vacancy rate of 10.5%. According to the December 2021 financials, the loan reported a net cash flow (NCF) of $16.1 million and a debt service coverage ratio (DSCR) of 4.48 times (x), compared with the YE2020 NCF and DSCR of $16.4 million and 3.33x. Comparatively, the issuer's DSCR was 2.06x. The December 2021 NCF compares with the DBRS Morningstar NCF of $17.1 million, suggesting a moderate decline from DBRS Morningstar's expectations, but not altogether unexpected given recent office trends amid the last few years. In general, the strong location, superior building quality, and experienced sponsorship are considered mitigating factors for the cash flow declines from issuance, and performance is expected to stabilize given the overall healthy market dynamics and trends for office workers returning to physical locations in recent months, which are expected to continue to accelerate over the remainder of 2022. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1A: DBRS Gives Prov. B Rating on Class C Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Class X Notes, the Class A Notes, the Class B Notes, and the Class C Notes issued by Cornhusker Funding 1A LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association: -- Class X Notes at AAA (sf) -- Class A Notes at BBB (sf) -- Class B Notes at BB (sf) -- Class C Notes at B (sf) The provisional rating on the Class X Notes addresses the timely payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The provisional ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). As of the Closing Date, DBRS Morningstar's ratings on the Notes are provisional. The provisional ratings reflect the fact that the finalization of the provisional ratings are subject to certain conditions after the Closing Date, such as compliance with Effective Date conditions (as defined in the Indenture). Provisional ratings are not final ratings with respect to the above-mentioned Notes and may be different than the final ratings assigned or may be discontinued. The assignment of final ratings on the Notes is subject to DBRS Morningstar receiving all data and/or information and final documentation that it deems necessary to finalize the ratings. The Notes will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by Mount Logan Management, LLC, which is a subsidiary of Mount Logan Capital Inc. DBRS Morningstar considers Mount Logan Management, LLC an acceptable collateralized loan obligation (CLO) manager. The provisional ratings reflect the following primary considerations: (1) The Indenture, dated as of April 22, 2022. (2) The integrity of the transaction's structure. (3) DBRS Morningstar's assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of Mount Logan Management, LLC. To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio that is not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis by, for example, front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1B: DBRS Gives Prov. B Rating on Class C Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Class X Notes, the Class A Notes, the Class B Notes, and the Class C Notes issued by Cornhusker Funding 1B LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association: -- Class X Notes at AAA (sf) -- Class A Notes at BBB (sf) -- Class B Notes at BB (sf) -- Class C Notes at B (sf) The provisional rating on the Class X Notes addresses the timely payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The provisional ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). As of the Closing Date, DBRS Morningstar's ratings on the Notes are provisional. The provisional ratings reflect the fact that the finalization of the provisional ratings are subject to certain conditions after the Closing Date, such as compliance with Effective Date conditions (as defined in the Indenture). Provisional ratings are not final ratings with respect to the above-mentioned Notes and may be different than the final ratings assigned or may be discontinued. The assignment of final ratings on the Notes is subject to DBRS Morningstar receiving all data and/or information and final documentation that it deems necessary to finalize the ratings. The Notes will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by Mount Logan Management, LLC, which is a subsidiary of Mount Logan Capital Inc. DBRS Morningstar considers Mount Logan Management, LLC an acceptable collateralized loan obligation (CLO) manager. The provisional ratings reflect the following primary considerations: (1) The Indenture, dated as of April 22, 2022. (2) The integrity of the transaction's structure. (3) DBRS Morningstar's assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of Mount Logan Management, LLC. To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio that is not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis by, for example, front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1C: DBRS Gives Prov. B Rating on Class C Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Class X Notes, the Class A Notes, the Class B Notes, and the Class C Notes issued by Cornhusker Funding 1C LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association: -- Class X Notes at AAA (sf) -- Class A Notes at BBB (sf) -- Class B Notes at BB (sf) -- Class C Notes at B (sf) The provisional rating on the Class X Notes addresses the timely payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The provisional ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). As of the Closing Date, DBRS Morningstar's ratings on the Notes are provisional. The provisional ratings reflect the fact that the finalization of the provisional ratings are subject to certain conditions after the Closing Date, such as compliance with Effective Date conditions (as defined in the Indenture). Provisional ratings are not final ratings with respect to the above-mentioned Notes and may be different than the final ratings assigned or may be discontinued. The assignment of final ratings on the Notes is subject to DBRS Morningstar receiving all data and/or information and final documentation that it deems necessary to finalize the ratings. The Notes will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by Mount Logan Management, LLC, which is a subsidiary of Mount Logan Capital Inc. DBRS Morningstar considers Mount Logan Management, LLC an acceptable collateralized loan obligation (CLO) manager. The provisional ratings reflect the following primary considerations: (1) The Indenture, dated as of April 22, 2022. (2) The integrity of the transaction's structure. (3) DBRS Morningstar's assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of Mount Logan Management, LLC. To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio that is not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis by, for example, front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2022-B: DBRS Finalizes BB Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by CPS Auto Receivables Trust 2022-B (the Issuer): -- $213,920,000 Class A Notes at AAA (sf) -- $60,200,000 Class C Notes at A (sf) -- $53,750,000 Class E Notes at BB (sf) DBRS Morningstar upgraded its rating on Class B to AA (high) (sf) from its provisional rating of AA (sf) and also upgraded its rating on Class D to BBB (high) (sf) from its provisional rating of BBB (sf) because of the additional credit enhancement from lower final pricing coupons compared with the estimated provisional coupons provided for its assignment of provisional ratings. As a result, DBRS Morningstar upgraded and finalized its provisional ratings on the following class of notes issued by CPS Auto Receivables Trust 2022-B: -- $41,930,000 Class B Notes at AA (high) (sf) -- $25,800,000 Class D Notes at BBB (high) (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The DBRS Morningstar CNL assumption is 15.00%, based on the expected cut-off date pool composition. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns March 2022 Update," published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks, including the Russian invasion of Ukraine, rising inflation, and new coronavirus variants, the overall outlook for growth and employment in the United States remains relatively positive. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The consistent operational history of Consumer Portfolio Services, Inc. (CPS or the Company) and the strength of the overall Company and its management team. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry. (4) The capabilities of CPS with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of CPS and considers the Company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (5) DBRS Morningstar exclusively used the static pool approach because CPS had enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis that it performed on the static pool data. (6) The Company indicated that there was no material pending or threatened litigation. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 51.25% of initial hard credit enhancement provided by the subordinated notes in the pool (42.25%), the reserve account (1.00%), and OC (8.00%). The ratings on the Class B, C, D, and E Notes reflect 41.50%, 27.50%, 21.50%, and 9.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC 2019-ICE4: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-ICE4 issued by CSMC 2019-ICE4 as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class D at A (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class HRR at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the underlying collateral, which remains in line with DBRS Morningstar's expectations. The collateral for the $2.35 billion first-lien mortgaged loan includes 64 industrial cold storage and distribution facilities in 22 states, primarily California (23.8% of the pool balance), Washington (14.0% of the pool balance), and Texas (13.3% of the pool balance). There is more than 17.7 million square feet (sf) of storage space, of which 14.1 million sf is temperature-controlled space. The interest-only mortgage loan features a two-year initial term with three 12-month extensions and a fully extended maturity date in May 2024. Property releases are permitted with certain prepayment conditions. The bond payments follow a partial pro rata/sequential-pay structure, such that if properties are released, the first 20% of the principal balance will be paid pro rata among the classes of certificates. At issuance, 60 of the properties were master leased by Lineage Logistics, LLC, an affiliate of the borrower, Lineage Logistics Holdings, LLC (Lineage), with the remaining four properties master leased to Southeast Frozen Foods Company, L.P. (SEFF). In May 2021, Lineage assumed all operations for SEFF because of the company's performance difficulties. The takeover included an amendment to the Lineage master lease to include the remaining four properties from SEFF. The rental rate was reset to the market level, and the SEFF master lease was terminated. The subject loan is on the servicer's watchlist pending the upcoming May 2022 scheduled maturity and items of deferred maintenance. The servicer has confirmed receipt of the sponsor's notice to exercise the loan's second available, one-year extension option, which will extend the loan's maturity date to May 2023; this request is currently being processed by the servicer. In the event the extension is not executed, a cash flow sweep will be triggered. DBRS Morningstar does not consider deferred maintenance noted at five properties in 2021 to be a credit risk to the trust as they are minor and not material to property operations. The YE2021 reported net cash flow (NCF) of $233.1 million represents a 2.6% improvement over the YE2020 NCF of $227.3 million and the DBRS Morningstar NCF derived at issuance of $226.6 million. The $39.1 million (9.3%) increase in overall operating expenses compared with the DBRS Morningstar issuance figures has been offset by a $45.5 (7.0%) increase in effective gross income, resulting in an overall stable expense ratio for the underlying properties. The portfolio reported an occupancy of 100% as of YE2021. Notes: All figures are in U.S. dollars unless otherwise noted. DBGS 2018-BIOD: DBRS Confirms B(low) Rating on Class HRR Certs -------------------------------------------------------------- DBRS, Inc confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-BIOD issued by DBGS 2018-BIOD Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (high) (sf) -- Class HRR at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since DBRS Morningstar's last review, with collateral revenue generally in line with the Issuer's figure since closing in 2018. At issuance, the loan was secured by a portfolio of 22 life-sciences buildings (office and laboratory) and one parking garage totaling 2.4 million square feet. The properties are located across California, Washington, Massachusetts, New York, Pennsylvania, and New Jersey. Since issuance, three properties known as Walnut Street, Trade Centre Avenue, and Bernardo Center Drive have been released. These properties collectively represented 6.7% of the issuance allocated loan amount (ALA), and, based on the release provisions as outlined in the transaction documents, a total release premium of $62.5 million was paid, with proceeds applied pro rata across the bond stack. The pro rata paydown structure will remain in place for releases executed to a cap of 25.0% of the unpaid principal balance on the loan. After the 25.0% threshold is met, the release premium will increase to 110.0% from 105.0% of the ALA and release proceeds will be paid sequentially down the bond stack. At issuance, the whole-loan proceeds included $725.0 million of senior floating-rate debt, which is held in the subject trust, $140.0 million of senior mezzanine debt, and $95.0 million of junior mezzanine debt. The loans were used to refinance existing debt of $714.6 million, with $216.9 million of equity returned to the sponsor. The sponsor is an affiliate of The Blackstone Group Inc., which acquired the subject in 2016 as part of the acquisition of BioMed Realty Trust, Inc. The loan had an initial two-year term with five one-year extension options, with a final maturity date on May 9, 2025. In May 2021, the borrower exercised its second 12-month extension, extending the maturity until May 9, 2022. The loan is interest only for the fully extended term. According to the trailing 12-month period (T-12) ended September 30, 2021, net cash flow (NCF) was reported at $57.6 million. While the T-12 NCF is down 10.8% compared with the year-end (YE) 2020 NCF, the September 2021 NCF exceeds the DBRS Morningstar NCF figure of $52.8 million. According to the September 2021 rent roll, the portfolio was 81% occupied, which is a decline from the YE2019 occupancy rate of 92.6%. Given the healthy demand for life-sciences space and the portfolio's stable historical performance and strong sponsorship for the subject loan, DBRS Morningstar expects the occupancy decline will be short-lived. The 2021 financials are inclusive of income and debt service associated with the Bernardo Center Drive property that was released in January 2022. Notes: All figures are in U.S. dollars unless otherwise noted. DBUBS 2017-BRBK: DBRS Confirms B Rating on Class F Certs -------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-BRBK issued by DBUBS 2017-BRBK Mortgage Trust: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The underlying loan is secured by four Class A office properties in Burbank, California. The portfolio includes three office towers in Burbank's Media District known as The Pointe, 3800 Alameda, and Central Park as well as a five-building creative office campus called Media Studios, which is four miles north of the Media District. The portfolio totals approximately 2.1 million square feet (sf) of net rentable area (NRA). The trust loan is part of a split loan structure and includes four senior notes with an aggregate balance of $249 million and two junior notes with an aggregate balance of $281 million, resulting in a total trust balance of $530 million. The whole loan includes five nontrust senior notes that total $130 million, which are securitized in other commercial mortgage-backed security transactions, including CD 2017-CD6 Mortgage Trust, which is also rated by DBRS Morningstar. The whole loan is structured as an interest-only (IO), fixed-rate loan with a seven-year term that matures in October 2024. The portfolio's five largest tenants, representing 61.8% of total portfolio NRA, include The Walt Disney Company (Disney; 31.0% of portfolio NRA); AT&T (12.7% of portfolio NRA, primarily through subsidiaries Warner Bros. Entertainment, Inc. and Turner Broadcasting System, Inc.); Kaiser Foundation Health Plan, Inc. (9.3% of portfolio NRA); Legendary Entertainment (5.1% of portfolio NRA); and Hasbro, Inc. (3.7% of portfolio NRA). Disney, Turner Broadcasting System, Inc., Warner Bros. Entertainment, Inc., and Kaiser Foundation Health Plan, Inc. were all considered investment-grade tenants at issuance, and, as of April 2022, the tenants remain investment grade. The December 2021 rent roll indicated moderate rollover risk in the near term, with leases representing 6.4% of total NRA scheduled to roll between YE2021 and YE2022, including Tivo (formerly known as Rovi Corporation) and NBC Universal Media (NBC). However, a web search indicated the Tivo (1.6% of NRA; lease expiration in December 2021) and NBC (0.7% of NRA; lease expiration in January 2022) offices are still operational within the Media Studios campus. DBRS Morningstar has reached out to the servicer for updates regarding potential lease extensions. Leases representing an additional 6.9% of the NRA are scheduled to roll in 2023. Recent leasing activity has been strong. In addition to Disney's lease renewal in 2021, MSG Entertainment Group signed a 10-year lease for 67,675 sf (3.2% of total NRA), with staggered occupancy dates in January 2022 and October 2022. The portfolio was 92.4% occupied as of December 2021, however recent leasing activity suggests occupancy will likely increase to 95.6% in the near term. In general, the collateral continues to perform well. As of YE2021, the loan reported a debt service coverage ratio of 2.76 times. Net cash flow as of YE2021 was $65.5 million, a 14.2% increase from the prior year. The property continues to benefit from strong sponsorship and experienced management from Blackstone Group Inc. and Worthe Real Estate Group Inc. DBRS Morningstar expects performance to remain stable given the property's positive leasing history, high-quality tenancy, and desirable location of the assets, all of which suggest the subject transaction is well insulated against near-term risks. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 94: S&P Assigns BB- (sf) Rating on $20MM Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 94 CLO Ltd./Dryden 94 CLO LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Dryden 94 CLO Ltd./Dryden 94 CLO LLC Class A, $320.0 million: AAA (sf) Class B, $60.0 million: AA (sf) Class C, $30.0 million: A (sf) Class D, $30.0 million: BBB- (sf) Class E, $20.0 million: BB- (sf) Subordinated notes, $45.80 million: Not rated FANNIE MAE 2022-R06: S&P Assigns 'BB-' Rating on Class 1B-1 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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. 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 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 related combinable and recombinable (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. Related Combinable And Recombinable Notes Exchangeable Classes Fannie Mae Connecticut Avenue Securities Trust 2022-R06(i) 1E-A1, $83,125,000: BBB+ (sf) 1A-I1, $83,125,000(ii): BBB+ (sf) 1E-A2, $83,125,000: BBB+ (sf) 1A-I2, $83,125,000(ii): BBB+ (sf) 1E-A3. $83,125,000: BBB+ (sf) 1A-I3, $83,125,000(ii): BBB+ (sf) 1E-A4, $83,125,000: BBB+ (sf) 1A-I4, $83,125,000(ii): BBB+ (sf) 1E-B1, $83,125,000: BBB (sf) 1B-I1, $83,125,000(ii): BBB (sf) 1E-B2, $83,125,000: BBB (sf) 1B-I2, $83,125,000(ii): BBB (sf) 1E-B3, $83,125,000: BBB (sf) 1B-I3, $83,125,000(ii): BBB (sf) 1E-B4, $83,125,000: BBB (sf) 1B-I4, $83,125,000(ii): BBB (sf) 1E-C1, $83,125,000: BBB- (sf) 1C-I1, $83,125,000(ii): BBB- (sf) 1E-C2, $83,125,000: BBB- (sf) 1C-I2, $83,125,000(ii): BBB- (sf) 1E-C3, $83,125,000: BBB- (sf) 1C-I3, $83,125,000(ii): BBB- (sf) 1E-C4, $83,125,000: BBB- (sf) 1C-I4, $83,125,000(ii): BBB- (sf) 1E-D1, $166,250,000: BBB (sf) 1E-D2, $166,250,000: BBB (sf) 1E-D3, $166,250,000: BBB (sf) 1E-D4, $166,250,000: BBB (sf) 1E-D5, $166,250,000: BBB (sf) 1E-F1, $166,250,000: BBB- (sf) 1E-F2, $166,250,000: BBB- (sf) 1E-F3, $166,250,000: BBB- (sf) 1E-F4, $166,250,000: BBB- (sf) 1E-F5, $166,250,000: BBB- (sf) 1-X1, $166,250,000(ii): BBB (sf) 1-X2, $166,250,000(ii): BBB (sf) 1-X3, $166,250,000(ii): BBB (sf) 1-X4, $166,250,000(ii): BBB (sf) 1-Y1, $166,250,000(ii): BBB- (sf) 1-Y2, $166,250,000(ii): BBB- (sf) 1-Y3, $166,250,000(ii): BBB- (sf) 1-Y4, $166,250,000(ii): BBB- (sf) 1-J1, $83,125,000: BBB- (sf) 1-J2, $83,125,000: BBB- (sf) 1-J3, $83,125,000: BBB- (sf) 1-J4, $83,125,000: BBB- (sf) 1-K1, $166,250,000: BBB- (sf) 1-K2, $166,250,000: BBB- (sf) 1-K3, $166,250,000: BBB- (sf) 1-K4, $166,250,000: BBB- (sf) 1M-2Y, $249,375,000: BBB- (sf) 1M-2X, $249,375,000(ii): BBB- (sf) 1B-1Y, $90,000,000: BB- (sf) 1B-1X, $90,000,000(ii): BB- (sf) 1B-2Y, $82,500,000: NR 1B-2X, $82,500,000(ii): NR (i)See the offering documents for more detail on possible combinations. (ii)Notional amount. NR--Not rated. FREDDIE MAC 2022-1: DBRS Finalizes B(low) Rating on Class M Trust ----------------------------------------------------------------- DBRS, Inc. finalized its provisional rating on the following Mortgage-Backed Security, Series 2022-1 issued by Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2022-1 (the Trust): -- $33.9 million Class M at B (low) (sf) DBRS Morningstar did not rate the other classes in the Trust. This transaction is a securitization of a portfolio of seasoned, reperforming first-lien residential mortgages funded by the issuance of the certificates, which are backed by 6,677 loans with a total principal balance of $1,043,955,361 as of the Cut-Off Date. Freddie Mac either purchased the mortgage loans from securitized Freddie Mac Participation Certificates or Uniform Mortgage Backed Securities, or retained them in whole-loan form since their acquisition. The loans are currently held in Freddie Mac's retained portfolio and will be deposited into the Trust on the Closing Date. The loans are approximately 157 months seasoned. Approximately 89.9% have been modified under the Government-Sponsored Enterprise (GSE) Home Affordable Modification Program (HAMP), GSE non-HAMP modification program, or under and/or subject to a Freddie Mac payment deferral program (PDP). The remaining loans (10.1%) were never modified. Within the pool, 2,989 mortgages have forborne principal amounts as a result of modification, which equates to 9.3% of the total unpaid principal balance as of the Cut-Off Date. For 39.8% of the modified loans, the modifications happened more than two years ago. 90.4% of the loans have payment status as current as of the Cut-Off Date, of which 2.4% are in bankruptcy. Furthermore, 44.2% and 17.8% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 12 and 24 months, respectively, under the Mortgage Bankers Association delinquency methods. DBRS Morningstar assumed all loans within the pool are exempt from the qualified mortgage rules because of their eligibility to be purchased by Freddie Mac. Specialized Loan Servicing LLC and NewRez LLC, doing business as Shellpoint Mortgage Servicing, will service the mortgage loans. The Servicers will not advance any delinquent principal or interest on any mortgages; however, the Servicers are obligated to advance to third parties any amounts necessary for the preservation of mortgaged properties or real estate owned properties acquired by the Trust through foreclosure or a loss mitigation process. Freddie Mac will serve as the Sponsor, Seller, and Trustee of the transaction as well as the Guarantor of the senior certificates (i.e., the Class MAU, MA, MA-IO, MB, MBU, MB-IO, MT, MT-IO, MTU, MV, MZ, TAU, TAW, TA, TA-IO, TBU, TBW, TB, TB-IO, TT, TT-IO, TTU, TTW, M5AU, M5AW, M55A, M5AI, M5BU, M5BW, M55B, M5BI, M55T, M5TI, M5TU, and M5TW Certificates). Wilmington Trust National Association (Wilmington Trust; rated AA (low) with a Stable trend by DBRS Morningstar) will serve as the Trust Agent. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) will serve as the Custodian for the Trust. U.S. Bank Trust Company, National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will serve as the Securities Administrator for the Trust and will also initially act as the Paying Agent, Certificate Registrar, Transfer Agent, and Authenticating Agent. Freddie Mac, as the Seller, will make certain representations and warranties (R&W) with respect to the mortgage loans. It will be the only party from which the Trust may seek indemnification (or, in certain cases, a repurchase) as a result of a breach of R&Ws. If a breach review trigger occurs during the warranty period, the Trust Agent, Wilmington Trust, will be responsible for the enforcement of R&Ws. The warranty period will be effective only through April 11, 2025 (approximately three years from the Closing Date), for substantially all R&Ws other than the real estate mortgage investment conduit R&W and the R&W-related mortgage loans whose high-cost regulatory compliance was unable to be tested, which will not expire. The mortgage loans will be divided into three loan groups: Group M, Group M55, and Group T. The Group M loans (75.5% of the pool) and Group M55 loans (6.1% of the pool) were subject to either fixed-rate modifications or step-rate modifications that have reached their final step rates and, as of the Cut-Off Date, the borrowers have made at least one payment after such mortgage loans reached their respective final step rates. Each Group M loan has a mortgage interest rate less than or equal to 5.5% and has no forbearance, or may have forbearance and any mortgage interest rate. Each Group M55 loan has a mortgage interest rate higher than 5.5%. Group T loans (18.4% of the pool) were never modified or were subject to a PDP. Principal and interest (P&I) on the senior certificates (the Guaranteed Certificates) will be guaranteed by Freddie Mac. The Guaranteed Certificates will be primarily backed by collateral from each group. The remaining certificates, including the subordinate, nonguaranteed interest-only mortgage insurance and residual certificates, will be cross-collateralized among the three groups. The transaction employs a pro rata pay cash flow structure among the senior group certificates with a sequential-pay feature among the subordinate certificates. Certain principal proceeds can be used to cover interest shortfalls on the rated Class M certificates. Senior classes, other than Class A-IO, benefit from P&I payments that are guaranteed by the Guarantor, Freddie Mac; however, such guaranteed amounts, if paid, will be reimbursed to Freddie Mac from the P&I collections prior to any allocation to the subordinate certificates. The senior principal distribution amounts vary subject to the satisfaction of a step-down test. Realized losses are allocated reverse sequentially. In this transaction, in addition to the servicing fee, the trust agent fee, the securities administrator fee, the custodian fee, the independent reviewer fees, and the guarantor oversight fee, a supplemental guarantor oversight fee of 20 basis points will also be deducted from the Interest Remittance Amount before any distribution of interest payments to senior and subordinate certificates. CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT The pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. FREDDIE MAC 2022-DNA5: S&P Assigns Prelim 'B' Rating on B-1I Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR REMIC Trust 2022-DNA5's notes. The note issuance is an RMBS transaction backed by residential mortgage loans, deeds of trust, or similar security instruments encumbering mortgaged properties acquired by Freddie Mac. The preliminary ratings are based on information as of June 9, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The REMIC structure that reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments, but, at the same time, pledges the support of Freddie Mac (a highly rated counterparty) to cover shortfalls, if any, on interest payments and to make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which, in our view, enhances the notes' strength; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representation and warranty framework; and -- The current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook on the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Preliminary Ratings Assigned Freddie Mac STACR REMIC Trust 2022-DNA5 Class A-H(i), $31,415,837,756.00: Not rated Class M-1A, $519,000,000.00: A- (sf) Class M-1AH(i), $28,083,190.00: Not rated Class M-1B, $488,000,000.00: BBB- (sf) Class M-1BH(i), $25,926,632.00: Not rated Class M-2, $251,000,000.00: BB- (sf) Class M-2A, $125,500,000.00: BB+ (sf) Class M-2AH(i), $7,126,228.00: Not rated Class M-2B, $125,500,000.00: BB- (sf) Class M-2BH(i), $7,126,228.00: Not rated Class M-2R, $251,000,000.00: BB- (sf) Class M-2S, $251,000,000.00: BB- (sf) Class M-2T, $251,000,000.00: BB- (sf) Class M-2U, $251,000,000.00: BB- (sf) Class M-2I, $251,000,000.00: BB- (sf) Class M-2AR, $125,500,000.00: BB+ (sf) Class M-2AS, $125,500,000.00: BB+ (sf) Class M-2AT, $125,500,000.00: BB+ (sf) Class M-2AU, $125,500,000.00: BB+ (sf) Class M-2AI, $125,500,000.00: BB+ (sf) Class M-2BR, $125,500,000.00: BB- (sf) Class M-2BS, $125,500,000.00: BB- (sf) Class M-2BT, $125,500,000.00: BB- (sf) Class M-2BU, $125,500,000.00: BB- (sf) Class M-2BI, $125,500,000.00: BB- (sf) Class M-2RB, $125,500,000.00: BB- (sf) Class M-2SB, $125,500,000.00: BB- (sf) Class M-2TB, $125,500,000.00: BB- (sf) Class M-2UB, $125,500,000.00: BB- (sf) Class B-1, $82,000,000.00: B (sf) Class B-1A, $41,000,000.00: B+ (sf) Class B-1AR, $41,000,000.00: B+ (sf) Class B-1AI, $41,000,000.00: B+ (sf) Class B-1AH(i), $41,891,393.00: Not rated Class B-1B, $41,000,000.00: B (sf) Class B-1BH(i), $41,891,393.00: Not rated Class B-1R, $82,000,000.00: B (sf) Class B-1S, $82,000,000.00: B (sf) Class B-1T, $82,000,000.00: B (sf) Class B-1U, $82,000,000.00: B (sf) Class B-1I, $82,000,000.00: B (sf) Class B-2, $82,000,000.00: Not rated Class B-2A, $41,000,000.00: Not rated Class B-2AR, $41,000,000.00: Not rated Class B-2AI, $41,000,000.00: Not rated Class B-2AH(i), $41,891,393.00: Not rated Class B-2B, $41,000,000.00: Not rated Class B-2BH(i), $41,891,393.00: Not rated Class B-2R, $82,000,000.00: Not rated Class B-2S, $82,000,000.00: Not rated Class B-2T, $82,000,000.00: Not rated Class B-2U, $82,000,000.00: Not rated Class B-2I, $82,000,000.00: Not rated Class B-3H(i), $82,891,393.00: Not rated (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. GLS AUTO 2022-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to GLS Auto Receivables Issuer Trust 2022-2's automobile receivables-backed notes series 2022-2. The note issuance is an asset-backed securities securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 54.77%, 46.60%, 36.66%, 27.25%, and 22.72% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.25x, 2.75x, 2.15x, 1.55x, and 1.27x our 16.25%-17.25% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its rating movements are within the limits specified by our credit stability criteria. -- The notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The transaction's sequential pay structure, which provides non-amortizing credit enhancement for the senior classes of notes. -- S&P's analysis of more than eight years of origination static pool and securitization performance data on Global Lending Services LLC's 17 Rule 144A securitizations. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representation in the transaction documents that all contracts in the pool have made a least one payment. -- The timely interest and principal payments made to the notes under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned ratings. Ratings Assigned GLS Auto Receivables Issuer Trust 2022-2 Class A-1, $76.30 million: A-1+ (sf) Class A-2, $284.78 million: AAA (sf) Class B, $88.85 million: AA (sf) Class C, $87.71 million: A (sf) Class D, $101.43 million: BBB- (sf) Class E, $55.29 million: BB- (sf) GOLD KEY 2014-A: DBRS Confirms BB(high) Rating on Class C ---------------------------------------------------------- DBRS, Inc. confirmed its ratings on three classes of securities issued by Gold Key Resorts 2014-A, LLC as follows: -- Series 2014-A, Class A at A (sf) -- Series 2014-A, Class B at BBB (sf) -- Series 2014-A, Class C at BB (high) (sf) The rating actions are based on the following analytical considerations: -- The transaction analysis considers DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns March 2022 Update," published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks, including the Russian invasion of Ukraine, rising inflation, and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive. -- The transaction's capital structure and form and sufficiency of available credit enhancement. -- The transaction's performance to date, with losses coming within DBRS Morningstar's initial expectations. Notes: The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (January 27, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. GS MORTGAGE 2021-ROSS: DBRS Confirms B(low) Rating on Cl. G Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates issued by GS Mortgage Securities Corporation Trust 2021-ROSS as follows: -- Class A at AAA (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations at issuance last year. Collateral for the trust consists of the fee-simple interest in seven Class A/Class B properties totalling approximately 2.1 million square feet (sf) within the Rosslyn submarket of Arlington, Virginia. The $691.0 million mortgage loan has a two-year initial term, with three one-year extension options available, subject to certain provisions, including spread increases and debt yield hurdles. The mortgage loan pays floating-rate interest of Libor plus a spread of 3.02439% on an interest-only (IO) basis through the initial maturity in May 2023. Property releases are permitted with certain prepayment conditions. As noted at issuance, there is also a $150.0 million mezzanine loan in place, held outside of the trust. The portfolio is owned by a joint venture between US Real Estate Opportunities I, L.P. (approximately 89% ownership) and an affiliate of Monday Properties (approximately 11% ownership). At issuance, the sponsors had invested almost $170.0 million in renovations and leasing costs for the portfolio since 2017. Based on the issuance as-is appraised value of $1.17 billion ($550 per sf (psf)), the sponsor had approximately $329.0 million of unencumbered market equity remaining in the transaction. The properties were 78.2% leased prior to close and were considered well positioned to take advantage of market demand given the recent capital improvements across the portfolio. Following Amazon's November 2018 announcement that it will construct its new HQ2 PenPlace campus in nearby Arlington, demand by private office tenants increased in the Rosslyn market as users found themselves priced out of the Arlington office market, where rents had already started to increase. In September 2021, Amazon revealed new design plans for the four-building PenPlace campus after receiving public feedback, with a focus on making the buildings more accessible and architecturally diverse. These changes have reportedly pushed the approvals expected from Arlington County into 2022, although it is not clear if this will affect the company's plans to open the campus by 2025. Based on information from Amazon's Career Day 2021, there were more than 3,000 employees assigned to HQ2, nearly double the number from the previous year, and Amazon was looking to hire an additional 2,500 corporate employees in the near future. As of April 2022, spaces listed as available on the website for the subject's property manager suggested the portfolio had a leased rate of approximately 82.2% across the seven properties, indicating moderate leasing activity since issuance. The portfolio's largest tenant is the U.S. Department of State (16.1% of the portfolio's net rentable area (NRA)), which executed a 15-year renewal prior to closing with a lease expiration in 2034. No other single tenant occupies more than 6.0% of the portfolio's NRA or produces more than 8.0% of the gross rents. Approximately 31.6% of the portfolio's NRA is leased to tenants that carry investment-grade ratings. Over the next 12 months, seven tenants, representing 6.6% of the NRA, have scheduled lease expirations. The servicer has confirmed that the fourth-largest tenant, Institute Management LLC (4.4% of the NRA, expiring November 2022), is not expected to renew beyond a short-term holdover period. According to the April 2022 loan-level reserve reporting, leasing reserves totalled approximately $8.3 million. As of Q4 2021, Reis reported that the Rosslyn/Courthouse submarket had a vacancy rate of 19.9%. Over the next five years, the submarket is expected to see a positive absorption rate and declining vacancy rates, with Reis forecasting a vacancy rate at the end of 2023 of 19.1%. DBRS Morningstar's net cash flow derived at issuance was $44.6 million, a 17.7% haircut to the Issuer's figure of $54.2 million, primarily driven by vacancy and below-the-line assumptions. The DBRS Morningstar concluded value of $615.0 million ($289 psf) reflects a high loan-to-value (LTV) ratio of 112.4% based on the $691.0 million mortgage loan, which increases substantially to an all-in DBRS Morningstar LTV of 136.7% when factoring in the mezzanine debt. However, the portfolio is well positioned to take advantage of improving market fundamentals, despite some moderate tenant rollover, with a strong sponsorship group in place that has invested heavily in the portfolio. The Class A, A-Y, A-Z, and A-IO certificates (the CAST certificates) can be exchanged for other classes of CAST certificates and vice versa, as described in the offering memorandum. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2022-RPL2: DBRS Gives B Rating on Class B-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned ratings to the Mortgaged-Backed Securities, Series 2022-RPL2 (issued by GS Mortgage-Backed Securities Trust 2022-RPL2 (GSMBS 2022-RPL2 or the Trust), as follows: -- $455.8 million Class A-1 at AAA (sf) -- $54.8 million Class A-2 at AA (sf) -- $510.6 million Class A-3 at AA (sf) -- $549.7 million Class A-4 at A (sf) -- $584.2 million Class A-5 at BBB (sf) -- $39.1 million Class M-1 at A (sf) -- $34.5 million Class M-2 at BBB (sf) -- $24.4 million Class B-1 at BB (sf) -- $18.1 million Class B-2 at B (sf) The Class A-3, A-4, and A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect 34.65% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 26.80%, 21.20%, 16.25%, 12.75%, and 10.15% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and reperforming, primarily first-lien residential mortgages funded by the issuance of mortgage-backed notes. The Notes are backed by 5,091 loans with a total unpaid principal balance (UPB) of $734,253,533 as of the Cut-Off Date (March 31, 2022). The portfolio is approximately 188 months seasoned and contains 84.5% modified loans. The modifications happened more than two years ago for 79.8% of the modified loans. Within the pool, 1,966 mortgages have non-interest-bearing deferred amounts, which equate to approximately 10.4% of the total principal balance. There are no government-sponsored enterprise (GSE) Home Affordable Modification Program (HAMP) and proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 96.0% of the loans in the pool are current. Approximately 3.9% and 0.2% of the pool are 30 days and 60 days delinquent, respectively, under the Mortgage Bankers Association (MBA) delinquency method. Approximately 1.2% is in bankruptcy. (All bankruptcy loans are performing.) Approximately 36.4% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method. The majority of the pool (97.2%) is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as Non-QM (2.8%). The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC; 92.9%), MCLP Asset Company, Inc. (MCLP; 2.6%), and MTGLQ Investors, L.P. (MTGLQ; 4.6%), acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. The Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The mortgage loans will be serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (SMS). The initial aggregate servicing fee for the GSMBS 2022-RPL2 portfolio will be 0.25% per annum. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement or judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the Servicer deems such advances recoverable). When the aggregate pool balance of the mortgage loans is reduced to less than 25% of the Cut-Off Date balance, the Controlling Noteholder will have the option to purchase all remaining loans and other property of the Issuer at a specified minimum price. The Controlling Noteholder will be the beneficial owner of more than 50% the Class B-5 Notes (if no longer outstanding the next most subordinate Class of Notes, other than Class X). As a loss mitigation alternative, the Controlling Noteholder may direct the Servicer to sell mortgage loans that are in an early or advanced stage of default or for which foreclosure or default is imminent to unaffiliated third-party investors in the secondary whole loan market on arms-length terms and at fair market value to maximize proceeds on such loans on a net present value basis. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class M-1 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the notes after paying transaction parties' fees, net weighted-average coupon (WAC) shortfalls, and making deposits on to the breach reserve account. CORONAVIRUS DISEASE (COVID-19) IMPACT The pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. The DBRS Morningstar ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS Morningstar ratings of A (sf), BBB (sf), BB (sf), and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. Notes: All figures are in U.S. dollars unless otherwise noted. HOME RE 2022-1: DBRS Gives Prov. B(high) Rating on 2 Classes ------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage Insurance-Linked Notes, Series 2022-1 to be issued by Home Re 2022-1 Ltd. (HMIR 2022-1 or the Issuer): -- $159.8 million Class M-1A at BBB (sf) -- $53.3 million Class M-1B at BBB (low) (sf) -- $146.8 million Class M-1C at BB (low) (sf) -- $47.4 million Class M-2 at B (high) (sf) -- $29.6 million Class B-1 at B (high) (sf) The BBB (sf), BBB (low) (sf), BB (low) (sf), and B (high) (sf) ratings reflect 5.40%, 4.95%, 3.40%, and 2.75% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. HMIR 2022-1 is Mortgage Guaranty Insurance Corporation's (MGIC or the Ceding Insurer) sixth rated mortgage insurance (MI)-linked note (MILN) transaction. The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the Ceding Insurer pays to settle claims on the underlying MI policies. As of the Cut-Off date, the pool of insured mortgage loans consists of 218,568 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard and have never been reported to the Ceding Insurer as 60 or more days delinquent. Approximately 0.05% of the loans by balance (96 loans) are reported to be in active payment forbearance plan but have been reported to be current on the mortgage payment. The mortgage loans have MI policies effective on or after September 2019 and on or before January 2022. In this transaction, there could be loans located in counties designated by the Federal Emergency Management Agency (FEMA) as having been affected by a non-Coronavirus Disease (COVID-19)-related natural disaster. Mortgage insurance policies generally exclude physical damage in excess of $5,000. None of the mortgage loans are likely to be dropped from the transaction. Please reference the Offering Circular for additional details. On March 1, 2020, a new master policy was introduced to conform to government-sponsored enterprises' revised rescission relief principles under the Private Mortgage Insurer Eligibility Requirements (PMIERs) guidelines (see the Representations and Warranties section for more detail). Approximately 99.99% of the mortgage loans (by Cut-Off Date) are insured under the new master policy. On the Closing Date, the Issuer will enter into the Reinsurance Agreement with the Ceding Insurer. As per the agreement, the Ceding Insurer will get protection for the funded portion of the MI losses. In exchange for this protection, the Ceding Insurer will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from the sale of the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to Aaa-mf by Moody's rated U.S. Treasury money-market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in MILN transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the Ceding Insurer when claims are settled with respect to the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the Ceding Insurer's premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on the reduction in aggregate exposed principal balance on the underlying MI policy that is allocated to the Notes. The subordinate Notes will receive their pro rata share of available principal funds if the minimum credit enhancement test and the delinquency test are satisfied. The minimum credit enhancement test has been set to fail at the Closing Date, thus locking out the rated classes from initially receiving any principal payments until the subordinate percentage grows to 7.50% from 6.75%. The delinquency test will be satisfied if the three-month average of 60+ days delinquency percentage is below 75% of the subordinate percentage (see the Cash Flow Structure and Features section for more detail). The coupon rates for the Notes issued by HMIR 2022-1 are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Offering Circular for more details. DBRS Morningstar did not run interest rate stresses for this transaction as the interest is not linked to the performance of the underlying loans. Instead, interest payments are funded via (1) premium payments that the Ceding Insurer must make under the reinsurance agreement and (2) earnings on eligible investments. On the Closing Date, the Ceding Insurer will establish a cash and securities account, the premium deposit account. In case of the Ceding Insurer's default in paying coverage premium payments to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. The premium deposit account will not be funded at closing. Please refer to the related presale report for more details. The HMIR 2022-1 transaction is issued with a 12.5-year term. The Notes are scheduled to mature on October 25, 2034, but will be subject to early redemption at the option of the Ceding Insurer (1) for a 10% clean-up call or (2) on or following the payment date in April 2028, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. Additionally, there is a provision for the Ceding Insurer to issue a tender offer to reduce all or a portion of the outstanding Notes. MGIC will be the Ceding Insurer. The Bank of New York Mellon (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. Coronavirus Disease (COVID-19) Pandemic Impact The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low LTVs, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downwards, as forbearance periods come to an end for many borrowers. As of the Cut-Off Date, there are 96 loans or approximately 0.05% by the balance that are subject to an active coronavirus-related forbearance plan with the Servicer, but all these loans are reported to be current on the mortgage payment. Notes: All figures are in U.S. dollars unless otherwise noted. ICG US CLO 2022-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ICG US CLO 2022-1(i) Ltd./ICG US CLO 2022-1(i) LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ICG Debt Advisors LLC. The preliminary ratings are based on information as of June 13, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned ICG US CLO 2022-1(i) Ltd./ICG US CLO 2022-1(i) LLC Class A1(i), $120.000 million: AAA (sf) Class A loans(i), $75.000 million: AAA (sf) Class AF, $20.000 million: AAA (sf) Class B1, $5.375 million: AA (sf) Class BF, $35.000 million: AA (sf) Class C (deferrable), $20.125 million: A (sf) Class D1 (deferrable), $15.000 million: BBB (sf) Class DJ (deferrable), $5.125 million: BBB- (sf) Class E (deferrable), $11.750 million: BB- (sf) Subordinated notes, $31.800 million: Not rated (i)Under certain circumstances, additional class A1 notes may be issued in lieu of the existing class A loans. If this occurs, the class A1 note balance may increase up to $195.00 million. INDEPENDENCE PLAZA 2018-INDP: DBRS Confirms B Rating on HRR Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-INDP issued by Independence Plaza Trust 2018-INDP: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-CP at BBB (sf) -- Class X-NCP at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class X-ECP at B (high) (sf) -- Class X-ENP at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. The ratings confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The collateral consists of the fee and leasehold interests in a 1.5 million-square-foot (sf) mixed-use residential and commercial complex in the Tribeca neighborhood of Manhattan, New York. The complex consists of three 39-storey apartment towers and connecting townhomes, in addition to commercial space. The fee interest covers the entire property, while the leasehold interests relate to three parcels: the South Podium, North Podium, and Tower Development, which contain a mix of parking, retail, and apartment units. The property was originally built in 1975 under an affordable-housing initiative for lower- and middle-income families. The property exited the program in June 2004 and since that time, management has been able to increase value by renovating rent-regulated apartments as they become available and re-leasing them at market rates. The borrower intends to continue this strategy as additional units turn over. As of the September 2021 rent roll, the residential portion of the property was 84.1% occupied with an average annual rental rate of $45 per sf (psf), trailing the YE2020 occupancy rate of 85.9% and the September 2019 occupancy rate of 95.9%. The decline in occupancy is likely attributable to the economic headwinds caused by the Coronavirus Disease (COVID-19) pandemic throughout the majority of 2020 and 2021. Although residential occupancy has seen a nominal decline of 1.8% when compared with YE2020, average rental rates have increased by 22.2% over the same period. The commercial occupancy rate, which includes both the retail space and parking garage, currently stands at 88.3%, relatively static year over year. Patriot Parking Inc., the largest commercial tenant, currently occupies 75.6% of the commercial net rentable area (NRA) and leases the entire 550-space parking garage through August 2024 at a rental rate of $18.83 psf. Commercial tenant rollover within the next 12 months is moderate, with one tenant, Public School 150 (6.2% of the commercial NRA), on a lease that expires in July 2022. DBRS Morningstar has reached out to the servicer for updates regarding leasing information and potential lease extensions. The servicer-reported net cash flow for YE2021 was $35.5 million with a debt service coverage ratio of 1.22 times (x), compared with $39.6 million and 1.36x at YE2020, respectively. Although average residential rental rates have increased in the last year, the decline in cash flow was primarily driven by an increase in vacancy loss and operating expenses, namely real estate taxes and payroll liabilities. Despite a slight dip in occupancy and cash flow, DBRS Morningstar expects the collateral's performance will improve in the near to moderate term given the asset's desirable location in Manhattan's Tribeca neighborhood, strong submarket fundamentals, and strong historical performance. Moreover, the subject transaction may benefit from cash flow upside and renewed demand as vacated units are renovated and turned over at current market rental rates. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2016-JP3: Fitch Affirms 'B-' Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of J.P. Morgan Chase (JPMCC) Commercial Mortgage Securities Trust 2016-JP3 commercial mortgage pass-through certificates. The Rating Outlooks for three classes have been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- JPMCC 2016-JP3 A-2 46590RAB5 LT AAAsf Affirmed AAAsf A-3 46590RAC3 LT AAAsf Affirmed AAAsf A-4 46590RAD1 LT AAAsf Affirmed AAAsf A-5 46590RAE9 LT AAAsf Affirmed AAAsf A-S 46590RAJ8 LT AAAsf Affirmed AAAsf A-SB 46590RAF6 LT AAAsf Affirmed AAAsf B 46590RAK5 LT AA-sf Affirmed AA-sf C 46590RAL3 LT A-sf Affirmed A-sf D 46590RAP4 LT BBB-sf Affirmed BBB-sf E 46590RAR0 LT BBsf Affirmed BBsf F 46590RAT6 LT B-sf Affirmed B-sf X-A 46590RAG4 LT AAAsf Affirmed AAAsf X-B 46590RAH2 LT AA-sf Affirmed AA-sf X-C 46590RAM1 LT BBB-sf Affirmed BBB-sf Classes X-A, X-B and X-C are interest-only. KEY RATING DRIVERS Stable Loss Expectations: Fitch's base case loss expectations for the pool are relatively stable and in-line with Fitch's prior rating action. The Outlook revisions to Stable from Negative reflect the stable or improved performance of the collateral pool, stabilized performance of loans impacted by the pandemic and removal of pool-wide pandemic-related stresses. Fitch's current ratings incorporate a base case loss of 5.3%. The Negative Outlook on class F, which was originally assigned for additional coronavirus-related stresses applied on hotel and retail loans, reflects performance concerns on the specially serviced 100 East Wisconsin Avenue loan, 415 West 13th Street loan and other large Fitch Loans of Concern (FLOC). Fitch Loans of Concern: There are 16 FLOCs (41.2% of the pool), including four loans (11.3%) in special servicing. Several FLOCs relate to hotel and retail properties in the pool (hotel loans comprise 17.7% of the pool). The largest hotel FLOC is Sheraton Salt Lake City (3.0% of the pool). The loan is secured by a 362 room full service hotel located in the Salt Lake City central business district near major local destinations. The servicer reported YE 2021 NOI was 0.35x compared with 1.72x at YE 2019. Per the TTM December STR report, occupancy, ADR and RevPAR were 44.8%, $104 and $47, respectively. The property has been trailing its competitive set. Retail FLOCs include Opry Mills (7.4%) and Westfield San Francisco Centre (5.6%). Opry Mills is secured by a 1.2 million-sf super regional mall located in Nashville, TN, seven miles from downtown Nashville. The collateral's major tenants include Bass Pro Shops (11.0% of NRA; April 2025); Regal Cinemas (8.5% of NRA; May 2025); Dave & Busters (4.8% of NRA; May 2026); Forever 21 (4.5% of NRA; January 2023); and Off Broadway Shoes (2.5% of NRA; January 2023). The loan is considered a FLOC due to upcoming lease rollover. As of the rent roll dated September 2021, approximately 39% of the NRA has lease expirations between 2022 and 2023. Westfield San Francisco Centre is secured by a portion of a 1,445,449-sf super regional mall (553,366 sf of retail collateral and 241,155 sf of office collateral) located in San Francisco's Union Square neighborhood. Occupancy at the subject has declined to 72% as of September 2021, down from 87% at YE 2020. This change is primarily driven by two office tenants vacating at the respective lease expirations. At issuance, the mall loan had an investment-grade credit opinion; however, due to performance and Fitch's current view on regional mall properties, the Westfield San Francisco Centre loan is no longer considered to have credit characteristics consistent with an investment-grade credit opinion. Specially Serviced Loans: Of the specially serviced loans with the largest expected losses, the largest contributor to loss is the specially serviced 415 West 13th Street loan (1.7%), which is secured by a single tenant ground floor retail condo located in the Meatpacking district area of Manhattan. The space is leased to All Saints USA Limited. The loan transferred to special servicing in August 2020 due to the impact of the coronavirus on the property. The tenant had begun Chapter 13 insolvency proceedings in the United Kingdom and was closed. All Saints is open and paying amended rent with a lease term through 2023. Fitch's modeled loss reflects a value of approximately $1,350 psf. 100 East Wisconsin loan (2.1%) 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. 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 about $90 psf. Increase to Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate principal balance has paid down by 11.6% to $1.08 billion from $1.22 billion at issuance. There are 14 full-term, interest-only loans (45.6% of pool) remaining, while two loans are defeased (3.9%). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls occur or should the impact from the ongoing coronavirus pandemic be greater than currently expected. Downgrades to the 'Asf' and/or 'BBBsf' category would occur if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to the 'Bsf' and 'BBsf' categories would occur should loss expectations increase due to an increase in specially serviced loans and/or the loans vulnerable to the coronavirus pandemic not stabilize. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. Upgrades to the 'BBBsf' category would also take into account these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to the 'Bsf' and 'BBsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JP MORGAN 2022-5: DBRS Gives Prov. B(low) Rating on B-5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2022-5 to be issued by J.P. Morgan Mortgage Trust 2022-5 (JPMMT 2022-5): -- $876.4 million Class A-1 at AAA (sf) -- $876.4 million Class A-2 at AAA (sf) -- $876.4 million Class A-2-A at AAA (sf) -- $876.4 million Class A-2-X at AAA (sf) -- $792.5 million Class A-3 at AAA (sf) -- $792.5 million Class A-3-A at AAA (sf) -- $792.5 million Class A-3-X at AAA (sf) -- $594.4 million Class A-4 at AAA (sf) -- $594.4 million Class A-4-A at AAA (sf) -- $594.4 million Class A-4-X at AAA (sf) -- $198.1 million Class A-5 at AAA (sf) -- $198.1 million Class A-5-A at AAA (sf) -- $198.1 million Class A-5-X at AAA (sf) -- $477.4 million Class A-6 at AAA (sf) -- $477.4 million Class A-6-A at AAA (sf) -- $477.4 million Class A-6-X at AAA (sf) -- $315.2 million Class A-7 at AAA (sf) -- $315.2 million Class A-7-A at AAA (sf) -- $315.2 million Class A-7-X at AAA (sf) -- $117.0 million Class A-8 at AAA (sf) -- $117.0 million Class A-8-A at AAA (sf) -- $117.0 million Class A-8-X at AAA (sf) -- $83.9 million Class A-9 at AAA (sf) -- $83.9 million Class A-9-A at AAA (sf) -- $62.9 million Class A-9-B at AAA (sf) -- $62.9 million Class A-9-B-A at AAA (sf) -- $62.9 million Class A-9-B-X at AAA (sf) -- $21.0 million Class A-9-C at AAA (sf) -- $21.0 million Class A-9-C-A at AAA (sf) -- $21.0 million Class A-9-C-X at AAA (sf) -- $62.9 million Class A-9-D at AAA (sf) -- $21.0 million Class A-9-E at AAA (sf) -- $83.9 million Class A-9-X at AAA (sf) -- $876.4 million Class A-X-1 at AAA (sf) -- $25.6 million Class B-1 at AA (sf) -- $12.6 million Class B-2 at A (sf) -- $8.9 million Class B-3 at BBB (sf) -- $3.3 million Class B-4 at BB (low) (sf) -- $1.9 million Class B-5 at B (low) (sf) Classes A-2-X, A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-B-X, A-9-C-X, A-9-X, and A-X-1 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-2-A, A-2-X, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-9-A, A-9-B, A-9-C, A-9-D, A-9-E, and A-9-X are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, and A-8-A are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9, A-9-A, A-9-B, A-9-B-A, A-9-C, A-9-C-A, A-9-D, and A-9-E) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.00% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (low) (sf), and B (low) (sf) ratings reflect 3.25%, 1.90%, 0.95%, 0.60%, and 0.40% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 897 loans with a total principal balance of $932,385,994 as of the Cut-Off Date (April 1, 2022). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of five months. Approximately 93.8% of the pool are traditional, nonagency, prime jumbo mortgage loans. The remaining 6.2% of the pool are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section in the related report. In addition, 94.2% of the pool were originated in accordance with the new general QM rule. Unlike other JPMMT transactions that are typically composed of loans from various originators, all of the loans in JPMMT 2022-5 were originated by loanDepot.com, LLC (loanDepot; 100.0%). The mortgage loans will be serviced by loanDepot (100.0%), with Cenlar FSB as the subservicer. For this transaction, the servicing fee payable for mortgage loans serviced by loanDepot is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure. CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes shortly after the onset of the pandemic. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of the pandemic, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as forbearance periods come to an end for many borrowers. As of the Cut-Off Date, none of the loans are currently subject to a coronavirus-related forbearance plan. In the event a borrower requests or enters into a coronavirus-related forbearance plan after the Cut-Off Date but prior to the Closing Date, the Mortgage Loan Seller will remove such loan from the mortgage pool and remit the related Closing Date substitution amount. Loans that enter a coronavirus-related forbearance plan after the Closing Date will remain in the pool. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2015-C29: DBRS Confirms C Rating on 2 Classes -------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C29 issued by JPMBB Commercial Mortgage Securities Trust 2015-C29 as follows: -- Class A-3A1 at AAA (sf) -- Class A-3A2 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class X-C at A (sf) -- Class C at A (low) (sf) -- Class EC at A (low) (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) The trends on Classes X-C, C, and EC were changed to Stable from Negative, and Classes D, E, and F, have ratings that do not carry trends. All other trends are Stable. At last review, in June 2021, DBRS Morningstar downgraded three classes and added Negative trends to another three classes as a reflection of concerns with select loans in the pool. With this review, the trends on those classes were changed to Stable as a reflection of lower loss amounts compared with DBRS Morningstar's projections for three loans disposed in the last year. In general, DBRS Morningstar's outlook for the remainder of the pool remains stable from last review, with concerns for select loans further detailed below. The CCC (sf) and C (sf) ratings at the bottom of the capital stack reflect DBRS Morningstar's expectation that the three loans in special servicing will be liquidated at significant losses to the trust. All three of these loans are top 10 loans, and the largest is One City Centre (Prospectus ID#2, 10.1% of the pool). The loan is secured by the borrower's fee interest in a 602,122-square foot (sf) office property in Houston's central business district (CBD) and is part of a whole loan that was split pari passu between two CMBS transactions, both of which are rated by DBRS Morningstar. Following the loss of the largest tenant in late 2020, the loan transferred to the special servicer in April 2021 after the borrower communicated an unwillingness to fund operating shortfalls. The loan has fallen delinquent a few times since transferring to special servicing, but has most recently reported current since January 2022. The special servicer reports workout discussions remain ongoing, but nothing material has been provided to date. Given the low in-place occupancy rate of 25.5% and market headwinds in the Houston CBD, which reported an average vacancy rate of 20.3% as of Q1 2022, according to Reis, DBRS Morningstar believes the as-is value is well below the outstanding loan balance. DBRS Morningstar has identified six office loans within the Houston metropolitan statistical area that have reported value changes since 2020. Value declines for these properties ranged from 38% to 83% (average of 68%), with values per square foot (psf) from $14 to $141 (average of $67 psf). Based on that information, DBRS Morningstar assumed a liquidation scenario for the subject loan that assumed a significant haircut to the issuance value, resulting in a loss to this trust of $39.5 million and an overall loss severity of 65.8%. As of the April 2022 remittance, 49 of the original 63 loans remained in the pool, representing a collateral reduction of 39.7% since issuance via loan payoffs, scheduled amortization, and $4.6 million of realized losses to the trust, which have been confined to the nonrated Class NR. In addition, 14 loans representing 13.1% of the pool have been defeased. The three loans in special servicing represent 18.3% of the pool. There were also 12 loans representing 29.0% of the pool on the servicer's watchlist, including the second-largest loan, 2025 M Street (Prospectus ID#1, 10% of the pool). The 2025 M Street loan is secured by the borrower's fee interest in a 191,281-sf office property in the CBD of Washington, D.C. The loan is being monitored after the loss of the property's second-largest tenant, Smithbucklin, which occupied 37.3% of the net rentable area (NRA) and accounted for 52.3% of base rent at issuance, vacated at lease expiration in June 2020. The tenant's departure triggered a cash management provision, and although the borrower has been actively marketing the space, no significant developments have been achieved to date. The loan remains current with no loan modification processed to date. The servicer most recently reported a year-end 2021 debt service coverage ratio of 0.49 times, with an occupancy rate of 63%. The loan reports a tenant reserve balance of $3.5 million as of the April 2021 remittance. Given that the borrower continues to fund shortfalls and has also spoken of plans to possibly renovate the building lobby, DBRS Morningstar believes the overall likelihood of default remains moderate; however, given the challenges regarding the low in-place occupancy rate and cash flows being well below breakeven, the risks have notably increased since issuance, and the loan was analyzed with a stressed scenario to increase the expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. KAWARTHA CAD 2022-1: DBRS Finalizes BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings to the Boreal Series 2022-1 Class B Notes (the Class B Notes), the Boreal Series 2022-1 Class C Notes (the Class C Notes), the Boreal Series 2022-1 Class D Notes (the Class D Notes), and the Boreal Series 2022-1 Class E Notes (the Class E Notes) (collectively, the Notes) issued by Kawartha CAD Ltd. (the Issuer) referencing the executed Junior Loan Portfolio Financial Guarantees (the Financial Guarantee), dated as of April 14, 2022, between the Issuer as Guarantor and the Bank of Montreal (BMO; rated AA with a Stable trend by DBRS Morningstar) as Beneficiary with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO: -- Class B Notes at AA (low) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (low) (sf) -- Class E Notes at BB (sf) The ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the Scheduled Termination Date (as defined in the Financial Guarantee referenced above). The payment of the interest due to the Notes is subject to the Beneficiary's ability to pay the Guarantee Fee Amount (as defined in the Financial Guarantee referenced above). To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate, internal assessment, or ratings mapping of BMO's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. The ratings reflect the following: (1) The Financial Guarantee dated as of April 14, 2022. (2) The integrity of the transaction structure. (3) DBRS Morningstar's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates. With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis by, for example, front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations. Notes: All figures are in Canadian dollars unless otherwise noted. LCCM 2021-FL2: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS Limited confirmed the ratings on all classes of notes issued by LCCM 2021-FL2 Trust as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. At issuance, the initial collateral consisted of 23 floating-rate mortgages or pari passu participation interests in mortgage loans secured by 27 mostly transitional properties, with a cut-off balance totaling $607.5 million, excluding approximately $125.8 million of future funding commitments. Most loans are in a period of transition with plans to stabilize and improve the asset value. The transaction is managed and is structured with a 24-month Reinvesment Period ending with the July 2023 Payment Date. As of the March 2022 remittance, the pool comprises 17 loans secured by 18 properties with a cumulative trust balance of $514.9 million. Since issuance, two loans, with a current cumulative trust balance of $85.4 million, have been contributed to the trust. Eight loans, which had a cumulative trust balance of $176.8 million, have successfully repaid from the pool. The current Cash Reinvesment Account has a current balance of $92.6 million as of the March 2022 remittance. The transaction is concentrated by property type because five loans, totalling 32.1% of the current cumulative loan balance, are secured by mixed-use properties, and three loans, totalling 29.2% of the current cumulative loan balance, are secured by office properties. The transaction is also concentrated by loan size, as the 10 largest loans represent 69.1% of the pool balance of $607.5 million. In general, borrowers continue to progress toward completing their stated business plans as, through December 2021, the collateral manager had released $16.5 million in loan future funding to seven individual borrowers since the transaction closed in July 2021. The majority of this amount has been released to the borrowers of the Clark Tower ($5.7 million) and Southside Works ($5.2 million) loans. An additional $117.0 million of loan future funding allocated to 12 borrowers to further aid in property stabilization efforts remains outstanding. Of this amount, $37.3 million is allocated to the borrower of the Citigroup Center loan, $21.6 million is allocated to the borrower of the Southside Works loan, $19.9 million is allocated to the borrower of The Met loan, and $17.7 million is allocated to the borrower of the Clark Tower loan. As of the March 2022 remittance, there are no delinquent loans, and no loans are in special servicing; however, five loans, representing 16.8% of the current pool balance, are on the servicer's watchlist for a variety of reasons. Two loans have been flagged for occupancy-related issues because of the ongoing business plan progression, which was expected at issuance, and three loans have been flagged for upcoming maturities. The largest loan on the watchlist, The Met (Prospectus ID#4, 9.0% of the current pool balance), is secured by a 1.0 million-square-foot mixed-use property in Atlanta and has been flagged for a low occupancy; however, the borrower is currently progressing through its leaseup plan. As of the YE2021 reporting, the property was 45.4% occupied, below the issuance rate of 52.5%, as the borrower has been shifting its focus to securing more high-quality tenants on long-term lease terms. In addition, the borrower noted that event fees have been strong, and filming inquiries remain steady. Of the three loans flagged for upcoming maturities, two are expected to repay from the trust in the near term, while the remaining loan, 302/312 Broadway (Prospectus ID#17, 2.2% of the current pool balance), has an upcoming maturity date in June 2022. According to the collateral manager, the borrower has been contacted regarding its plan to extend or pay off the loan. Notes: All figures are in U.S. dollars unless otherwise noted. MAD MORTGAGE 2017-330M: DBRS Confirms BB Rating on Class E Certs ---------------------------------------------------------------- DBRS, Inc. confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-330M issued by MAD Mortgage Trust 2017-330M as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) All trends are Stable. The transaction's performance remains in line with DBRS Morningstar's last review. The loan is collateralized by the fee and leasehold interests in an 849,372-square foot (sf) Class A office property with a LEED Gold designation at 330 Madison Avenue in Midtown Manhattan, New York. The loan is fully interest only over its seven-year term. The subject property is one block west of Grand Central Terminal and two blocks east of Bryant Park on the corner of Madison Avenue and 42nd Street. Constructed in 1965, the 39-story building has a progressive, tiered floor design with the largest floorplates (approximately 42,000 sf) on Floors two through 12, various setbacks on Floors 13 through 21, and the smallest floorplates (approximately 9,700 sf) on Floors 22 through 39, making it attractive to smaller boutique firms. The most recent renovation was completed in 2014, when the sponsor for the subject loan at issuance completed a $121.0 million renovation and lease-up of the property. In early 2020, Munich Reinsurance Company closed its acquisition of the subject property from a joint venture between Vornado Realty, LLP (25.0%) and the Abu Dhabi Investment Authority, which owned it through its wholly owned subsidiary, Chadison Investment Company, LLC (75.0%). The deal implied a total asset value of $900.0 million, representing a 5.3% decline from the issuance appraised value of $950.0 million. With the acquisition, the subject loan was assumed. As of the September 2021 rent roll, the three largest tenants, representing a combined 54.3% of the net rentable area (NRA), are Guggenheim Partners (28.5% of the NRA), which uses the property as its headquarters and whose lease expires in March 2028; Jones Lang Lasalle Incorporated (18.3% of the NRA), whose lease expires in May 2032; and Glencore Ltd. (7.5% of the NRA), whose lease expires in August 2030. At issuance, HSBC Bank USA was the second-largest tenant representing 13.3% of the total NRA with an initial lease expiration in April 2020. At the 2020 lease expiration, HSBC downsized its footprint at the subject to 4.0% of the NRA. At issuance it was noted that leases representing just over 35% of the NRA would be rolling between 2020 and 2021, but the September 2021 reporting showed that the bulk of those leases were renewed. According to the September 2021 rent roll, the property was 85.7% occupied with an average base rental rate on the office space of $74.05 per sf (psf), compared with the December 2020 figures of 89.2% and $78.74 psf, respectively. According to Q4 2021 Reis data, comparable office properties within the Grand Central submarket reported an asking rent of $84.29 psf, effective rent of $66.95 psf, and a vacancy rate of 7.2%. The Q3 2021 debt service coverage ratio (DSCR) was 2.33 times (x), compared with the YE2020 DSCR of 2.47x. Primarily, losses in base rental income drove the slight DSCR decline in 2021. Notes: All figures are in U.S. dollars unless otherwise noted. MELLO WAREHOUSE 2020-2: Moody's Cuts Rating on 2 Tranches to B3 --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of four bonds from three US warehouse RMBS transactions issued by Mello Warehouse Securitization Trust between 2020 and 2021. The transactions are securitizations backed by revolving pools of newly originated first-lien, fixed rate and adjustable rate, residential mortgage loans which are eligible for purchase by Fannie Mae, Freddie Mac, or in accordance with the criteria of Ginnie Mae for the guarantee of securities backed by mortgage loans to be pooled in connection with the issuance of Ginnie Mae securities. A list of Affected Credit Ratings is available at https://bit.ly/3HpXcXk Issuer: Mello Warehouse Securitization Trust 2020-2 Cl. F, Downgraded to B3 (sf); previously on Dec 17, 2020 Definitive Rating Assigned B2 (sf) Cl. G, Downgraded to B3 (sf); previously on Dec 17, 2020 Definitive Rating Assigned B2 (sf) Issuer: Mello Warehouse Securitization Trust 2021-1 Cl. G, Downgraded to B3 (sf); previously on Feb 2, 2021 Definitive Rating Assigned B2 (sf) Issuer: Mello Warehouse Securitization Trust 2021-2 Cl. F, Downgraded to B3 (sf); previously on Apr 23, 2021 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE This action is driven by Moody's announcement on June 7, 2022, that it has downgraded the backed senior unsecured bond rating of LD Holdings Group LLC ("LD Holdings") to B3 from B2. LD Holdings is the repo-guarantor in these transactions. The ratings on the notes are the higher of (i) the repo guarantor's (LD Holdings Group LLC) rating and (ii) the rating of the notes based on the credit quality of the mortgage loans backing the notes (i.e., absent consideration of the repo guarantor). If the repo guarantor does not satisfy its obligations under the guaranty, then the ratings on the notes will only reflect the credit quality of the mortgage loans backing the notes. Each transaction is backed by a revolving warehouse facility sponsored by loanDepot.com, LLC (loanDepot, the repo seller, unrated). LD Holdings Group LLC (LD Holdings, the repo guarantor, senior unsecured rating B3) guarantees loanDepot.com's payment obligations under the securitizations' master repurchase agreements (MRA) during the three-year revolving periods, thus the pay-off of the notes at the end of revolving periods. The transactions are sponsored by loanDepot where loanDepot's obligations under the MRA are guaranteed by LD Holdings. 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. Transaction performance also depends on the US macro economy and housing market. An upgrade of LD Holdings Group LLC's rating could result in an upgrade of certain securities. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Expected losses rising above Moody's original expectations as a result of a weaker collateral composition than that in the adverse pool or financial distress of any of the counterparties could also drive the ratings down. Transaction performance also depends on the US macro economy and housing market. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance and fraud. A downgrade of LD Holdings Group LLC's rating could result in a downgrade of certain securities. 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. The methodologies used in these ratings were "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022. MF1 2021-FL6: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following classes of notes issued by MF1 2021-FL6, Ltd. (the Issuer): -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The transaction closed in June 2021 with an initial collateral pool of 37 floating-rate mortgage loans secured by 50 multifamily properties, one senior housing property, and one student housing property totaling $993.2 million (76.4% of the total fully funded balance), excluding $101.0 million of remaining future funding commitments and $620.5 million of pari passu debt. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction included a 90-day ramp-up acquisition period following the closing date, which was completed in October 2021 when the cumulative loan balance totaled $1.30 billion. The transaction is structured with a Reinvestment Period through the June 2023 Payment Date, whereby the Issuer may acquire additional loan collateral participations into the trust subject to Eligibility Criteria as defined at issuance. As of the March 2022 remittance, the pool comprised 47 loans secured by 58 properties with a cumulative trust balance of $1.25 billion. Since issuance, two loans have successfully repaid from the pool and one loan, Park Portfolio (Prospectus ID#3), was ultimately never securitized in the transaction, which was not contemplated at issuance. Since the transaction closed in June 2021, 13 loans with a cumulative trust balance of $363.3 million have been contributed to the trust. As of the March 2022 remittance, the Reinvestment Account had a balance of $48.4 million. In general, borrowers are progressing toward completing the stated business plans; through March 2022, the collateral manager had released $54.1 million in loan future funding allocated to 26 individual borrowers to aid in property stabilization efforts. An additional $65.9 million of unadvanced loan future funding allocated to 25 individual borrowers remains outstanding. The transaction is concentrated by property type as 44 loans are secured by multifamily properties, totaling 91.5% of the current trust balance, and two loans are secured by senior housing properties, totaling 6.9% of the current trust balance. The transaction is fairly granular by loan size, as the largest 10 loans represent 37.4% of the pool. No loans were on the servicer's watchlist or in special servicing as of the March 2022 remittance. In addition, two loans, representing 1.1% of the pool balance, have been modified since issuance. These loans, LA Multifamily Portfolio III and SF Multifamily Portfolio III, are associated with the same sponsorship group, Veritas Investment Group, which continues to execute its business plan of renovating rent-controlled multifamily units upon becoming vacant and increasing rents to market. Loans contributed during the initial ramp-up and subsequent ongoing reinvestment periods were characterized with similar leverage at closing as the current poolwide weighted-average as-is loan-to-value (LTV) and stabilized LTV ratios are 76.7% and 66.5%, respectively, compared with the issuance figures of 70.6% and 65.5%, respectively. In addition, properties in markets with DBRS Morningstar Market Ranks of 2, 3, 4, and 5 represent 65.8% of the cumulative funded loan balance, an increase from issuance of 49.9% at transaction closing. These markets are tertiary and suburban in nature and historically have not benefited as much as urban markets in terms of investor demand and liquidity. Loans representing the remaining 34.2% of the cumulative funded loan balance are secured by properties in markets DBRS Morningstar considers as urban in nature. At closing, loans secured by properties in urban markets represented 50.1% of the cumulative funded loan balance. Notes: All figures are in U.S. dollars unless otherwise noted. MFA 2022-NQM2: S&P Assigns B- (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to MFA 2022-NQM2 Trust's mortgage pass-through certificates series 2022-NQM2. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans primarily secured by single-family residences, planned unit developments, condominiums, condotels, two- to four-family homes, and three manufactured housing properties to both prime and nonprime borrowers. The pool has 709 loans, which are primarily non-qualified mortgage loans. S&P said, "Since we assigned preliminary ratings and published our presale report on May 24, 2022, the issuer updated the structure so that in addition to the class A-1 certificates, on each distribution date beginning in June 2026 the class A-2 certificates will also receive the sum of the applicable fixed coupon and a step-up interest rate of 1%, subject to the pool's net weighted average coupon. As a result, we analyzed an updated structure of the pool, and credit support remained sufficient on all classes for us to assign final ratings that are unchanged from preliminary ratings." The ratings reflect S&Ps view of: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The pool's geographic concentration; and -- The current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook for the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Ratings Assigned MFA 2022-NQM2 Trust(i) Class A-1, $355,210,000,000: AAA (sf) Class A-2, $42,710,000,000: AA (sf) Class A-3, $62,440,000,000: A (sf) Class M-1, $27,310,000,000: BBB (sf) Class B-1, $24,330,000,000: BB- (sf) Class B-2, $17,300,000,000: B- (sf) Class B-3, $11,356,478: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. MORGAN STANLEY 2018-BOP: DBRS Confirms BB Rating on Class F Certs ----------------------------------------------------------------- DBRS, Inc. confirmed the following ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-BOP issued by Morgan Stanley Capital I Trust 2018-BOP: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class X-EXT at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since DBRS Morningstar's last review, with collateral revenue in line with the prior year's reporting. At issuance, the loan was secured by the fee-simple interest in a portfolio of 12 suburban Class B office properties comprising nearly 1.8 million square feet (sf) of office space in four different states. The majority of the portfolio was concentrated in the Washington, D.C., metro area, as seven of the original properties are in suburban Maryland (72.8% of the initial loan balance) and two are in Northern Virginia (11.3% of the initial loan balance). The others are in Florida and Georgia. Since issuance, two properties known as West Gude Office Park and Prince Street Plaza were released in January 2022 and June 2020, respectively. These properties collectively represented 12.7% of the issuance allocated loan balance (ALB), and, based on the release provisions as outlined in the transaction documents, a total release premium of $42.7 million was paid. The terms of the loan agreement allow that properties can be released from the collateral for the loan at a repayment amount of 105% of the ALB for the first 20% of the initial loan balance with a 110% release price thereafter, subject to a debt yield requirement of 12.5% following the release of the property in question, as well as other criteria. DBRS Morningstar believes the 105% release price for the first 20% is a weaker structure, and the sizing incorporated a penalty to reflect the increased risk at issuance. Initial proceeds of $278.4 million, including $55.0 million of mezzanine debt, were primarily used to refinance existing debt of approximately $259.4 million, fund $8.3 million of upfront reserves, pay $9.5 million of closing costs, and return $1.1 million of equity to the sponsor. The loan sponsor is Brookfield Strategic Real Estate Partners II, a global real estate opportunity fund controlled by Brookfield Asset Management Inc. (rated A (low) with a Stable trend by DBRS Morningstar). The loan is interest only (IO) through its initial two-year term, with three one-year extension options and a final maturity in August 2023. The borrower most recently exercised the second extension option to extend the maturity to August 2022. As of March 2022, the trust balance amortized by approximately 19.1% to $180.7 million from $223.4 million at issuance. Based on the YE2021 rent roll, portfolio occupancy declined to 62.3% from the YE2020 figure of 68.9% and the issuance figure of 78.0%. Approximately 20.2% of the portfolio net rentable area (NRA) is scheduled to roll over in the next 12 months. At issuance, the largest tenants included Bank of America (4.1% of the portfolio NRA), which vacated at lease expiry in December 2021; Henry M. Jackson Foundation for the Advancement of Military Medicine, which downsized its space in the portfolio to just 0.3% of the NRA from 3.0%; and Advanced Micro Devices, Inc. (2.9% of the portfolio NRA, expiring in December 2024). According to the YE2021 financials, net cash flow (NCF) was reported at $19.0 million, in comparison with the YE2020 figure of $21.3 million and DBRS Morningstar's NCF of $21.8 million. The decline is predominantly due to decreases in gross potential revenue, expense reimbursements, and parking income, all of which have been driven by the occupancy declines as previously outlined. The in-place coverage remains healthy, with the servicer reporting a YE2021 debt service coverage ratio (DSCR) of 3.64 times; however, the NCF and allocated debt service obligation for the released West Gude Office Park were included in the 2021 NCF and DSCR calculations. The portfolio's concentration in the District of Columbia (DC) market means the collateral properties are faced with leasing challenges in the soft market conditions, which have been marked by increasing vacancy rates over the last several years. According to Reis, the DC market reported an overall vacancy rate of 14.3%, with an average asking rent of $56.98 per sf (psf) compared with the pre-pandemic figures of 12.7% and $56.81 psf, respectively, in 2019. Over the next few years, Reis projects vacancy rates to rebound back to pre-pandemic levels, declining to 12.7% by 2025, suggesting increased demand that should benefit the sponsor's re-leasing efforts. DBRS Morningstar also notes that the loan benefits from its strong sponsor, a moderate loan-to-value ratio of 61.8% at issuance, and a healthy in-place coverage ratio and extensive reserves on hand ($11.5 million in leasing reserves as of April 2022) that the sponsor can use to re-tenant vacated spaces. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2019-H7: Fitch Affirms 'B-' Rating on G-RR Certs --------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2019-H7 (MSC 2019-H7). Fitch has also affirmed the 2019 H7 III Trust horizontal risk retention pass through certificate (MOA 2020-H7 E). The Rating Outlooks on classes F-RR and G-RR have been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- MSC 2019-H7 A-1 61771MAS9 LT AAAsf Affirmed AAAsf A-2 61771MAT7 LT AAAsf Affirmed AAAsf A-3 61771MAV2 LT AAAsf Affirmed AAAsf A-4 61771MAW0 LT AAAsf Affirmed AAAsf A-S 61771MAZ3 LT AAAsf Affirmed AAAsf A-SB 61771MAU4 LT AAAsf Affirmed AAAsf B 61771MBA7 LT AA-sf Affirmed AA-sf C 61771MBB5 LT A-sf Affirmed A-sf D 61771MAC4 LT BBBsf Affirmed BBBsf E-RR 61771MAE0 LT BBB-sf Affirmed BBB-sf F-RR 61771MAG5 LT BB-sf Affirmed BB-sf G-RR 61771MAJ9 LT B-sf Affirmed B-sf X-A 61771MAX8 LT AAAsf Affirmed AAAsf X-B 61771MAY6 LT A-sf Affirmed A-sf X-D 61771MAA8 LT BBBsf Affirmed BBBsf MOA 2020-H7 E E-RR 90215MAA1 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Lower Loss Expectations: Loss expectations have improved since Fitch's prior rating action, primarily due to the better than anticipated performance and stabilization of loans affected by the pandemic. Fitch's current ratings incorporate a base case loss of 4.25%, which is in-line with issuance. Six loans (6.4% of pool), all outside the top 15, including one (0.9%) in special servicing, were designated Fitch Loans of Concern (FLOCs), primarily due to concerns with occupancy and/or performance. The Outlook revisions to Stable from Negative on classes F-RR and G-RR reflect performance stabilization of properties that had been affected by the pandemic. This includes three hotel loans (11.7%) in the top 15, which have had significantly improved performance in 2021 and begun to stabilize from the onset of the pandemic. The largest hotel loan in the pool is Embassy Suites at Centennial Olympic Park (5.8%), secured by a 321-key, full service hotel in Atlanta, GA. The hotel has experienced a significant performance rebound from the pandemic lows. NOI debt service coverage ratio (DSCR) has climbed back to near pre-pandemic levels as of the first quarter of 2022 at 1.67x compared with 1.08x at YE 2021 and 0.42x at YE 2020. As of the TTM ended March 2022, the hotel was outperforming its competitive set with a RevPAR penetration rate of 155.7%. The loan has not been identified as a FLOC as performance is expected to continue improving as conditions caused by the pandemic continue to subside. The loan was granted coronavirus relief, which included a two-month forbearance of monthly debt service (October 2020 and November 2020), ability to utilize FF&E for a portion of the September 2020 debt service payment and deferral of FF&E deposits for three months. The forbearance period ended with the December 2020 payment date and repayment commenced with the March 2021 payment date. The loan remains current as of the May 2022 distribution date. Minimal Change to Credit Enhancement (CE): As of the May 2021 distribution date, the pool's aggregate balance has been paid down by 1.2% to $738.2 million from $747 million at issuance. Twenty-six loans (59.3%) are full-term, IO, and 16 (17.7%) have a partial-term, IO component. No loans are defeased. Interest Shortfalls of $96,899 are currently affecting the non-rated class H-RR. Pool Concentration: The top 10 loans comprise 48.5% of the pool. Loan maturities are concentrated in 2029 (95.9%). Based on property type, the largest concentrations are retail at 33.5%, hotel at 19.1% and office at 13.2%. Investment-Grade Credit Opinion Loans: At issuance Grand Canal Shoppes (9.5%), Tower 28 (3.5%) and 3 Columbus Circle (1.7%) received stand-alone, investment-grade credit opinions of 'BBB-sf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of the 'AAAsf' and 'AAsf' rated classes are not likely due to sufficient CE and expected continued amortization but would occur at the 'AAAsf' and 'AAsf' levels if interest shortfalls occur. Downgrades of classes in the 'Asf' and 'BBBsf' categories would occur if additional loans become FLOCs or if performance of the FLOCs deteriorates further. Classes F-RR and G-RR would be downgraded if loss expectations increase or additional loans transfer to special servicing and/or become FLOCs. 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 of classes B through E-RR, X-B, X-D and pass through MOA 2020-H7 E may occur with significant improvement in CE and/or defeasance but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes F-RR and G-RR could occur if performance of the FLOCs improves significantly and/or if there is sufficient CE, which would likely occur if the non-rated 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. MULTI SECURITY 2005-RR4: DBRS Confirms CCC Rating on Class N Certs ------------------------------------------------------------------ DBRS Limited confirmed the Commercial Mortgage-Backed Securities Pass-Through Certificates, Series 2005-RR4, Class N issued by Multi Security Asset Trust LP, Series 2005-RR4 (MSAT 2005-RR4) at CCC (sf). The rating on Class N does not carry a trend and continues to carry an Interest in Arrears designation. The rating confirmation reflects the stable performance from the prior review. In May 2021, DBRS Morningstar downgraded the rating for Class N from BB (high) (sf) to the current rating of CCC (sf), as a result of concerns for the remaining underlying commercial mortgage-backed security (CMBS) transaction contributing to the MSAT 2005-RR4 capital structure. The largest remaining loan in the transaction, Regal Cinemas, Inc. (88.9% of the current underlying pool balance), is secured by a single-tenant Regal Cinemas movie theatre in Fredericksburg, Virginia, with a lease that runs through June 2023, coterminous with the loan's maturity. Performance has typically hovered around breakeven, but with restrictions imposed after the onset of the Coronavirus Disease (COVID-19) pandemic, the tenant became delinquent on rental payments and the loan has now been delinquent since May 2020 and in special servicing since June 2020. The subject theatre was closed as part of the parent company's chainwide closures in the early months of the pandemic, but has been open since May 2021. However, ticket sales were down prior to the onset of the pandemic, due in part to a new movie theatre that opened within one mile of the subject. A November 2020 appraisal valued the property at $3.1 million, which is significantly below the issuance value of $8.2 million, and suggestive of a loan-to-value (LTV) ratio of over 150.0% on the outstanding trust exposure of approximately $4.7 million. DBRS Morningstar expects the loan will be liquidated from the trust, with the high LTV suggesting a loss to the rated certificate could be realized given the reduction in credit support to the bond due to losses incurred to date. Notes: All figures are in U.S. dollars unless otherwise noted. NATIXIS COMMERCIAL 2017-75B: DBRS Confirms B(high) on 3 Classes --------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-75B issued by Natixis Commercial Mortgage Securities Trust 2017-75B as follows: -- Class A at AAA (sf) -- Class V1A at AAA (sf) -- Class XA at AAA (sf) -- Class B at AA (sf) -- Class V1B at AA (sf) -- Class V1XB at A (high) (sf) -- Class XB at A (high) (sf) -- Class C at A (sf) -- Class V1C at A (sf) -- Class D at BBB (low) (sf) -- Class V1D at BBB (low) (sf) -- Class E at B (high) (sf) -- Class V1E at B (high) (sf) -- Class V2 at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance since DBRS Morningstar's last review. Cash flow remains below the DBRS Morningstar net cash flow (NCF) derived at issuance as a result of occupancy declines. However, recent performance figures show some improvement as cash flow increased 5.4% year-over-year in 2021 with occupancy holding steady at 75.5% as of year-end (YE) 2021. In addition, recent leasing activity has been recorded and the borrower reports increased interest in available spaces in the past few months. The total $250.0 million financing consisted of $59.0 million of pooled trust debt, $84.0 million of a subordinated B note held in the trust, $33.0 million of nonpooled pari passu debt outside the trust, and $54.0 of a subordinated B note held outside the trust. The 10-year loan pays interest only (IO) for the entire term. The total mortgage debt of $230.0 million was supplemented by $20.0 million of mezzanine debt. Collateral for the loan is the fee-simple interest in a 671,369-square-foot (sf), Class B office tower in the Financial District of lower Manhattan, New York. The property has undergone recent improvements for the lobby, elevator, and mechanical systems. The largest tenants at the collateral property are Board of Education of the City School District of the City of New York (16.3% of net rentable area (NRA), lease through January 2035), AT&T Corporation (4.3% of NRA, lease through February 2034), and Northsouth Production (4.1% of NRA, lease through April 2025). Occupancy declined from 85.9% in March 2020 because 10 tenants, representing 9.7% of NRA, vacated or downsized in 2020. There are seven tenants, representing 7.8% of the NRA, including the fourth-largest tenant, Paetec Communications, Inc., that are scheduled to roll within the next 12 months. The YE2021 cash flow was reported at $12.8 million, an increase of 5.4% over the YE2020 figure, but remains 8.1% below the YE2019 figure because of the aforementioned occupancy declines. The YE2021 debt service coverage ratio (DSCR) was reported at 1.14 times (x), up from the YE2020 DSCR of 1.07x. According to Reis, the subject's submarket reported a Q4 2021 vacancy rate of 10.8%, which suggests overall demand is healthy and conducive to the borrower's efforts to back-fill the recent vacancies. The borrower has noted signings for two new tenants representing approximately 3% of the NRA, with overall activity noted to have increased in recent months. As of April 2022, the property's website lists approximately 121,000 sf available for rent, implying an occupancy rate of 81.9%. Notes: All figures are in U.S. dollars unless otherwise noted. NATIXIS COMMERCIAL 2018-ALXA: DBRS Confirms BB(high) on E Certs --------------------------------------------------------------- DBRS, Inc. confirmed the following ratings on the Commercial Mortgage Pass Through Certificates, Series 2018-ALXA issued by Natixis Commercial Mortgage Securities Trust 2018-ALXA: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of this transaction, which is in line with DBRS Morningstar's expectations. The loan is secured by Centre 425 Bellevue, a 356,909 square foot (sf), Class A, LEED Silver-certified office building in downtown Bellevue, Washington, approximately 10 miles east of Seattle. The condominium interest includes 98.3% of the leasable square footage within the 16-story structure in addition to an eight-level underground parking garage. The property is in close proximity to the Bellevue Transit Center, which is undergoing an extension that is expected to be completed in 2023. The property is predominantly occupied by the investment-grade tenant Amazon.com, Inc. (Amazon) under a 16-year triple net lease that extends to December 31, 2032. The loan is sponsored by RFR Holdings LLC and Tristar Capital, whose principals serve as guarantors for the transaction. The $124.5 million trust loan is part of a split loan structure that consists of four notes totaling $208.5 million, with the A-1 and B notes being the assets of the subject trust. A part of the pari passu piece (21.1%; representing 5.3% of the pool) is held in CSAIL 2017-CX10, whose ratings DBRS Morningstar reviewed and confirmed in September 2021. Additional debt consists of a $57.6 million mezzanine loan, which is coterminous with the trust mortgage loan. The fixed-rate interest-only (IO) mortgage loan has an anticipated repayment date in 2027 and final loan maturity in 2033. According to the December 2021 rent roll, the property is 98.2% occupied by Amazon, which is paying base rent of $38.45/sf, subject to annual rent escalations of 2.25%. Per the lease agreement, Amazon has three five-year extension options and no termination options. While it can downsize its space by whole-floor increments, Amazon must maintain at least 175,000 sf at the collateral. Its lease is also guaranteed by Amazon, subject to a cap of $190.0 million for the first five years, which reduces by $19.0 million each year thereafter. As of YE2021, the servicer reported a net cash flow (NCF) of $16.0 million with a debt service coverage ratio (DSCR) of 1.78 times (x), an increase from the YE2020 NCF of $15.5 million with a DSCR of 1.72x, and the issuer's NCF of $15.2 million with a DSCR of 1.69x. Notes: All figures are in U.S. dollars unless otherwise noted. NATIXIS COMMERCIAL 2018-TECH: DBRS Confirms BB(low) on 2 Classes ---------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-TECH issued by Natixis Commercial Mortgage Securities Trust 2018-TECH as follows: -- Class A at AAA (sf) -- Class X-EXT at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class X-F at BB (low) (sf) -- Class G at B (high) (sf) DBRS Morningstar also discontinued and withdrew the rating on Class X-CP, as that class is no longer receiving interest distributions. All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with the last review. The collateral for the underlying loan is a first-lien mortgage on the borrower's fee-simple interest in a portfolio of seven Class B office and light industrial (research and development (R&D)) buildings located in the Golden Triangle area within Santa Clara, California. Built between 1970 and 1999, the collateral properties are all situated adjacent to one another, within the Scott Boulevard Corridor submarket, across the San Tomas Expressway from NVIDIA Corporation's (NIVIDIA's) corporate headquarters. According to the servicer's reporting, space representing roughly 67% of the total net rentable area (NRA) is configured as office space, while the remainder is configured as lab (R&D) space. Loan proceeds of $195.0 million ($311 per square foot (psf)) and sponsor equity of $58.5 million financed the asset's acquisition price of $240.4 million. Loan proceeds comprise a $150.0 million senior mortgage note and $45.0 million of mezzanine debt. The five-year $150 million floating-rate interest-only (IO) senior note has an initial maturity date in November 2022 and is subject to two one-year extension options. The loan requires 30–90 days' notice of the borrower's intent to exercise its extension option. The sponsor is Preylock Real Estate Holdings, a Los Angeles-based real estate acquisition and management firm, founded in 2016 and with over $2 billion of assets under management (including at least four other Silicon Valley properties). As of the December 2021 rent roll, the portfolio properties were 100% leased to two tenants in NVIDIA (60.7% of NRA) and Futurewei Technologies, Inc. (Futurewei) (39.3% of NRA) with an average base rental rate of $26.36 psf. NVIDIA is a multinational technology company primarily recognized for its work designing and manufacturing graphics cards for computer gaming and professional markets. NVIDIA occupies 379,851 sf across three leases with various expiration dates. Each of the leases included one five-year extension option with 12-months' notice. One of the leases (representing 12.8% of the total NRA) that had an expiration date in September 2021 has been renewed, as reported by the servicer, while the tenant's next lease expiration is in February 2023 for a space representing 31.9% of the total NRA. Futurewei is a U.S. subsidiary of the Chinese multinational technology company, Huawei Technologies Co. Ltd. (Huawei), which is the world's largest telecommunications equipment manufacturer. In May 2019, the U.S. Commerce Department's decision to put the firm on its list of organizations that pose security risks effectively excluded the company from the rollout of 5G telecommunications network equipment across the U.S. This was followed by the U.S. Department of Justice's announcement of indictments against both Futurewei and Huawei, with charges including racketeering conspiracy and conspiracy to steal trade secrets, among others. There have not been any updates regarding the status of the charges. While the Futurewei leases were renewed for 10-year terms through 2027 shortly before issuance, the company reportedly cut 600 jobs at the subject properties in June 2019. The servicer and CB Richard Ellis listings confirmed that at least one space consisting of 46,300 sf (7.4% of the property NRA) was dark and available for sublease, with Futurewei continuing to pay its contractual rent obligations. The Futurewei leases include a one-time right to terminate option on July 31, 2024, four months before the fully extended maturity date of the loan. If Futurewei exercises its early-termination option, then it must pay an early-termination fee plus a termination penalty. Concurrent with execution of the lease extension that commenced in August 2017, Huawei delivered to the landlord letters of credit (LOCs) in the total amount of $5.5 million, subject to scheduled annual reductions. As of the YE2021 financials, the servicer reported a net cash flow (NCF) of $16.3 million, with a debt service coverage ratio (DSCR) of 3.32 times (x), representing an 11.5% increase from YE2019 when NCF was reported at $14.7 million with a DSCR of 2.13x. The improved DSCR from 2019 reflects both the cash flow growth and the lower in-place debt service obligation for the floating rate loan in 2020. The March 2022 reporting for the transaction showed $9.4 million in total reserves, including a $4.9 million LOC and $4.2 million in a tenant reserve account. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER BERMAN 49: Moody's Assigns Ba3 Rating to $25.6MM E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued and one class of loans incurred by Neuberger Berman Loan Advisers CLO 49, Ltd. (the "Issuer" or "Neuberger Berman 49"). Moody's rating action is as follows: US$300,000,000 Class A-L Loans maturing 2034, Definitive Rating Assigned Aaa (sf) US$109,600,000 Class A Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$76,800,000 Class B Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aa2 (sf) US$25,600,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." The Class A-L Loans may not be exchanged or converted into notes at any time. 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. Neuberger Berman 49 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, cash and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. Neuberger Berman Loan Advisers II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued two classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $640,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2869 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 7.12 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. NEUBERGER BERMAN 50: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by Neuberger Berman Loan Advisers CLO 50, Ltd. (the "Issuer" or "Neuberger Berman Loan Advisers CLO 50"). Moody's rating action is as follows: US$372,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034 [1], Assigned (P)Aaa (sf) US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2036, 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. Neuberger Berman Loan Advisers CLO 50 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, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. Neuberger Berman Loan Advisers II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 four other classes of secured notes and subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2780 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 8.50% Weighted Average Recovery Rate (WARR): 46.50% 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. OBX TRUST 2022-INV4: Moody's Assigns B3 Rating to Cl. B-5 Debt -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 37 classes of residential mortgage-backed securities (RMBS) issued by OBX 2022-INV4 Trust, and sponsored by Onslow Bay Financial LLC (Onslow Bay). 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-IO6*, Definitive Rating Assigned Aaa (sf) Cl. A-IO8*, Definitive Rating Assigned Aaa (sf) Cl. A-IO10*, Definitive Rating Assigned Aaa (sf) Cl. A-IO12*, Definitive Rating Assigned Aaa (sf) Cl. A-IO14*, Definitive Rating Assigned Aa1 (sf) Cl. A-IO16*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-IO1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-IO2*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-3A, Definitive Rating Assigned Baa2 (sf) Cl. B-IO3*, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) Cl. A-1A Loans, Definitive Rating Assigned Aaa (sf) Cl. A-2A Loans, Definitive Rating Assigned 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. 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. OCEAN TRAILS XII: Moody's Assigns Ba3 Rating to $12.96MM E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to four classes of debt issued by Ocean Trails CLO XII Ltd (the "Issuer" or "Ocean Trails CLO XII"). Moody's rating action is as follows: US$70,000,000 Class A-1 Loans due 2035, Assigned Aaa (sf) US$150,500,000 Class A-1 Floating Rate Notes due 2035, Assigned Aaa (sf) US$8,000,000 Class A-2 Floating Rate Notes due 2035, Assigned Aaa (sf) US$12,960,000 Class E Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Debt." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Ocean Trails CLO XII 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 principal investments, and up to 10% of the portfolio may consist of non-senior secured loans, of which 7.5% may consist of second-lien loans and unsecured loans, 5% may consist of senior unsecured bonds, senior secured bonds, or senior secured floating rate notes. The portfolio is approximately 95% ramped as of the closing date. Five Arrows Managers North America 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 Debt, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $360,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2810 Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 47.0% 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 Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. OCTAGON 64: Fitch Assigns 'BB' Rating on Class E Debt ----------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 64, Ltd. DEBT RATING PRIOR ---- ------ ----- Octagon 64, Ltd. X LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA+sf New Rating AA+(EXP)sf B-2 LT AA+sf New Rating AA+(EXP)sf C LT A+sf New Rating A+(EXP)sf D LT BBB+sf New Rating BBB+(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Octagon 64, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured notes and subordinated notes will provide financing on a portfolio of approximately $850.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.2% first-lien senior secured loans and has a weighted average recovery assumption of 74.8%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class A-1, A-2, B (B-1 and B-2 together), C, D and E notes can withstand default rates of up to 61.7%, 58.9%, 53.6%, 49.0%, 41.2% and 34.5%, respectively, assuming portfolio recovery rates of 37.6%, 37.6%, 45.9%, 55.1%, 64.4% and 69.9% in Fitch's 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf' and 'BBsf' scenarios, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are between 'A-sf' and 'AAAsf' for class A-1 notes, between 'BBB+sf' and 'AAAsf' for class A-2 notes, between 'BB+sf' and 'AA+sf' for class B notes, between 'B+sf' and 'A+sf' for class C notes, between less than 'B-sf' and 'BBB+sf' for class D notes, and between less than 'B-sf' and 'BB+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. The issuer has the flexibility to apply principal proceeds to acquire loss mitigation qualified obligations so long as each coverage test is satisfied after giving effect to the acquisition. This could lead to the manager using principal proceeds to purchase such loans and, therefore, could result in higher defaults and/or lower recovery expectations, in contrast to the assets modeled in the Fitch stressed portfolio. Fitch ran a sensitivity to test scenarios where the maximum allowable amount of principal proceeds is applied to purchase these loans and assumed such loans have recovery prospects commensurate with the notes respective rating stress. In this sensitivity, class A-1, A-2, B, C and E notes have model-implied ratings in line with their respective assigned ratings, whereas class D notes have the model-implied rating at one rating notch below their assigned rating. 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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. OCTAGON LTD 64: Moody's Assigns B3 Rating to $1MM Class F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by Octagon 64, Ltd., (the "Issuer" or "Octagon 64"). Moody's rating action is as follows: US$4,000,000 Class X Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$527,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$1,000,000 Class F Secured Deferrable Floating Rate Notes due 2037, Definitive Rating 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. Octagon 64 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, and up to 10% of the portfolio may consist of obligations that are not senior secured loans and eligible investments, including up to 5% of the portfolio may consist of senior secured and senior unsecured bonds. The portfolio is approximately 97% ramped as of the closing date. Octagon Credit Investors, 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 six 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: $850,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2866 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.1 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. ONEMAIN FINANCIAL 2018-2: S&P Raises Cl. E Notes Rating to BB+(sf) ------------------------------------------------------------------ S&P Global Ratings raised its ratings on nine classes and affirmed its ratings on 23 classes from OneMain Financial Issuance Trust (OMFIT) 2015-3, 2016-3, 2018-1, 2018-2, 2019-2, 2020-1, 2020-2, and 2021-1. S&P said, "The rating actions reflect collateral performance to date and our expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Our analysis also incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. The upgrades and affirmations reflect our view that the total credit support as a percentage of the pool balances, compared with our expected defaults, is commensurate with each raised and affirmed rating. "We upgraded the class C and D notes in OMFIT 2015-3 based on the transaction's actual performance to date, the total credit enhancement available for the respective class C and D notes, and our expectation that the class C and D notes will be fully paid off within 12 months. "We upgraded the subordinate class B, C, and D notes in OMFIT 2016-3 based on the transaction's actual performance to date, the total credit enhancement available for the respective class B, C, and D notes, and our expectation that the class A, B, C, and D notes will be fully paid off within 12 months. "We similarly upgraded the subordinate class B, C, and D notes in OMFIT 2018-1 based on the transaction's actual performance to date, the total credit enhancement available for the respective class B, C, and D notes, and our expectation that the class A, B, C, and D notes will be fully paid off within 12 months, leaving class E as the most senior class outstanding (which was raised to 'AA (sf)'). "Of the eight OMFIT transactions we reviewed, four are still in their revolving periods and are scheduled to enter amortization between 2023 and 2026: OMFIT 2018-2 on March 31, 2023, OMFIT 2019-2 on Sept. 30, 2026, OMFIT 2020-2 on Aug. 31, 2025, and OMFIT 2021-1 on May 31, 2026. Our original cash flow modelling assumed each pool would revolve to the worst-case composition permitted by the transaction documents and enter amortization." However, the pool compositions are currently stronger than the worst-case concentrations, as shown by each pool's loss performance. As of the May 2022 distribution date, the annualized three-month net loss percentages for OMFIT 2018-2, 2019-2, 2020-2, and 2021-1 were 4.38%, 4.75%, 4.94%, and 5.03%, respectively. These are all well below the early amortization reinvestment criteria event trigger of 17.00% for each transaction. Further, as of the May 2022 distribution date, the weighted average coupons of the receivables pools for OMFIT 2018-2, 2019-2, 2020-2, and 2021-1 were 25.62%, 25.80%, 26.16%, and 25.66%, respectively--well above the trusts' respective early amortization reinvestment criteria event triggers of 23.0%, 23.5%, 24.0%, and 23.0%. OMFIT 2015-3 entered amortization on Aug. 31, 2020; OMFIT 2016-3, on April 30, 2021; OMFIT 2018-1, on Feb. 28, 2021; and OMFIT 2020-1, on April 30, 2022. With the exception of OMFIT 2020-1, which recently entered amortization, these transactions have since paid down significantly, with current total note factors ranging from 16%-33%, while their credit enhancement levels have grown significantly. Each OMFIT transaction is backed by a pool of fixed-rate personal consumer loans and contains a sequential principal payment structure in which the note classes are paid principal by seniority. The transactions also benefit from credit enhancement in the form of a nonamortizing reserve account (with the exception of the OMFIT 2019-2 and OMFIT 2021-1 transactions, which have reserve account required amounts calculated as the greater of 0.5% of the aggregate note balance and $250,000), overcollateralization, subordination for the higher-rated tranches, and excess spread. Table 1 Current Capital Structure As of the May 2022 distribution date Current Note balance factor Coupon Maturity Transaction Class (mil. $) (%) (%) date OMFIT 2015-3 C 17.2 64 5.82 11/18/2028 OMFIT 2015-3 D 29.9 100 6.94 11/18/2028 OMFIT 2016-3 A 14.3 6 3.83 6/18/2031 OMFIT 2016-3 B 38.7 100 5.61 6/18/2031 OMFIT 2016-3 C 29.5 100 6.86 6/18/2031 OMFIT 2016-3 D 33.1 100 7.50 6/18/2031 OMFIT 2018-1 A 12.5 3 3.30 3/14/2029 OMFIT 2018-1 B 57.2 100 3.61 3/14/2029 OMFIT 2018-1 C 36.8 100 3.77 3/14/2029 OMFIT 2018-1 D 38.7 100 4.08 3/14/2029 OMFIT 2018-1 E 57.2 100 5.52 3/14/2029 OMFIT 2018-2 A 255.4 100 3.57 3/14/2033 OMFIT 2018-2 B 33.1 100 3.89 3/14/2033 OMFIT 2018-2 C 21.3 100 4.04 3/14/2033 OMFIT 2018-2 D 26.5 100 4.29 3/14/2033 OMFIT 2018-2 E 32.2 100 5.77 3/14/2033 OMFIT 2019-2 A 651.3 100 3.14 10/14/2036 OMFIT 2019-2 B 91.4 100 3.41 10/14/2036 OMFIT 2019-2 C 59.2 100 3.66 10/14/2036 OMFIT 2019-2 D 98.1 100 4.05 10/14/2036 OMFIT 2020-1 A 633.9 96 3.84 5/14/2032 OMFIT 2020-1 B 89.6 100 4.83 5/14/2032 OMFIT 2020-1 C 70.9 100 5.81 5/14/2032 OMFIT 2020-2 A 741.1 100 1.75 9/14/2035 OMFIT 2020-2 B 96.3 100 2.21 9/14/2035 OMFIT 2020-2 C 56.9 100 2.76 9/14/2035 OMFIT 2020-2 D 105.8 100 3.45 9/14/2035 OMFIT 2021-1 A-1 401.2 100 1.55 6/16/2036 OMFIT 2021-1 A-2 200.6 100 1M SOFR+0.76 6/16/2036 OMFIT 2021-1 B 93.1 100 1.95 6/16/2036 OMFIT 2021-1 C 57.0 100 2.22 6/16/2036 OMFIT 2021-1 D 98.1 100 2.47 6/16/2036 Table 2 Hard Credit Support(i) As of the May 2022 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2015-3 C 21.11 82.36 2015-3 D 12.04 44.48 2016-3 A 38.33 94.22(ii) 2016-3 B 28.58 72.73(ii) 2016-3 C 21.14 56.33(ii) 2016-3 D 12.81 37.98(ii) 2018-1 A 32.60 96.34(ii) 2018-1 B 23.80 73.79(ii) 2018-1 C 18.15 59.32(ii) 2018-1 D 12.20 44.07(ii) 2018-1 E 3.40 21.53(ii) 2018-2 A 33.40 36.58(ii) 2018-2 B 24.70 28.30(ii) 2018-2 C 19.10 22.96(ii) 2018-2 D 12.15 16.34(ii) 2018-2 E 3.70 8.30(ii) 2019-2 A 31.72 34.98(ii) 2019-2 B 22.08 25.79(ii) 2019-2 C 15.83 19.84(ii) 2019-2 D 5.48 9.98(ii) 2020-1 A 31.91 32.82 2020-1 B 22.56 23.20 2020-1 C 15.16 15.59 2020-2 A 30.55 30.55 2020-2 B 21.40 21.40 2020-2 C 16.00 16.00 2020-2 D 5.95 5.95 2021-1 A-1 33.92 33.92 2021-1 A-2 33.92 33.92 2021-1 B 23.62 23.62 2021-1 C 17.32 17.32 2021-1 D 6.47 6.47 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and subordination. (ii)Hard enhancement includes an increase made to the required overcollateralization amount as per a May 2020 amendment. We will continue to monitor the performance of all of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our default expectations under our stress scenarios for each of the rated classes. RATINGS RAISED OneMain Financial Issuance Trust 2015-3 Rating Class To From C AAA (sf) A (sf) D AAA (sf) BBB- (sf) OneMain Financial Issuance Trust 2016-3 Rating Class To From B AAA (sf) AA (sf) C AAA (sf) A- (sf) D AAA (sf) BBB- (sf) OneMain Financial Issuance Trust 2018-1 Rating Class To From B AAA (sf) AA (sf) C AAA (sf) A+ (sf) D AAA (sf) BBB+ (sf E AA (sf) BB+ (sf) RATINGS AFFIRMED OneMain Financial Issuance Trust 2016-3 Class Rating A AAA (sf) OneMain Financial Issuance Trust 2018-1 Class Rating A AAA (sf) OneMain Financial Issuance Trust 2018-2 Class Rating A AAA (sf) B AA (sf) C A+ (sf) D BBB+ (sf) E BB+ (sf) OneMain Financial Issuance Trust 2019-2 Class Rating A AAA (sf) B AA (sf) C A (sf) D BBB- (sf) OneMain Financial Issuance Trust 2020-1 Class Rating A AAA (sf) B AA (sf) C A (sf) OneMain Financial Issuance Trust 2020-2 Class Rating A AAA (sf) B AA (sf) C A+ (sf) D BBB (sf) OneMain Financial Issuance Trust 2021-1 Class Rating A-1 AAA (sf) A-2 AAA (sf) B AA (sf) C A (sf) D BBB- (sf) PALMER SQUARE 2022-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2022-2 Ltd./Palmer Square CLO 2022-2 LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Capital Management LLC. The preliminary ratings are based on information as of June 13, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Palmer Square CLO 2022-2 Ltd./Palmer Square CLO 2022-2 LLC Class A-1, $290.00 million: AAA (sf) Class A-2, $30.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C, $30.00 million: A (sf) Class D, $30.00 million: BBB- (sf) Class E, $18.50 million: BB- (sf) Subordinated notes, $34.66 million: Not rated PREFERRED TERM XVI: Moody's Ups Rating on $77MM Class C Notes to B3 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Preferred Term Securities XVI, Ltd.: US$327,250,000 Floating Rate Class A-1 Senior Notes due 2035 (current balance of $47,366,294.36) (the "Class A-1 Notes"), Upgraded to Aaa (sf); previously on September 9, 2019 Upgraded to Aa1 (sf) US$69,900,000 Floating Rate Class A-2 Senior Notes due 2035 (the "Class A-2 Notes"), Upgraded to Aa2 (sf); previously on September 9, 2019 Upgraded to Aa3 (sf) US$12,000,000 Fixed/Floating Rate Class A-3 Senior Notes due 2035 (the "Class A-3 Notes"), Upgraded to Aa2 (sf); previously on September 9, 2019 Upgraded to Aa3 (sf) US$63,650,000 Floating Rate Class B Mezzanine Notes due 2035 (current balance of $59,511,105.21) (the "Class B Notes"), Upgraded to A3 (sf); previously on September 9, 2019 Upgraded to Baa3 (sf) US$77,650,000 Floating Rate Class C Mezzanine Notes due 2035 (current balance of $73,231,946.23) (the "Class C Notes"), Upgraded to B3 (sf); previously on September 9, 2019 Upgraded to Caa2 (sf) Preferred Term Securities XVI, Ltd., issued in December 2004, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, and full repayment of the Class C deferred interest balance. The Class A-1 notes have paid down by approximately 47.1% or $42.1 million over the past year, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class A-3, Class B and Class C notes have improved to 591.9%, 239.1%, 216.9%, 148.5% and 107.0%, respectively, from levels a year ago of 358.1%, 187.0%, 187.0%, 138.3% and 104.8%, respectively. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par (after treating deferring securities as performing if they meet certain criteria) of $280.4 million, defaulted/deferring par of $83.6 million, a weighted average default probability of 11.23% (implying a WARF of 1201), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenario includes deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PREFERRED TERM XX: Moody's Hikes Rating on $42MM C Notes to B3 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Preferred Term Securities XX, Ltd.: US$332,300,000 Floating Rate Class A-1 Senior Notes Due 2038 (current balance of $129,185,254), Upgraded to Aaa (sf); previously on March 18, 2019 Upgraded to Aa1 (sf) US$84,600,000 Floating Rate Class A-2 Senior Notes Due 2038 (current balance of $78,284,600), Upgraded to Aa2 (sf); previously on March 18, 2019 Upgraded to Aa3 (sf) US$75,500,000 Floating Rate Class B Mezzanine Notes Due 2038 (current balance of $69,863,916), Upgraded to Baa2 (sf); previously on March 18, 2019 Upgraded to Ba1 (sf) US$42,850,000 Floating Rate Class C Mezzanine Notes Due 2038 (current balance of $42,097,136), Upgraded to B3 (sf); previously on March 18, 2019 Upgraded to Caa2 (sf) Preferred Term Securities XX, Ltd., issued in December 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank, insurance and REIT trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, full repayment of the Class C deferred interest balance, partial repayment of the Class D deferred interest balance and the improvement in the credit quality of the underlying portfolio over the past year. The Class A-1 notes have paid down by approximately 11.7% or $17.14 million over the past year, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B and Class C notes have improved to 269.1%, 167.6%, 125.4% and 108.8%, respectively, from levels a year ago of 249.0%, 162.2%, 123.7% and 108.2%, respectively. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 1159 from 1327 a year ago. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par (after treating deferring securities as performing if they meet certain criteria) of $347.7 million, defaulted/deferring par of $42.0 million, a weighted average default probability of 11.41% (implying a WARF of 1159), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenario includes deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. RCKT MORTGAGE 2022-4: Moody's Assigns B3 Rating to Cl. B-5 Debt --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 48 classes of residential mortgage-backed securities (RMBS) issued by RCKT Mortgage Trust 2022-4, and sponsored by Woodward Capital Management LLC. The securities are backed by a pool of prime jumbo residential mortgages originated and serviced by Rocket Mortgage, LLC (long term corporate family rating, Ba1). The complete rating actions are as follows: Issuer: RCKT Mortgage Trust 2022-4 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aa1 (sf) Cl. A-23, Definitive Rating Assigned Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-13*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) Cl. A-1A Loans, Definitive Rating Assigned Aaa (sf) Cl. A-2A Loans, Definitive Rating Assigned Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.00%, in a baseline scenario-median is 0.72% and reaches 6.40% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. READY CAPITAL 2021-FL6: DBRS Confirms B(low) Rating on Cl. G Notes ------------------------------------------------------------------ DBRS Limited confirmed the ratings on all classes of notes issued by Ready Capital Mortgage Financing 2021-FL6, LLC (the Issuer) as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The initial collateral consisted of 52 floating-rate mortgage assets with an aggregate cutoff date balance of $652.5 million secured by 55 mortgaged properties. The aggregate unfunded future funding commitment of the future funding participations as of the cutoff date was $87.8 million. The collateral pool for the transaction is static with no ramp-up period or reinvestment period; however, the Issuer has the right to use principal proceeds to acquire funded loan future funding participations subject to stated criteria during the Permitted Funded Companion Participation Acquisition Period. This period is expected to end with the July 2023 Payment Date. As of the April 2022 remittance, the pool comprises 51 loans secured by 54 properties with a cumulative trust balance of $652.5 million. There was approximately $87,000 in the Permitted Funded Companion Participation Account. Since issuance, one loan, Pennytree Apartments (Prospectus ID#20) has been repaid from the trust. The transaction is concentrated by property type, as 44 loans, totaling 90.7% of the current cumulative loan balance, are secured by multifamily properties, and four loans, totaling 5.4% of the current cumulative loan balance, are secured by industrial properties. The transaction is also concentrated by loan size, as the 10 largest loans represent 51.4% of the pool balance. Overall pool leverage metrics remain similar with issuance as the current weighted average (WA) in-place loan-to-value ratio (LTV) is 73.4% compared with 73.2% at closing, and the WA stabilized LTV is 65.6% compared with 65.5% at closing. Additionally, the majority of the collateral pool is secured by properties in suburban markets, defined as locations with a DBRS Morningstar Market Rank of 3, 4, and 5. This includes 36 properties representing 80.6% of the current pool balance. An additional eight properties, representing 12.6% of the current pool balance, are in urban markets with DBRS Morningstar Market Ranks of 6, 7, and 8. In general, borrowers continue to progress toward completing the stated business plans as, through March 2022, the collateral manager had advanced $22.5 million in loan future funding to 35 individual borrowers since the transaction closed in August 2021. An additional $64.3 million of loan future funding allocated to 50 borrowers remains outstanding to further aid in property stabilization efforts. As of the April 2022 remittance, there are no delinquent loans, no loans are in special servicing, and no loans are on the servicer's watchlist. Notes: All figures are in U.S. dollars unless otherwise noted. REGATTA XXII FUNDING: Moody's Assigns Ba3 Rating to $20MM E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to four classes of notes issued by Regatta XXII Funding Ltd. (the "Issuer" or "Regatta XXII"). Moody's rating action is as follows: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$45,000,000 Class B-1 Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$15,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2035, Assigned Aa2 (sf) US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Regatta XXII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets, provided that no more than 5.0% of the portfolio consists of permitted non-loan assets. The portfolio is approximately 90% ramped as of the closing date. Napier Park Global Capital (US) LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued two classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2896 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.00% 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. RIAL 2022-FL8: DBRS Gives Prov. B(low) Rating on Class G Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by RIAL 2022-FL8 Issuer, Ltd. (the Issuer): -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The initial collateral consists of 18 mortgage loans consisting of 24 mostly transitional real estate properties with a cutoff balance totaling $769.3 million (81.9% of the total fully funded balance) exclusive of $163.2 million in remaining future funding commitments and $7.3 million of pari passu debt. Of the 18 loans, one loan is a delayed-close loan as of Friday, April 8, 2022: Ace Hotel Brooklyn (#6), representing a total initial pool balance of 7.1%. The Issuer has 90 days following closing to acquire the delayed-close assets. Two loans (Claradon Village and Fox Creek) are cross-collateralized and are treated as a single loan in the DBRS Morningstar analysis, resulting in a modified loan count of 17. All figures below and throughout this report reflect this modified loan count. The holder of the Permitted Funded Companion Participations will be RIAL IV AIV II, LP (the Seller), a wholly-owned subsidiary of FS Credit Real Estate Income Trust, Inc., or an affiliate of the Seller. The holder of each future funding participation has full responsibility to fund the future funding companion participations. The collateral pool for the transaction is static, and during the period beginning on the Closing Date and ending on Payment Date in May 2024, the Issuer will cause all or a portion of Permitted Principal Proceeds to be deposited into the Permitted Funded Companion Participation Acquisition Account to be available for a period not to exceed the earlier of (1) 180 days from the date of the deposit and (2) the end of the Permitted Funded Companion Participation Acquisition Period. Either all or a portion of a Future Funding Participation that has been funded is subject to the satisfaction of the Future Funding Acquisition Criteria. Among the criteria required to acquire each Funded Companion Participation is a No Downgrade Confirmation from DBRS Morningstar with respect to such collateral interest given that the principal balance of the Funded Companion Participation being acquired is less than $500,000. The loans are mostly secured by cash-flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. In total, 13 loans, representing 74.4% of the pool, have remaining future funding participations totaling $163.2 million, which the Issuer may acquire in the future. For the floating-rate loans, DBRS Morningstar used the one-month Libor index for all loans, which is based on the lower of a DBRS Morningstar-stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cutoff balances were measured against the DBRS Morningstar as-is net cash flow, 16 loans, comprising 92.5% of the initial pool balance, had a DBRS Morningstar as-is debt service coverage ratio (DSCR) of 1.0 times (x) or below, a threshold indicative of default risk. Furthermore, nine loans, representing 60.3% of the initial cutoff balance, exhibit a DBRS Morningstar Stabilized DSCR below 1.0x. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume assets to stabilize above market levels. Notes: All figures are in U.S. dollars unless otherwise noted. RLGH TRUST 2021-TROT: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------------ DBRS, Inc. confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-TROT issued by RLGH Trust 2021-TROT as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class A-Y at AAA (sf) -- Class A-Z at AAA (sf) -- Class A-IO at AAA (sf) All trends are Stable. The $299.3 million loan is collateralized by the borrower's fee-simple and leasehold interests in 53 properties, including 48 flex industrial properties, three industrial properties, one parcel of land, and one unanchored retail strip-center, totaling approximately 2.6 million square feet across six business parks in the Raleigh-Durham region of North Carolina. The Raleigh-Durham metro area is known as the Research Triangle, which is an attractive region for research and development, advanced technology, and biotechnology. The two-year floating-rate loan is interest only (IO) for the full term, with a scheduled maturity of April 2023 plus three one-year extension options available. The portfolio has a weighted-average (WA) year built of 1995 and is composed primarily of older buildings in what is considered to be a smaller and secondary market. The sponsors, a joint venture partnership between Equus and AIG, contributed $132.9 million in cash equity as a part of the transaction to acquire the portfolio for a purchase price of $422.3 million. Equus is a private real estate investment firm focused on commercial real estate investments. AIG is the real estate investment arm of AIG Inc. and focuses real estate investments globally. The collateral portfolio benefits from a diversified tenant roster, with only six of the portfolio's 53 properties currently leased to single tenant users. At issuance, the portfolio was leased to 306 distinct tenants across multiple industries with a WA occupancy rate of 95.3%. Performance was noted to have been stable through these years of the ongoing Coronavirus Disease (COVID-19) pandemic, with the servicer most recently reporting an occupancy rate of 96.0% for year-end (YE) 2021. The stable occupancy pairs with stable cash flow trends from issuance, with the servicer reporting a YE2021 net cash flow (NCF) figure of $22.2 million, which is above the DBRS Morningstar NCF figure of $21.7 million. Tenant rollover is particularly concentrated in 2022 and 2023, with leases representing 14.8% and 23.2% of in-place base rent scheduled to expire, respectively. Of these, the servicer has confirmed two small tenants that combine for less than 1.0% of the total square footage have confirmed their leases will not be renewed, with the remainder expected to renew, according to the borrower. Notes: All figures are in U.S. dollars unless otherwise noted. RMF BUYOUT 2022-HB1: DBRS Gives Prov. B Rating on Class M5 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Asset-Backed Notes, Series 2022-HB1 to be issued by RMF Buyout Issuance Trust 2022-HB1: -- $150.6 million Class A at AAA (sf) -- $15.2 million Class M1 at AA (low) (sf) -- $11.4 million Class M2 at A (low) (sf) -- $12.3 million Class M3 at BBB (low) (sf) -- $12.8 million Class M4 at BB (low) (sf) -- $8.5 million Class M5 at B (sf) The AAA (sf) rating reflects 73.91% of cumulative advance rate. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 81.37%, 86.96%, 93.0%, 99.28%, and 103.45% of cumulative advance rates, respectively. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the February 28, 2022, cut-off date, the collateral has approximately $203.8 million in unpaid principal balance from 987 active and non-active reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned-unit developments. The loans were originated between 2006 and 2020. Of the total loans, 90 have a fixed interest rate (9.99% of the balance), with a 5.06% weighted-average coupon (WAC). The remaining 897 loans are floating-rate interest (90.01% of the balance) with a 2.57% WAC, bringing the entire collateral pool to a 2.82% WAC. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior note has been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior classes of notes will receive regular distributions of interest and/or principal. All note classes except M6 pay current interest and have available fund caps. Notes: All figures are in U.S. dollars unless otherwise noted. SG COMMERCIAL 2019-787E: DBRS Confirms BB(low) Rating on F Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-787E issued by SG Commercial Mortgage Securities Trust 2019-787E as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class X at AAA (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The transaction consists of a $187.5 million portion of a $410.0 million whole loan that pays interest only for the full term and matures in 2029. The whole loan is divided into $175.0 million in senior companion loans, a $117.5 million subordinate A note, and a $117.5 million junior B note. The subject securitization contains the $70.0 million A-1A note and the subordinate $117.5 million A-2 note. Noncontrolling A notes with a combined $105.0 million trust balance are included in the CSAIL 2019-C16, BBCMS 2019-C3, and CSAIL 2019-C15 securitizations. The collateral consists of a 513,638-square-foot (sf), 10-storey Class A mixed-use building with office as well as automotive retail showroom and service center space. The building is well located in Manhattan's Automotive Row, which is also home to 20 other automotive dealers. The retail-auto showroom and service space is 100% leased to Jaguar Land Rover and Nissan/Infiniti, two high-quality tenants with initial lease terms that run three years beyond the loan's maturity in 2029. Combined, the two tenants contribute more than half of the collateral's base rent. Per the December 2021 rent roll, the property is 100.0% leased and 63.5% occupied. In February 2021, the Icahn School of Medicine at Mount Sinai (Mount Sinai) leased approximately 163,000 sf (36.2% of the net rentable area (NRA)), which includes the space previously vacated by the third-largest tenant Regus (formerly 19.3%, of NRA), through 2054. Labs, outpatient clinics, and research space operated by the healthcare network will occupy three floors. About 36,000 sf will be built out for a research facility that will be exclusively for scientist and inventor Neri Oxman. According to the December 2021 financials, loan performance improved over the previous year but is still below the DBRS Morningstar issuance figures. The YE2021 reported net cash flow (NCF) was $16.1 million, an increase of $1.5 million (10.5%) over 2020, but still $5.4 million (25.1%) lower than the DBRS Morningstar NCF derived at issuance. Two tenants are currently receiving rent abatements, including Mount Sinai, which is currently going through a major tenant improvement build-out. The tenant is likely to take occupancy and begin paying rent in 2024. During the Mount Sinai rent abatement period, the borrower is required to deposit the minimum of the quarterly debt service shortfall or $600,000 into a free rent reserve to cover debt service shortfalls from April 2021 through March 2023. Mount Sinai's initial base rent exceeds the rent the previous tenant paid. Once the current in-place abatement periods burn off, DBRS Morningstar expects rental revenue and NCF to stabilize. Notes: All figures are in U.S. dollars unless otherwise noted. SIGNAL PEAK 12: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Signal Peak CLO 12 Ltd./Signal Peak CLO 12 LLC's floating- and fixed-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The preliminary ratings are based on information as of June 14, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Signal Peak CLO 12 Ltd./Signal Peak CLO 12 LLC Class A-1 $240.20 million: AAA (sf) Class A-2, $15.80 million: AAA (sf) Class B-1, $28.00 million: AA (sf) Class B-2, $20.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $13.60 million: BB- (sf) Subordinated notes, $36.01 million: Not rated TAUBMAN CENTERS 2022-DPM: DBRS Gives Prov. BB(high) on HRR Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-DPM to be issued by Taubman Centers Commercial Mortgage Trust 2022-DPM: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The Taubman Centers Commercial Mortgage Trust 2022-DPM single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in Dolphin Mall Miami, a 1,436,118-square foot (sf) Class A super-regional mall approximately 9.0 miles west of Miami International Airport and 13.0 miles west of the Downtown Miami central business district (CBD) in Sweetwater, Florida. The collateral was delivered to market in 2001 and is considered one of the highest volume shopping centers in the United States, with net rental income (NRI) consistently exceeding $90.0 million annually over the three years preceding the onset of the Coronavirus Disease (COVID-19) pandemic (2017 through 2019). While the collateral's NRI subsided to less than $70.0 million in 2020, the collateral's 2021 NRI returned to more than $93.0 million, as ongoing travel restrictions and business closures brought on since the onset of the coronavirus pandemic continue to reside. The collateral is generally considered to be Miami's largest outlet center, featuring a diverse roster of national outlet brands, big-box retailers, restaurants, and entertainment offerings. The collateral's diverse roster of anchor tenants include Bass Pro Shops Outdoor World, Polo Ralph Lauren Factory Store, Dave & Buster's, Saks Off Fifth, Burlington Coat Factory, Forever 21, Ross Dress for Less, Nike Factory Store, Old Navy, Marshalls Home Goods, Bowlero, and Cobb Theatres. The transaction sponsor, The Taubman Realty Group LLC, also recently executed a lease with The Cordish Companies to redevelop a row of exterior-facing restaurant-suites near the collateral's primary entryway into a dining and entertainment venue branded Live! At Dolphin Mall. The Cordish Companies envisions Live! At Dolphin Mall as a gathering space for live music, sports viewing, festivals, and community events, with 31,960 sf of existing interior space and the addition of a 49,418-sf outdoor pavilion. The transaction sponsor is contributing $3.5 million to the project's $20.0 million budgeted construction costs, with The Cordish Companies contributing the remaining balance. The concept is anticipated to open between the winter of 2022 and the spring of 2023, with outstanding financial obligations of the sponsor reserved for at closing as part of this transaction. The collateral has maintained stable occupancy trends in recent years, with year-end occupancy averaging 96.2% between 2017 and 2021 and propertywide occupancy never falling below 92.0% over the same period despite store closures related to the ongoing coronavirus pandemic. The collateral's diverse roster of modestly priced national retailers and proximity to Miami International Airport provides a competitive advantage over the collateral's appraisal-identified competitive set for attracting demand from international tourism. While the appraisal defines the collateral's trade area as the area encompassing a 7.0-mile radius around the property, approximately 65.0% to 70.0% of the collateral's sales have historically been generated from tourist-related activities with a particular draw of international visitors from South America. Travel restrictions brought on by the onset of the coronavirus pandemic caused the ratio of sales derived from tourist activities to fall below 50.0% in 2020 and resulted in comparable in-line sales falling from $915 psf in 2019 to $516 in 2020. However, the appraisal projects that the opening of Live! At Dolphin Mall and a return to pre-pandemic travel restrictions will result in above-average sales increases at the collateral over the coming years. At the time of DBRS Morningstar inspection, representatives of the collateral's on-site management team also suggested that the collateral was benefiting from increased foot traffic from its local trade area since the onset of the pandemic. All factors considered, the property's improved 2021 comparable in-line sales of $847 psf further suggest likelihood of the collateral's recovery to pre-pandemic productivity in the coming years. Considering the collateral's favorable location, generally consistent occupancy trends, evidence of recovering in-line sales, strong sponsorship, and ongoing transformation, DBRS Morningstar has a generally positive view of the credit characteristics of the collateral. Nonetheless, like most regional malls, the collateral will likely continue to contend with secular headwinds facing brick-and-mortar retailers in the long run, and the proliferation of e-commerce continues to gain traction globally. Investors should carefully consider the risks associated with investing in securities backed by regional mall properties; DBRS Morningstar published research on November 17, 2020, that highlighted that regional mall delinquencies were approaching $10 billion with an overall delinquency rate of 18.7%. Notes: All figures are in U.S. dollars unless otherwise noted. TRUPS FINANCIALS 2017-2: Moody's Hikes Rating on B Notes From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by TruPS Financials Note Securitization 2017-2 Ltd.: US$205,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039 (the "Class A-1 Notes"), Upgraded to Aa1 (sf); previously on October 26, 2017 Definitive Rating Assigned Aa3 (sf) US$35,000,000 Class A-2 Senior Secured Fixed-Floating Rate Notes due 2039 (the "Class A-2 Notes"), Upgraded to Aa1 (sf); previously on October 26, 2017 Definitive Rating Assigned Aa3 (sf) US$45,900,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039 (the "Class B Notes"), Upgraded to Baa3 (sf); previously on October 26, 2017 Definitive Rating Assigned Ba1 (sf) TruPS Financials Note Securitization 2017-2 Ltd., issued in October 2017, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS) and subordinated debt. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 and Class A-2 notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio over the past year. The Class A-1 and Class A-2 notes have paid down by approximately 12.7% or $18.0 million and 3.1 million respectively since one year ago using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A and Class B notes have improved to 178.0% and 135.2%, respectively, from a year ago levels of 168.1% and 131.7%, respectively. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 994 from 1264 a year ago. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing of $258.0 million, defaulted/deferring par of $0, a weighted average default probability of 9.39% (implying a WARF of 994), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. US AUTO 2022-1: Moody's Assigns (P)B3 Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by U.S. Auto Funding Trust 2022-1 (USAF 2022-1). This is the first auto loan transaction of the year and third in total for U.S. Auto Finance, Inc. (U.S. Auto Finance, unrated). The notes will be backed by a pool of retail automobile loan contracts originated by U.S. Auto Sales, Inc. (unrated), an affiliate of U.S. Auto Finance. USASF Servicing LLC (USASF), an affiliate of U.S. Auto Finance, is the servicer for this transaction and U.S. Auto Finance is the administrator. The complete rating actions are as follows: Issuer: U.S. Auto Funding Trust 2022-1 Class A Notes, Assigned (P)A3 (sf) Class B Notes, Assigned (P)Baa1 (sf) Class C Notes, Assigned (P)Baa2 (sf) Class D Notes, Assigned (P)B2 (sf) Class E Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of USASF and U.S. Auto Finance as the servicer and administrator respectively and the presence of Computershare Trust Company, N.A. (Computershare, Baa2) as named backup servicer. Moody's median cumulative net credit loss expectation for USAF 2022-1 is 34%. Moody's based its cumulative net credit loss expectation on an analysis of the quality of the underlying collateral; managed portfolio performance; the historical credit loss of similar collateral; the ability of USASF to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, the Class B notes, the Class C notes, the Class D and the Class E notes are expected to benefit from 64.85%, 52.95%, 38.80%, 29.35% and 20.50% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination, except for the Class E notes, which do not benefit from subordination. The notes may also benefit from excess spread. This securitization's governance risk is moderate and is higher than other Auto ABS in the market. The governance risks are partially mitigated by the transaction structure, documentation and characteristics of the transaction parties. The sponsor and servicer is relatively small and financially weak with a concentrated ownership, which lends additional variability to the pool expected loss and higher servicing transfer risk. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in September 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and pool servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. VERUS SECURITIZATION 2022-6: S&P Assigns (P) B- (sf) on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2022-6's mortgage-backed notes. The note issuance is an RMBS securitization backed by seasoned and unseasoned first-lien, fixed, and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The preliminary ratings are based on information as of June 15, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The potential impact current and near term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P Said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Preliminary Ratings Assigned Verus Securitization Trust 2022-6 Class A-1, $319,394,000: AAA (sf) Class A-2, $42,219,000: AA (sf) Class A-3, $60,575,000: A (sf) Class M-1, $39,334,000: BBB- (sf) Class B-1, $23,863,000: BB- (sf) Class B-2, $18,880,000: B- (sf) Class B-3, $20,192,606: Not rated Class A-IO-S, $524,457,606(i): Not rated Class XS, $524,457,606(i): Not rated Class DA, $68,127: Not rated Class R, not applicable: Not rated (i)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cut-off date. WAMU COMMERCIAL 2007-SL2: Moody's Cuts Rating on Class X Debt to C ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on three classes, affirmed the rating on one class and downgraded the rating on one class in Wamu Commercial Mortgage Securities Trust 2007-SL2, Commercial Mortgage Pass-Through Certificates, Series 2007-SL2 as follows: Cl. D, Upgraded to Baa1 (sf); previously on Jun 17, 2021 Upgraded to Baa3 (sf) Cl. E, Upgraded to Ba2 (sf); previously on Jun 17, 2021 Upgraded to B1 (sf) Cl. F, Upgraded to Caa1 (sf); previously on Jun 17, 2021 Affirmed Caa3 (sf) Cl. G, Affirmed C (sf); previously on Jun 17, 2021 Affirmed C (sf) Cl. X*, Downgraded to C (sf); previously on Jun 17, 2021 Upgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 27% since Moody's last review and 96% since securitization. The rating on one P&I class was affirmed because the rating is consistent with Moody's expected loss and realized losses. This Class has already experienced a 2% loss from previously liquidated loans. The rating on the IO class, Cl. X, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 6.3% of the current pooled balance, compared to 5.4% at Moody's last review. Moody's base expected loss plus realized losses is now 4.0% of the original pooled balance, the same as the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the May 27, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $29.4 million from $842.1 million at securitization. The certificates are collateralized by 64 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans (excluding defeasance) constituting 37% 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 43, compared to a Herf of 39 at Moody's last review. As of the May 2022 remittance report, loans representing 100% were current or within their grace period on their debt service payments. Three loans, representing 5.3% of the pool, indicate the borrower has received loan modifications. Seventeen loans, constituting 29% 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. Seventy loans have been liquidated from the pool, resulting in an aggregate realized loss of $31.8 million (for an average loss severity of 44%). There are currently no loans in special servicing. However, Moody's has assumed a high default probability for six poorly performing loans, constituting 12% of the pool, and has estimated an aggregate loss of $1.3 million (a 36% expected loss based on average) from these troubled loans. 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 91% of the pool, and full or partial year 2021 operating results for 27% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 77%, compared to 76% 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 19% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed conduit DSCRs are 1.94X and 1.62X, respectively, compared to 1.89X and 1.54X 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. WAMU COMMERCIAL 2007-SL3: Moody's Ups Rating on Cl. H Certs to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on two classes in WaMu Commercial Mortgage Securities Trust 2007-SL3 as follows: Cl. G, Upgraded to Baa3 (sf); previously on Jun 7, 2021 Upgraded to Ba2 (sf) Cl. H, Upgraded to B1 (sf); previously on Jun 7, 2021 Upgraded to B3 (sf) Cl. J, Affirmed Caa3 (sf); previously on Jun 7, 2021 Affirmed Caa3 (sf) Cl. K, Affirmed C (sf); previously on Jun 7, 2021 Affirmed C (sf) RATINGS RATIONALE The ratings on two P&I classes, Cl. G and Cl. H, were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 14% since Moody's last review and 97% since securitization. The ratings on two P&I classes, Cl. J and Cl. K, were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class K has already experienced a 77% loss from previously liquidated loans. Moody's rating action reflects a base expected loss of 4.7% of the current pooled balance, compared to 7.9% at Moody's last review. Moody's base expected loss plus realized losses is now 3.9% of the original pooled balance, compared to 4.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the May 23, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $37.5 million from $1.28 billion at securitization. The certificates are collateralized by 77 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans (excluding defeasance) constituting 34% 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 45, compared to 50 at Moody's last review. As of the May 2022 remittance report, loans representing 100% were current or within their grace period on their debt service payments. Nine loans, representing 13.5% of the pool, indicate the borrower has received loan modifications. Twenty-eight loans, constituting 42% 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. One hundred and sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $47.9 million (for an average loss severity of 32%). No loans are currently in special servicing. However, Moody's has assumed a high default probability for nine poorly performing loans, constituting 9% of the pool, and has estimated an aggregate loss of $1.1 million (a 34% expected loss on average) from these troubled loans. 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 65% of the pool, and partial year 2021 operating results for 22% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 81%, compared to 71% 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 24% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.85X and 1.59X, respectively, compared to 2.07X and 1.71X 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. WELLS FARGO 2011-C2: Fitch Lowers Rating on Class C Certs to 'CC' ----------------------------------------------------------------- Fitch Ratings has downgraded two classes of Wells Fargo Commercial Mortgage Trust 2011-C2 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WF-RBS Commercial Mortgage Trust 2011-C2 E 92935JAQ8 LT CCCsf Downgrade Bsf F 92935JAS4 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Greater Certainty of Loss; High Loss Expectations and Pool Concentration: The downgrades reflect a greater certainty of loss due to increased loss expectations on the Port Charlotte Town Center asset, which became REO in February 2022, and where performance has deteriorated further. In addition, while the Aviation Mall loan was modified and transferred back to the master servicer, concern remains about the refinanceability of the loan at its November 2023 extended maturity date, given the continued low collateral occupancy and limited positive leasing momentum. Loss expectations for the pool remain high. Given the pool concentration, Fitch performed a liquidation analysis, which considered the recovery and loss expectations on the two remaining underperforming regional mall loans/assets. While credit enhancement for class E is high, Fitch expects the ultimate workout and recovery timing for the remaining two loans/assets to be prolonged. The REO Port Charlotte Town Center asset (63% of pool) is a 489,695-sf regional mall located in Port Charlotte, FL. The loan transferred to special servicing in January 2020 after the borrower requested a maturity extension. The borrower agreed to a consensual foreclosure and a receiver was implemented in August 2021. The lender filed its motion for final summary judgment of foreclosure in November 2021, and the asset became REO in February 2022. A management and leasing firm has been engaged and a business plan is currently being developed by the special servicer. The property is anchored by Bacon's Furniture (18% NRA; lease expiry in June & August 2022), JCPenney (17.6%; March 2026) and a 16-screen Regal Cinemas (13.3%; January 2025). Non-collateral anchors are Bealls, Macy's and Dillard's. YE 2021 NOI declined further by 45% from the annualized September 2020 NOI and remains 73% below pre-pandemic YE 2019 NOI. While collateral occupancy improved to 89% from 68% since the last rating action, it was due to a short-term lease with a temporary tenant, Bacon's Furniture, which took over the former Sears space. According to the servicer, Bacon's Furniture is on a short-term license agreement and has upcoming lease expirations in June and August 2022. Upcoming lease rollover for the collateral includes 32.5% of the NRA (42 tenants) in 2022, 10.0% (13 tenants) in 2023 and 3.3% (nine tenants) in 2024. The servicer-provided tenant sales data as of December 2021 for 54 of the 57 in-place tenants indicated sales in 2021 totaled $24.2 million (approximately $120 psf), compared with $16.1 million in 2020. Fitch's base case loss expectation has increased to approximately 85%, factoring a discount to a recent appraisal valuation and reflecting an implied cap rate of 28.5% to the YE 2021 NOI. The other remaining loan, Aviation Mall (37% of pool), is secured by a 504,675-sf regional mall located in Queensbury, NY that lost two of its collateral anchors, Bon-Ton (13.4% NRA) and Sears (18.4%), in April 2018 and November 2018, respectively. This loan, sponsored by The Pyramid Companies, has been flagged as a Fitch Loan of Concern due to continued low occupancy; it was previously transferred to special servicing in April 2020 due to imminent monetary default as a result of the coronavirus pandemic, but returned to the master servicer in April 2022 after a loan modification. Terms of the modification included a three-year maturity extension to Nov. 1, 2023, conversion of payments to interest-only for the remaining term at the current interest rate, and deferral of principal, interest and reserve payments for six months for the July 1, 2020 through Dec. 1, 2020 payment dates. YE 2021 improved 115% from YE 2020, largely due to the mall having been previously closed at the onset of the pandemic until July 2020, with only externally facing stores and restaurants with outdoor seating open for business. Collateral occupancy was 52.4% as of March 2022, compared with 51.4% in March 2021, 52.5% in March 2020, 46.7% at YE 2018, 80.2% at YE 2017 and 96.1% at issuance. Major collateral tenants include JCPenney (16.6% NRA; lease expiry in September 2024), Dick's Sporting Goods (6.5%; August 2024) and Ollies Bargain (5.9%; January 2027, which moved into the former Sears box). Upcoming lease rollover includes 1.7% (four leases) in 2022, 1.3% (two leases) in 2023 and 23.6% (four leases) in 2024. Additionally, four tenants (1%) are currently on month-to-month leases. Fitch's base case loss expectation of 58% incorporates a 30% cap rate and 10% haircut to the YE 2021 NOI. Increased Credit Enhancement Offset by Pool Concentration: As of the May 2022 distribution date, the pool's aggregate principal balance has been reduced by 96.0% to $52.3 million from $1.3 billion at issuance. Realized losses since issuance total $0.8 million (0.06% of original pool balance). Cumulative interest shortfalls totaling $2.9 million are currently affecting classes F and G. During the May 2022 distribution date, class E was applied a principal paydown of $812,963; however, the same amount was applied as a recovery to class G. Per the servicer, the balance of class G was written back up to $34.6 million from $33.8 million related to non-recoverability advances and a workout delayed reimbursement of advances (WODRA) on the two remaining loans/assets in the pool. Prior to the May 2022 remittance, the transaction had not received any principal paydowns since the February 2021 payment date. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Further downgrades to the distressed classes E and F are possible with increased loss expectations, greater certainty of loss and/or as losses are realized on the two remaining regional mall loans/assets. 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; due to the concentration of underperforming regional mall exposure in this transaction, the ratings impact may be mild to modest, indicating downgrade risk on the remaining classes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to classes E and F are highly unlikely given pool concentrations, but may occur with significantly better than expected recoveries on the remaining loans/assets. 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 2014-LC16: Moody's Lowers Rating on Cl. B Certs to Ba3 ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on five classes and downgraded the ratings on two classes in Wells Fargo Commercial Mortgage Trust 2014-LC16, Commercial Mortgage Pass-Through Certificates, Series 2014-LC16 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Mar 31, 2021 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Mar 31, 2021 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 31, 2021 Affirmed Aaa (sf) Cl. A-S, Affirmed Aa2 (sf); previously on Mar 31, 2021 Downgraded to Aa2 (sf) Cl. B, Downgraded to Ba3 (sf); previously on Mar 31, 2021 Downgraded to Ba1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Mar 31, 2021 Downgraded to Caa1 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Mar 31, 2021 Affirmed Aaa (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on four P&I classes were affirmed because of credit support and 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 ratings on two P&I classes were downgraded due to a decline in pool performance driven primarily by the exposure to defaulted loans secured by regional malls. Specially serviced loans represent 23.5% of the pool, of which two are secured by regional malls undergoing the foreclosure process; Woodbridge Center (15.9%) and Oak Court Mall (2.0%). As of the June 2022 remittance statement, both regional mall loans have recognized appraisal reductions greater than 65% of their outstanding loan balance causing interest shortfalls to impact up to Cl. C. Moody's anticipates these interest shortfalls will continue and may increase if the performance of the specially serviced loans declines further or certain other loans are unable to pay off at their scheduled maturity dates. All of the remaining mortgage loans mature within the next 26 months. The rating on the IO class was affirmed based on the credit quality of the 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 17.4% of the current pooled balance, compared to 17.8% at Moody's last review. Moody's base expected loss plus realized losses is now 14.9% of the original pooled balance, compared to 13.9% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the interest-only class was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the May 17, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 29% to $691 million from $974 million at securitization. The certificates are collateralized by 69 mortgage loans ranging in size from less than 1% to 15.9% of the pool, with the top ten loans (excluding defeasance) constituting 47.2% of the pool. Fifteen loans, constituting 15.4% 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 17, compared to 20 at Moody's last review. As of the May 2022 remittance report, loans representing 77% were current or within their grace period on their debt service payments. Fifteen loans, constituting 15.6% 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. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $24.5 million (for an average loss severity of 33%). Five loans, constituting 23.5% of the pool, are currently in special servicing. The largest specially serviced loan is the Woodbridge Center Loan ($110.1 million -- 15.9% of the pool), which represents a pari-passu portion of a $232.4 million senior mortgage loan. The loan is secured by a 1.1 million square foot (SF) component of a two-story, regional mall in Woodbridge, New Jersey. The mall's anchors now include Macy's, Boscov's, JC Penney, and Dick's Sporting Goods. Two anchor spaces are currently vacant following the December 2019 closure of Lord and Taylor (120,000 SF) and the April 2020 closure of Sears (274,100 SF). Macy's, JC Penny and the former Lord & Taylor space are not included as collateral for the loan. Other major tenants include Boscov's, Dick's Sporting Goods, Dave & Busters and Seaquest. As of December 2021, collateral occupancy was 68%, compared to 69% in December 2020, 97% in December 2019 and 97% at securitization. Inline occupancy was 79% as of December 2021. Property performance has declined annually since 2015 and the 2019 net operating income (NOI) was nearly 17% lower than in 2014. The NOI further declined in 2021 due to lower revenues and the 2021 NOI was 35% lower than in 2019 and the 2021 NOI DSCR was below 1.00X. The loan has been in special servicing since June 2020 and is last paid through its May 2021 payment date. The special servicer indicated a receiver was appointed in October 2021 and foreclosure is currently being pursued. The property faces significant competition with seven competitive regional and super regional centers located within a 20 miles radius. The property was appraised in September 2021 at a value significantly below the outstanding loan balance and the master servicer subsequently recognized an appraisal reduction of $82 million, nearly 68% of the outstanding loan amount. Due to the continued decline in performance, Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the Weatherford Ridge loan ($28.5 million – 4.1% of the pool), which is secured by a power center located in Weatherford, Texas, approximately 25 miles west of downtown Fort Worth and positioned at the intersection of I-20 and Main Street. The property was 94% leased as of June 2020. Tenants at the property consist of a mix of national retailers, including Belk, TJ Maxx, Bed Bath & Beyond, and Michaels. A non-collateral JC Penney serves as a shadow anchor at the property and this location has not appeared on any store closing lists. Bed, Bath & Beyond has a co-tenancy provision related to JC Penney going dark. The loan transferred to special servicing in July 2020 per the borrower's request and the loan was over 60 days delinquent. The special servicer indicated they are working directly with the borrower to bring loan current and are discussing potential loan modification terms. As of the May 2022 remittance statement, the loan was between 30 and 59 days delinquent and last paid through its March 2022 payment date. The third largest specially serviced loan is the Oak Court Mall ($13.7 million – 2.0% of the pool), which represents a pari-passu portion of a $34.9 million senior mortgage loan. The loan is secured by an approximate 240,000 SF component of a 723,386 SF enclosed regional mall and a 126,184 SF office building located eight miles east of downtown Memphis, Tennessee. Anchors at the property include Macy's and Dillard's, neither of which are part of the collateral. A second Dillard's store leased the third 50,000 SF anchor store, however that closed prior to the lease expiration in 2020. The retail collateral is 76% leased as of September 2021, while the office component is 90% leased. The loan transferred to special servicing in May 2020 due to imminent monetary default. The sponsor, Washington Prime Group, has indicated it wishes to convey title to the trust and the special servicer indicated a receiver was appointed in May 2021. The property was appraised in April 2021 at a value significantly below the outstanding loan balance and the master servicer subsequently recognized an appraisal reduction of $9.3 million, nearly 68% of the outstanding loan amount. The remaining two specially serviced loans are secured by one hospitality and one multifamily that are either REO or more than 90 days delinquent. Moody's has also assumed a high default probability for three poorly performing loans, constituting 3.3% of the pool. Moody's estimates an aggregate $110.2 million loss for the specially serviced and troubled loans (a 59% expected loss on average). As of the May 2022 remittance statement cumulative interest shortfalls were $7.8 million and impact up the Cl. C. 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. 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 91% of the pool, and full or partial year 2021 operating results for 97% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 89%, compared to 92% 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 18% 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 9.9%. Moody's actual and stressed conduit DSCRs are 1.73X and 1.33X, respectively, compared to 1.65X and 1.23X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 14.3% of the pool balance. The largest loan is the Pacific Design Center Loan ($47.6 million -- 6.9% of the pool), which represents a pari-passu portion of a $140 million first mortgage loan. The property is also encumbered with $20 million of mezzanine debt. The loan is secured by a 1.0 million SF component of a 1.4 million SF mixed-use facility containing design and office space located in West Hollywood, California. The property is comprised of three buildings known as the Blue Building, the Green Building and the Red Building, due to their respectively colored glass exteriors. The Blue Building, almost fully comprised of design showroom space, consists of a 717,914 SF, 6-story structure constructed in 1976. The Green Building consists of a 385,088 SF, 9-story office (278,813 SF) and showroom facility (106,275 SF) constructed in 1988. The Red Building consists of a 420,000 SF office building constructed in 2012. Only the Blue Building and Green Building are contributed as collateral for the loan. In addition to the showroom and office space, the property also features a private branch of the Los Angeles Museum of Contemporary Art, a fitness center, a 388-seat theater, a 1,900 space sub-grade parking garage, as well as several public spaces, atriums and courtyards. As of December 2021, the collateral was 70% leased, compared to 66% leased in March 2019 and 55% in March 2018. Property performance has improved annually since 2018 and the year end 2021 NOI was well above securitization levels. The December 2021 NOI DSCR was 2.45X and the loan has amortized 4.7% since securitization after an initial interest only period. The Moody's LTV and stressed DSCR are 104% and 1.04X, respectively, compared to 116% and 0.93X at the last review. The second largest loan is the Harlequin Plaza Loan ($28.0 million -- 4.0% of the pool), which is secured by two adjacent Class-B office buildings located in Greenwood Village, Colorado, approximately 14 miles southeast of the Denver CBD. The buildings, built in 1980 and renovated in 2013, are three and four stories tall. The property was 91% occupied as of March 2022. The property's three largest tenants represent an aggregate 52% of the property's square footage and do not have lease expirations prior to November 2024. The loan is interest only for its entire term and Moody's LTV and stressed DSCR are 97% and 1.08X, respectively, unchanged from the last review. The third largest loan is the Market Square at Montrose Loan ($23.4 million – 3.4% of the pool), which is secured by a 207,250 SF component of a 510,400 SF power center located in the Fairlawn trade area in Akron, Ohio. The collateral is made up of six single-story buildings. Major tenants at the property include JCPenney, Home Depot, Dick's Sporting Goods and Regal Cinemas. Home Depot is the only anchor owned by the borrower and contributed as collateral for the loan. Dick's Sporting Goods and Regal Cinemas own their respective boxes and pay ground rent to the borrower. The collateral is 98% leased as of December 2021, unchanged since 2019. However, the property's NOI has declined slightly since securitization due to lower rental revenue and high operating expenses. Moody's LTV and stressed DSCR are 117% and 0.92X, respectively. WESTLAKE AUTOMOBILE 2022-2: S&P Assigns B (sf) Rating on F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 45.54%, 39.36%, 30.75%, 23.87%, 20.70%, and 15.75% 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 range. -- The transaction's ability to make timely interest and principal payments under stressed cash flow modeling scenarios appropriate for the assigned 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. Ratings Assigned Westlake Automobile Receivables Trust 2022-2 Class A-1, $283.80 million: A-1+ (sf) Class A-2-A, 364.33 million: AAA (sf) Class A-2-B, $156.14 million: AAA (sf) Class A-3, $182.87 million: AAA (sf) Class B, $111.06 million: AA (sf) Class C, $176.04 million: A (sf) Class D, $152.18 million: BBB (sf) Class E(i), $49.36 million: BB (sf) Class F(i), $124.22 million: B (sf) (i)The class E and F notes will initially be retained by the depositors or an affiliate of the depositors. WIND RIVER 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Wind River 2022-1 CLO Ltd./Wind River 2022-1 CLO LLC 's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by First Eagle Alternative Credit LLC. The ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Wind River 2022-1 CLO Ltd./Wind River 2022-1 CLO LLC Class A, $240.00 million: AAA (sf) Class B-1, $59.00 million: AA (sf) Class B-2, $5.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $15.00 million: BBB+ (sf) Class D-2 (deferrable), $9.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $36.39 million: Not rated WIND RIVER 2022-2: Fitch Assigns 'BB-(EXP)' Rating on Class E Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Wind River 2022-2 CLO Ltd. DEBT RATING ---- ------ Wind River 2022-2 CLO Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2A LT AAA(EXP)sf Expected Rating A-2B LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Wind River 2022-2 CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by First Eagle Alternative Credit, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.4 versus a maximum covenant, in accordance with the initial expected matrix point of 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) 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 75.60% versus a minimum covenant, in accordance with the initial expected matrix point of 74.0%. Portfolio Composition (Positive): The largest three industries may comprise up to 47.0% 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 adjusting 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 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' 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 notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and 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. 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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. WORLDWIDE PLAZA 2017-WWP: DBRS Confirms BB Rating on F Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2017-WWP issued by Worldwide Plaza Trust 2017-WWP: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar's expectations. The transaction consists of a $705.0 million participation in a $940.0 million first-lien, whole mortgage loan secured by a Class A office property in Manhattan. In addition to the first-lien mortgage, there is $260.0 million of mezzanine debt held outside the trust. The 10-year trust loan matures in November 2027 and is sponsored by a joint venture between SL Green and RXR Realty LLC. The property totals 1.8 million square feet (sf) and occupies an entire block between 49th Street and 50th Street at 825 Eighth Avenue in New York City's Midtown West submarket. The property also includes 10,592 sf of ground-level retail space, and the C and E subway lines are accessible via a station beneath the building. The two largest tenants, Nomura Holding America, Inc. and Cravath, Swaine & Moore LLP, collectively account for 68.1% of the net rentable area (NRA). Nomura, representing 38.0% of the NRA, uses the space at the property as its North American headquarters. Nomura is an investment-grade tenant and has a lease expiry in September 2033, but the lease also contains a contraction option for up to 10.0% of its total NRA for the five-year period commencing in February 2022 and a one-time termination right for all of its space in January 2027, following an 18-month notice period. The servicer has confirmed the tenant exercised its contraction option in 2020 and reduced its footprint by approximately 41,000 sf, accounting for approximately 2.0% of the property's NRA. Cravath, representing 30.1% of the NRA, also uses the space for its headquarters and leases the highest floors at the property. Cravath's current lease expires in August 2024, and the tenant confirmed in October 2019 that it plans to relocate its headquarters to Two Manhattan West at lease expiration. Cravath's contractual rental rate is significantly higher than the Midtown West submarket's current asking rents of $68.95 per square foot (psf) at YE2021, which may result in a delayed stabilization of income even if the borrower is able to backfill all of the vacated space. Cravath is currently subleasing to notable tenants including AMA Consulting Engineers, P.C., which has reportedly signed a direct lease for 30,756 sf (1.7% of the property NRA), which will begin at Cravath's lease expiration in August 2024. In addition, the loan is structured with a springing rollover reserve account, which will begin sweeping cash on August 31, 2023, one year prior to Cravath's lease expiration, until the aggregate amount deposited equals $42.4 million, equal to $76.96 psf in addition to the $10.9 million current balance in the tenant reserve account as of the March 2022 reserve report. As of YE2021, the debt service coverage ratio (DSCR) was 2.44 times (x), an increase when compared with the YE2020 DSCR of 2.09x despite a slight dip in occupancy to 94.6% from 97.3% for the same period. The collateral is in a highly desirable location within the Midtown West submarket and benefits from high quality finishes. According to Reis, office employment at the metro level is expected to grow at an average of 2.1% annually between February 2022 and YE2023, with the Midtown West submarket claiming 5.0% of this demand. Flight to quality is expected to continue to drive up Class A absorption rates and DBRS Morningstar believes that strong submarket fundamentals, loan structural features, and lead-time sufficiently mitigate the near to medium risk associated with the expected increase in vacancy. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 142 Classes from 8 U.S. RMBS Transactions ---------------------------------------------------------- DBRS, Inc. reviewed 142 classes from eight U.S. residential mortgage-backed security (RMBS) transactions. Of the 142 classes reviewed, DBRS Morningstar upgraded 97 ratings and confirmed 45 ratings. The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The pools backing the reviewed RMBS transactions consist of seasoned, non-qualified mortgage, and re-performing mortgage collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade. -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class A-4 -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class A-6 -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class IO -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2 -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B2-IO -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2A -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2B -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2C -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2D -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2E -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2F -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2G -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-2H -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B2-IOA -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B2-IOB -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B2-IOC -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B2-IOD -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B2-IOE -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B2-IOF -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B2-IOG -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-IO -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3 -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IO -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3A -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3B -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3C -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3D -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3E -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3F -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3G -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3H -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOA -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOB -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOC -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOD -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOE -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOF -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOG -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4 -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IO -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4A -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4B -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4C -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4D -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4E -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4F -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4G -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4H -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOA -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOB -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOC -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOD -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOE -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOF -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOG -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5 -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5A -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5B -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5C -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5D -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOA -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOB -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOC -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOD -- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-7 -- MFA 2021-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class M-1 -- MFA 2021-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-1 -- MFA 2021-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-2 -- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class A-3 -- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class M-1 -- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class B-1 -- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class B-2 -- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class A-3 -- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class M-1 -- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class B-2 -- Verus Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1 -- Verus Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1 -- Verus Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2 -- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class A-3 -- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class M-1 -- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class B-1 -- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class B-2 -- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class A3 -- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class M1 -- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class B1 -- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class B2 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-1, Class M CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. Notes: The principal methodologies are U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. [*] DBRS Reviews 76 Classes from 24 U.S. RMBS Transactions ---------------------------------------------------------- DBRS, Inc. reviewed 76 classes from 24 U.S. residential mortgage-backed security (RMBS) transactions. These 24 RMBS transactions are generally classified as mortgage insurance linked-note transactions. Of the 76 classes reviewed, DBRS Morningstar upgraded 50 ratings, confirmed 19 ratings, and discontinued seven ratings. The Affected Ratings Are Available at https://bit.ly/3NS5oSI The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the full repayment of principal to bondholders. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output. -- Bellemeade Re 2017-1 Ltd., Series 2017-1 Mortgage Insurance-Linked Notes, Class M-2 -- Bellemeade Re 2017-1 Ltd., Series 2017-1 Mortgage Insurance-Linked Notes, Class B-1 -- Bellemeade Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2 -- Bellemeade Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1 -- Bellemeade Re 2018-3 Ltd., Series 2018-3 Mortgage Insurance-Linked Notes, Class M-1B -- Bellemeade Re 2018-3 Ltd., Series 2018-3 Mortgage Insurance-Linked Notes, Class M-2 -- Bellemeade Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1B -- Bellemeade Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2 -- Bellemeade Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1 -- Bellemeade Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class M-1B -- Bellemeade Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class M-1C -- Bellemeade Re 2019-3 Ltd., Series 2019-3 Mortgage Insurance-Linked Notes, Class M-1C -- Bellemeade Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class M-1C -- Bellemeade Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class B-1 -- Bellemeade Re 2020-3 Ltd., Mortgage Insurance-Linked Notes, Series 2020-3, Class M-1B -- Bellemeade Re 2021-2 Ltd., Mortgage Insurance-Linked Notes, Series 2021-2, Class M-1A -- Eagle Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1 -- Eagle Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2 -- Eagle Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1 -- Eagle Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class B-1 -- Eagle Re 2021-1 Ltd., Mortgage Insurance-Linked Notes, Series 2021-1, Class M-1A -- Eagle Re 2021-1 Ltd., Mortgage Insurance-Linked Notes, Series 2021-1, Class M-1B -- Home Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1 -- Home Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2 -- Home Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1 -- Home Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1 -- Home Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2 -- Home Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1 -- Oaktown Re II Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1 -- Oaktown Re II Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2 -- Oaktown Re II Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1 -- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1A -- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1B -- Oaktown Re IV Ltd., Series 2020-1 Mortgage Insurance-Linked Notes, Class M-2 -- Radnor Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1 -- Radnor Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2 -- Radnor Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1 -- Radnor Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1B -- Radnor Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2 -- Radnor Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1 -- Radnor Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class M-1B -- Radnor Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class B-1 CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. Notes: The principal methodologies are U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. [*] DBRS Takes Rating Actions on 12 CPS Auto Receivables Deals -------------------------------------------------------------- DBRS, Inc. upgraded 25 ratings, confirmed 17 ratings, and discontinued eight ratings as a result of repayment from 12 CPS Auto Receivables Trust transactions. The Affected Ratings Are Available at https://bit.ly/3MJaxLe The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - March 2022 Update, published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including Russian invasion of Ukraine, rising inflation and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The rating actions are the result of the strong collateral performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement. -- The transaction's capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Moody's Hikes $154MM of Scratch & Dent RMBS Issued 2005 to 2007 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 19 bonds from 13 US residential mortgage backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3xoakrm Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities Trust 2007-1 Cl. A-3, Upgraded to Ba2 (sf); previously on Aug 30, 2021 Upgraded to B2 (sf) Issuer: Citigroup Mortgage Loan Trust 2007-SHL1 Cl. A, Upgraded to Baa3 (sf); previously on Aug 30, 2021 Upgraded to Ba3 (sf) Issuer: GSAMP Trust 2006-SD2 Cl. A-3, Upgraded to Ba2 (sf); previously on Feb 20, 2018 Upgraded to B1 (sf) Issuer: RAAC Series 2005-RP1 Trust Cl. M-4, Upgraded to Aa3 (sf); previously on Aug 30, 2021 Upgraded to A3 (sf) Issuer: RAAC Series 2005-SP2 Trust Cl. M-I-3, Upgraded to Ba1 (sf); previously on Jan 13, 2020 Upgraded to B1 (sf) Cl. M-I-4, Upgraded to B3 (sf); previously on Nov 21, 2017 Upgraded to Caa2 (sf) Issuer: RAAC Series 2005-SP3 Trust Cl. M-2, Upgraded to Aa3 (sf); previously on Aug 30, 2021 Upgraded to A2 (sf) Cl. M-3, Upgraded to A3 (sf); previously on Aug 30, 2021 Upgraded to Baa2 (sf) Cl. M-4, Upgraded to Baa3 (sf); previously on Aug 30, 2021 Upgraded to Ba2 (sf) Issuer: RAAC Series 2006-RP4 Trust Cl. M-1, Upgraded to Baa1 (sf); previously on Oct 19, 2018 Upgraded to Ba1 (sf) Issuer: RAAC Series 2006-SP1 Trust Cl. M-1, Upgraded to Baa1 (sf); previously on Mar 17, 2017 Upgraded to Baa3 (sf) Issuer: RAAC Series 2006-SP3 Trust Cl. M-2, Upgraded to B2 (sf); previously on Jul 18, 2019 Upgraded to Caa1 (sf) Issuer: RAAC Series 2006-SP4 Trust Cl. M-2, Upgraded to A1 (sf); previously on Oct 16, 2018 Upgraded to A3 (sf) Issuer: RAAC Series 2007-SP2 Trust Cl. A-3, Upgraded to A2 (sf); previously on Jul 18, 2019 Upgraded to Baa1 (sf) Issuer: Structured Asset Securities Corp Trust 2007-TC1 Cl. M-1, Upgraded to Aa2 (sf); previously on Dec 24, 2018 Upgraded to A1 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Dec 24, 2018 Upgraded to Baa1 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on Dec 24, 2018 Upgraded to Ba2 (sf) Issuer: Terwin Mortgage Trust 2007-QHL1 Cl. A-1, Upgraded to Baa2 (sf); previously on Feb 20, 2018 Upgraded to Ba1 (sf) Cl. G, Upgraded to Baa2 (sf); previously on Feb 20, 2018 Upgraded to Ba1 (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 the rating action have increased by around 9% 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. [*] Moody's Takes Action on $222.9MM of US RMBS Issued 2004-2006 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of one bonds and downgraded the ratings of 25 bonds from nine US residential mortgage backed transactions (RMBS), backed by FHA-VA mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3xtQqv3 Complete rating actions are as follows: Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2004-R2 Cl. 1A-S*, Downgraded to Ca (sf); previously on Nov 29, 2017 Upgraded to Caa3 (sf) Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R2 Cl. 1A-F1, Downgraded to B3 (sf); previously on Jul 25, 2016 Downgraded to B2 (sf) Cl. 1A-S*, Downgraded to Caa2 (sf); previously on Feb 8, 2018 Downgraded to Caa1 (sf) Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R3 Cl. A-F, Downgraded to Caa1 (sf); previously on Feb 5, 2016 Downgraded to B3 (sf) Cl. A-S*, Downgraded to Ca (sf); previously on Feb 8, 2018 Downgraded to Caa3 (sf) Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R1 Cl. A-S*, Downgraded to Ca (sf); previously on Feb 8, 2018 Downgraded to Caa3 (sf) Issuer: GSMPS Mortgage Loan Trust 2004-4 Cl. 1A2, Downgraded to Caa1 (sf); previously on Nov 30, 2020 Downgraded to B3 (sf) Cl. 1A3, Downgraded to Caa1 (sf); previously on Nov 30, 2020 Downgraded to B3 (sf) Cl. 1A4, Downgraded to Caa1 (sf); previously on Nov 30, 2020 Downgraded to B3 (sf) Cl. 1AF, Downgraded to Caa1 (sf); previously on Nov 30, 2020 Downgraded to B3 (sf) Cl. 1AS*, Downgraded to Caa1 (sf); previously on Nov 30, 2020 Downgraded to B3 (sf) Cl. 2A1, Downgraded to Caa1 (sf); previously on Nov 30, 2020 Downgraded to B3 (sf) Issuer: GSMPS Mortgage Loan Trust 2005-LT1 Cl. B-1, Upgraded to A1 (sf); previously on Aug 10, 2018 Upgraded to A3 (sf) Issuer: GSMPS Mortgage Loan Trust 2005-RP1 Cl. 1A2, Downgraded to Caa1 (sf); previously on Jul 25, 2016 Downgraded to B2 (sf) Cl. 1A3, Downgraded to Caa1 (sf); previously on Jul 25, 2016 Downgraded to B2 (sf) Cl. 1A4, Downgraded to Caa1 (sf); previously on Jul 25, 2016 Downgraded to B2 (sf) Cl. 1AF, Downgraded to Caa1 (sf); previously on Jul 25, 2016 Downgraded to B2 (sf) Cl. 1AS*, Downgraded to Caa1 (sf); previously on Jul 25, 2016 Downgraded to B2 (sf) Cl. B1, Downgraded to C (sf); previously on Sep 6, 2011 Downgraded to Ca (sf) Cl. 2A1, Downgraded to Caa1 (sf); previously on Jul 25, 2016 Downgraded to B2 (sf) Issuer: Structured Asset Securities Corp. 2005-RF2 Cl. A, Downgraded to Caa1 (sf); previously on Mar 2, 2016 Downgraded to B3 (sf) Cl. A-IO*, Downgraded to Caa1 (sf); previously on Mar 2, 2016 Downgraded to B3 (sf) Issuer: Structured Asset Securities Corp. 2005-RF3 Cl. 1-A, Downgraded to Caa1 (sf); previously on Sep 6, 2011 Downgraded to B3 (sf) Cl. 1-AIO*, Downgraded to Caa1 (sf); previously on Sep 6, 2011 Downgraded to B3 (sf) Cl. B2, Downgraded to C (sf); previously on Jul 28, 2009 Downgraded to Ca (sf) Cl. 2-A, Downgraded to Caa1 (sf); previously on Sep 6, 2011 Downgraded to B3 (sf) *Reflects Interest Only Classes 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 are primarily due to a deterioration in collateral performance and/or decline in credit enhancement available to the bonds. The rating downgrades of interest only bonds Class 1A-S from CWMBS Reperforming Loan REMIC Trust Certificates, Series 2004-R2, Class A-S from CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R3, Class A-S from CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R1 and Class 1A-S from CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R2 are primarily due to the principal paydown of their linked P&I bonds. The rating on an IO bond referencing multiple bonds is the weighted average of the current ratings of its referenced bonds based on their current balances, which are grossed up by their realized losses, if any. The rating action also reflects the recent performance as well as Moody's updated loss expectations on the underlying pools. 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 rating all classes except interest-only classes was "FHA-VA 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 Takes Action on $231.2MM of US RMBS Issued 2002-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 12 bonds and downgraded the rating of one bond from seven US residential mortgage backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3y1SFYd Complete rating actions are as follows: Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1 Cl. A-3, Upgraded to Aa3 (sf); previously on Sep 2, 2021 Upgraded to A2 (sf) Cl. A-4, Upgraded to A1 (sf); previously on Sep 2, 2021 Upgraded to A3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-7 Cl. A-1, Upgraded to Baa1 (sf); previously on Jan 23, 2020 Upgraded to Ba1 (sf) Issuer: FBR Securitization Trust 2005-5 Cl. M-2, Upgraded to A1 (sf); previously on Sep 2, 2021 Upgraded to Baa1 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: MortgageIT Trust 2005-2 Cl. 1-A-1, Upgraded to Aa1 (sf); previously on Sep 2, 2021 Upgraded to Aa3 (sf) Cl. 1-A-2, Upgraded to A1 (sf); previously on Sep 2, 2021 Upgraded to A3 (sf) Issuer: Nomura Home Equity Loan Trust 2006-FM1 Cl. I-A, Upgraded to Aa1 (sf); previously on Sep 9, 2021 Upgraded to Aa2 (sf) Cl. II-A-3, Upgraded to Baa1 (sf); previously on Jun 27, 2017 Upgraded to Ba1 (sf) Issuer: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3 Cl. I-A-1, Upgraded to Aa3 (sf); previously on Sep 9, 2021 Upgraded to A3 (sf) Cl. II-A-3, Upgraded to Baa3 (sf); previously on Aug 30, 2016 Upgraded to Ba2 (sf) Cl. II-A-4, Upgraded to Ba1 (sf); previously on Aug 30, 2016 Upgraded to Ba3 (sf) Issuer: Saxon Asset Securities Trust 2002-3 Cl. AF-6, Downgraded to Caa1 (sf); previously on May 22, 2019 Downgraded to B3 (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. The rating downgrade of Class AF-6 from Saxon Asset Securities Trust 2002-3 is due to outstanding interest shortfalls and the uncertainty of whether those shortfalls will be reimbursed despite the strong interest recoupment mechanism of the bond. The outstanding interest shortfalls on Class AF-6, which is linked to Group I, continue to increase monthly since the total loan balance of that collateral group is lower than the bond balance, and the interest collections from Group I are insufficient to pay the interest on this bond. In addition, interest payments from Group II can't be used to make interest payments on Class AF-6. 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. [*] S&P Takes Various Actions on 22 Classes from 14 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 22 ratings from 14 U.S. RMBS transactions issued between 2004 and 2007. The review yielded 13 upgrades, seven affirmations, one withdrawal, and one discontinuance. A list of Affected Ratings can be viewed at: https://bit.ly/3xBjiTf Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics, and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends, -- Priority of principal payments, -- Expected short duration, and -- Increases or decreases in credit support. 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. Please see the ratings list at the end of this report for the specific rationales associated with each of the classes with rating transitions. "We raised the rating on GMACM Home Equity Loan Trust 2004-HE2's class M-1 certificates seven notches to 'AAA (sf)' from 'BBB+ (sf)' due to its expected short duration and the class' greater credit support, which has risen significantly due to the increase in overcollateralization, as well as the recent paydown of the class to $59,695 in May 2022 from $472,017.35 a year ago. "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. "We withdrew our rating on class 2A from CWABS Revolving Home Equity Loan Trust Series 2004-M, which is insured by a bond insurer that we no longer rate. The withdrawal reflects the absence of relevant information regarding the insurers' creditworthiness that is needed to maintain a rating on this class." [*] S&P Takes Various Actions on 28 Classes from 7 ABS Deals ------------------------------------------------------------ S&P Global Ratings took various rating actions on 28 ratings from seven aircraft ABS transactions that were placed on CreditWatch with negative implications on March 15, 2022. S&P lowered 11 ratings and affirmed 17 ratings, and removed them from CreditWatch negative. The rating actions mainly reflect the magnitude of the transactions' exposure to airlines in Russia. S&P also took the following into consideration: -- The reduction in collections due to the abrupt termination of all leases to Russian airlines when most transactions were beginning to recover from the pandemic; -- The lessors' inability to generate any future lease revenues or realize the residual value of the aircraft, since there is no likelihood of these aircraft being repossessed; -- The uncertainty regarding the timing and payout amounts under the insurance claims, if they are approved; -- The additional increase in loan-to-value (LTV) ratio, driven by the lease terminations; -- The notes' credit enhancement at their respective prior rating levels, based on our assumptions; and -- The affirmed classes' ability to withstand an additional haircut of at least 45% to the appraised values of the affected aircraft. The ratings were initially placed on CreditWatch negative following the onset of the Russia-Ukraine conflict. Developments Since The CreditWatch Placements When S&P placed the ratings on CreditWatch negative, the sanctions imposed required all leases to Russian airlines be terminated by March 28, 2022. At the time, there was some optimism about recovering at least a part of the fleet in Russia. Since then, Russia has restricted the movement of aircraft outside the country and only a small portion of the fleet was eventually repossessed. Some lessors have already taken impairment charges on these aircraft. The focus has now shifted to insurance, and most lessors have filed insurance claims on these aircraft under their contingent policies. S&P understands that to be eligible for a payout under a contingent policy, it must be established that the lessor has not been able to repossess the aircraft and has, therefore, lost the ownership. However, the details on the outcome, timing, and economics of the claim payouts remain uncertain. There is also a possibility that the insurance claims will not be paid out, though there currently is not enough clarity to make this assumption. Assumptions Used For The Review Although it has become certain since the CreditWatch placements that the aircraft will not be returned to the lessors, there is still uncertainty on the specifics of the insurance payouts. S&P said, "Our understanding from the lessors is that the aircraft insured values may be higher than the appraised values we received and used in our analyses. So, if the claims are paid in full, the amounts recovered may exceed the values used in our analysis. In our rating runs, we considered the factors listed below." Ex-Russian aircraft S&P said, "We ran three scenarios and considered the results of the first two scenarios in our analysis. The third was a worst-case scenario run as a sensitivity. In all three scenarios, we assumed that the aircraft trapped in Russia are lost indefinitely and the transactions will not benefit from any revenue generated from the aircraft leases or the residual value of the physical asset. "In the first (best-case) scenario, we assumed that the transactions will receive the insurance claims in three years and the payout amount will equal the appraisal value used for this analysis (i.e., the lesser of the mean and median (LMM) of the most recently provided half-life appraised values). We also ran a break-even analysis to determine the haircut below the appraisal values that the classes can withstand at their respective rating levels. "In the second scenario, we assumed that the transactions will receive insurance claims in three years and the payout amount will be the value of the aircraft at the end of year three after applying our depreciation and value haircut assumptions, based on our methodology. The payout amounts in this scenario are more stressed than those in the first scenario. "In the third (worst-case) scenario, we tested the transactions' ability to withstand a total loss on the affected aircraft without any insurance proceeds. We show the potential rating impact for this scenario, based solely on model outcomes, in table 2 below. These results do not consider qualitative judgments and are not rating decisions." Off-lease aircraft S&P subjects any aircraft that was previously on lease to a Russian airline but was repossessed after the start of the conflict, as well as any other aircraft that was off-lease at the time of analysis, to the aircraft on ground (AOG) downtimes specified in table 1 below and re-leased them at its stressed lease rates until they reached the end of their assumed useful life, based on our methodology. Collateral value S&P said, "We typically use the LMM of the half-life base and market values as the starting point in our analysis. We use this value, together with other assumptions, to determine future lease rates and collateral sale values." Lessee default pattern S&P applied defaults evenly over a four-year period during the first modeled recession and assumed defaults occur over a 30%/40%/20%/10% pattern for subsequent modeled recession(s). AOG times S&P said, "We applied the criteria exception to extend the AOG downtime during the first modeled recession and differentiate the downtime for wide- and narrow-body aircraft because we believe that wide-bodies are more vulnerable to lower demand. We made this exception to consider the pandemic's impact and not due to the ongoing conflict." Ratings List RATINGS ISSUER SERIES CLASS TO FROM AASET 2021-1 Trust 2021-1 A A (sf) A (sf)/ Watch Neg AASET 2021-1 Trust 2021-1 B BBB- (sf) BBB- (sf)/ Watch Neg AASET 2021-1 Trust 2021-1 C B (sf) B (sf)/ Watch Neg Castlelake Aircraft Structured Trust 2017-1R A BBB- (sf) A (sf)/ Watch Neg Castlelake Aircraft Structured Trust 2017-1R B B+ (sf) BBB (sf)/ Watch Neg Castlelake Aircraft Structured Trust 2017-1R C CCC+ (sf) B- (sf)/ Watch Neg MAPS 2019-1 Ltd 2019-1 A BBB+ (sf) BBB+ (sf)/ Watch Neg MAPS 2019-1 Ltd 2019-1 B BB (sf) BB+ (sf)/ Watch Neg MAPS 2019-1 Ltd 2019-1 C CCC+ (sf) B+ (sf)/ Watch Neg MAPS 2021-1 Trust 2021-1 A A (sf) A (sf)/ Watch Neg MAPS 2021-1 Trust 2021-1 B BBB (sf) BBB (sf)/ Watch Neg MAPS 2021-1 Trust 2021-1 C BB (sf) BB (sf)/ Watch Neg PK Air 1 LP A-F A (sf) A (sf)/ Watch Neg PK Air 1 LP A-R A (sf) A (sf)/ Watch Neg PK Air 1 LP A-E A (sf) A (sf)/ Watch Neg PK Air 1 LP B1-F BBB+ (sf) BBB+ (sf)/ Watch Neg PK Air 1 LP B2-F BBB- (sf) BBB- (sf)/ Watch Neg PK Air 1 LP B-E BB (sf) BB (sf)/ Watch Neg PK Air 1 LP C-F BB- (sf) BB- (sf)/ Watch Neg PK Air 1 LP C-E BB- (sf) BB- (sf)/ Watch Neg PK Air 1 LP D1-F B- (sf) B- (sf)/ Watch Neg PK Air 1 LP D-E B- (sf) B- (sf)/ Watch Neg S-JETS 2017-1 Ltd. 2017-1 A BBB- (sf) BBB (sf)/ Watch Neg S-JETS 2017-1 Ltd. 2017-1 B BB- (sf) BB (sf)/ Watch Neg S-JETS 2017-1 Ltd. 2017-1 C B- (sf) B (sf)/ Watch Neg Thunderbolt Aircraft Lease Ltd. A BBB (sf) A- (sf)/ Watch Neg Thunderbolt Aircraft Lease Ltd. B B (sf) BB- (sf)/ Watch Neg Thunderbolt Aircraft Lease Ltd. C CCC+ (sf) B (sf)/ Watch Neg [*] S&P Withdraws 10 Ratings from 4 U.S. RMBS Transactions ---------------------------------------------------------- S&P Global Ratings completed its review of 11 classes from four U.S. RMBS transactions, including three U.S. RMBS re-securitized real estate mortgage investment conduits (re-REMIC), issued between 2004 and 2009. The review yielded 10 withdrawals and one discontinuance. 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 or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Underlying collateral performance or delinquency trends, -- Available subordination and/or overcollateralization, -- A small loan count, and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our view of the associated transaction-specific collateral performance, structural characteristics, and/or applicable criteria. See the ratings list for the specific rationales associated with the classes with rating transitions. "We discontinued our rating on class 3-A-1 from J.P. Morgan Alternative Loan Trust series 2008-R3 due to the impact of reductions in interest payments to security holders that have been realized (realized cumulative interest reduction amount; realized CIRA) due to loan modifications and other credit-related events. To determine the maximum potential rating (MPR) for this class, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect over the remaining term of the security (expected CIRA). However, when the realized CIRA exceeds 4.5% of the original security balance, we consider the MPR to be 'D' irrespective of the expected CIRA. Class 3-A-1 has a realized CIRA that exceeds 4.5%, which thus corresponds to an MPR of 'D'. In accordance with our policies and procedures, we are discontinuing the rating because we view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely." Ratings List ISSUER CSMC Series 2009-4R SERIES 2009-4R CLASS 1-A-7 CUSIP 12641NAN9 RATING TO NR FROM AA+ (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER CSMC Series 2009-4R SERIES 2009-4R CLASS 1-A-8 CUSIP 12641NAQ2 RATING TO NR FROM BBB (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER CSMC Series 2009-4R SERIES 2009-4R CLASS 1-A-18 CUSIP 12641NBL2 RATING TO NR FROM BBB (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER CSMC Series 2009-4R SERIES 2009-4R CLASS C-M-8 CUSIP 12641NDV8 RATING TO NR FROM BBB (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER CSMC Series 2009-4R SERIES 2009-4R CLASS C-M-18 CUSIP 12641NEB1 RATING TO NR FROM BBB (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER CSMC Series 2009-4R SERIES 2009-4R CLASS C-M-7 CUSIP 12641NEJ4 RATING TO NR FROM AA+ (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER J.P. Morgan Alternative Loan Trust, Series 2008-R3 SERIES 2008-R3 CLASS 3-A-1 CUSIP 466308AE3 RATING TO NR FROM D (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER MASTR Asset Securitization Trust 2004-9 SERIES 2004-9 CLASS 2-A-3 CUSIP 57643MFF6 RATING TO NR FROM B (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER MASTR Asset Securitization Trust 2004-9 SERIES 2004-9 CLASS 2-A-4 CUSIP 57643MFG4 RATING TO NR FROM B (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ISSUER MASTR Asset Securitization Trust 2004-9 SERIES 2004-9 CLASS PO CUSIP 57643MFU3 RATING TO NR FROM B (sf) MAIN RATIONALE Principal-only criteria. ISSUER Thornburg Mortgage Securities Trust 2006-2 SERIES 2006-2 CLASS A-2-B CUSIP 885220KW2 RATING TO NR FROM CCC (sf) MAIN RATIONALE Criteria no longer applicable due to the small remaining loan count on the related underlying group. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. NR--Not rated. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. 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