/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220626.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 26, 2022, Vol. 26, No. 176 Headlines ACCESS 2002-A: S&P Places 'B+' Rating on Cl. B Notes on Watch Pos. AFFIRM ASSET 2022-A: DBRS Finalizes BB Rating on Class E Notes AGL CLO 19: Moody's Assigns (P)B3 Rating to $750,000 Class F Notes AMERICREDIT AUTOMOBILE 2022-2: Moody's Gives Ba2 Rating to E Notes ARBOR REALTY 2022-FL2: DBRS Gives Prov. B(low) Rating on G Notes BAIN CAPITAL 2022-4: Fitch Rates Class E Debt 'BBsf' BANK 2022-BNK41: DBRS Finalizes BB Rating on Class F Certs BARCLAYS MORTGAGE 2022-INV1: DBRS Gives Prov BB Rating on B1 Notes BLUEMOUNTAIN CLO XXXV: Fitch Gives 'BB+' Rating on Class E Notes BLUEMOUNTAIN CLO XXXV: Moody's Assigns B3 Rating to Class F Notes BMO 2022-C2: Fitch Gives B(EXP) Rating to 2 Tranches BRAEMAR HOTELS 2018-PRME: S&P Affirms CCC (sf) Rating on F Certs CARLYLE GLOBAL 2014-5: S&P Affirms B- (sf) Rating on E Notes CHC COMMERCIAL 2019-CHC: Fitch Affirms 'B-' Rating on Class F Debt CIG AUTO 2020-1: Moody's Hikes Rating on Class E Notes From Ba1 CITIGROUP 2022-GC48: Moody's Assigns B2 Rating to Cl. YL-D Certs CITIGROUP COMMERCIAL 2017-C4: Fitch Cuts Rating on H-RR Debt to CCC CITIGROUP COMMERCIAL 2022-GC48: Fitch Gives B- Rating on 2 Tranches CITIGROUP MORTGAGE 2022-RP1: DBRS Finalizes B Rating on B-3 Notes COLLEGE AVE 2017-A: DBRS Confirms BB Rating on Class C Security COLUMBIA CENT 32: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes COMM 2015-LC23: Fitch Affirms CCC Rating on Class G Certs CONNECTICUT AVE 2022-R07: S&P Gives Prelim BB- Rating on 2 Classes EDUCATION LENDING: Fitch Lowers Rating on 2 Tranches to Bsf ELMWOOD CLO 17: Moody's Assigns Ba3 Rating to $19MM Class E Notes EXETER AUTOMOBILE 2022-3: S&P Assigns BB(sf) Rating on Cl. E Notes FREDDIE MAC 2022-DNA5: S&P Assigns B (sf) Rating on Cl. B-1I Notes GS MORTGAGE 2019-GC40: DBRS Confirms BB Rating on Class F Certs GS MORTGAGE 2022-NQM2: Fitch Assigns 'B(EXP)' Rating to B-2 Debt GS MORTGAGE 2022-PJ6: Fitch Gives B+(EXP) Rating to Class B5 Certs GS MORTGAGE 2022-PJ6: Moody's Assigns (P)B3 Rating to Cl. B-5 Debt HOME RE 2022-1: DBRS Finalizes B(high) Rating on 2 Classes ICG US 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes INVESCO CLO 2022-2: S&P Assigns BB- (sf) Rating on Class E Notes JAMESTOWN CLO XVIII: Moody's Assigns Ba3 Rating to $20.6MM E Notes JP MORGAN 2012-C6: Fitch Lowers Rating on Class H Debt to 'C' JP MORGAN 2019-ICON: DBRS Confirms B(low) Rating on Class G Certs JP MORGAN 2019-PCC: S&P Assigns BB (sf) Rating on Cl. F Certs JP MORGAN 2022-5: DBRS Finalizes B(low) Rating on Class B-5 Certs JP MORGAN 2022-7: Fitch Assigns B(EXP) Rating on Class B-5 Debt JPMDB COMMERCIAL 2020-COR7: Fitch Affirms 'B+' Rating on H-RR Debt LENDMARK FUNDING 2022-1: S&P Assigns Prelim BB- Rating on E Notes LFS 2022A: DBRS Gives Prov. BB Rating on Class B Notes MILFORD PARK: Fitch Rates Class E Debt 'BB-sf' MOFT TRUST 2020-ABC: DBRS Confirms B(low) Rating on Class D Certs MORGAN STANLEY 2014-150E: DBRS Confirms B Rating on Class F Certs MORGAN STANLEY 2015-C21: DBRS Confirms C Rating on 3 Classes NATIXIS COMMERCIAL 2020-2PAC: DBRS Confirms B(low) on 2 Classes OAKTREE CLO 2022-2: S&P Assigns Prelim BB- (sf) Rating on E Notes OBX TRUST 2022-NQM6: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Debt OCEANVIEW MORTGAGE 2022-SBC1: DBRS Gives (P) B(low) on B2C Notes ONDECK ASSET III: DBRS Confirms BB Rating on Class D Notes PALMER SQUARE 2022-2: S&P Assigns BB- (sf) Rating on Cl. E Notes PRIME STRUCTURED 2020-1: DBRS Confirms BB(low) Rating on F Certs PRPM 2022-INV1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs READY CAPITAL 2019-FL3: DBRS Confirms B(low) Rating on F Notes RMF BUYOUT 2022-HB1: DBRS Finalizes B Rating on Class M5 Notes SIGNAL PEAK 12: S&P Assigns BB- (sf) Rating on Class E Notes STARWOOD MORTGAGE 2022-4: Fitch Gives B-(EXP) Rating to B-2 Certs SUTHERLAND COMMERCIAL 2021-SBC10: DBRS Confirms B(low) on F Certs UBS COMMERCIAL 2017-C3: Fitch Lowers Rating on G-RR Certs to CCsf UPSTART SECURITIZATION 2022-3: Moody's Gives '(P)Ba2' to B Notes VMC FINANCE 2021-FL4: DBRS Confirms B(low) Rating on Class G Notes WELLS FARGO 2017-C40: Fitch Lowers Rating on Class F Debt to B-sf WFRBS COMMERCIAL 2013-C17: Fitch Affirms B Rating on Class F Certs [*] Moody's Cuts Ratings on $79.5MM of US RMBS Issued 2007-2008 [*] S&P Takes Actions on 30 Classes of Notes from 5 U.S. Deals [*] S&P Takes Various Actions on 26 Classes from Five US CLO Deals ********* ACCESS 2002-A: S&P Places 'B+' Rating on Cl. B Notes on Watch Pos. ------------------------------------------------------------------ S&P Global Ratings raised its ratings on one class, placed six classes on CreditWatch with positive implications and one class on CreditWatch with negative implications, and affirmed its ratings on five classes from seven Access Group Inc. transactions. These transactions are backed by private student loan collateral. Rating Rationale The affirmations on classes from series 2001, 2002-A, 2004-A, and 2007-A reflect our view that the credit enhancement levels are sufficient to support the respective notes at their current rating levels. S&P said, "We upgraded the rating on the class B notes from series 2001 to 'AAA (sf)' from 'AA+ (sf)' due to a combination of factors, including the relatively short expected remaining term to repayment for the notes based on the historical principal payment rate, the pro rata principal payments made to the class B notes, and the increasing credit enhancement given the non-releasing structure of the deal. "The CreditWatch placements with positive implications on classes from series 2002-A, 2003-A, 2005-A, and 2005-B reflect our view that the growing credit enhancement in the transactions may be sufficient to support a higher rating on the classes. Currently, these transactions are in full turbo mode and are retaining all available funds to pay down notes. "The CreditWatch placement with negative implications of the series 2004-A class A-4 reflects our view that the current credit enhancement available to the class may not be sufficient to support the notes at their current rating level. The series 2004-A transaction provides the issuer with the option to make principal payments to the subordinate notes if the senior parity and total parity levels are at least 110.0% and 101.5%, respectively. Since our prior review of this transaction, the issuer has exercised that option to make payments to the subordinates notes rather than the senior notes, and, as a result, the senior parity ratio for the class A-4 notes has declined to approximately 119.0% from 181.0%. "We will complete a comprehensive cash flow analysis and committee review for the transactions on CreditWatch, which we expect to resolve within the next 90 days." Transaction Summary And Payment Priority Ratings Raised Access Group Inc. Series 2001, class B to 'AAA (sf)' from 'AA+ (sf)' Ratings Placed On CreditWatch Positive Access Group Inc. Series 2002-A class B to 'B+ (sf)/Watch Pos' from 'B+ (sf)' Series 2003-A class B to 'BBB (sf)/Watch Pos' from 'BBB (sf)' Series 2005-A class A-3 to 'AA+ (sf)/Watch Pos' from 'AA+ (sf)' Series 2005-A class B to 'BBB (sf)/Watch Pos' from 'BBB (sf)' Series 2005-B class A-3 to 'AA+ (sf)/Watch Pos' from 'AA+ (sf)' Series 2005-B class B-2 to 'BBB (sf)/Watch Pos' from 'BBB (sf)' Ratings Placed On CreditWatch Negative Access Group Inc. Series 2004-A class A-4 to 'AAA (sf)/Watch Neg' from 'AAA (sf)' Ratings Affirmed Access Group Inc. Series 2001, class IIA-1: AAA (sf) Series 2002-A, class A-2: AAA (sf) Series 2004-A, class B-1: BBB (sf) Series 2007-A, class A-3: AA+ (sf) Series 2007-A, class B: BBB (sf) AFFIRM ASSET 2022-A: DBRS Finalizes BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following notes 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 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 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. (8) The legal structure and legal opinions that 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. AGL CLO 19: Moody's Assigns (P)B3 Rating to $750,000 Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued by AGL CLO 19 LTD. (the "Issuer" or "AGL 19"). Moody's rating action is as follows: US$210,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$14,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2035, Assigned (P)Aaa (sf) US$750,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Assigned (P)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. AGL 19 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds and senior secured notes, provided that no more than 5% of the portfolio may consist of senior secured bonds and senior secured notes. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. AGL CLO Credit Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue 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: $350,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2945 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.0% 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. AMERICREDIT AUTOMOBILE 2022-2: Moody's Gives Ba2 Rating to E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the notes issued by AmeriCredit Automobile Receivables Trust 2022-2 (AMCAR 2022-2). This is the second AMCAR auto loan transaction of the year for AmeriCredit Financial Services, Inc. (AFS; unrated), wholly owned subsidiary of General Motors Financial Company, Inc. (Baa3, stable). The notes are backed by a pool of retail automobile loan contracts originated by AFS, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: AmeriCredit Automobile Receivables Trust 2022-2 Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2-A Notes, Definitive Rating Assigned Aaa (sf) Class A-2-B Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aaa (sf) Class C Notes, Definitive Rating Assigned Aa2 (sf) Class D Notes, Definitive Rating Assigned Baa1 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of AFS as the servicer and administrator. The definitive ratings for the Class C and Class D notes are Aa2 (sf) and Baa1 (sf) respectively are higher than the provisional ratings of (P)Aa3 (sf) and (P)Baa2 (sf) respectively. This difference is a result of (1) the transaction closing with a lower weighted average cost of funds (WAC) than Moody's modeled when the provisional ratings were assigned and (2) the percent of Class A-2 notes that are floating rate, which are subject to a stressed interest rate assumption, is lower than Moody's modeled when the provisional ratings were assigned. The WAC assumptions and the floating-rate percent of the Class A-2 notes, as well as other structural features, were provided by the issuer. Moody's median cumulative net loss expectation for the 2022-2 pool is 9.0% and the loss at a Aaa stress is 33.0%. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of AFS to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D, and Class E notes benefit from 33.10%, 26.60%, 17.60%, 10.60%, and 7.75% 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 Class E notes which do not benefit from subordination. The notes may also benefit from excess spread. 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 subordinate notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline 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, the market for used vehicles, and changes in servicing practices. 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 poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. ARBOR REALTY 2022-FL2: DBRS Gives Prov. B(low) Rating on G Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Arbor Realty Commercial Real Estate Notes 2022-FL2, LLC (ARCREN 2022-FL2): -- Class A-TS at AAA (sf) -- Class A-CS at AAA (sf) -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low)(sf) -- Class C at A (low)(sf) -- Class D at BBB (sf) -- Class E at BBB (low)(sf) -- Class F at BB (low)(sf) -- Class G at B (low)(sf) All trends are Stable. The initial collateral consists of 32 floating-rate mortgage loans and senior participation secured by 40 mostly transitional properties, with an initial cut-off date balance totaling approximately $936.9 million. In addition, there are $40.0 million of noninterest accruing reserves contributed to the trust, bringing the total reference date portfolio balance to $976.9 million. Each collateral interest is secured by a mortgage on a multifamily property or a portfolio of multifamily properties. The transaction is a managed vehicle that includes a 180-day ramp-up acquisition period and a 30-month reinvestment period. The ramp-up acquisition period will be used to increase the trust balance to a total target collateral principal balance of $1.05 billion. DBRS Morningstar assessed the ramp component using a relatively conservative pool construct, although the ramp loans have expected losses that are generally in line with the expected loss levels exhibited by other loans in the pool. During the reinvestment period, as long as the note protection tests are satisfied and no event of default has occurred and is continuing, the collateral manager may direct the reinvestment of principal proceeds to acquire reinvestment collateral interest, including funded companion participations, meeting the eligibility criteria. The eligibility criteria, among other things, have minimum debt service coverage ratio (DSCR), loan-to-value ratio (LTV), and loan size limitations. In addition, mortgages exclusively secured by multifamily properties and student housing properties (up to 5.0% of the total pool balance) are allowed as reinvestment collateral interests. Lastly, the eligibility criteria stipulate a rating agency confirmation on ramp loans, reinvestment loans, and pari passu participation acquisitions above $500,000 if a portion of the underlying loan is already included in the pool, thereby allowing DBRS Morningstar the ability to review the new collateral interest and any potential impact on the overall ratings. The transaction will have a sequential-pay structure. For the floating-rate loans, DBRS Morningstar used the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loan or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is Net Cash Flow, 21 loans, representing 69.7% of the reference date portfolio balance, had a DBRS Morningstar As-Is DSCR of 1.00 times or below, a threshold indicative of elevated default risk. The properties are often transitional with potential upside in cash flow; however, DBRS Morningstar does not typically give full credit to the stabilization if there are no holdbacks, reserves, or future funding, or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets will stabilize at above-market levels. The sponsor for the transaction, Arbor Realty SR, Inc., is a majority-owned subsidiary of Arbor Realty Trust, Inc. (Arbor; NYSE: ABR) and an experienced commercial real estate (CRE) collateralized loan obligation (CLO) issuer and collateral manager. The ARCREN 2022-FL2 transaction will be Arbor's 19th post-crisis CRE CLO securitization, including four securitizations in 2021 and one previously in 2022. In total, Arbor has been an issuer and manager of 18 CRE CLO securitizations totaling more than $10 billion. Additionally, Arbor will purchase and retain 100.0% of the Class F Notes, the Class G Notes, and the Preferred Shares, which total approximately $[xyz] million. The transaction's initial collateral composition consists entirely of multifamily properties, which benefit from staggered lease rollover and generally low expense ratios compared with other property types. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to respond when the market improves. The subject pool includes garden-style communities and mid-/high-rise buildings. After closing, as part of the ramp-up and reinvestment period, the collateral manager may acquire loans secured by multifamily properties and student housing properties as long as student housing properties represent less than 5.0% of the total pool. The prior ARCREN 2022-FL1 transaction allowed the collateral manager to additionally acquire only multifamily properties. Twenty-eight loans, representing 85.5% of the reference date portfolio balance, represent acquisition financing. Acquisition financing generally requires the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loan, which results in a higher sponsor cost basis in the underlying collateral and aligns the financial interests of both the sponsor and lender. The initial collateral pool is diversified across 16 states, including Washington, D.C., and no state makes up more than 25.5% of the reference date portfolio balance. Additionally, the Herfindahl index of 29.2 is relatively high given the loan count of 32. Five loans, representing 16.7% of the reference date portfolio balance, are portfolio loans that benefit from multiple property pooling. Mortgages backed by cross-collateralized cash flow streams from multiple properties typically exhibit lower cash flow volatility. The DBRS Morningstar Business Plan Score (BPS) for the loans DBRS Morningstar analyzed ranged between 1.4 and 3.2, with an average of 2.0. A higher DBRS Morningstar BPS indicates more execution risk in the sponsor's business plan. DBRS Morningstar considers the anticipated lift at the property from current performance, planned property improvements, sponsor experience, projected time horizon, and overall complexity of the business plan. Compared with past Arbor transactions, the subject has a low average DBRS Morningstar BPS, which is indicative of lower risk. The loan collateral was generally found to be in good physical condition as evidenced by one loan, 30 Morningside Drive, making up 3.7% of the reference date portfolio balance, and secured by a property that DBRS Morningstar deemed to be Excellent in quality. An additional four loans, The Julian, Generations, 55 Jordan, and Casa Del Encanto & Casa Luna, are secured by properties with Average + property quality and total approximately 23.9% of the reference date portfolio balance. A relatively high concentration of the loan collateral is located in metropolitan statistical area (MSA) Group 3, which generally exhibits lower levels of default and losses. Specifically, there were seven loans, totaling 22.6% of the reference date portfolio balance, whose collateral was located in MSA Group 3. DBRS Morningstar analyzed five loans, representing 11.1% of the reference data portfolio balance, with Weak or Bad (Litigious) sponsorship strengths. These loans include Summerlyn & Crescent Oaks, Miramar, San Remo, Catalina, and Stardust. DBRS Morningstar applied a probability of default (POD) penalty to loans analyzed with Weak sponsorship strength. The transaction is managed and includes both a ramp-up and reinvestment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. The deal's initial collateral composition is 100.0% multifamily. During the ramp-up period, only loans secured by multifamily properties can be added. Future loans cannot be secured by office, hospitality, industrial, retail, or healthcare facilities. The risk of negative credit migration is also partially offset by eligibility criteria that outline DSCR, LTV, property type, and loan size limitations for ramp and reinvestment assets. Before ramp loans, reinvestment loans, and companion participations above $500,000 can be acquired by the Collateral Manager, a No Downgrade Confirmation is required from DBRS Morningstar. DBRS Morningstar accounted for the uncertainty introduced by the 180-day ramp-up period by running a ramp scenario that simulates the potential negative credit migration in the transaction based on the eligibility criteria. 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 sponsors will not successfully execute their business plans and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing coronavirus pandemic and its impact on the overall economy. A sponsor's failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzed loss severity given default (LGD) based on the DBRS Morningstar As-Is LTV, assuming the loan was fully funded. All loans in the pool have floating interest rates and are interest only during the initial loan term, as well as during all extension terms, creating interest rate risk and a lacks of principal amortization. DBRS Morningstar stresses interest rates based on the loan terms and applicable floors or caps. The DBRS Morningstar-adjusted DSCR is a model input and drives loan-level PODs and LGDs. All loans have extension options, and to qualify for these options, the loans must meet minimum DSCR and LTV requirements. Notes: All figures are in U.S. dollars unless otherwise noted. BAIN CAPITAL 2022-4: Fitch Rates Class E Debt 'BBsf' ---------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Bain Capital Credit CLO 2022-4, Limited. DEBT RATING PRIOR ---- ------ ----- Bain Capital Credit CLO 2022-4, Limited A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Bain Capital Credit CLO 2022-4, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.8 versus a maximum covenant, in accordance with the initial expected matrix point of 27.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.9% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.3% versus a minimum covenant, in accordance with the initial expected matrix point, of 74.4%. Portfolio Composition (Positive): The largest three industries may constitute up to 38.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2, between 'BBsf' and 'AA+sf' for class B, between 'B-sf' and 'AA-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for the class B notes, between 'A+sf' and 'AA+sf' for the class C notes, 'A+sf' for the class D notes, and between 'BBB+sf' and 'A-sf' for the 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. BANK 2022-BNK41: DBRS Finalizes BB Rating on Class F Certs ---------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-BNK41 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 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 have been privately placed. The RR Interest Certificates are not offered. The collateral consists of 69 fixed-rate loans secured by 141 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. BARCLAYS MORTGAGE 2022-INV1: DBRS Gives Prov BB Rating on B1 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2022-INV1 to be issued by Barclays Mortgage Loan Trust 2022-INV1 (BARC 2022-INV1): -- $189.9 million Class A-1 at AAA (sf) -- $30.3 million Class A-2 at AA (high) (sf) -- $40.2 million Class A-3 at A (high) (sf) -- $22.4 million Class M-1 at BBB (high) (sf) -- $17.3 million Class B-1 at BB (sf) -- $16.8 million Class B-2 at B (low) (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Notes reflects 42.35% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (low) (sf) ratings reflect 33.15%, 20.95%, 14.15%, 8.90%, and 3.80% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,049 mortgage loans with a total principal balance of $329,426,161 as of the Cut-Off Date (April 1, 2022). The top originators for the pool are HomeXpress Mortgage Corp. (33.3% of the pool) and Velocity Commercial Capital, LLC (19.7% of the pool). The remaining originators each comprise less than 8.0% of the mortgage loans. Also, approximately 39.5% of loans were initially acquired by Invigorate Finance, LLC and Fay Servicing, LLC (Fay), doing business as Invigorate Finance, LLC (Invigorate Parties), from third-party originators and were subsequently sold to an affiliate of the Seller. The pool is about four months seasoned on a weighted-average basis, although seasoning may span from two to 10 months. All loans were current as of the Cut-Off Date. Also, most loans (98.4% of the pool) have been always performing since origination. The mortgage loans were underwritten to program guidelines for business-purpose loans designed to rely on DSCR, property value and the mortgagor's credit profile (No Ratio), or borrower income, where applicable. Since the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA/RESPA Integrated Disclosure rule. The Servicers of the loans are NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint Mortgage Servicing (60.5% of the pool) and Fay (39.5% of the pool). Nationstar Mortgage LLC will act as a Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar), an affiliate of Citigroup Inc., will act as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) will act as a Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and retain an eligible vertical interest of a minimum of 5% of each of the Class A-1, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3, Class A-IO-S, and Class XS Notes, representing at least 5% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. The Controlling Holder (the majority holder or holders, of the Class XS Notes; initially, unaffiliated with the Sponsor) may, at its option, on or after the earlier of (1) the third anniversary of the Closing Date or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date, purchase all of the loans and REO properties at the redemption price described in the transaction documents (Optional Redemption). The Controlling Holder, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Banker Association (MBA) method (or in the case of any loan that has been subject to a Coronavirus Disease (COVID-19) pandemic-related forbearance plan, on any date from and after the date on which such loan becomes 90 days MBA delinquent following the end of the forbearance period) or any REO property at the optional purchase price described in the transaction documents. The total balance of such loans will not exceed 10% of the Cut-Off Date balance. For this transaction, the Servicers will fund advances of delinquent principal and interest (P&I) until loans become 90 days delinquent or are otherwise deemed unrecoverable. Of note, the Servicers will make P&I Advances with respect to any loan where the borrower has been granted forbearance (or a similar loss mitigation action) as a result of the coronavirus pandemic or otherwise (to the extent that such P&I advance amounts are deemed recoverable). Additionally, the Servicers are obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). The Master Servicer will be obligated to make any P&I Advances that the related Servicer was required to make if the related Servicer fails to do so. Of note, if the Servicers defer or capitalize the repayment of any amounts owed by a borrower in connection with the borrower's loan modification, the Servicers are entitled to reimburse itself from the excess servicing fee, first, and from principal collections, second, for any previously made and unreimbursed servicing advances related to the capitalized amount at the time of such modification. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. The excess spread can be used to cover (1) realized losses and (2) cumulative applied realized loss amounts preceding the allocation of funds to unpaid Net WAC Shortfalls due to Class A-1 down to Class A-3. Of note, the P&I otherwise payable to the Class B-3 Notes may be used to pay the Class A-1 Net WAC Shortfall amount after the Class A-1 coupon steps up by 100 basis points on and after the payment date in June 2026. Coronavirus Impact The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. BLUEMOUNTAIN CLO XXXV: Fitch Gives 'BB+' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to BlueMountain CLO XXXV Ltd. BlueMountain CLO XXXV Ltd. A LT NRsf New Rating NR(EXP)sf B LT AAsf 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 BB+sf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf The final ratings on the class E notes differ from the expected ratings published on May 23, 2022. Following the final portfolio analysis, the class E notes are deemed robust enough to assign a 'BB+sf' rating. These notes can withstand a default rate of 36.4% versus the 'BB+sf' default stress of 36.1%, assuming a 69.8% recovery rate, given default, assuming a portfolio of 95.0% floating rate and 5.0% fixed-rate assets, and can withstand a default rate of 38.1% when assuming the portfolio contains 100% floating-rate assets. TRANSACTION SUMMARY BlueMountan CLO XXXV Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Assured Investment Management LLC. Net proceeds from the issuance of the secured notes and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', 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 98.8% first-lien senior secured loans and has a weighted average recovery assumption of 76.13%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class B, C, D and E notes can withstand default rates of up to 54.6%, 49.1%, 41.6%, and 36.4%, respectively, assuming portfolio recovery rates of 45.7%, 55.1%, 64.5% and 69.8% in Fitch's 'AAsf', 'A+sf', 'BBB-sf' and 'BB+sf' scenarios, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AAsf' for class B, between 'B+sf' and 'AA-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E notes. BLUEMOUNTAIN CLO XXXV: Moody's Assigns B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by, BlueMountain CLO XXXV Ltd. (the "Issuer" or "BlueMountain XXXV"). Moody's rating action is as follows: US$352,000,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$1,375,000 Class F Senior Secured Deferrable Floating Rate Notes due 2035, 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. BlueMountain XXXV 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 second lien loans, unsecured loans and bonds. The portfolio is approximately 99% ramped as of the closing date. Assured Investment Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued four 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: $550,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3078 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8.1 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. BMO 2022-C2: Fitch Gives B(EXP) Rating to 2 Tranches ---------------------------------------------------- Fitch Ratings has issued a presale report on BMO 2022-C2, commercial mortgage pass-through certificates, series 2022-C2. DEBT RATING ---- ------ BMO 2022-C2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G-RR LT B-(EXP)sf Expected Rating J-RR LT NR(EXP)sf Expected Rating VRR Interest LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating X-F LT BB-(EXP)sf Expected Rating X-G LT B-(EXP)sf Expected Rating X-J LT NR(EXP)sf Expected Rating Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $6,784,000 class A-1 'AAAsf'; Outlook Stable; -- $97,871,000 class A-2 'AAAsf'; Outlook Stable; -- $6,700,000 class A-3 'AAAsf'; Outlook Stable; -- $155,000,000a class A-4 'AAAsf'; Outlook Stable; -- $200,624,000a class A-5 'AAAsf'; Outlook Stable; -- $10,871,000 class A-SB 'AAAsf'; Outlook Stable; -- $477,850,000b class X-A 'AAAsf'; Outlook Stable; -- $59,731,000 class A-S 'AAAsf'; Outlook Stable; -- $31,572,000 class B 'AA-sf'; Outlook Stable; -- $31,572,000 class C 'A-sf'; Outlook Stable; -- $34,986,000bc class X-D 'BBB-sf'; Outlook Stable; -- $16,212,000bc class X-F 'BB-sf'; Outlook Stable; -- $6,827,000bc class X-G 'B-sf'; Outlook Stable; -- $20,480,000c class D 'BBBsf'; Outlook Stable; -- $14,506,000c class E 'BBB-sf'; Outlook Stable; -- $16,212,000c class F 'BB-sf'; Outlook Stable; -- $6,827,000cd class G-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: -- $23,892,921c class X-J; -- $23,892,921cd class J-RR; -- $25,364,004ce VRR Interest. a) The initial certificate balances of classes A-4 and A-5 are not yet known but are expected to be $355,624,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$155,000,000, and the expected class A-5 balance range is $200,624,000-$355,624,000. The balances for classes A-4 and A-5 above reflect the high and low point of each range, respectively. b) Notional amount and interest only. c) Privately placed and pursuant to Rule 144A. d) Horizontal risk retention interest. e) Vertical risk retention interest. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 38 loans secured by 112 commercial properties having an aggregate principal balance of $707,988,926 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, KeyBank National Association, Starwood Mortgage Capital LLC, Citi Real Estate Funding Inc., German American Capital Corporation and UBS AG. The Master Servicer is expected to be Midland Loan Services, and the Special Servicer is expected to be Rialto Capital Advisors, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 38.9% of the loans by balance, cash flow analysis of 87.9% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Leverage In-line with Recent Transactions: The pool has overall leverage statics generally in-line with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.5% is slightly lower than both the YTD 2022 and 2021 averages of 101.1% and 103.3%, respectively. However, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.13x is lower than the YTD 2022 and 2021 averages of 1.37x and 1.38x, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 106.8% and 1.10x, respectively. Investment-Grade Credit Opinion Loans: The pool includes three loans, representing 17.5% of the total cutoff balance, that received an investment-grade credit opinion. This is above both the YTD 2022 and 2021 averages of 16.0% and 13.3%, respectively. Yorkshire & Lexington Towers (9.9% of the pool), 360 Rosemary (4.5% of the pool) and 111 River Street (3.1% of the pool), each received a standalone credit rating of 'BBB-sf*'. Minimal Amortization: Based on scheduled balances at maturity, the pool is scheduled to pay down by only 2.9%, which is below the YTD 2022 and 2021 averages of 3.4% and 4.8%, respectively. Twenty-six loans (79.9% of the pool) are full-term interest-only (IO) loans and four loans (8.0% of the pool) are partial IO. Eight loans (12.1% of the pool) are amortizing balloon loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up- and down-environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; 10% NCF Decline: 'A+sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'CCCsf' / 'CCCsf'; 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BB+sf' / 'Bsf' / 'CCCsf' / 'CCCsf'; 30% NCF Decline: 'BBBsf' / 'BB+sf' / 'B-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'. BRAEMAR HOTELS 2018-PRME: S&P Affirms CCC (sf) Rating on F Certs ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Braemar Hotels & Resorts Trust 2018-PRME, a U.S. CMBS transaction. At the same time, S&P affirmed its 'CCC (sf)' rating on class F from the same transaction. This transaction is backed by a floating-rate, interest-only (IO) mortgage loan that is secured by the borrower's fee simple interest in four full-service, central business district (CBD) hotels totaling 1,685 guestrooms located in Seattle, San Francisco, Philadelphia, and Chicago. Rating Actions S&P said, "The downgrades of classes A, B, C, and D, the further downgrade of class E, and the affirmation of class F reflect our reevaluation of the lodging properties that secure the sole loan in the transaction. Our analysis included a review of the most recent operating data provided by the servicer and our assessment that corporate transient and meeting and group demand at the properties has been severely impacted since the onset of the COVID-19 pandemic. As of the trailing-12-month (TTM) period ended February 2022, the portfolio's revenue per available room (RevPAR) was $102.37, which is 50.4% below the $206.40 level achieved in 2019, pre-pandemic, while net cash flow (NCF) for the TTM period ending February 2022 was -$2.8 million, according to the borrower's operating statements. NCF was -$3.5 million in 2021, -$14.0 million in 2020, and $38.7 million in 2019. "While we anticipate a return to positive NCF in our long-term sustainable NCF, we believe the continued, substantial decline in corporate and meeting and group demand, particularly in these four CBD markets as a result of the COVID-19 pandemic, leaves the collateral properties particularly exposed to ongoing impairment relative to our assumptions at issuance and at our last review in July 2020. Furthermore, higher-than-historical property expense levels, particularly rooms expense and property taxes, across the portfolio have also pressured margins. "As a result, our expected-case valuation for the portfolio is now approximately $251.6 million ($149,299 per guestroom), down 28.0% from our last review valuation of $349.6 million ($207,470 per guestroom), representing a decline of 35.1% compared to our valuation of $387.4 million ($229,892 per guestroom) at issuance. Using a S&P Global Ratings' sustainable NCF of $25.5 million and applying a weighted average S&P Global Ratings' capitalization rate of 10.14% (similar to last review and higher than the 9.13% applied at issuance) yielded an S&P Global Ratings loan-to-value (LTV) ratio of 147.1%, greater than the S&P Global Ratings LTV ratio of 105.8% at our last review and the S&P Global Ratings LTV ratio of 95.5% at issuance." 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 classes A, B, C, and D because S&P weighed certain qualitative considerations, including: -- The quality of the underlying physical collateral, enhanced by recent borrower-funded capital expenditures; -- The potential that the operating performance of the lodging portfolio could improve above our revised expectations; -- The significant market value decline based on the 2018 appraisal value of $671.5 million that would be needed before these classes experience losses; -- The payment of debt service by the borrower using external funds for more than two years; -- The liquidity support provided in the form of servicer advancing; and -- The relative subordination of each class within the payment waterfall. The further downgrade of class E to 'CCC (sf)' and the 'CCC (sf)' affirmation on class F reflect S&P's view, that based on an S&P Global Ratings' LTV ratio over 100%, these classes are more susceptible to reduced liquidity support, and the risk of default and loss has increased due to current market conditions. Based on the June 2022 trustee remittance report, the borrower is current on its debt service payments. The loan is on the master servicer's (Wells Fargo Bank N.A.'s) watchlist due to the loan's pending maturity in June 2022. According to the servicer's comments, the borrower planned to exercise its extension option. It is our understanding that this extension has been granted and the loan now matures in June 2023. Property-Level Analysis The mortgage loan collateral consists of four full-service hotels, comprising 1,685 guestrooms, located in Seattle, San Francisco, Chicago, and Philadelphia. Three of the hotels are managed by Marriott affiliates, and the Sofitel Chicago Water Tower property is managed by Accor Business and Leisure Management LLC. Two of the hotels are flagged under the Marriott Autograph Collection brand, one is a Marriott, and one is flagged as a Sofitel. The borrower, Braemar Hospitality L.P., is a REIT that owns 14 upper upscale and luxury hotels totaling nearly 3,900 guestrooms as of Dec. 31, 2021. The RevPAR performance of the portfolio has lagged that of the overall U.S. lodging recovery due to the locations of the hotels in CBD markets and their subsequent reliance on corporate and meeting and group demand. Based on the Smith Travel Research (STR) U.S. Monthly Hotel Review, the U.S. lodging market's RevPAR as of the year-to-date (YTD) period ended April 2022 was 0.8% above the level achieved in 2019 during the same period. However, the top 25 lodging markets remained 9.7% below 2019 levels due to the higher reliance of CBD markets on corporate, group, and international demand. The RevPAR for the four markets included in this portfolio remain significantly below 2019 levels as of the YTD period ended April 2022 compared to the same period in 2019: San Francisco was at -51.3%; Seattle, -24.7%; Chicago, -19.0%; and Philadelphia, -12.3%. The portfolio's RevPAR, weighted by allocated loan amount (ALA), was $209.16 in 2018 and $206.40 in 2019 and then declined to $44.68 in 2020 and improved to $95.06 in 2021 and $102.37 in the TTM period ended February 2022. As a result, the portfolio's NCF dropped from $43.8 million in 2018 to $38.7 million in 2019, -$14.0 million in 2020, and -$3.5 million in 2021, and it remained at -$2.8 million as of the TTM period ended February 2022. The borrower's 2022 budget projects a NCF of $16.5 million, which is 57.2% below the 2019 pre-pandemic level. S&P said, "Our analysis included a reevaluation of the lodging loan securitized in the pool using servicer-provided operating statements from 2018 through 2021, the borrower-provided operating statements through February 2022, and the borrower's 2022 budget. We also utilized December 2017 through December 2021 and February 2022 STR reports for each property and the borrower's 2021 10-K annual report to supplement our analysis." Seattle Marriott Waterfront (31.0% ALA) The Seattle Marriott Waterfront is a nine-story, 361-guestroom full-service hotel in the waterfront district of Seattle that overlooks Elliott Bay. It is adjacent to the Bell Street Cruise Terminal at Pier 66, one of two cruise terminals in Seattle that collectively serve eight major cruise lines over a six-month season, and near various tourist attractions. The property was built in 2003, and the borrower has spent $21.7 million ($60,111 per guestroom) on capital expenditures since acquiring it in 2007, with rooms expected to be renovated in 2022. The hotel is brand-managed by Marriott Hotel Services Inc. under a long-term agreement through 2028 with five 10-year renewal options. The base management fee is 3.0% of total revenues. Marriott is also entitled to an incentive fee. At issuance, the Seattle Marriott Waterfront generated approximately 80.0% of its occupied room nights from leisure and corporate transient demand, while the remaining 20.0% stemmed from meeting and group demand. Despite a truncated four-month cruise season in 2021, the market mix shifted to an estimated 93.5% transient demand, with only 6.5% of occupied room nights coming from meeting and group demand, according to the December 2021 STR report. The property's NCF was $14.5 million in 2018 and $12.6 million in 2019, reflecting a 13.2% decline. Due to the pandemic, NCF dropped to -$2.1 million in 2020, which also reflects the hotel's three-month closure during the pandemic. NCF improved to $2.7 million in 2021 and $3.5 million as of the TTM period ended February 2022. While the hotel's average daily rate has improved since 2020, occupancy remains depressed at 56.8% as of the TTM period ended February 2022 compared to over 80.0% from 2017-2019. In light of the hotel's reliance on transient demand as well as cruise ship related leisure demand, we lowered our sustainable NCF assumption to $9.9 million (from $12.4 million at issuance), aligning it closer to the borrower's budgeted 2022 NCF of $10.6 million for the property. The Clancy (formerly Courtyard San Francisco Downtown; 26.7% ALA) The Clancy is a 17-story, 410-guestroom hotel that opened in 2001 and is located in the South of Market neighborhood. The hotel is within walking distance of the Moscone Convention Center (0.3 miles). The borrower has spent $74.2 million ($180,976 per guestroom) on capital expenditures since the property's acquisition in 2007, including a rooms renovation in 2017 and a public area renovation in late 2020, in conjunction with its conversion and rebranding to a Marriott Autograph Collection hotel. The hotel is brand-managed by Courtyard Management Corp. under a long-term agreement through 2027 with five five-year renewal options. The base management fee is 7.0% of total revenues. Marriott is also entitled to an incentive fee. At issuance, The Clancy generated approximately 40.0% of its occupied room nights from the corporate transient segment and 35.0% from the leisure sector, while the remaining 25.0% stemmed from meeting and group demand. The property's NCF increased each year from 2017-2019, with a reported NCF of $12.1 million in 2019 and RevPAR of $271.14. NCF declined significantly during the last two years due to the hotel's renovation and its approximately six-month closure during the pandemic. NCF was -$3.1 million ($97.74 RevPAR) in 2021 and -$2.3 million ($108.88 RevPAR) in the TTM period ended February 2022. To account for the decline in performance and the hotel's market mix, S&P lowered its sustainable NCF assumption to $6.9 million, which is still higher than the borrower's budgeted 2022 NCF of $3.9 million for the property as we expect performance to improve gradually. Sofitel Chicago Magnificent Mile (22.9% ALA) The Sofitel Chicago Magnificent Mile is a 32-story, 415-guestroom full-service hotel that opened in 2002. It is located in the Gold Coast neighborhood and features views of Lake Michigan. The hotel is at the northern end of Chicago's Magnificent Mile, about a block west of the John Hancock tower, and near both the Loyola University Water Tower Campus and the Northwestern University Chicago Campus. The borrower has spent $18.4 million ($44,337 per guestroom) on capital expenditures since the property's acquisition in 2014, with a guestroom and corridor renovation completed in 2018. The hotel is brand-managed by Accor Business & Leisure Management under an agreement through 2030 with three 10-year renewal options. The agreement is not terminable upon a sale. The base management fee is 3.0% of total revenues. Accor is also entitled to an incentive fee. At issuance, the Sofitel Chicago Magnificent Mile generated approximately 35.0% of its occupied room nights from the corporate transient segment, 37.0% from the leisure sector, and 20.0% from meeting and group demand, with the remaining 8.0% from contract demand. The property's NCF was $6.2 million in 2018 and $5.8 million in 2019. However, NCF plummeted to -$5.7 million in 2020 due to a two-month closure and limited demand in 2020. NCF remained depressed at -$4.3 million in 2021 and -$5.2 million in the TTM period ended February 2022. In addition to the decline in occupancy, the reported real estate tax expense more than doubled to $6.9 million in 2021 and $7.7 million in the TTM period ended February 2022 from its previous 2017-2020 high of $3.4 million in 2018. Given the extraordinary nature and magnitude of this change, S&P adjusted its tax expense to be in line with historical level while seeking clarification from the master servicer through a request that remains outstanding. Recognizing the property's ongoing weak performance, S&P lowered its sustainable NCF assumption to $1.6 million, which is greater than the borrower's budgeted 2022 NCF of -$2.9 million, as S&P expects that performance will gradually improve once corporate transient and meeting and group demand strengthens. The Notary (formerly Courtyard Philadelphia Downtown; 19.4% ALA) The Notary is a 15-story, 499-guestroom hotel located in City Center Philadelphia that was built in 1926 and converted to a hotel in 1999. The borrower has spent $57.8 million ($115,832 per guestroom) on capital expenditures since the property's acquisition in 2007. Recent expenditures include $20.0 million between 2013 and 2017 on guestroom and lobby/meeting space renovations, and more than $20.0 million from 2018 through 2019 on the conversion of the hotel into Marriott's Autograph Collection brand. The hotel is brand-managed by Courtyard Management Corp. under a long-term agreement through 2041 with two 10-year renewal options. The base management fee is 6.5% of total revenues. Marriott is also entitled to an incentive fee. At issuance, The Notary generated approximately 40.0% of its occupied room nights from the corporate transient segment and 30.0% from the leisure sector, while the remaining 30.0% stemmed from meeting and group demand. The property's NCF was $10.7 million in 2017 and $11.5 million in 2018 and declined to $8.3 million in 2019 during the renovation and brand conversion. In 2020, amidst the pandemic, the hotel did not close, but NCF declined to -$2.0 million. NCF improved slightly to $1.2 million in 2021 and $1.3 million in the TTM period ended February 2022. In light of the hotel's slow recovery, S&P lowered its sustainable NCF assumption to $7.1 million, above the borrower's budgeted 2022 NCF of $4.9 million for the property, as it expects performance to rebound gradually as demand strengthens. Transaction Summary This is a stand-alone (single-borrower) transaction backed by a floating-rate, IO mortgage loan secured by the borrower's fee simple interest in four full-service hotels located in Seattle, San Francisco, Philadelphia, and Chicago. According to the June 2022 trustee remittance report, the loan has a trust and whole loan balance of $370.0 million, the same as at issuance and last review. The loan had an initial term of two years, with five one-year extension options. The final extended maturity date is June 9, 2025. The loan is IO for its entire term with an interest rate equal to LIBOR plus 1.634%, increasing by 0.125% to LIBOR plus 1.759% at the commencement of the fourth extension period. The borrower recently exercised its third extension option such that the current maturity date is June 9, 2023. Terms for extension include: no event of default; the purchase of a replacement interest rate cap agreement with a strike price equal to the greater of 4.0% and the rate resulting in a debt service coverage ratio of not less than 1.35x; and a debt yield of at least 10.0% beginning at the fourth extension option. In addition to the trust mortgage loan, the borrower obtained an IO mezzanine loan totaling $65.0 million at issuance. The mezzanine loan pays a floating interest rate indexed to LIBOR plus 5.15%. It is our understanding the mezzanine loan has also been extended as a prerequisite for extending the trust loan. S&P said, "Based on our revised S&P Global Ratings' NCF, the combined $370.0 million trust mortgage loan, and the $65.0 million mezzanine loan balances, we calculated a debt yield of 5.7%, down from 8.1% based on our S&P Global Ratings' NCF at issuance. The debt yield was -0.8% based on the servicer-reported 2021 NCF, -0.6% as of TTM ending February 2022, and 3.8% based on the borrower's 2022 budget. We believe that if the properties' performance does not materially improve beyond the borrower's 2022 budgeted figures, it is unlikely that the borrower would be able to exercise its fourth extension option based on the prescribed performance hurdles in the loan agreement without a loan modification." To date, the trust has not incurred any principal losses. According to the June 2022 trustee remittance report, class F has approximately $2,950 in accumulated interest shortfalls, which the servicer indicated was due to expenses associated with LIBOR transition/cessation initiatives. Given the nature of the shortfalls, S&P views these amounts as non-credit related, and, as such, they had no rating impact. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic as well as the importance and benefits of vaccines. While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses, and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. S&P said, "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 Braemar Hotels & Resorts Trust 2018-PRME Class A to 'AA- (sf)' from 'AAA (sf)' Class B to 'A- (sf)' from 'AA- (sf)' Class C to 'BBB- (sf)' from 'A- (sf)' Class D to 'BB- (sf)' from 'BBB- (sf)' Class E to 'CCC (sf)' from 'B (sf)' Rating Affirmed Braemar Hotels & Resorts Trust 2018-PRME Class F: CCC (sf) CARLYLE GLOBAL 2014-5: S&P Affirms B- (sf) Rating on E Notes ------------------------------------------------------------ S&P Global Ratings raised five ratings and affirmed 20 from four U.S. cash flow CLO transactions. S&P said, "In our credit review, we analyzed each transaction's performance and cash flow and followed the application of our global corporate CLO criteria in our rating decisions. The ratings list at the end of this report highlights the key performance metrics behind the specific rating changes. "The upgrades are mostly from CLOs still in their reinvestment period, and we are raising ratings on tranches that had been downgraded during the pandemic in 2020. For those actions in 2020, our analysis considered a number of factors under our criteria, including the tranche's cash flow results and the CLO's exposure to 'CCC'/'CCC-' rated collateral. Since then, a significant number of corporate loan issuers have experienced upgrades out of the 'CCC' range. The reduction in portfolio exposure to 'CCC' assets has decreased CLO scenario default rates, which likely increased the cash flow cushion of many tranches. This was one of the primary factors for the upgrades of those previously downgraded tranches in such reinvesting CLOs. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and default scenarios. Our analysis also considered the transactions' ability to pay timely interest and/or ultimate principal to each of the rated classes. The results of the cash flow analysis and other qualitative factors, as applicable, demonstrated that the rated outstanding classes have adequate credit enhancement available at the current rating levels following the rating actions, in our view. "While each class' indicative cash flow results are a primary factor, we also incorporate various other considerations into our decision to raise, lower, affirm, or limit ratings when reviewing the indicative ratings suggested by our projected cash flows." Such considerations typically include: -- Whether CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default; and -- Additional sensitivity runs to account for any of the above. S&P said, "The upgrades of tranches to 'B (sf)' and higher primarily reflect improvement in the credit quality of the portfolio and passing cash flow results at the higher rating. "The affirmations indicate our view that the current credit enhancement available to those classes is still commensurate with the current ratings. "For decisions on whether to raise CLO tranche ratings to 'B- (sf)' from the 'CCC' category or on affirming 'B- (sf)' ratings even if the model points to a lower rating, we primarily relied on our 'CCC'/'CC' criteria. If, in our view, payment of principal or interest when due is dependent on favorable business, financial, or economic conditions, we will generally assign a rating in the 'CCC' category. If, on the other hand, we believe a tranche can withstand a steady-state scenario without being dependent on favorable business, financial, or economic conditions to meet its financial commitments, we will generally raise the rating to 'B- (sf)' even if our CDO Evaluator and S&P Cash Flow Evaluator models would indicate a lower rating. "In assessing how a CLO tranche might perform under a steady-state scenario, we considered the speculative-grade nonfinancial corporate default rate over the decade prior to the 2020 pandemic and examined whether the tranche currently has sufficient credit enhancement, in our view, to withstand the average corporate default rate from this time frame. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take further rating actions as we deem necessary." Ratings List ISSUER Carlyle Global Market Strategies CLO 2014-3-R Ltd. CLASS A-1A CUSIP 14315LAA2 RATING TO AAA (sf) FROM AAA (sf) RATIONALE (i) ISSUER Carlyle Global Market Strategies CLO 2014-3-R Ltd. CLASS A-2 CUSIP 14315LAE4 RATING TO AA (sf) FROM AA (sf) RATIONALE (ii) ISSUER Carlyle Global Market Strategies CLO 2014-3-R Ltd. CLASS B CUSIP 14315LAG9 RATING TO A (sf) FROM A (sf) RATIONALE (ii) ISSUER Carlyle Global Market Strategies CLO 2014-3-R, Ltd. CLASS C CUSIP 14315LAJ3 RATING TO BBB- (sf) FROM BBB- (sf) RATIONALE (i) ISSUER Carlyle Global Market Strategies CLO 2014-3-R, Ltd. CLASS D CUSIP 14315MAA0 RATING TO BB- (sf) FROM B+ (sf)/Watch Pos RATIONALE Reduced exposure to 'CCC' and/or defaults, O/C improvement, passing cash flows. S&P raised its rating back to its original rating as indicated by our cash flow analysis. ISSUER Carlyle Global Market Strategies CLO 2014-3-R Ltd. CLASS E CUSIP 14315MAC6 RATING TO B- (sf) FROM B- (sf) RATIONALE (ii) ISSUER Carlyle Global Market Strategies CLO 2014-4-R Ltd. CLASS A-1A CUSIP 14316CAC7 RATING TO AAA (sf) FROM AAA (sf) RATIONALE (i) ISSUER Carlyle Global Market Strategies CLO 2014-4-R Ltd. CLASS A-2 CUSIP 14316CAG8 RATING TO AA (sf) FROM AA (sf) RATIONALE (ii) ISSUER Carlyle Global Market Strategies CLO 2014-4-R Ltd. CLASS B CUSIP 14316CAJ2 RATING TO A (sf) FROM A (sf) RATIONALE (ii) ISSUER Carlyle Global Market Strategies CLO 2014-4-R Ltd. CLASS C CUSIP 14316CAL7 RATING TO BBB- (sf) FROM BB+ (sf)/Watch Pos RATIONALE Reduced exposure to 'CCC' and/or defaults, O/C improvement, and passing cash flows. S&P raised our rating to its original rating as indicated by its cash flow analysis. ISSUER Carlyle Global Market Strategies CLO 2014-4-R Ltd. CLASS D CUSIP 14314TAA6 RATING TO BB- (sf) FROM B+ (sf) RATIONALE Reduced exposure to 'CCC' and/or defaults, O/C improvement, and passing cash flows. S&P raised its rating to its original rating as indicated by its cash flow analysis. ISSUER Carlyle Global Market Strategies CLO 2014-4-R, Ltd. CLASS E CUSIP 14314TAB4 RATING TO B- (sf) FROM B- (sf) RATIONALE Reduced exposure to 'CCC' and/or defaults, O/C improvement. Affirmation reflects application of S&P's CCC criteria and associated guidance. ISSUER Carlyle Global Market Strategies CLO 2014-5, Ltd. CLASS A-1-RR CUSIP 14311AAS1 RATING TO AAA (sf) FROM AAA (sf) RATIONALE (i) ISSUER Carlyle Global Market Strategies CLO 2014-5 Ltd. CLASS B-RR CUSIP 14311AAW2 RATING TO AA (sf) FROM AA (sf) RATIONALE (ii) ISSUER Carlyle Global Market Strategies CLO 2014-5 Ltd. CLASS C-RR CUSIP 14311AAY8 RATING TO A (sf) FROM A (sf) RATIONALE (ii) ISSUER Carlyle Global Market Strategies CLO 2014-5 Ltd. CLASS D-RR CUSIP 14311ABA9 RATING TO BBB- (sf) FROM BBB- (sf) RATIONALE (I) ISSUER Carlyle Global Market Strategies CLO 2014-5 Ltd. CLASS E-RR CUSIP 14311BBG4 RATING TO B+ (sf) FROM B (sf)/Watch Pos RATIONALE Reduced exposure to 'CCC' and/or defaults, O/C improvement, and passing cash flows. ISSUER Carlyle Global Market Strategies CLO 2014-5 Ltd. CLASS F-RR CUSIP 14311BBJ8 RATING TO B- (sf) FROM B- (sf) RATIONALE Reduced exposure to 'CCC' and/or defaults, O/C improvement. Affirmation reflects application of S&P's CCC criteria and associated guidance. ISSUER NewStar Arlington Senior Loan Program LLC CLASS A-R CUSIP 65251PAY9 RATING TO AAA (sf) FROM AAA (sf) RATIONALE (i) ISSUER NewStar Arlington Senior Loan Program LLC CLASS B-R CUSIP 65251PBA0 RATING TO AA (sf) FROM AA (sf) RATIONALE Tranche was affirmed as it is currently at its original rating level and CLO is yet to commence paydowns. Although S&P's cash flow analysis indicated a higher rating, our rating action considered that this tranche's credit enhancement level is consistent with its current rating. ISSUER NewStar Arlington Senior Loan Program LLC CLASS C-1-R CUSIP 65251PBC6 RATING TO A (sf) FROM A (sf) RATIONALE Tranche was affirmed as it is currently at its original rating level and CLO is yet to commence paydowns. Although S&P's cash flow analysis indicated a higher rating, its rating action considered that this tranche's credit enhancement level is consistent with its current rating. ISSUER NewStar Arlington Senior Loan Program LLC CLASS C-2-R CUSIP 65251PBL6 RATING TO A (sf) FROM A (sf) RATIONALE Tranche was affirmed as it is currently at its original rating level and CLO is yet to commence paydowns. Although S&P's cash flow analysis indicated a higher rating, its rating action considered that this tranche's credit enhancement level is consistent with its current rating. ISSUER NewStar Arlington Senior Loan Program LLC CLASS D-R CUSIP 65251PBE2 RATING TO BBB- (sf) FROM BBB- (sf) RATIONALE Tranche was affirmed as it is currently at its original rating level and CLO is yet to commence paydowns. Although our cash flow analysis indicated a higher rating, our rating action considered that this tranche's credit enhancement level is consistent with its current rating. ISSUER NewStar Arlington Senior Loan Program LLC CLASS E-R CUSIP 65251PBG7 RATING TO BB- (sf) FROM B+ (sf)/Watch Pos RATIONALE Reduced exposure to 'CCC' and/or defaults, O/C improvement. Although S&P's cash flow analysis indicated a higher rating, its raised the rating back to its original rating based on the tranche's credit enhancement level. ISSUER NewStar Arlington Senior Loan Program LLC CLASS F-R CUSIP 65251PBJ1 RATING TO BB- (sf) FROM BB- (sf) RATIONALE Repayment of deferred balance, reduced exposure to 'CCC' and/or defaults, and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, it affirmed the rating after considering the tranche's credit enhancement level and current level of CCC assets in the portfolio. (i)Cash flow passes at the current rating level. (ii)Cash flow pointed to higher ratings, but the tranche was affirmed as it is currently at its original rating level, the transaction is still within its reinvestment period, and the portfolio characteristics may be subject to change. O/C--Overcollateralization. CHC COMMERCIAL 2019-CHC: Fitch Affirms 'B-' Rating on Class F Debt ------------------------------------------------------------------ Fitch Ratings has affirmed seven classes of CHC Commercial Mortgage Trust 2019-CHC certificates (CHC 2019-CHC). DEBT RATING PRIOR ---- ------ ----- CHC Commercial Mortgage Trust 2019-CHC A 162665AA1 LT AAAsf Affirmed AAAsf B 162665AG8 LT AA-sf Affirmed AA-sf C 162665AJ2 LT A-sf Affirmed A-sf D 162665AL7 LT BBB-sf Affirmed BBB-sf E 162665AN3 LT BB-sf Affirmed BB-sf F 162665AQ6 LT B-sf Affirmed B-sf X 162665AC7 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Overall Stable Performance; Fitch Cash Flow and Leverage: Fitch's portfolio net cash flow (NCF) was $102.3 million based on YE 2021 servicer reported financials for the remaining 154 properties. This compares to Fitch's issuance NCF of $110.1 million for 156 properties. Since issuance, effective gross income (EGI) attributable to medical office building (MOB) and triple net (NNN) leased properties is generally in line with expected performance. The income from REIT Investment Diversification and Empowerment Act (RIDEA) related properties has increased from approximately $80 million to approximately $97 million. However, expenses have increased at a higher rate, offsetting growth in RIDEA income. The $1 billion mortgage loan has a Fitch stressed debt service coverage ratio (DSCR) and loan-to-value (LTV) of 0.97x and 97.4%, respectively, slightly below issuance levels. In addition to the trust debt, there is mezzanine debt with an estimated remaining balance of $486.9 million in place. All mezzanine loans are fully subordinate to the mortgage loan and are subject to an intercreditor agreement. The all-in Fitch DSCR and LTV are 0.66x and 144%. Collateral Characteristics: The transaction is secured by the fee and leasehold interests in 154 medical office and healthcare-related properties totaling approximately 7.3 million square feet. The collateral consists of 88 medical office buildings (MOBs; 34.1% of remaining appraised value based on issuance appraisals), 55 healthcare properties NNN-leased to third-party operators (NNN, 47.1%) and 11 healthcare properties subject to operating leases tied directly to the underlying property operations (RIDEA Properties; 18.8%). The portfolio's healthcare properties are operated as skilled nursing facilities (SNFs), senior housing and long-term acute care hospitals (LTACHs). Property Releases, Pro Rata Paydown: Since issuance, two NNN-SNFs ($5.0 million at issuance) have been released from the pool. The proceeds were applied to the transaction's capital structure on a pro rata basis. Property releases for the first 20.0% of the loan are applied on a pro rata basis. Individual property releases are permitted subject to, among other things, 115% paydown of the allocated loan amount (ALA) for the first 20.0% of the mortgage (other than certain properties designated as 105% individual properties or NOI excluded properties, which have lower ALA paydowns). There are no provisions to ensure that the property-type distribution at issuance will be maintained. Therefore, disproportionate MOB property releases could redistribute the remaining portfolio toward a larger weighting of collateral with material operating risk. Releases are subject to a debt yield test both at a property-type level and portfolio level to partially mitigate potential portfolio migration. Portfolio Diversity: The portfolio is geographically diverse with 154 remaining assets located in 28 states; no individual state accounts for more than 14% of the portfolio. Further, the collateral is diversified among asset type. At issuance, 35.5% of appraised value was due to medical offices, 30.7% attributed to skilled nursing facilities, 28.6% to senior housing and 5.1% to LTACHs. Individual property type performance breakout is not provided based on current reporting. Operational Aspects of RIDEA Properties and Litigation Risk: 18.8% (by appraised value) of the portfolio is secured by RIDEA properties, which have cash flows directly tied to the operations of independent living and assisted living facilities. Fitch believes these RIDEA properties have a greater risk of cash flow volatility due to the operational nature of the underlying assets. Further, the medical nature of the businesses the RIDEA Properties operate pose a higher risk of liability claims, given the large number of elderly residents and large number of employees. As of June 2022, the servicer has indicated that they are not aware of any material litigation related to the portfolio. Second Extension Term Exercised: The loan had an initial two-year term with three, one-year extension options. The borrower has exercised the second extension option. Change in Sponsorship: The loan was sponsored by Colony Capital (Colony). Colony's wellness platform, including the management of the transaction's portfolio, was sold to Highgate and Aurora Health Network LLC, a healthcare focused investment firm, in early 2022. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A significant and sustainable deterioration in Fitch net cash flow; -- Fitch has identified both a baseline and a worse-than- expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. 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: -- Significant and sustainable improvement in Fitch net cash flow; -- Paydown from the release of properties. CIG AUTO 2020-1: Moody's Hikes Rating on Class E Notes From Ba1 --------------------------------------------------------------- Moody's Investors Service has upgraded 26 classes of bonds issued from 14 non-prime auto securitizations. The bonds are backed by pools of retail automobile loan contracts originated and serviced by multiple parties. The complete rating actions are as follows: Issuer: CIG Auto Receivables Trust 2019-1 Class D Notes, Upgraded to A1 (sf); previously on Nov 12, 2021 Upgraded to A3 (sf) Issuer: CIG Auto Receivables Trust 2020-1 Class D Notes, Upgraded to Aa1 (sf); previously on Nov 12, 2021 Upgraded to Aa3 (sf) Class E Notes, Upgraded to Baa3 (sf); previously on Nov 12, 2021 Upgraded to Ba1 (sf) Issuer: CIG Auto Receivables Trust 2021-1 Class B Notes, Upgraded to Aaa (sf); previously on Nov 9, 2021 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Aa3 (sf) Class D Notes, Upgraded to A3 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Baa1 (sf) Issuer: CPS Auto Receivables Trust 2021-B Class C Notes, Upgraded to Aaa (sf); previously on Mar 11, 2022 Upgraded to Aa1 (sf) Class D Notes, Upgraded to A1 (sf); previously on Mar 11, 2022 Upgraded to A3 (sf) Issuer: CPS Auto Receivables Trust 2021-D Class B Notes, Upgraded to Aaa (sf); previously on Nov 4, 2021 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa3 (sf); previously on Nov 4, 2021 Definitive Rating Assigned A1 (sf) Issuer: Drive Auto Receivables Trust 2020-1 Class D Notes, Upgraded to Aaa (sf); previously on Mar 14, 2022 Upgraded to Aa1 (sf) Issuer: Drive Auto Receivables Trust 2021-1 Class D Notes, Upgraded to Aa2 (sf); previously on Mar 14, 2022 Upgraded to A1 (sf) Issuer: Drive Auto Receivables Trust 2021-2 Class C Notes, Upgraded to Aaa (sf); previously on Mar 14, 2022 Upgraded to Aa1 (sf) Class D Notes, Upgraded to A1 (sf); previously on Mar 14, 2022 Upgraded to Baa2 (sf) Issuer: Drive Auto Receivables Trust 2021-3 Class B Notes, Upgraded to Aaa (sf); previously on Nov 17, 2021 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Nov 17, 2021 Definitive Rating Assigned Aa3 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Nov 17, 2021 Definitive Rating Assigned Baa3 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2020-3 Class D Notes, Upgraded to Aa1 (sf); previously on Dec 10, 2021 Upgraded to Aa2 (sf) Class E Notes, Upgraded to A2 (sf); previously on Mar 17, 2022 Upgraded to A3 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2021-3 Class C Notes, Upgraded to Aaa (sf); previously on Nov 17, 2021 Definitive Rating Assigned Aa2 (sf) Class D Notes, Upgraded to A1 (sf); previously on Nov 17, 2021 Definitive Rating Assigned A3 (sf) Class E Notes, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Definitive Rating Assigned Baa3 (sf) Issuer: Exeter Automobile Receivables Trust 2021-1 Class D Notes, Upgraded to Aaa (sf); previously on Mar 10, 2022 Upgraded to Aa1 (sf) Issuer: Exeter Automobile Receivables Trust 2021-2 Class D Notes, Upgraded to A1 (sf); previously on Mar 10, 2022 Upgraded to Baa2 (sf) Issuer: Exeter Automobile Receivables Trust 2021-3 Class C Notes, Upgraded to Aa1 (sf); previously on Aug 25, 2021 Definitive Rating Assigned Aa3 (sf) Class D Notes, Upgraded to Baa2 (sf); previously on Aug 25, 2021 Definitive Rating Assigned Baa3 (sf) RATINGS RATIONALE The rating actions are primarily driven by the buildup of credit enhancement due to structural features including a sequential pay structure, reserve account and overcollateralization as well as updates to Moody's lifetime cumulative net loss (CNL) expectations for the underlying pools. For CIG transactions, Moody's updated CNL expectations range from 9.5% to 12.0%. For Drive transactions, Moody's updated CNL expectation is 12.0% for the 2020-1 transaction and ranges from 16.0% to 20.0% for the 2021 transactions. Moody's updated CNL expectation for CPS 2021-B is 15.5% and for CPS 2021-D is 18.0%. Moody's updated CNL expectations for Americredit 2020-3 is 5.5% and for Americredit 2021-3 is 9.0%. For the Exeter transactions, Moody's updated CNL expectations range between 16.0% and 21.0%. The loss expectations reflect recent performance trends on the underlying pools. 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 Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. CITIGROUP 2022-GC48: Moody's Assigns B2 Rating to Cl. YL-D Certs ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of pooled CMBS securities and four classes of loan-specific CMBS securities, to be issued by Citigroup Commercial Mortgage Trust 2022-GC48, Commercial Mortgage Pass Through Certificates, Series 2022-GC48: Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-SB, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. X-A*, Definitive Rating Assigned Aaa (sf) Cl. A-S, Definitive Rating Assigned Aa2 (sf) Cl. YL-A****, Definitive Rating Assigned A3 (sf) Cl. YL-B****, Definitive Rating Assigned Baa3 (sf) Cl. YL-C****, Definitive Rating Assigned Ba3 (sf) Cl. YL-D****, Definitive Rating Assigned B2 (sf) * reflects interest only classes **** reflects loan-specific classes RATINGS RATIONALE The pooled certificates, which are Class A-1, Class A-2, Class A-SB, Class A-4, Class A-5, Class A-S, Class X-A, are collateralized by 32 loans secured by 88 properties. The loan-specific ("rake") certificates, which are Class YL-A, Class YL-B, Class YL-C, Class YL-D, are collateralized by a $221.5 million B-note, which is a junior component of a $539.5 million, fixed-rate mortgage loan secured by the borrower's fee simple interest in the Yorkshire and Lexington Towers, two multifamily buildings located in the Upper East Side in Manhattan. The rake certificates will be entitled to receive distributions only from the B-note, which will not be part of the pool of mortgage loans backing the pooled certificates. Similarly, the rake certificates will only incur losses that are allocated to the B-note. Moody's assigned a SCA of a1 (sca.pd) to the senior component of the Yorkshire & Lexington Towers loan, which represents approximately 9.5% of the pool balance. The loan is secured by the borrower's fee interest in two multifamily buildings comprised of 808 residential units located in New York, NY. Moody's assigned a SCA of aa2 (sca.pd) to the Doubletree Ontario loan, which represents approximately 4.7% of the pool balance. The loan is secured by the borrower's fee simple in a 482-room hospitality property located in Ontario, CA. Moody's assigned a SCA of a3 (sca.pd) to the One Wilshire Street loan, which represents approximately 3.7% of the pool balance. The loan is secured by the borrower's fee simple interest in a 661,553 SF building comprised of data center and office space located in downtown Los Angeles, CA. Moody's assigned a SCA of baa2 (sca.pd) to the Roselle & Color loan, which represents approximately 2.1% of the pool balance. The loan is secured by the borrower's fee simple interest in two retail shopping center totaling 100,851 SF in New Jersey. Moody's assigned a SCA of aa3 (sca.pd) to the 360 Rosemary loan, which represents approximately 1.3% of the pool balance. The loan is secured by the borrower's fee simple interest in a 20-story, 313,002 square foot office building in West Palm Beach, FL. Moody's assigned a SCA of a2 (sca.pd) to the 111 River Street loan, which represents approximately 1.3% of the pool balance. The loan is secured by the borrower's fee simple interest in a 13-story, 557,714 square foot office building in Hoboken, NJ. Moody's approach to rating CMBS deals combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's Actual DSCR of 1.91x (1.48x excluding SCAs) is lower than the 1Q 2022 trailing four quarter conduit/fusion transaction average of 2.61x (2.07x excluding SCAs). The Moody's Stressed DSCR of 0.98x (0.86x excluding SCAs) is lower than the 1Q 2022 trailing four quarter conduit/fusion transaction average of 1.05x (0.91x excluding SCAs). With respect to the Yorkshire & Lexington loan, Moody's first mortgage actual DSCR is 1.94x and Moody's first mortgage stressed DSCR is 0.64x. The pooled trust loan balance of $633,273,980 represents a Moody's LTV ratio of 112.1% (123.0% excluding SCAs), which is higher than the 1Q 2022 trailing four quarter conduit/fusion transaction average of 107.4% (116.5% excluding SCAs). The Moody's adjusted LTV is 98.9% (108.4% excluding SCAs) and is based on Moody's adjusted Moody's value taking into account the current interest rate environment. With respect to the Yorkshire & Lexington loan, the first mortgage balance of $539.5 million represents a Moody's LTV of 131.2% and a Moody's adjusted LTV of 113.7%. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level Herfindahl score is 19.8 (16.1 excluding SCAs). The transaction loan level diversity profile is lower than Moody's-rated transactions during the prior four quarters, which averaged 28.3 (26.3 excluding SCAs). With respect to property level diversity, the pool's property level Herfindahl score is 23.9 (19.5 excluding SCAs). Notable strengths of the transaction include: six loans assigned an investment grade Structured Credit Assessment, the number of loans securitized by multiple properties, and low single tenant share. Notable concerns of the transaction include: pool's high Moody's loan-to-value (MLTV) ratio, low pool diversity, amortization profile, high refinancing share and higher interest rate. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 1.96 (2.06 excluding SCAs), which is below the 1Q 2022 trailing four quarters average score of 2.04 (2.28 excluding SCAs). With respect to the Yorkshire & Lexington Towers loan, the property quality grade is 1.25. The principal methodology used in rating all pooled classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. Moody's analysis of credit enhancement levels for conduit deals is driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment-grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. CITIGROUP COMMERCIAL 2017-C4: Fitch Cuts Rating on H-RR Debt to CCC ------------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 14 classes of Citigroup Commercial Mortgage Trust 2017-C4. DEBT RATING PRIOR ---- ------ ----- CGCMT 2017-C4 A-2 17326FAB3 LT AAAsf Affirmed AAAsf A-3 17326FAC1 LT AAAsf Affirmed AAAsf A-4 17326FAD9 LT AAAsf Affirmed AAAsf A-AB 17326FAE7 LT AAAsf Affirmed AAAsf A-S 17326FAH0 LT AAAsf Affirmed AAAsf B 17326FAJ6 LT AA-sf Affirmed AA-sf C 17326FAK3 LT A-sf Affirmed A-sf D 17326FAL1 LT BBBsf Affirmed BBBsf E-RR 17326FAN7 LT BBB-sf Affirmed BBB-sf F-RR 17326FAQ0 LT BB+sf Affirmed BB+sf G-RR 17326FAS6 LT BB-sf Affirmed BB-sf H-RR 17326FAU1 LT CCCsf Downgrade B-sf X-A 17326FAF4 LT AAAsf Affirmed AAAsf X-B 17326FAG2 LT A-sf Affirmed A-sf X-D 17326FAY3 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Increased Loss Expectations: The downgrade reflects higher expected losses on the Fitch Loans of Concern (FLOCs) within the pool. Fitch's current ratings reflect a base case loss of 6.3%. Twelve loans (34.9%) have been flagged as FLOCs including three loans that have transferred to special servicing (6.4%). Nine loans (29.3%) have been flagged as FLOCs for high vacancy, low NOI debt service coverage ratio (DSCR), maturity default risk and/or pandemic-related underperformance. The largest contributor to modelled losses is 2100 West Loop (FLOC, 2.3%) urban office property located in Houston, TX. The subject's largest tenant's, RGN (NRA 13%), parent company filed for bankruptcy. Due to the bankruptcy, cash trap has been activated and the cash flow sweep commenced in February 2021. As of the January 2022 rent roll, RGN is still at the subject and paying rent. Property occupancy as of YE 2021 had fallen to 76% from 81% at YE 2019 and underwritten occupancy of 89% due to a number of smaller tenants vacating. Additionally, YE 2021 NOI DSCR had fallen to 1.03x from underwritten NOI DSCR of 1.89x. This loan is scheduled to mature in October 2022. In its analysis, Fitch applied a 5% haircut and a 9.5% cap rate to YE 2021 NOI. This resulted in a modelled loss of 36.4%. The Godfrey Hotel (FLOC, 4.9%) is secured by a boutique hotel, located in the River North district of Chicago, approximately one mile north of the CBD. This loan transferred to special servicing in September 2020 for payment default due to underperformance as a result of the coronavirus pandemic and returned to master servicing in November 2021 following the closing of a forbearance/modification agreement. Per the subject's STR report, March 2022 TTM RevPar was $92 compared to $49 as of December 2020 and $145 as of December 2019. Subject YE 2021 NOI has improved to $3.9 million from $-1.6 million as of YE 2020 NOI; however, still below underwritten NOI of $7.4 million. The loan's sponsor, John Rutledge, is the founder and CEO of Oxford Capital Group, a Chicago-based developer, owner and operator of hotel properties. As of June 2022, Oxford Capital Group sponsored two CMBS loans, Hotel Felix and HIE at Magnificent Mile, that were in special servicing. Fitch's expected loss of 9.2% reflects an 11.3% cap rate and a 26% haircut to YE 2019 NOI to address the refinance risk surrounding the loan's upcoming October 2022 maturity. Minimal Change to Credit Enhancement: As of the June 2022 distribution date, the pool's aggregate principal balance has paid down by 5.7% to $921.3 million from $977.1 million at issuance. There are six loans (10.5%) that are scheduled to mature between August and October 2022, and the remaining pool is scheduled to mature in 2027. Three loans (1.9%) has been defeased. Of the remaining pool balance, 19 loans comprising 46.8% of the pool are full interest-only through the term of the loan. ADDITIONAL CONSIDERATIONS High Hotel and Mall Concentration: There are nine loans comprising 20.9% of outstanding pool balance are secured by hotel properties, of which, six have been flagged as FLOCs primarily due to underperformance as a result of the coronavirus pandemic. There are two loans comprising 7.4% of outstanding pool balance are secured by mall/retail outlet properties. Mall of Louisiana (2.9%) is a superregional mall located in Baton Rouge, LA and has been flagged as a FLOC due to declining NOI, a now vacant non-collateral Sears box, and upcoming tenant rollover of 12.9% and 8.3% NRA in 2022 and 2023, respectively. In-line sales were $539 psf for TTM December 2021. YE 2021 NOI declined by 8.3% compared to 2020, and is down 37.3% from underwritten expectations. Fitch's modeled loss of 16.9% is based on a 5% stress to YE 2021 NOI and a 12.5% cap rate. Pleasant Prairie Premium Outlets (4.5%) is a retail outlet center located along I-94 in Pleasant Prairie, WI, a secondary market between Milwaukee and Chicago. Large tenants include Nike Factory Store (5.0% of NRA), Old Navy (4.0%) and Under Armour (2.8%). In-line sales were $504 psf for TTM June 2019. Subject YE 2021 NOI has fallen 14.7% compared to underwritten NOI, primarily driven by an increase in total operating expenses. Fitch's modeled loss of 12.1% is based on a 5% stress to YE 2021 NOI and a 12.0% cap rate. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1 through A-S and the interest-only class X-A are not likely due to the position in the capital structure but may occur should interest shortfalls occur. Downgrades to classes B, C, D, E-RR, F-RR, G-RR, X-B and X-D are possible should performance of the FLOCs continue to decline and/or should further loans transfer to special servicing. Class H-RR could be downgraded further should expected losses on specially serviced loans become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in credit enhancement and/or defeasance and/or the stabilization to the properties impacted from the coronavirus pandemic. Upgrades of the 'BBBsf' and 'BBB-sf' classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'BB+sf', 'BB-sf' and 'B-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. CITIGROUP COMMERCIAL 2022-GC48: Fitch Gives B- Rating on 2 Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Citigroup Commercial Mortgage Trust 2022-GC48, commercial mortgage pass-through certificates, series 2022-GC48. DEBT RATING PRIOR ---- ------ ----- CGCMT 2022-GC48 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf A-SB LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf F LT BB-sf New Rating BB-(EXP)sf G LT B-sf New Rating B-(EXP)sf H LT NRsf New Rating NR(EXP)sf VRR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT WDsf Withdrawn A-(EXP)sf X-D LT BBB-sf New Rating BBB-(EXP)sf X-F LT BB-sf New Rating BB-(EXP)sf X-G LT B-sf New Rating B-(EXP)sf X-H LT NRsf New Rating NR(EXP)sf -- $3,961,000 class A-1 'AAAsf'; Outlook Stable; -- $93,366,000 class A-2 'AAAsf'; Outlook Stable; -- $115,000,000 class A-4 'AAAsf'; Outlook Stable; -- $202,858,000 class A-5 'AAAsf'; Outlook Stable; -- $5,942,000 class A-SB 'AAAsf'; Outlook Stable; -- $421,127,000a class X-A 'AAAsf'; Outlook Stable; -- $42,112,000 class A-S 'AAAsf'; Outlook Stable; -- $30,833,000 class B 'AA-sf'; Outlook Stable; -- $30,080,000 class C 'A-sf'; Outlook Stable; -- $33,841,000ab class X-D 'BBB-sf'; Outlook Stable; -- $15,040,000ab class X-F 'BB-sf'; Outlook Stable; -- $6,768,000ab class X-G 'B-sf'; Outlook Stable; -- $18,801,000b class D 'BBBsf'; Outlook Stable; -- $15,040,000b class E 'BBB-sf'; Outlook Stable; -- $15,040,000b class F 'BB-sf'; Outlook Stable; -- $6,768,000b class G 'B-sf'; Outlook Stable. Fitch did not rate the following classes: -- $21,809,280b class H; -- $21,809,280ab class X-H; -- $31,663,699c class VRR Interest. a. Notional amount and interest only. b. Privately placed and pursuant to Rule 144A. c. Represents the "eligible vertical interest" comprising 5.0% of the pool. Since Fitch published its expected ratings on May 31, 2022, the balances for class A-4 and A-5 have been finalized. The balance for interest-only class X-A was updated and the interest-only class X-B was dropped. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $317,858,000 in aggregate, subject to a 5% variance. The final balance for class A-4 is $115,000,000, class A-5 is $202,858,000 and interest-only class X-A is $421,127,000. Fitch has withdrawn the expected rating for class X-B because the class was removed from the final deal structure. The classes above reflect the final ratings and deal structure. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 loans secured by 88 commercial properties with an aggregate principal balance of $633,273,980 as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Starwood Mortgage Capital LLC and Bank of Montreal. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association. The special servicers are expected to be Greystone Servicing Company LLC and Rialto Capital Advisors, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 39.9% of the properties by balance, cash flow analyses of 93.7% of the pool and asset summary reviews on 100% of the pool. Fitch has withdrawn the expected rating for class X-B because the class was removed from the final deal structure. KEY RATING DRIVERS Leverage Exceeds that of Recent Transactions: This transaction's leverage is higher than that of other multiborrower transactions recently rated by Fitch. The pool's Fitch debt service coverage ratio (DSCR) of 1.21x is lower than the YTD 2022 and 2021 averages of 1.38x. Additionally, the pool's Fitch loan to value (LTV) ratio of 100.6% is a slightly lower than the YTD 2022 and 2021 average of 101.1% and 103.3%, respectively. High Pool Concentration: The pool's 10 largest loans represent 62.9% of its cutoff balance, which is greater than the YTD 2022 and 2021 averages of 54.2% and 52.1%, respectively. This results in a Loan Concentration Index (LCI) score of 506 for the pool, which is higher than the YTD 2022 and 2021 averages of 397 and 381, respectively. Investment-Grade Credit Opinion Loans: The pool includes three loans, representing 12.0% of the cutoff balance, that received an investment-grade credit opinion. This is below both the YTD 2022 and 2021 averages of 16.8% and 13.3%, respectively. Yorkshire & Lexington Towers (9.5% of the pool), 360 Rosemary (1.3% of the pool) and 111 River Street (1.3% of the pool), each received a standalone credit rating of 'BBB-sf*'. Minimal Amortization: Based on scheduled balances at maturity, the pool will pay down by only 1.75%, which is below the respective YTD 2022 and 2021 averages of 3.5% and 4.8%. Twenty-six loans representing 85.1 % of the pool are full-term interest-only (IO) loans, two loans (1.9% of the pool) are partial IO and one loan (3.7% of the pool) is an IO-Anticipated Repayment Date (ARD) loan. Additionally, three loans representing 9.3% of the pool are amortizing balloon loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB- sf'/'B-sf'; -- 10% NCF Decline: 'A+sf'/'BBB+sf'/'BBB- sf'/'BB+sf'/'B+sf'/'CCCsf'/'CCCsf'; -- 20% NCF Decline: 'BBB+sf'/'BBB-sf'/'BBsf'/'B- sf'/'CCCsf'/'CCCsf '/'CCCsf'; -- 30% NCF Decline: 'BBB- sf'/'BB+sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB- sf'/'B-sf'; -- 20% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB- sf'/'BBB-sf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CITIGROUP MORTGAGE 2022-RP1: DBRS Finalizes B Rating on B-3 Notes ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2022-RP1 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. COLLEGE AVE 2017-A: DBRS Confirms BB Rating on Class C Security --------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of securities included in six College Ave Student Loans transactions. -- Class A-1 Confirmed AA (high) (sf) -- Class A-2 Confirmed AA (high) (sf) -- Class B Confirmed A (sf) -- Class C Confirmed BB (sf) The confirmations 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 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. -- The transaction capital structure and credit enhancement levels are sufficient for the current ratings. -- Credit enhancement is in the form of overcollateralization, reserve account, and excess spread, with senior notes benefiting from the subordination of junior notes. -- Credit enhancement levels are sufficient to support the DBRS Morningstar-expected default and loss severity assumptions under various stress scenarios. -- Collateral performance is within expectations, and cumulative net losses remain low. Forbearance and delinquency levels remain relatively stable. Notes: All figures are in U.S. dollars unless otherwise noted COLUMBIA CENT 32: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp.'s floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Columbia Cent CLO Advisers LLC. The preliminary ratings are based on information as of June 23, 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 Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Class X(i), $2.00 million: AAA (sf) Class A-1, $150.00 million: AAA (sf) Class A-1 loans(ii), $50.00 million: AAA (sf) Class A-F, $24.00 million: AAA (sf) Class A-FJ, $7.00 million: AAA (sf) Class B-1, $15.00 million: AA (sf) Class B-F, $20.00 million: AA (sf) Class C-1 (deferrable), $16.00 million: A (sf) Class C-F (deferrable), $5.00 million: A (sf) Class D (deferrable), $21.00 million: BBB- (sf) Class E (deferrable), $11.375 million: BB- (sf) Subordinated notes, $30.25 million: Not rated (i)The class X notes are expected to amortize using interest proceeds, beginning in January 2023 and paying down $142, 857.14 on each of the first 14 payment dates. The class X notes will not be paid down when curing any breached coverage test. COMM 2015-LC23: Fitch Affirms CCC Rating on Class G Certs --------------------------------------------------------- Fitch Ratings has affirmed 16 classes of COMM 2015-LC23 Mortgage Trust commercial mortgage pass-through certificates, series 2015-LC23. The Rating Outlooks for four classes have been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- COMM 2015-LC23 A-2 12636FBF9 LT AAAsf Affirmed AAAsf A-3 12636FBH5 LT AAAsf Affirmed AAAsf A-4 12636FBJ1 LT AAAsf Affirmed AAAsf A-M 12636FBM4 LT AAAsf Affirmed AAAsf A-SB 12636FBG7 LT AAAsf Affirmed AAAsf B 12636FBN2 LT AA-sf Affirmed AA-sf C 12636FBP7 LT A-sf Affirmed A-sf D 12636FAL7 LT BBBsf Affirmed BBBsf E 12636FAN3 LT BBB-sf Affirmed BBB-sf F 12636FAQ6 LT BB-sf Affirmed BB-sf G 12636FAS2 LT CCCsf Affirmed CCCsf X-B 12636FAA1 LT AA-sf Affirmed AA-sf X-C 12636FAC7 LT BBB-sf Affirmed BBB-sf X-D 12636FAE3 LT BB-sf Affirmed BB-sf XP-A 12636FBK8 LT AAAsf Affirmed AAAsf XS-A 12636FBL6 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Stable Loss Expectations: Overall pool performance and loss expectations have remained stable since Fitch's last rating action. The Outlook revisions to Stable from Negative reflect performance stabilization of properties affected by the pandemic. Fitch has identified nine Fitch Loans of Concern (FLOCs; 27% of pool) including three REO assets in special servicing (10.3%). Fitch's current ratings reflect a base case loss of 6.5%. Largest Contributors to Loss: The largest contributor to loss is the Springfield Mall loan (3.5%), which is secured by a 223,180sf portion of a 611,079sf regional mall located in Springfield Township, PA. The mall is anchored by non-collateral tenants Macy's and Target. The largest collateral tenants are Shoe Dept. Encore (4.8% NRA; through 1/31/2027) and Ulta (4.8% NRA; through 10/31/2022). Upcoming rollover at the property includes 23.7% of the NRA in 2022, followed by 16.7% in 2023 and 6.4% in 2024. The loan was designated as a FLOC due to a declining cash flow. The servicer reported YE 2021 NOI DSCR was 1.19x compared with 1.35x at YE 2020 and 1.75x at YE 2019. Fitch modeled a loss of approximately 31% which reflects a cap rate of 20% to the YE 2021 NOI. The next largest contributor to loss is the Whitehall Hotel loan (3.5%), which is secured by a 222-key full service hotel located in Chicago, IL. The property is located less than two miles north of the Chicago Loop. The loan has been designated as a FLOC due to a low DSCR. The servicer reported NOI DSCR was -1.11x at YE 2020 compared with 1.04x at YE 2019. Performance at the property was declining prior to the pandemic which only further stressed cash flow at the property. Fitch has an outstanding request for an updated STR report but has not received one to date. Fitch modeled a loss of approximately 25%, which reflects a 10% haircut to the YE 2019 NOI. The third largest contributor to loss is the Colerain Center loan (1.2%), which is secured by a 78,169 sf retail property located in Colerain Township, OH. LA Fitness (38% of NRA) went dark in January 2017 and the space remains dark at this time. As of YE 2020 the property was 57% occupied. The loan became REO in June 2019. According to servicer updates the vacant space is being marketed. However, the property is not listed for sale at this time while the servicer works to stabilize the property. Fitch modeled a loss of approximately 69% which reflects a value of $54 psf. Slight Increase to Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate balance has been paid down by 15.4% to $813.5 million from $960.9 million at issuance. The increase in credit enhancement is primarily attributed to loan payoffs. Since issuance six loans have been paid off/disposed ($91.7 million), which includes $2.4MM in realized losses. 56 loans in the pool remain. Two loans (3%) are defeased. Thirteen loans (34%) are full-term IO, and all loans in partial IO periods expired. Geographic Concentrations: Loans secured by properties located in California have the highest concentration at 27% followed by New York at 24%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: An increase in pool level losses due to underperforming or specially serviced loans. Downgrades to the senior classes, rated 'A-sf' through 'AAAsf', are not likely due to their position in the capital structure and the high credit enhancement; however, downgrades to these classes may occur should interest shortfalls occur. Downgrades to the classes rated 'BBBsf' would occur if the performance of the FLOC continues to decline or fails to stabilize. Downgrades to the 'BBB-sf' and 'BB-sf' classes are possible should performance of the FLOCs continue to decline and additional loans transfer to special servicing and/or losses be realized. Further Downgrades to the 'CCCsf' are possible with a greater certainty of loss to the special serviced loans or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Stable to improved asset performance, coupled with additional pay-down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection and increased concentrations, or the 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. An upgrade to the 'BB-sf' and rated class is not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or if there is sufficient credit enhancement, which would likely occur when the non-rated class is not eroded and the senior classes pay off. CONNECTICUT AVE 2022-R07: S&P Gives Prelim BB- Rating on 2 Classes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fannie Mae Connecticut Avenue Securities Trust 2022-R07's notes. The note issuance is an RMBS transaction in which the payments are determined by a reference pool of residential mortgage loans, deeds of trust, or similar security instruments encumbering mortgaged properties acquired by Fannie Mae. The preliminary ratings are based on information as of June 23, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments, but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which we believe enhances the notes' strength; -- The enhanced credit risk management and quality control (QC) processes Fannie Mae uses in conjunction with the underlying representation and warranty framework; and -- The potential impact that 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, we continue to maintain our updated 'B' FF for the archetypal pool at 3.25%, 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." Preliminary Ratings Assigned Connecticut Avenue Securities Trust 2022-R07 Class 1A-H(i), $29,359,313,919: NR Class 1M-1, $391,813,000: BBB+ (sf) Class 1M-1H(i), $20,622,731: NR Class 1M-2A(ii), $91,906,000: BBB+ (sf) Class 1M-AH(i), $4,838,184: NR Class 1M-2B(ii), $91,906,000: BBB (sf) Class 1M-BH(i), $4,838,184: NR Class 1M-2C(ii), $91,906,000: BBB- (sf) Class 1M-CH(i), $4,838,184: NR Class 1M-2(ii), $275,718,000: BBB- (sf) Class 1B-1A(ii), $45,826,000: BB+ (sf) Class 1B-AH(i), $45,826,385: NR Class 1B-1B(ii), $45,826,000: BB- (sf) Class 1B-BH(i), $45,826,385: NR Class 1B-1(ii), $91,652,000: BB- (sf) Class 1B-2(ii), $106,927,000: NR Class 1B-2H(i), $106,928,564: NR Class 1B-3H(i)(iii), $91,652,385: NR (i) Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii) The holders of the class 1M-2 notes may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes, and vice versa. The holders of the class 1B-1 notes may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes, and vice versa. The holders of the class 1M-2A, 1M-2B, 1M-2C, 1B-1A, 1B-1B, and 1B-2 notes may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. (iii) For the purposes of calculating modification gain or modification loss amounts, class 1B-3H is deemed to bear interest at SOFR plus 15%. NR--Not rated. RCR exchangeable classes(i) Class 1E-A1, $91,906,000: BBB+ (sf) Class 1A-I1, $91,906,000(ii): BBB+ (sf) Class 1E-A2, $91,906,000: BBB+ (sf) Class 1A-I2, $91,906,000(ii): BBB+ (sf) Class 1E-A3, $91,906,000: BBB+ (sf) Class 1A-I3, $91,906,000(ii): BBB+ (sf) Class 1E-A4, $91,906,000: BBB+ (sf) Class 1A-I4, $91,906,000(ii): BBB+ (sf) Class 1E-B1, $91,906,000: BBB (sf) Class 1B-I1, $91,906,000(ii): BBB (sf) Class 1E-B2, $91,906,000: BBB (sf) Class 1B-I2, $91,906,000(ii): BBB (sf) Class 1E-B3, $91,906,000: BBB (sf) Class 1B-I3, $91,906,000(ii): BBB (sf) Class 1E-B4, $91,906,000: BBB (sf) Class 1B-I4, $91,906,000(ii): BBB (sf) Class 1E-C1, $91,906,000: BBB- (sf) Class 1C-I1, $91,906,000(ii): BBB- (sf) Class 1E-C2, $91,906,000: BBB- (sf) Class 1C-I2, $91,906,000(ii): BBB- (sf) Class 1E-C3, $91,906,000: BBB- (sf) Class 1C-I3, $91,906,000(ii): BBB- (sf) Class 1E-C4, $91,906,000: BBB- (sf) Class 1C-I4, $91,906,000(ii): BBB- (sf) Class 1E-D1, $183,812,000: BBB (sf) Class 1E-D2, $183,812,000: BBB (sf) Class 1E-D3, $183,812,000: BBB (sf) Class 1E-D4, $183,812,000: BBB (sf) Class 1E-D5, $183,812,000: BBB (sf) Class 1E-F1, $183,812,000: BBB- (sf) Class 1E-F2, $183,812,000: BBB- (sf) Class 1E-F3, $183,812,000: BBB- (sf) Class 1E-F4, $183,812,000: BBB- (sf) Class 1E-F5, $183,812,000: BBB- (sf) Class 1-X1, $183,812,000(ii): BBB (sf) Class 1-X2, $183,812,000(ii): BBB (sf) Class 1-X3, $183,812,000(ii): BBB (sf) Class 1-X4, $183,812,000(ii): BBB (sf) Class 1-Y1, $183,812,000(ii): BBB- (sf) Class 1-Y2, $183,812,000(ii): BBB- (sf) Class 1-Y3, $183,812,000(ii): BBB- (sf) Class 1-Y4, $183,812,000(ii): BBB- (sf) Class 1-J1, $91,906,000: BBB- (sf) Class 1-J2, $91,906,000: BBB- (sf) Class 1-J3, $91,906,000: BBB- (sf) Class 1-J4, $91,906,000: BBB- (sf) Class 1-K1, $183,812,000: BBB- (sf) Class 1-K2, $183,812,000: BBB- (sf) Class 1-K3, $183,812,000: BBB- (sf) Class 1-K4, $183,812,000: BBB- (sf) Class 1M-2Y, $275,718,000: BBB- (sf) Class 1M-2X, $275,718,000(ii): BBB- (sf) Class 1B-1Y, $91,652,000: BB- (sf) Class 1B-1X, $91,652,000(ii): BB- (sf) Class 1B-2Y, $106,927,000: NR Class 1B-2X, $106,927,000(ii): NR (i)See the offering documents for more detail on possible combinations. (ii)Notional amount. RCR--Related combinable and recombinable notes. IO--Interest only. NR--Not rated. EDUCATION LENDING: Fitch Lowers Rating on 2 Tranches to Bsf ----------------------------------------------------------- Fitch Ratings has downgraded the ratings on the class A-4 and class B notes in Education Lending Group, Inc. - CIT Education Loan Trust 2005-1. The Rating Outlook is Stable. DEBT RATING PRIOR ---- ------ ----- Education Lending Group, Inc. - CIT Education Loan Trust 2005-1 A-4 12556PAD9 LT Bsf Downgrade BBBsf B 12556PAE7 LT Bsf Downgrade BBBsf TRANSACTION SUMMARY The class A-4 notes were downgraded to 'Bsf' from 'BBBsf' due to increased maturity risk in the transaction stemming from the slow decrease of the trust student loan's remaining term and increasing income-based repayment (IBR) levels. As of the February collection date, the weighted average remaining term is 148 months, only down by one month since the year prior. The class A-4 notes failed Fitch's credit and maturity base case stresses. The notes are rated 'Bsf', one category higher than their current model-implied ratings of 'CCCsf', supported by qualitative factors such as the sponsor's ability to call the notes upon reaching 10% pool factor. Fitch also downgraded the class B notes to 'Bsf' from 'BBBsf', as the rating on these notes are constrained by the ratings of the senior class A-4 notes, per Fitch's criteria. If the senior A-4 class is not paid by maturity, this will trigger an event of default and the subordinate class will not receive principal or interest payments. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Negative. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 14.8% under the base case scenario and a default rate of 44.3% under the 'AAA' credit stress scenario. Fitch maintains its sustainable constant default rate at 3.0% and the sustainable constant prepayment rate (voluntary and involuntary prepayments) at 12.3% in cash flow modeling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and IBR (prior to adjustment) are 2.8%, 9.2% and 19.0%, respectively, which are used as the starting points in cash flow modeling. Subsequent declines or increases in the above assumptions are modeled as per criteria. The weighted average borrower benefit is assumed to be approximately 0.31%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement is provided by, excess spread and for the class A notes, subordination. As of the March 2022 distribution, the reported senior and total parity ratios (excluding accrued and unpaid interest not to be capitalized) were 105.6% and 100.6%, respectively. Liquidity support is provided by a reserve account, which is sized at the greater of 0.5% of the outstanding pool balance or $2 million. The transaction will continue releasing cash as long as 100.5% total parity and 103.0% senior parity are maintained. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc. and Pennsylvania Higher Education Assistance Agency. Fitch considers these to be acceptable servicers due to their extensive track record as servicers of student loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Current Model-Implied Ratings: class A 'CCCsf' (Credit Stress) / 'CCCsf' (Maturity Stress); class B 'CCCsf' (Credit Stress) / 'CCCsf' (Maturity Stress). Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread decrease .25%: class A 'CCCsf'; class B 'AAAsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'BBsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term decrease 25%: class A 'AAAsf'; class B 'AAAsf'. ELMWOOD CLO 17: Moody's Assigns Ba3 Rating to $19MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by Elmwood CLO 17 Ltd. (the "Issuer" or "Elmwood 17"). Moody's rating action is as follows: US$320,000,000 Class A Floating Rate Notes due 2035, Assigned Aaa (sf) US$60,000,000 Class B Floating Rate Notes due 2035, Assigned Aa2 (sf) US$19,000,000 Class E 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. Elmwood 17 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, senior unsecured loans or permitted non-loan assets, provided that not more than 5.0% of the portfolio may consist of permitted non-loan assets. The portfolio is approximately 93% ramped as of the closing date. Elmwood Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued two other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2744 Weighted Average Spread (WAS): SOFR + 3.30% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% 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. EXETER AUTOMOBILE 2022-3: S&P Assigns BB(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2022-3's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 58.39%, 50.31%, 40.92%, 31.61%, and 26.38% credit support for the class A (classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). This credit support provides coverage of approximately 3.05x, 2.60x, 2.10x, 1.60x, and 1.30x our 18.50%-19.50% expected cumulative net loss (CNL) range. These break-even scenarios withstand cumulative gross losses (CGLs) of approximately 89.83%, 77.40%, 65.47%, 50.57%, and 42.21%, respectively. -- The hard credit enhancement in the form of subordination, overcollateralization, and reserve account, which increased to 1.90% from 1.00% at pricing, in addition to excess spread. -- S&P's expectation for timely interest and principal payments on the notes, based on stressed cash flow modeling scenarios, which, in its view, are appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario (1.60x our expected loss level), all else being equal, its 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 subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. Ratings Assigned Exeter Automobile Receivables Trust 2022-3 Class A-1, $76.30 million: A-1+ (sf) Class A-2, $229.00 million: AAA (sf) Class A-3, $187.02 million: AAA (sf) Class B, $147.64 million: AA (sf) Class C, $137.44 million: A (sf) Class D, $133.69 million: BBB (sf) Class E, $104.69 million: BB (sf) FREDDIE MAC 2022-DNA5: S&P Assigns B (sf) Rating on Cl. B-1I Notes ------------------------------------------------------------------ S&P Global Ratings assigned 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 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 considerations regarding the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Freddie Mac STACR REMIC Trust 2022-DNA5 Class A-H(i), $31,415,837,756: Not rated Class M-1A, $519,000,000: A- (sf) Class M-1AH(i), $28,083,190: Not rated Class M-1B, $488,000,000: BBB- (sf) Class M-1BH(i), $25,926,632: Not rated Class M-2, $251,000,000: BB- (sf) Class M-2A, $125,500,000: BB+ (sf) Class M-2AH(i), $7,126,228: Not rated Class M-2B, $125,500,000: BB- (sf) Class M-2BH(i), $7,126,228: Not rated Class M-2R, $251,000,000: BB- (sf) Class M-2S, $251,000,000: BB- (sf) Class M-2T, $251,000,000: BB- (sf) Class M-2U, $251,000,000: BB- (sf) Class M-2I, $251,000,000: BB- (sf) Class M-2AR, $125,500,000: BB+ (sf) Class M-2AS, $125,500,000: BB+ (sf) Class M-2AT, $125,500,000: BB+ (sf) Class M-2AU, $125,500,000: BB+ (sf) Class M-2AI, $125,500,000: BB+ (sf) Class M-2BR, $125,500,000: BB- (sf) Class M-2BS, $125,500,000: BB- (sf) Class M-2BT, $125,500,000: BB- (sf) Class M-2BU, $125,500,000: BB- (sf) Class M-2BI, $125,500,000: BB- (sf) Class M-2RB, $125,500,000: BB- (sf) Class M-2SB, $125,500,000: BB- (sf) Class M-2TB, $125,500,000: BB- (sf) Class M-2UB, $125,500,000: BB- (sf) Class B-1, $82,000,000: B (sf) Class B-1A, $41,000,000: B+ (sf) Class B-1AR, $41,000,000: B+ (sf) Class B-1AI, $41,000,000: B+ (sf) Class B-1AH(i), $41,891,393: Not rated Class B-1B, $41,000,000: B (sf) Class B-1BH(i), $41,891,393: Not rated Class B-1R, $82,000,000: B (sf) Class B-1S, $82,000,000: B (sf) Class B-1T, $82,000,000: B (sf) Class B-1U, $82,000,000: B (sf) Class B-1I, $82,000,000: B (sf) Class B-2, $82,000,000: Not rated Class B-2A, $41,000,000: Not rated Class B-2AR, $41,000,000: Not rated Class B-2AI, $41,000,000: Not rated Class B-2AH(i), $41,891,393: Not rated Class B-2B, $41,000,000: Not rated Class B-2BH(i), $41,891,393: Not rated Class B-2R, $82,000,000: Not rated Class B-2S, $82,000,000: Not rated Class B-2T, $82,000,000: Not rated Class B-2U, $82,000,000: Not rated Class B-2I, $82,000,000: Not rated Class B-3H(i), $82,891,393: Not rated (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. GS MORTGAGE 2019-GC40: DBRS Confirms BB Rating on Class F Certs --------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-GC40 issued by GS Mortgage Securities Corporation Trust 2019-GC40 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-AB at AAA (sf) -- Class A-S 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 F at BB (sf) -- Class G-RR at B (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class X-D at BBB (sf) -- Class X-F at BB (high) (sf) Additionally, DBRS Morningstar confirmed its ratings on the following rake bonds (the Rake Bonds), which are secured by the beneficial interest in the subordinate debt placed on the Diamondback Industrial Portfolio 1 (Prospectus ID#14) and Diamondback Industrial Portfolio 2 (Prospectus ID#1) loans: -- Class DB-A at AA (high) (sf) -- Class DB-X at AA (low) (sf) -- Class DB-B at A (high) (sf) -- Class DB-C at BBB (high) (sf) -- Class DB-D at BB (sf) -- Class DB-E at B (high) (sf) -- Class DB-F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. As of the April 2022 remittance, all of the original 35 loans remain in the pool. The initial pool balance of $914.2 million has been reduced by 0.9% to $905.5 million. Twenty-seven loans, representing 75.1% of the pool, are interest-only (IO) for their full terms, limiting the amount of amortization over the cycle of the deal. No loans are delinquent and no loans are in special servicing. Twelve loans, representing 24.4% of the pool balance, are on the servicer's watchlist, including three loans in the Top 15. The largest loan on the servicer's watchlist is Diamondback Industrial Portfolio 2 (Prospectus ID#1; 8.6% of the pool), which is secured by the fee-simple interest in a portfolio of three single-tenant industrial properties, totaling more than 2.5 million square feet (sf), located in Pennsylvania, Tennessee, and Virginia. The portfolio is 100% leased to investment-grade single tenants: Nestlé S.A. (Nestlé; rated AA (low) with a Stable trend by DBRS Morningstar); The Home Depot, Inc. (The Home Depot; rated "A" with a Stable trend by DBRS Morningstar); and Amazon.com, Inc. (Amazon). All of the properties were build-to-suit projects and the current tenants have been the only occupants at their respective buildings since development. Nestlé has occupied its property since 1994, while The Home Depot and Amazon have occupied their spaces since 2008 and 2011, respectively. The facilities are well located near interstate highways and in close proximity to major population centers. The loan was added to the servicer's watchlist because a ground lease for the Charleston Property – Amazon Fulfillment Center expired on December 31, 2021. According to the servicer, the borrower has given notice to exercise its option to purchase the fee-simple interest in the underlying real estate. The loan is sponsored by VEREIT, a full-service real estate company that owns and manages one of the largest portfolios of single-tenant commercial properties in the U.S. The third-largest loan on servicer's watchlist is the Waterford Lakes Town Center loan (Prospectus ID#10; 3.70% of the pool), which is secured by the fee-simple interest in a 691,265 sf regional retail shopping center in Orlando. The loan transferred to special servicing in April 2021 for imminent nonmonetary default after the sponsor, Washington Prime Group, requested a temporary waiver of all bankruptcy events prior to its bankruptcy filing in June 2021. The loan returned to the master servicer in November 2021 after the special servicer agreed to forbear all defaults and it has remained on the servicer's watchlist for monitoring. The property is anchored by Regal Cinemas and Best Buy. It is also shadow-anchored by Target, Ashley Furniture, and LA Fitness, none of which are part of the collateral. Other major collateral tenants include Jo-Ann Fabrics, Bed Bath & Beyond, Ross Dress for Less, and T.J. Maxx. As of September 2021, the property was 92.5% occupied, down from 97.7% as of YE2020. The annualized Q3 2021 net cash flow (NCF) was $20.3 million, which is on pace to exceed the YE2020 NCF of $15.3 million. As of YE2020, the loan had a debt service coverage ratio (DSCR) of 1.34 times (x). Although it is not on the servicer's watchlist, DBRS Morningstar is monitoring the 101 California Street loan (Prospectus ID#4; 7.1% of the pool) for occupancy concerns after the largest tenant, Merrill Lynch (8.2% net rentable area), announced in February 2022 that it would vacate the property upon its October 2022 lease expiration and relocate to 555 California Street. The loan is backed by the borrower's fee-simple interest in a 1.3 million sf, Class-A, LEED Platinum office in San Francisco. With the loss of Merrill Lynch, occupancy is expected to decline to 68.0% from its current level of 76.2%. The YE2021 NCF decreased 9.1% year over year and remains 14.6% below the issuer's NCF at issuance. The loan had a DSCR of 1.77x as of YE2021. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2022-NQM2: Fitch Assigns 'B(EXP)' Rating to B-2 Debt ---------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2022-NQM2 (GSMBS 2022-NQM2). DEBT RATING ---- ------ GSMBS 2022-NQM2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Risk Retention LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is expected to close on June 30, 2022. The certificates are supported by 612 nonprime residential mortgages with a total balance of approximately $337 million, as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.0% above a long-term sustainable level (the national level is also 9.2%). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.9% yoy nationally as of December 2021. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Nonprime Credit Quality (Mixed): The collateral consists of 612 loans, totaling $337 million and seasoned approximately eight months in aggregate (calculated as the difference between origination date and cutoff date). The borrowers have a moderate credit profile (730 Fitch FICO and 33% DTI, which takes into account converted DSCR to DTI values) and moderate leverage (82% sLTV). The pool consists of 76.1% of loans where the borrower maintains a primary residence, while 23.9% is an investor property or second home. Additionally, 33.1% of the loans were originated through a retail channel or the correspondent's retail channel. 86.5% are Non-QM, 0.9% are Safe Harbor QM and for the remainder ATR does not apply. Loan Documentation (Negative): Approximately 78.7% of the pool was underwritten to less than full documentation. 69.8% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's Ability to Repay Rule (Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ability to repay. Additionally, 3.1% is an Asset Depletion product, 3.2% is DSCR product and the rest is a mix of alternative documentation products. Limited Advancing (Mixed): The deal is structured to three months of servicer advances for delinquent principal and interest. The limited advancing reduces loss severities as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side as there is limited liquidity in the event of large and extended delinquencies. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: -- A 5% PD credit was applied at the loan level as all of the grades were either 'A' or 'B'; -- This resulted in a 51bps reduction to the 'AAAsf' expected loss. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2022-PJ6: Fitch Gives B+(EXP) Rating to Class B5 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2022-PJ6 (GSMBS 2022-PJ6). DEBT RATING ---- ------ GSMBS 2022-PJ6 A1 LT AA+(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10X LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16X LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A19X LT AAA(EXP)sf Expected Rating A1X LT AA+(EXP)sf Expected Rating A2 LT AA+(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A22X LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A25X LT AAA(EXP)sf Expected Rating A26 LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A28X LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating A3 LT AA+(EXP)sf Expected Rating A30 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating A31X LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AA+(EXP)sf Expected Rating A34X LT AA+(EXP)sf Expected Rating A35 LT AA+(EXP)sf Expected Rating A36 LT AA+(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4X LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7X LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating AR LT NR(EXP)sf Expected Rating AX LT AA+(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B+(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating PT LT AA+(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 397 prime-jumbo and agency conforming loans with a total balance of approximately $456 million, as of the cut-off date. The transaction is expected to close on June 30, 2022. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.0% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with growth in prices, which is the result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 20.6% yoy nationally as of March 2022. High Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately three months in aggregate. The collateral comprises primarily prime-jumbo loans and less than 1% agency conforming loans. The borrowers in this pool have strong credit profiles (a 752 model FICO) but lower than what Fitch has observed for other prime-jumbo securitizations. The sustainable loan-to-value ratio (sLTV) is 81.9% and the mark-to-market (MTM) combined loan-to-value ratio (CLTV) is 74.8%, both of which are higher than in other Fitch-rated GSMBS PJ transactions issued in 2022. Fitch treated approximately 100% of the loans as full documentation collateral, while all of the loans are safe-harbor qualified mortgages (SHQMs). Of the pool, 89.2% are loans for which the borrower maintains a primary residence, while 10.8% are for second homes. Additionally, 54% of the loans were originated through a retail channel or a correspondent's retail channel. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified-sequential structure. Subordination Floors (Positive): To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 2.40% of the original balance will be maintained for the senior certificates, and a subordination floor of 1.65% of the original balance will be maintained for the subordinate certificates. Servicer Advances (Mixed): Shellpoint Servicing and United Wholesale Mortgage (UWM) will provide full advancing for the life of the transaction. The master servicer will serve as the ultimate advancing backstop. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. SUMMARY OF FINANCIAL ADJUSTMENTS International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence LLC, Opus Capital Market Consultants, Infinity, Covius, and Consolidated Analytics Inc. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction to each loan's probability of default. This adjustment resulted in a 33bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." AMC Diligence LLC, Opus Capital Market Consultants, Infinity, Covius and Consolidated Analytics Inc. were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2022-PJ6: Moody's Assigns (P)B3 Rating to Cl. B-5 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 57 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2022-PJ6, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (99.7% by balance) and GSE-eligible (0.3% by balance) residential mortgages acquired by GSMC (99.9% by balance) and MCLP Asset Company, Inc. (MCLP) (0.1% by balance), the mortgage loan sellers, from certain originators or the aggregator, MAXEX Clearing LLC (which aggregated 3.0% of the mortgage loans, by balance, from various originators) and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing and United Wholesale Mortgage, LLC. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2022-PJ6 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-X*, Assigned (P)Aa1 (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4A, Assigned (P)Aaa (sf) Cl. A-4-X*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6A, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-10-X*, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-13-X*, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-16-X*, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-19-X*, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-22-X*, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-25-X*, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-28-X*, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-30, Assigned (P)Aaa (sf) Cl. A-31, Assigned (P)Aaa (sf) Cl. A-31-X*, Assigned (P)Aaa (sf) Cl. A-32, Assigned (P)Aaa (sf) Cl. A-33, Assigned (P)Aaa (sf) Cl. A-34, Assigned (P)Aa1 (sf) Cl. A-34-X*, Assigned (P)Aa1 (sf) Cl. A-35, Assigned (P)Aa1 (sf) Cl. A-36, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. PT, Assigned (P)Aaa (sf) Cl. A-X*, Assigned (P)Aa1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.92%, in a baseline scenario-median is 0.65% and reaches 6.43% 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. HOME RE 2022-1: DBRS Finalizes B(high) Rating on 2 Classes ---------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage Insurance-Linked Notes, Series 2022-1 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) -- $183.5 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. Notes: All figures are in U.S. dollars unless otherwise noted. ICG US 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to ICG US CLO 2022-1(i) Ltd./ICG US CLO 2022-1(i) LLC's fixed- and floating-rate debt. 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 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. 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. INVESCO CLO 2022-2: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned ratings to Invesco CLO 2022-2 Ltd./Invesco CLO 2022-2 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Invesco CLO Equity Fund 3 L.P., a subsidiary of Invesco Senior Secured Management Inc. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Invesco CLO 2022-2 Ltd./Invesco CLO 2022-2 LLC Class A-1, $248.00 million: AAA (sf) Class A-2, $12.00 million: Not rated Class B, $44.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes(i), $39.50 million: Not rated (i)The transaction will also issue class Y notes to the holders of the subordinated notes. The class Y notes will have a notional balance of $3.95 million; however, no interest or principal will be paid on the notional balance, but payments will be made to the holders of these notes in an amount equal to 0.10% per annum multiplied by the fee basis amount, and will be paid according to the payment priorities. JAMESTOWN CLO XVIII: Moody's Assigns Ba3 Rating to $20.6MM E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of notes issued by Jamestown CLO XVIII Ltd. (the "Issuer" or "Jamestown XVIII"). Moody's rating action is as follows: US$241,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$15,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2035, Assigned Aaa (sf) US$38,000,000 Class B-1 Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2035, Assigned Aa2 (sf) US$19,200,000 Class C Senior Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$23,200,000 Class D Senior Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$20,600,000 Class E Senior 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. Jamestown XVIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is almost fully ramped as of the closing date. Investcorp Credit Management US LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. Thereafter, the manager may not reinvest and all proceeds received will be used to amortize the notes in sequential order. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2769 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. JP MORGAN 2012-C6: Fitch Lowers Rating on Class H Debt to 'C' ------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed two classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C6 (JPMCC 2012-C6) commercial mortgage pass-through certificates. In addition, the Rating Outlooks on the two affirmed classes were revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C6 B 46634SAG0 LT PIFsf Paid In Full AAsf C 46634SAH8 LT A+sf Affirmed A+sf D 46634SAJ4 LT A-sf Affirmed A-sf E 46634SAM7 LT CCCsf Downgrade BBsf F 46634SAP0 LT CCCsf Downgrade BBsf G 46634SAR6 LT CCsf Downgrade CCCsf H 46634SAT2 LT Csf Downgrade CCsf KEY RATING DRIVERS Greater Certainty of Loss; High Loss Expectations and Pool Concentration: Despite significant paydown since the prior rating action, exposure to regional malls (92.6% of pool) remains a rating concern. The downgrades reflect a greater certainty of loss due to increased loss expectations on the Arbor Place Mall and Northwoods Mall loans, both of which defaulted at their respective May and April 2022 maturity dates. While both loans, which are sponsored by CBL & Associates Properties, Inc. (CBL), remain current and were recently modified and received four-year maturity extensions through 2026, Fitch remains concerned with regional mall performance and the malls' ultimate refinance prospects. Both malls have weak sponsorship, although CBL has emerged from bankruptcy, and have exposure to weak anchor tenants, moderate upcoming lease rollover and vacant non-collateral anchor boxes. Loss expectations for the pool remain high. Given the pool concentration, Fitch performed a liquidation analysis, which considered the likelihood of repayment for the one remaining non-specially serviced performing loan, Walgreens/CVS Portfolio Pool III (7.4%), which has a final maturity in 2037 after the loan passed its April 2022 ARD and began amortizing, and the recovery and loss expectations on the two remaining underperforming regional mall loans. While credit enhancement for the remaining classes is high, Fitch expects the ultimate workout and recovery timing for the remaining two mall loans to be prolonged and is still concerned about their ultimate performance stabilization and refinance prospects. Regional Malls: Fitch's base loss expectation on the Arbor Place Mall loan (58% of pool), which is secured by a regional mall in Douglasville, GA, increased to 52% from 39% at the prior rating action, and reflects an implied 24% cap rate on the YE 2021 NOI. The loan transferred to special servicing in April 2020 for imminent monetary default and subsequently defaulted at its May 2022 maturity. The sponsor, CBL, filed for Chapter 11 bankruptcy in November 2020 and exited bankruptcy in November 2021 after reorganizing. A default waiver and loan modification and extension agreement have been executed, with the lender providing a one-time waiver of the filing of bankruptcy by the Guarantor as a default and enter into a loan modification and extension agreement with the Borrower. The loan modification closed in May 2022 and will be reflected in the July 2022 remittance reporting. Terms of the modification include a four-year maturity extension through May 2026 and cash management will remain in place for the remainder of the extended loan term. According to the servicer, the borrower continues to show commitment to the property by continuing to invest leasing dollars to maintain occupancy at the property. The mall's non-collateral Sears closed in February 2020. The collateral JCPenney (14.7% of collateral NRA) had previously announced in June 2020 it would be permanently closing; however, the company changed its plans to close this location in July 2020 and the store remains open as of June 2022. Non-collateral anchors include Dillard's, Belk,and Macy's and the larger collateral tenants include Regal Cinemas, Bed Bath & Beyond and Forever 21. Collateral occupancy was 95.1% in March 2022, compared with 93.2% in March 2021 and 97% in March 2020. Upcoming lease rollover includes 17.3% of the collateral NRA in 2022, 43.7% in 2023 and 7% in 2024. The 2023 rollover is mostly concentrated in the expirations of JCPenney (14.7%; May 2023), Bed Bath & Beyond (6.9%; January 2023), Forever 21 (4.7%; January 2023) and H&M (3.8%; January 2023). Although YE 2021 NOI improved 8.9% from YE 2020 NOI, it was still 12% below the pre-pandemic YE 2019 NOI. In-line tenant sales were $472 psf in 2021, compared with $372 psf in 2019 and $359 psf in 2018. Aggregated 2020 in-line tenant sales have not been provided and were not included in the sponsor's 2020 annual report due to incomplete reporting during the coronavirus pandemic. Fitch's base loss expectation on the Northwoods Mall loan (34.6%), which is secured by a regional mall in North Charleston, SC, increased to 49% from 22% at the prior rating action, and reflects an implied 25% cap rate on the TTM June 2021 NOI. The loan transferred to special servicing in February 2021 due to the sponsor and guarantor, CBL, filing for bankruptcy, and subsequently defaulted at its April 2022 maturity. The loan received the same default waiver and loan modification and extension agreement as for Arbor Place Mall, with the maturity extended four years through April 2026. Non-collateral anchors include Dillard's and Belk, as well as a former Sears box that has been partially backfilled by Burlington Stores. The only collateral anchor is JCPenney (28.3% of collateral NRA; February 2024). Other larger collateral tenants include Books-A-Million, Planet Fitness and H&M. Collateral occupancy was 97.6% in May 2022, up from 90.7% in March 2021 and 95.8% in March 2020. Total mall occupancy was 93.6% as of May 2022, compared to 90.8% in March 2021 and 92.9% in March 2020. The occupancy improvement is due to new leases with 11 smaller inline tenants totaling 8.4% of the NRA that commenced between May 2021 and May 2022. However, most of these tenants appear to be specialty/local tenants, some of which are on short-term leases only 12 months in duration. Upcoming lease rollover includes 2.5% of the collateral NRA in 2022, 13.7% in 2023 and 32.6% in 2024. The 2024 rollover is mostly concentrated in the February 2024 expiration of JCPenney. The TTM June 2021 NOI was 15% below the YE 2020 NOI and was 20% below the pre-pandemic YE 2019 NOI. Inline tenant sales were $456 psf in 2021, compared with $394 psf in 2019 and $402 psf in 2018. Increased Credit Enhancement Offset by Pool Concentration: As of the June 2022 distribution date, the pool's aggregate principal balance has been reduced by 84.7% to $173.1 million from $1.1 billion at issuance. Since the last rating action, 29 loans ($520 million) were repaid at or prior to their scheduled 2021 and 2022 loan maturities or anticipated repayment dates with no realized losses. The remaining three loans are amortizing. The pool has experienced $2.9 million (0.3% of original pool) in realized losses since issuance from the disposition of the 317 6th Avenue loan by discounted payoff in February 2017. Following the recent modifications, both of the regional mall loans (92.6%) are scheduled to mature in April and May of 2026, and the sole performing, non-specially serviced loan has a final maturity in April 2037. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes C and D are possible should expected losses for the pool increase significantly and both the Arbor Place Mall and Northwoods Mall loans exhibit further performance deterioration, experience higher losses than expected and/or be unable to secure refinancing upon their extended maturities in 2026, or should the Walgreens/CVS Portfolio Pool III default or transfer to special servicing. Further downgrades to classes E, F, G and H would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the regional mall FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes C and D, although unlikely given the pool concentration and adverse selection, may occur with significant performance stabilization on both the Arbor Place Mall and Northwoods Mall loans; however, further underperformance of the two mall Fitch Loans of Concern (FLOCs) could cause this trend to reverse. Upgrades to classes E, F, G and H are not currently expected given continued performance and refinance concerns with the Arbor Place Mall and Northwoods Mall loans, but could occur if the performance stabilizes for the regional malls and/or these assets are resolved with better recoveries than expected. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JP MORGAN 2019-ICON: DBRS Confirms B(low) Rating on Class G Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-ICON issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-B at BBB (high) (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 since issuance and slight performance increase over the prior year due to occupancy increases across the entire portfolio. The trust is secured by 18 separate nonrecourse, first-lien mortgage loans totalling $174.7 million, including 10 multifamily properties and eight mixed-use properties with 352 residential and 17 commercial units in Manhattan and Brooklyn, New York. The trust consists of $60.7 million of Trust A Notes, which are pari passu with companion notes, and $83.9 million of Trust B Notes. Additionally, $30.0 million of companion notes were securitized in the JPMCC 2019-COR5 transaction (not rated by DBRS Morningstar). The sponsor gradually acquired the 18-property portfolio at a total cost of $160.5 million and invested an additional $55.6 million in capital improvements for a total cost basis of $216.0 million. The properties have potential for additional revenue bumps if rent-restricted units are legally vacated and converted into market-rate units. All loans have five-year, interest-only (IO) loan terms and are not cross-collateralized or cross-defaulted. Each borrower is a special-purpose entity sponsored by Icon Realty Management, LLC, a real estate investment and management firm headquartered in New York. As of April 2022, there were 15 loans, representing 73.0% of the current trust, on the servicer's watchlist because of low occupancy and debt service coverage ratio (DSCR) remaining below the required threshold. Although more than 70.0% of the pool is being monitored on the watchlist, performance across the portfolio has increased considerably year over year, with aggregate portfolio cash flows increasing 30.3% in 2021 and average occupancy reported at 95.3% at YE2021 compared with 76.7% at YE2020. As of the YE2021 reporting, all but five of the 18 loans reported YE2021 DSCRs above breakeven, with a weighted average of 1.05 times. While the pandemic stressed the collateral's performance in 2020, DBRS Morningstar believes that demand will return in the medium term and that the portfolio will return to near-issuance performance levels by loan maturity in 2024. The 808 Lexington Avenue loan (Prospectus ID#7, 5.3% of the current pool) is secured by a mixed-use property in Manhattan's Upper East Side near the southeast corner of Central Park. The loan had previously transferred to special servicing in April 2021 for payment default and was returned to the master servicer in October 2021 after the borrower brought the loan current. The commercial unit belonging to a former tenant, Fig & Olive (formerly 32.0% of net rentable area (NRA)), remains vacant. Both residential units are occupied at a monthly rate of $5,000, and the property's other retail tenant, Manhattan Laser Spa (23.5% of NRA), has a lease expiration in August 2027. The property was 68.0% occupied at YE2021, and the DSCR will remain below breakeven until the vacant retail unit is leased. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2019-PCC: S&P Assigns BB (sf) Rating on Cl. F Certs ------------------------------------------------------------- S&P Global Ratings affirmed its ratings on seven classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-PCC, a U.S. CMBS transaction. In addition, S&P withdrew its 'A- (sf)' rating on the class X-CP interest-only (IO) certificates from the same transaction. This U.S. CMBS transaction is backed by a one-year, floating-rate, IO mortgage loan secured by a portion (1.0 million sq. ft.) of Park City Center, a 1.3 million-sq.-ft. regional mall in Lancaster, Pa. Rating Actions S&P said, "The affirmations of the principal- and interest-paying certificate classes reflect our re-evaluation of the Park City Center property, which secures the sole loan in the transaction. Our analysis considered that while the reported performance at the property has declined since the onset of the COVID-19 pandemic, which led us to lower our net cash flow (NCF) and valuation assumptions, the trust has benefitted materially from de-leveraging since issuance. The sponsor has paid down the trust balance by 15.5% to $114.0 million (as of the June 15, 2022, trustee remittance report) from $135.0 million at issuance. Resultingly, the principal paydown has offset our revised NCF and valuation assumptions of the property." Prior to the pandemic, the property had faced challenges with the vacancy of two anchor tenants in late 2018 and early 2019. To date, a significant portion of the vacant anchor spaces has not been backfilled yet. Reported occupancy and net operating income (NOI) declined to 69.5% and $15.7 million, respectively, in 2020 from 72.1% and $20.0 million as of the trailing 12-months (TTM) ending June 30, 2019. The reported occupancy and NOI rebounded slightly to 76.5% and $16.1 million, respectively, in 2021. This compares to our assumed 90.6% occupancy rate and $18.4 million NOI at issuance. S&P noted that the servicer-reported occupancy includes the non-collateral anchors, while our assumed occupancy rate is on the collateral property. S&P therefore revised and lowered its sustainable NCF by 12.9% to $14.6 million from $16.7 million at issuance. Using a 9.25% S&P Global Ratings capitalization rate (unchanged from issuance), we arrived at an expected-case valuation of $157.5 million, or $157 per sq. ft.--a decline of 9.2% from our value of $173.5 million at issuance. This yielded an S&P Global Ratings loan-to-value ratio of 72.4% on the current loan balance versus 77.8% at issuance based on the original loan balance and issuance value. Although the model-indicated ratings were higher than the classes' respective current rating levels (reflecting the above-mentioned loan paydown since issuance), S&P affirmed its ratings on classes B, C, D, E, and F because S&P weighed certain qualitative considerations, including: -- The potential that the property's operating performance could decline below S&P's revised expectations; and -- The borrower's continued inability to obtain refinancing proceeds to pay off the trust loan by its specified maturity date, which is currently September 2022 (the loan was with the special servicer twice due to imminent maturity default). According to the June 2022 trustee remittance report, class F has approximately $2,795 in accumulated interest shortfalls, which the servicer indicated was due to expenses associated with LIBOR transition initiatives. Given the nature of the shortfalls, we view them as non-credit related, and, as such, they had no rating impact. S&P said, "We affirmed our rating on the class X-EXT IO certificates based on our criteria for rating IO securities, which states that the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-EXT references classes A, B, and C. "We withdrew our rating on the class X-CP IO certificates because the IO class is no longer receiving interest payments according to the transaction documents. "We will continue to monitor the loan's refinancing status and performance through its upcoming September 2022 maturity date and, should there be any significant adverse developments, will take rating actions as we determine necessary." Property-Level Analysis Park City Center is a two-story enclosed 1.3 million-sq.-ft. super regional mall built in 1971 and renovated in 2007 in Lancaster, Pa., of which 1.0 million sq. ft. serves as collateral for the loan. Non-collateral anchors at the property include Boscov's (226,652 sq. ft.), a portion of a vacant anchor box formerly occupied by Sears (158,328 sq. ft., of which 77,380 was backfilled by Round 1), and a 178,967-sq.-ft. vacant anchor box formerly occupied by Bon-Ton. At issuance, the sponsor expected to re-demise the vacant Bon-Ton space to create a streetscape space consisting of restaurants. Although there were no reserves in place for the demolition of the Bon-Ton space, the sponsor provided a completion guaranty in the loan agreement. Currently, as a result of the pandemic, this redevelopment plan is on hold. In addition, as of the June 2022 reserve report, there are $6.2 million in reserves, including $2.7 million for anchor redevelopment reserves. S&P's property-level analysis considered the year-over-year decline in servicer reported NOI: -3.0% in 2018 to $21.5 million, -7.2% as of TTM ending June 30, 2019, to $20.0 million, and -21.5% in 2020 to $15.7 million. As discussed above, the decline in performance prior to the pandemic stemmed from the vacancy of two anchor tenants, which also triggered co-tenancy clauses resulting in a further decrease in base rent income, expense reimbursement income, and other income. While performance continued to decline sharply at the onset of the COVID-19 pandemic, NOI increased marginally by 2.8% in 2021 to $16.1 million. According to the April 2022 rent roll, the collateral property was 89.2% leased (when including the noncollateral spaces, the occupancy rate drops to 76.1%). The five largest tenants comprised 45.7% of collateral net rentable area (NRA) and include: -- JCPenney (24.2% of NRA; 1.5% of gross rent, as calculated by S&P Global Ratings; July 2025 lease expiry); -- Kohl's (9.2%; 4.5%; expired January 2022 and recently renewed to January 2027); -- Round 1 Bowling & Amusement (7.7%; 3.9%; March 2031); -- H&M (2.4%; percentage rent in lieu of base rent; January 2025); and -- Ashley Homestore (2.1%; 1.9%; September 2029). The property faces elevated tenant rollover risk in 2022 (8.5% of NRA, 15.8% of gross rent as calculated by S&P Global Ratings), 2023 (12.0%, 16.5%), and 2025 (30.8%, 10.4%). The rollover risk in 2022 and 2023 is diversified with various tenants, the largest being Forever 21 (1.8% of NRA) and DSW (1.7%); however, it is more concentrated in 2025 due to JCPenney. According to the tenant sales report as of March 2022, in-line tenant sales were $438 per sq. ft., as calculated by S&P Global Ratings, up from $401 per sq. ft. at issuance. S&P said, "At issuance, based on in-line tenants (excluding Apple and various tenants who requested rent relief or were paying percentage rent), we calculated an in-line occupancy cost of 15.8%. We believed an occupancy cost of 15.0% is more sustainable for a mall of the subject's sales and locational characteristics. As a result, in the determination of S&P Global Ratings' sustainable value of the property at issuance, we made a negative $7.3 million value adjustment to account for the 15.8% occupancy cost. Currently, we calculated an in-line occupancy cost of 13.4% based on the higher tenant sales report and the lower rent per sq. ft. of $40.23 compared to $45.01 at issuance. Given the lower occupancy cost, we did not make an occupancy cost adjustment to the revised S&P Global Ratings' sustainable value." S&P said, "Our current analysis considered the recently reported declining NCF as well as the still-vacant anchor boxes at the property and extended rent relief offered to several tenants, which resulted in our assumed collateral occupancy rate of 89.2%. We derived a sustainable NCF of $14.6 million, and, using an S&P Global Ratings' capitalization rate of 9.25%, arrived at an expected-case value of $157.5 million. "Furthermore, it is our understanding from the servicer that the borrower intends to acquire Energy Works, a third-party operator that supplies electricity and heated/chilled water. Through its acquisition, Energy Works will continue to supply utilities to the common areas and tenant spaces of the mall. The sponsor anticipated about $1.0 million in utilities expense savings annually. While we did not include this expense saving in our analysis, we qualitatively considered the benefit to the property should the reduction of utility expenses materialize." Transaction Summary This is a U.S. stand-alone (single-borrower) transaction backed by a one-year floating-rate, IO mortgage loan. The loan is secured by the borrower's fee simple and leasehold interests in a portion of Park City Center, a regional mall in Lancaster, Pa. The IO loan had an initial trust balance of $135.0 million at issuance. As part of various loan modifications and extensions, the sponsor, Brookfield Property REIT Inc., paid down the trust balance by $21.0 million to $114.0 million (according to the June 2022 trustee remittance report). The loan pays a floating interest rate of LIBOR plus gross margin of 3% per year, and originally matured on Sept. 9, 2020. The original extended maturity date was Sept. 9, 2021. According to the master servicer, Midland Loan Services, the loan was transferred to the special servicer on Sept. 9, 2020, and again on July 16, 2021, due to imminent maturity default. The loan was initially modified on Nov. 9, 2020, and subsequently returned to the master servicer. The initial modification terms included: -- Extending the loan's maturity date to Sept. 9, 2021, with no extension options remaining; -- Paying down 10% of the outstanding principal balance or $13.5 million; -- Putting a cash sweep in place; and -- Paying expenses and fees associated with the special servicing transfer. The loan was modified again on Sept. 9, 2021, and returned to the master servicer on Feb. 17, 2022. The current modification terms include: -- Extending the loan's maturity date to Sept. 9, 2022, with no additional extension options; -- Paying down the outstanding principal balance by $6.0 million; and -- Exercising a pre-contemplated (per loan agreement) partial release of an approximately three-acre outparcel tract for net sales of $1.5 million that was applied to pay down the principal trust balance. To date, the trust has not experienced any principal losses. The master servicer reported a 2.89x debt service coverage in 2021, up from 2.46x in 2020. Midland stated that the borrower intends to refinance the loan by its September 2022 maturity date. S&P noted that issuance that the sponsor provided a partial principal payment guaranty on the mortgage loan. The recent rapid spread of the Omicron variant highlights the inherent uncertainties of the pandemic but also the importance and benefits of vaccines. While the risk of new, more severe variants displacing Omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, S&P does not expect a repeat of the sharp global economic contraction of 2nd quarter 2020. Meanwhile, it continues to assess how well individual issuers adapt to new waves in their geography or industry. Ratings Affirmed J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-PCC Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: BB (sf) Class F: BB (sf) Class X-EXT: A- (sf) Rating Withdrawn J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-PCC Class X-CP to not rated from 'A- (sf)' JP MORGAN 2022-5: DBRS Finalizes B(low) Rating on Class B-5 Certs ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2022-5 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. JP MORGAN 2022-7: Fitch Assigns B(EXP) Rating on Class B-5 Debt --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2022-7 (JPMMT 2022-7). DEBT RATING ---- ------ JPMMT 2022-7 1-A-1 LT AA+(EXP)sf Expected Rating 1-A-2 LT AAA(EXP)sf Expected Rating 1-A-3 LT AAA(EXP)sf Expected Rating 1-A-4 LT AAA(EXP)sf Expected Rating 1-A-4-A LT AAA(EXP)sf Expected Rating 1-A-4-X LT AAA(EXP)sf Expected Rating 1-A-5 LT AAA(EXP)sf Expected Rating 1-A-5-A LT AAA(EXP)sf Expected Rating 1-A-5-B LT AAA(EXP)sf Expected Rating 1-A-5-X LT AAA(EXP)sf Expected Rating 1-A-6 LT AAA(EXP)sf Expected Rating 1-A-6-A LT AAA(EXP)sf Expected Rating 1-A-6-X LT AAA(EXP)sf Expected Rating 1-A-7 LT AAA(EXP)sf Expected Rating 1-A-7-A LT AAA(EXP)sf Expected Rating 1-A-7-B LT AAA(EXP)sf Expected Rating 1-A-7-X LT AAA(EXP)sf Expected Rating 1-A-8 LT AAA(EXP)sf Expected Rating 1-A-8-A LT AAA(EXP)sf Expected Rating 1-A-8-X LT AAA(EXP)sf Expected Rating 1-A-9 LT AAA(EXP)sf Expected Rating 1-A-9-A LT AAA(EXP)sf Expected Rating 1-A-9-B LT AAA(EXP)sf Expected Rating 1-A-9-X LT AAA(EXP)sf Expected Rating 1-A-10 LT AAA(EXP)sf Expected Rating 1-A-10-A LT AAA(EXP)sf Expected Rating 1-A-10-X LT AAA(EXP)sf Expected Rating 1-A-11 LT AAA(EXP)sf Expected Rating 1-A-11-A LT AAA(EXP)sf Expected Rating 1-A-11-X LT AAA(EXP)sf Expected Rating 1-A-12 LT AAA(EXP)sf Expected Rating 1-A-12-A LT AAA(EXP)sf Expected Rating 1-A-12-X LT AAA(EXP)sf Expected Rating 1-A-13 LT AAA(EXP)sf Expected Rating 1-A-13-A LT AAA(EXP)sf Expected Rating 1-A-13-X LT AAA(EXP)sf Expected Rating 1-A-14 LT AAA(EXP)sf Expected Rating 1-A-14-A LT AAA(EXP)sf Expected Rating 1-A-14-X LT AAA(EXP)sf Expected Rating 1-A-15 LT AAA(EXP)sf Expected Rating 1-A-15-A LT AAA(EXP)sf Expected Rating 1-A-15-X LT AAA(EXP)sf Expected Rating 1-A-16 LT AAA(EXP)sf Expected Rating 1-A-16-A LT AAA(EXP)sf Expected Rating 1-A-16-X LT AAA(EXP)sf Expected Rating 1-A-17 LT AA+(EXP)sf Expected Rating 1-A-17-A LT AA+(EXP)sf Expected Rating 1-A-18 LT AA+(EXP)sf Expected Rating 1-A-18-A LT AA+(EXP)sf Expected Rating 1-A-19 LT AA+(EXP)sf Expected Rating 1-A-19-A LT AA+(EXP)sf Expected Rating 1-A-X-1 LT AA+(EXP)sf Expected Rating 1-A-X-2 LT AAA(EXP)sf Expected Rating 1-A-X-3 LT AA+(EXP)sf Expected Rating 1-A-X-3-A LT AA+(EXP)sf Expected Rating 1-A-X-3-B LT AA+(EXP)sf Expected Rating 2-A-1 LT AA+(EXP)sf Expected Rating 2-A-2 LT AA+(EXP)sf Expected Rating 2-A-2-A LT AA+(EXP)sf Expected Rating 2-A-2-B LT AA+(EXP)sf Expected Rating 2-A-3 LT AAA(EXP)sf Expected Rating 2-A-3-A LT AAA(EXP)sf Expected Rating 2-A-3-B LT AAA(EXP)sf Expected Rating 2-A-4 LT AAA(EXP)sf Expected Rating 2-A-4-A LT AAA(EXP)sf Expected Rating 2-A-4-B LT AAA(EXP)sf Expected Rating 2-A-5 LT AAA(EXP)sf Expected Rating 2-A-5-A LT AAA(EXP)sf Expected Rating 2-A-5-B LT AAA(EXP)sf Expected Rating 2-A-6 LT AA+(EXP)sf Expected Rating 2-A-6-A LT AA+(EXP)sf Expected Rating 2-A-6-B LT AA+(EXP)sf Expected Rating 2-A-7 LT AA+(EXP)sf Expected Rating 2-A-7-A LT AA+(EXP)sf Expected Rating 2-A-7-B LT AA+(EXP)sf Expected Rating 2-A-8 LT AA+(EXP)sf Expected Rating 2-A-8-A LT AA+(EXP)sf Expected Rating 2-A-8-B LT AA+(EXP)sf Expected Rating 2-A-X-1 LT AA+(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2022-7 (JPMMT 2022-7) as indicated above. The certificates are supported by 444 loans with a total balance of approximately $477.92 million as of the cutoff date. The pool consists of prime-quality fixed-rate mortgages from various mortgage originators. The pool consists of loans originated by United Wholesale Mortgage, LLC (44.5%), loanDepot.com, LLC (14.8%), and Guaranteed Rate Inc. (11.3%) with the remaining 29.4% of the loans originated by various originators each contributing less than 10% to the pool. The loan level representations and warranties are provided the various originators or Maxex (aggregator). NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint Mortgage Servicing (Shellpoint), will act as interim servicer for approximately 40.5% of the pool from the closing date until the servicing transfer date, which is expected to occur on or about Oct. 1, 2022. After the servicing transfer date, these mortgage loans will be serviced by JPMorgan Chase Bank, National Association (Chase). Since Chase will service these loans after the transfer date, Fitch performed its analysis assuming Chase is the servicer for these loans. Other servicers in the transaction include United Wholesale Mortgage, LLC (servicing 44.5% of the loans) and loanDepot.com, LLC (servicing 14.8% of the loans), and Johnson Bank (servicing 0.3% of the loans). Nationstar Mortgage LLC (Nationstar) will be the master servicer. All of the loans qualify as safe-harbor qualified mortgage (SHQM), agency SHQM or QM safe-harbor (average prime offer rate [APOR]). There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.4% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since 1Q22). Underlying fundamentals are not keeping pace with growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.2% yoy nationally as of December 2021. High Quality Mortgage Pool (Positive): The pool consists of very high quality, fixed-rate, fully amortizing loans with maturities of 30 years. All of the loans qualify as SHQM, agency SHQM or QM safe-harbor (APOR) loans. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of five months, according to Fitch (three months per the transaction documents). The pool has a WA original FICO score of 764, as determined by Fitch, which is indicative of very high credit quality borrowers. Approximately 70.1% (as determined by Fitch) of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 74.0%, translating to a sustainable loan-to-value (sLTV) ratio of 80.4%, represents substantial borrower equity in the property and reduced default risk. A 95.5% portion of the pool comprises nonconforming loans, while the remaining 4.5% represents conforming loans. All of the loans are designated as QM loans, with 51.0% of the pool originated by a retail and correspondent channel. Of the pool, 100.0% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, planned unit developments (PUDs), single-family attached dwellings and Townhouses constitute 92.4% of the pool; condominiums make up 5.7%; and multifamily homes make up 2.0%. The pool consists of loans with the following loan purposes: purchases (62.5%), cashout refinances (27.2%) and rate-term refinances (10.3%). A total of 218 loans in the pool are over $1 million, and the largest loan is $2.95 million. Fitch determined that eight of the loans were made to nonpermanent residents. Of the pool, 45.7% is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (16.0%), followed by the San Francisco-Oakland-Fremont, CA MSA (7.4%) and the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (6.8%). The top three MSAs account for 30% of the pool. As a result, there was no probability of default (PD) penalty applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent P&I on loans that enter into a coronavirus pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 1.70% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.20% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Consolidated Analytics, Covius, Digital Risk, Inglet Blair, and Opus. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.28% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Consolidated Analytics, Covius, Digital Risk, Inglet Blair, and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS JPMMT 2022-7 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk due to strong due diligence results on 100% of the pool, an 'Above Average' aggregator, the majority of the pool being originated by an 'Above Average' originator, and 40% of the pool being serviced by a 'RPS1-' Fitch-rated servicer, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Although this transaction has loans that were purchased in connection with the Sponsor's Elevate D&I Program or the Sponsor's Clean Energy Program, Fitch did not take these programs into consideration when assigning the ESG Relevance Score as they did not directly impact the expected losses assigned or were relevant to the rating in Fitch's view. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JPMDB COMMERCIAL 2020-COR7: Fitch Affirms 'B+' Rating on H-RR Debt ------------------------------------------------------------------ Fitch Ratings has affirmed 17 classes of JPMDB Commercial Mortgage Securities Trust 2020-COR7 commercial mortgage pass-through certificates, series 2020-COR7. DEBT RATING PRIOR ---- ------ ----- JPMDB 2020-COR7 A-1 46652JAS1 LT AAAsf Affirmed AAAsf A-2 46652JAT9 LT AAAsf Affirmed AAAsf A-3 46652JAU6 LT AAAsf Affirmed AAAsf A-4 46652JAV4 LT AAAsf Affirmed AAAsf A-5 46652JAW2 LT AAAsf Affirmed AAAsf A-S 46652JBA9 LT AAAsf Affirmed AAAsf A-SB 46652JAX0 LT AAAsf Affirmed AAAsf B 46652JBB7 LT AA-sf Affirmed AA-sf C 46652JBC5 LT A-sf Affirmed A-sf D 46652JAC6 LT BBBsf Affirmed BBBsf E 46652JAE2 LT BBB-sf Affirmed BBB-sf F-RR 46652JAG7 LT BBB-sf Affirmed BBB-sf G-RR 46652JAJ1 LT BBsf Affirmed BBsf H-RR 46652JAL6 LT B+sf Affirmed B+sf X-A 46652JAY8 LT AAAsf Affirmed AAAsf X-B 46652JAZ5 LT AA-sf Affirmed AA-sf X-D 46652JAA0 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall performance and loss expectations for the pool have remained stable since issuance. Fitch's current ratings incorporate a base case loss of 3.63%. There is only one Fitch Loan of Concern (FLOC; 4.8% of pool), down from six loans (21.3%) at the prior rating action. The Whitehall III & V loan (4.8%) is secured by a 295,893-sf suburban office property located in Charlotte, NC, and was flagged as a FLOC due to declining occupancy and cash flow since issuance. Occupancy fell to 62.8% as of March 2022 from 63.5% in December 2021 and 95.5% in December 2020 after the property's largest tenant, Atrium Health (26% of NRA; 24% of total base rents; formerly known as the Charlotte Mecklenburg Hospital Authority) vacated at expiration in June 2021. Atrium Health previously paid an annual base rent that was approximately 15% below the subject's Airport/Parkway office submarket average asking rent of $24.04 psf as of 1Q 2022 per REIS. Current largest tenants include Novant Health (11.2% of NRA leased through November 2026), Bureau of Alcohol, Tobacco and Firearms (10.3%; February 2035), United States Military Entrance Processing Command (8.3%; January 2033) and The Haskell Company (7.9%; November 2024). As of the March 2022 rent roll, upcoming lease rollover includes 3.8% of the NRA in 2022, 1.3% in 2023 and 8.5% in 2024. Fitch applied a 10% haircut to the YE 2021 NOI to reflect the recent loss of Atrium Health and the upcoming lease rollover. Minimal Change to Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate principal balance has paid down by 0.5% to $724 million from $727 million at issuance. Eighteen loans (58.6% of pool) are full-term, interest-only, and seven loans (18.8%) still have a partial interest-only component during their remaining loan term, compared with 12 loans (29.2%) at issuance. Based on the scheduled balance at maturity, the pool will pay down by 6.0%. Three loans (6.7%) mature in 2025, one loan (5.2%) in 2026, one loan (6%) in 2027, nine loans (30.1%) in 2029 and the remaining 20 loans (52%) in 2030. Investment-Grade Credit Opinion Loans: Six loans, representing 23.3% of the pool, received investment-grade credit opinions at issuance. 1633 Broadway (8% of pool), BX Industrial Portfolio (5.2% of pool), Chase Center Towers I & II (combined 4.7% of pool), City National Plaza (2.8% of pool) and Moffett Towers Buildings A, B & C (2.8% of pool) each received a stand-alone credit opinion of 'BBB-sf*'. Significant Office and California Concentrations: Loans secured primarily by office properties account for nearly 80% of the pool, which is significantly higher than the YTD 2020 and 2019 averages of 35.4% and 34.2%, respectively. However, the pool includes only three loans (3.2% of pool) secured by retail properties and no loans secured by hotel properties. Additionally, loans secured by properties in California account for 37.1% of the pool, while loans secured by properties in New York account for 15.4% of the pool. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-1, A-2, A-3, A-SB, A-4, A-5, A-S, B, X-A and X-B are not likely due to the position in the capital structure but may occur should interest shortfalls affect these classes; -- Downgrades to classes C, D, E, F-RR and X-D may occur should expected losses for the pool increase substantially and/or all of the loans susceptible to the coronavirus pandemic suffer losses, which would erode credit enhancement; -- Downgrades to classes G-RR and H-RR would occur should overall pool loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize and/or additional loans default or transfer to special servicing; -- Fitch has identified both a baseline and a worse-than- expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance; -- Upgrades to classes B and C may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic; -- Upgrades to classes D, E, F-RR, G-RR and X-D would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls; -- Upgrades to class H-RR are not likely unless the later years of the transaction and performance of the remaining pool is stable, and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. LENDMARK FUNDING 2022-1: S&P Assigns Prelim BB- Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Lendmark Funding Trust 2022-1's personal consumer loan-backed notes. The note issuance is an ABS transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of June 17, 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 availability of approximately 66.9%, 59.6%, 50.8%, 44.9%, and 35.0% credit support to the class A, B, C, D and E notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the notes' preliminary ratings, based on our stressed cash flow scenarios. -- Lendmark Financial Services LLC's (Lendmark's) tightened underwriting and enhanced servicing procedures for its portfolio in response to the COVID-19 pandemic. Lendmark selectively eliminated loans to lower-credit-grade new borrowers, and reduced advances to existing lower-credit-grade existing borrowers. Since third-quarter 2020, Lendmark has gradually been relaxing these policies. -- The implementation of payment deferral options to borrowers negatively affected by the COVID-19 pandemic. While deferment levels rose through March and peaked in April 2020, they have since decreased to historic trend levels. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Nov. 10, 2021. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- The characteristics of the pool being securitized and the receivables expected to be purchased during the revolving period. -- The operational risks associated with Lendmark's decentralized business model. Lendmark has the capacity to shift branch employees to other branches as needed, and the company's technology infrastructure allows employees at any location to service loans across the entire branch network. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Lendmark Funding Trust 2022-1(i) Class A, $165.47 million: AAA (sf) Class B, $25.10 million: AA+ (sf) Class C, $37.48 million: A (sf) Class D, $20.75 million: BBB (sf) Class E, $51.20 million: BB- (sf) (i)The actual size of these tranches will be determined on the pricing date. LFS 2022A: DBRS Gives Prov. BB Rating on Class B Notes ------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by LFS 2022A, LLC: -- $83,000,000 Fixed Rate Asset-Backed Notes, Class A at A (sf) (the Class A Notes) -- $4,000,000 Fixed Rate Asset-Backed Notes, Class B at BB (sf) (together with the Class A Notes, the Notes) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns March 2022 Update," published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse 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. -- While the ongoing coronavirus pandemic has had an adverse effect on the U.S. borrower in general, performance of the underlying receivables in the transaction is expected to remain resilient, because litigation funding receivables and loan receivables are underwritten based on the strength of the case to reach a successful resolution rather than plaintiff's ability to repay. -- 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 payment of ultimate interest and ultimate principal of the Notes by the Legal Final Payment Date. -- Advances are most often repaid by insurance companies, many of which carry strong ratings. While there is exposure to the insurance industry, DBRS Morningstar does not expect the insurance carrier's ability to pay in the short to medium term to be adversely affected by the economic stress. -- The full-turbo feature included in the transaction provides further protection for the Notes. -- The underwriting and origination capabilities of the Originator. -- The ability of US Claims Capital, LLC, as Servicer, to make and monitor collections on the collateral pool and other required activities, with an acceptable back-up servicer. -- Assessment of payment sources. -- DBRS Morningstar's expected loss assumption for the worst case pool mix of the underlying collateral is 9.16%, which is based on an analysis of the US Claims Holdings LLC static pool loss data and the Concentration Limits. -- The credit quality of the collateral. -- The legal structure and expected presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with US Claims Holdings, LLC, the trust has a valid first-priority security interest in the assets, and are consistent with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. MILFORD PARK: Fitch Rates Class E Debt 'BB-sf' ---------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Milford Park CLO, Ltd. DEBT RATING ---- ------ Milford Park CLO, Ltd. A-1 LT NRsf New Rating A-2 LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Milford Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone Liquid Credit Strategies LLC. Net proceeds from the issuance of the secured notes and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.6% first lien senior secured loans and has a weighted average recovery assumption of 75.01%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class B, C, D and E notes can withstand default rates of up to 54.3%, 49.3%, 41.4% and 34.2%, respectively, assuming portfolio recovery rates of 45.6%, 55.2%, 64.4% and 69.6% in Fitch's 'AAsf', 'Asf', 'BBB-sf' and 'BB-sf' scenarios. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B, 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. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. MOFT TRUST 2020-ABC: DBRS Confirms B(low) Rating on Class D Certs ----------------------------------------------------------------- DBRS, Inc. confirmed all ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-ABC issued by MOFT Trust 2020-ABC as follows: -- Class X-A at A (sf) -- Class A at A (low) (sf) -- Class B at BBB (low) (sf) -- Class C at BB (low) (sf) -- Class D 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 original expectations. The 10-year interest only (IO) loan is secured by the fee-simple interest in three Class A office buildings totaling more than 950,000 square feet (sf) in Sunnyvale, California. The A, B, and C buildings were built in 2008 by the Jay Paul Company, an affiliate of the loan sponsor, and are a component of the larger Moffett Towers technology office campus. The three buildings are 100% leased to five tenants, including two high-investment-grade tenants, Google LLC (Google) and Comcast Cable Communications (Comcast), accounting for 97.4% of net rentable area (NRA). The servicer reported a YE2021 net cash flow (NCF) of $35.9 million, resulting in a 1.32 times (x) debt service coverage ratio (DSCR), compared with the YE2020 figures of $34.3 million and 1.26x, respectively. The DBRS Morningstar NCF at issuance was $47.9 million. At issuance it was noted that tenant Google, representing over 85% of the total NRA, had not yet taken occupancy or begun paying rent. Google was expected to take possession of Building C beginning in March 2020, with rent payments commencing in June 2020, and to take possession of Building B in January 2021 with rent commencement in June 2021. The servicer confirmed that Google has taken occupancy, but the full rent on the Building B space did not commence until October 2021, resulting in a lag on rental revenue. The 2022 financial statements will reflect full rental payments, and DBRS Morningstar expects cash flow to stabilize. According to the December 2021 rent roll, the collateral remains 100% occupied with a high concentration of investment-grade tenants. Google occupies 85.7% of NRA, and the tenant's parent company, Alphabet, carries a high corporate credit rating. The three Google leases feature staggered lease expiration terms of June 2026, September 2027, and May 2031, respectively, which reduce the rollover risk. The second-largest tenant, Comcast (11.7% of NRA; lease expiration of October 2027), is also an investment-grade entity. The transaction consists of a $328.0 million participation in a $770.0 million whole mortgage loan. The subject debt includes $1.0 million in senior notes, and all of the $327.0 million junior notes. The remaining $442.0 million of pari passu senior notes are further split between seven CMBS conduit transactions, including Benchmark 2020-IG2 Mortgage Trust and Benchmark 2020-IG3 Mortgage Trust, which are rated by DBRS Morningstar. The whole loan proceeds paid off existing debt totaling $364.0 million, returned $314.1 million of cash equity to the sponsor, covered unfunded sponsor obligations totaling $89.2 million, and paid closing costs of $2.7 million. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2014-150E: DBRS Confirms B Rating on Class F Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2014-150E issued by Morgan Stanley Capital I Trust 2014-150E as follows: -- Class A 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 C at A (low) (sf) -- Class D at BB (high) (sf) -- Class E at BB (sf) -- Class F at B (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. The $525.0 million transaction is backed by the leasehold interest and subleasehold interest in 150 East 42nd Street, a 42-story Class A office tower totaling 1.7 million square feet (sf) located directly across from Grand Central Terminal in Midtown Manhattan. The tower occupies the entire block bounded by Lexington Avenue, East 42nd Street, Third Avenue, and East 41st Street. The total debt stack includes an unsecuritized $175.0 million mezzanine loan that is co-terminus with the interest-only (IO) 10-year first mortgage. The property is currently anchored by investment-grade tenants Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Negative trend by DBRS Morningstar), which leases 461,514 sf (27.0% of net rentable area (NRA)) through 2028, and Mount Sinai Hospital, which leases 448,819 sf (26.3% of NRA) through 2046, that occupy a combined 53.3% of the property's NRA. The third-largest tenant, Dentsu Aegis Network (Aegis), leases 206,175 sf (12.1% of NRA) through 2028. In 2020, Wells Fargo relocated its Manhattan headquarters to 30 Hudson Yards after it signed a lease for 500,000 sf of space. Furthermore, Aegis had executed a lease for 320,000 sf at the Morgan North Postal facility at 341 Nineth Avenue in West Chelsea, suggesting potential for either or both tenants to consolidate operations at new locations. According to the servicer, neither tenant has expressed any intention to vacate the subject property ahead of its respective lease expiration, and neither tenant is currently subleasing any of its space. Both of these leases extend beyond the 2024 loan maturity and, according to the December 2021 rent roll, both tenants are paying well below market rents. According to Reis, asking rents within the Grand Central submarket were $75.50 per sf (psf) with a vacancy rate of 10.7% as of YE2021, compared to the YE2020 asking rental rate of $78.30 psf and vacancy rate of 8.8%. In comparison, Wells Fargo and Aegis pay $56.64 psf and $59.00 psf, respectively. The property was 94.4% occupied as of YE2021 with a debt service coverage ratio (DSCR) of 1.82 times (x), compared to the YE2020 DSCR of 1.78x and YE2019 DSCR of 1.76x. Only 5.6% of the NRA is scheduled to roll in the next 12 months. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-C21: DBRS Confirms C Rating on 3 Classes ------------------------------------------------------------- DBRS Limited downgraded the ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C21 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 as follows: -- Class C to BB (high) (sf) from BBB (low) (sf) -- Class PST to BB (high) (sf) from BBB (low) (sf) In addition, DBRS Morningstar confirmed the ratings on the following classes: -- Class A-3 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 (low) (sf) -- Class B at A (high) (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class 555A at A (sf) -- Class 555B at BBB (sf) DBRS Morningstar maintains Negative trends on Classes A-S, B, C, PST, and X-B. Classes D, E, F, and G have ratings that do not carry trends. All remaining classes have Stable trends. The Interest in Arrears designation was removed from Classes D, E and F as those were repaid with the April 2022 remittance but DBRS Morningstar maintains the designation on Class G. The rating downgrades and Negative trends reflect an increase of DBRS Morningstar's projected losses since the last rating action, primarily attributable to updated appraised values for loans in special servicing and continued downward pressure on the lower tranches of the capital stack and their propensity for interest shortfalls. As of the April 2022 remittance, there are six loans, representing 25.8% of the pool, that are in special servicing, including four loans in the top 15. The largest contributor to DBRS Morningstar's expected losses is the largest loan in the pool, Westfield Palm Desert (Prospectus ID#1, 8.2% of the pool balance). The pari passu $125.0 million whole loan is fully interest only (IO) and is secured by a 572,724-square-foot (sf) portion of a 977,888-sf regional mall located in Palm Desert, California. The loan transferred to special servicing in August 2020 due to payment default. Though it was brought current in February 2022, the March and April 2022 debt service payments remain outstanding as of the date of this publication. The special servicer continues to pursue foreclosure after receivership was granted in October 2021. While in receivership, the property was rebranded as The Shops at Palm Desert and is expected to be marked for sale once foreclosure is complete, according to the special servicer. An updated appraisal completed in July 2021 valued the property at $55.2 million, down 16.2% from the September 2020 value of $65.9 million and down 73.9% from the appraised value of $212.0 million at issuance. The sharp value decline is generally the product of cash flow declines that preceded the onset of the Coronavirus Disease (COVID-19) pandemic; however, the weakened appeal of regional mall properties, as well as the subject mall's tertiary location, related limitations in attracting replacement tenants to backfill existing vacancies, and increasing cap rates for this property type were also significant contributors to the loss in value since the subject loan was made in 2015. It has recently been reported that the loan sponsor, Unibail-Rodamco-Westfield, will be divesting most of its U.S. assets by YE2023. Unibail-Rodamco-Westfield has already handed back the keys to its lenders for five underperforming regional malls. The servicer noted that the loan is structured with a sponsor guaranty that would cover the difference between the outstanding loan balance and the foreclosure proceeds. Although the guaranty is noteworthy, the servicer noted the work remains ongoing to determine the feasibility of enforcing the guaranty. DBRS Morningstar did not give any credit to the guaranty in the analysis. Given the sponsor's planned exit from the market, the property's declining performance and value, and the lack of investment interest and available liquidity for regional malls in general, DBRS Morningstar expects that a disposition of the subject property will result in a stressed sale with a loss severity in excess of 65.0%. As of the April 2022 remittance, 59 of the original 64 loans remain in the pool, representing a collateral reduction of 13.0% since issuance due to loan repayments and scheduled loan amortization. There has been no realized trust loss to date. Loans secured by retail properties represent the greatest property type concentration, accounting for 36.6% of the current pool balance, followed by office properties at 26.0%. There are 13 loans on the servicer's watchlist, representing 16.9% of the pool balance. In addition, 6.7% of the pool is fully defeased. The Class 555A and Class 555B certificates are rake bonds backed by the 555 11th Street NW subordinate B note, which is a $57.0 million loan that is composed of a portion of the $177.0 million whole loan secured by the collateral property, a Class A office building in Washington, D.C. The whole loan comprises a $90.0 million pari passu A note ($60.0 million of which is held in the subject trust and backs the pooled bonds); a $30.0 million senior B note (not held in any commercial mortgage-backed securities transactions); and a $57.0 million subordinate B note, of which a $30.0 million pari passu portion was contributed to the subject transaction. The subordinate B note is below the senior B note in payment priority. The performance of the underlying collateral has been strong since issuance. As of September 2021, the servicer reported a 97.0% occupancy rate and a debt-service coverage ratio (DSCR) of 2.24 times (x), compared with the YE2020 DSCR of 2.39x. Given the historically stable performance, the outlook of the loan continues to be consistent with issuance expectations. Notes: All figures are in U.S. dollars unless otherwise noted. NATIXIS COMMERCIAL 2020-2PAC: DBRS Confirms B(low) on 2 Classes --------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-2PAC, Amazon Phase VII Loan Specific Certificates issued by Natixis Commercial Mortgage Securities Trust 2020-2PAC (NCMS 2020-2PAC) as follows: -- Class AMZ1 at BBB (low) (sf) -- Class AMZ2 at BB (low) (sf) -- Class AMZ3 at B (low) (sf) -- Class V-AMZ at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the loan, which remains consistent with DBRS Morningstar's expectations at issuance. The loan is secured by the borrower's fee-simple interest in Amazon Phase VII, a 12-story, Class A office property in Seattle. The property was constructed in 2015 and was built to suit for Amazon Corporate LLC (Amazon), a subsidiary of Amazon.com, Inc, an investment-grade rated tenant. The building is LEED Gold certified and totals 318,617 square feet (sf), including 5,651 sf of ground-floor retail space, a four-level subterranean parking garage containing 429 parking spaces, a public plaza, and a landscaped rooftop terrace with sweeping views of Seattle. The property is one of more than 40 office buildings comprising Amazon's corporate headquarters campus in Seattle's South Lake Union submarket. Amazon occupies 98.2% of the net rentable area (NRA), and its lease, which is structured with a 9.3% rent increase every three years, is fully guaranteed by the parent company. The lease commenced on September 2015 and expires in August 2031, well beyond the anticipated repayment date of April 2025 and the final maturity of December 2026. In addition, the lease is structured with two five-year extension options and no early termination options. The only other tenant at the property is Sam's Tavern (1.8% NRA) on a lease through January 2026. As of September 2021, the property was 100.0% occupied and the reported net cash flow (NCF) for the trailing 12 months was $11.4 million, an increase from the year-end (YE) 2020 NCF of $10.6 million and the DBRS Morningstar NCF of $10.9 million. DBRS Morningstar assumed a straight-line credit for Amazon's rent over the loan term given its consideration as a long-term credit tenant. The Amazon Phase VII whole loan of $220.0 million is composed of $160.0 million of senior debt and $60.0 million of junior debt. The loan is interest only for the full term. The Amazon Phase VII A note was contributed to the subject trust and split into four components: one senior pooled component with an outstanding principal balance of $100.1 million and three subordinate nonpooled components totaling $59.9 million, which serve as collateral for these rated loan-specific certificates. DBRS Morningstar does not rate the NCMS 2020-2PAC pooled certificates. The sponsors cashed out $17.5 million as part of the transaction; however, they still have approximately $68.0 million of implied equity behind the deal based on the issuance appraised value. Notes: All figures are in U.S. dollars unless otherwise noted. OAKTREE CLO 2022-2: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Oaktree CLO 2022-2 Ltd./Oaktree CLO 2022-2 LLC's floating-rate notes. The transaction is managed by Oaktree 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 22, 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 Oaktree CLO 2022-2 Ltd./Oaktree CLO 2022-2 LLC Class A-1, $300.0 million: AAA (sf) Class A-2, $15.0 million: AAA (sf) Class B, $65.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $30.0 million: BBB- (sf) Class E (deferrable), $15.0 million: BB- (sf) Subordinated notes, $41.8 million: Not rated OBX TRUST 2022-NQM6: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to OBX 2022-NQM6 Trust. DEBT RATING ---- ------ OBX 2022-NQM6 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes issued by OBX 2022-NQM6 Trust (OBX 2022-NQM6) as indicated above. The transaction is scheduled to close on June 28, 2022. The notes are supported by 623 loans with a total unpaid principal balance of approximately $387.9 million as of the cutoff date. The pool consists of fixed-rate mortgages and adjustable-rate mortgages acquired by Annaly Capital Management, Inc. (Annaly) from various originators and aggregators. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-payment structure. The transaction has a stop-advance feature where the P&I advancing party will advance delinquent P&I for up to 120 days. Of the loans, 63% are designated as non-qualified mortgage (non-QM) and 34% are investment properties not subject to the Ability to Repay (ATR) Rule. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 8.8% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.9% yoy nationally as of December 2021. Non-Prime Credit Quality (Mixed): The collateral consists of 15-, 30- and 40-year fixed-rate and adjustable-rate loans. Adjustable-rate loans constitute 6.0% of the pool; 26.3% are interest-only (IO) loans and the remaining 73.7% are fully amortizing loans. The pool is seasoned approximately five months in aggregate. Borrowers in this pool have a moderate credit profile with a Fitch-calculated weighted average (WA) FICO score of 743, debt-to-income ratio of 43.4% and moderate leverage of 74.8% sustainable loan to value ratio. Pool characteristics resemble recent non-prime collateral. Investor Properties, Non-QM and Alternative Documentation (Negative): The pool contains a meaningful amount of investor properties (34%) and non-QM loans (63%). Fitch's loss expectations reflect the higher default risk associated with these attributes as well as loss severity (LS) adjustments for potential ATR challenges. Higher LS assumptions are assumed for the investor property product to reflect potential risk of a distressed sale or disrepair. Fitch viewed approximately 89.8% of the pool as less than full documentation, alternative documentation was used to underwrite the loans. Of this, 34.2% were underwritten to a bank statement program to verify income, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.6x on the bank statement loans. Besides loans underwritten to a bank statement program, 28.6% are a debt service coverage ratio product, 13.2% are a WVOE product, 9.4% are P&L loans and 2.1% constitute an asset depletion product. High California Concentration (Negative): Approximately 47% of the pool is located in California. Additionally, the top three MSAs - Los Angeles (28%), New York (21%) and Miami (9%) - account for 58% of the pool. As a result, a geographic concentration penalty of 1.13x was applied to the PD. Sequential-Payment Structure with Limited Advancing (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes. The structure includes a step-up coupon feature where the class A-1 fixed interest rate will increase by 100bps starting on the July 2026 payment date. This reduces the modest excess spread available to repay losses. However, the interest rate is subject to the net WA coupon, and any unpaid cap carryover amount for class A-1 may be reimbursed from the monthly excess cash flow, to the extent available. Additionally, class B-2 and B-3 interest rates will step down to 0.000% starting on the July 2026 payment date. Advances of delinquent P&I will be made on the mortgage loans for the first 120 days of delinquency, to the extent such advances are deemed recoverable. The P&I advancing party (Onslow Bay Financial LLC) is obligated to fund delinquent P&I advances for the SPS and Shellpoint loans. AmWest will be responsible for making P&I advances with respect to the AmWest serviced mortgage loans. If AmWest or the P&I advancing party, as applicable, fails to remit any P&I advance required to be funded, the master servicer (Wells Fargo) will fund the advance. The stop-advance feature limits the external liquidity to the bonds in the event of large and extended delinquencies, but the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I for the life of the transaction as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40.7% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. OCEANVIEW MORTGAGE 2022-SBC1: DBRS Gives (P) B(low) on B2C Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of secured floating-rate notes to be issued by Oceanview Mortgage Trust 2022-SBC1: -- Class A at AAA (sf) -- Class AIO at AAA (sf) -- Class M1B at AA (sf) -- Class M1C at AA (low) (sf) -- Class M2B at A (sf) -- Class M2C at A (low) (sf) -- Class M3A at BBB (high) (sf) -- Class M3B at BBB (sf) -- Class M3C at BBB(low) (sf) -- Class B1A1 at BB (high) (sf) -- Class B1A2 at BB (high) (sf) -- Class B1C at BB (low) (sf) -- Class B2C at B (low) (sf) -- Class XP1 at AAA (sf) -- Class XP2 at AAA (sf) -- Class XP3 at AAA (sf) -- Class XP4 at AAA (sf) All trends are Stable. The collateral consists of 414 individual loans secured by 414 commercial, multifamily, and single-family rental (SFR) properties with an average loan balance of $527,496. (Unless noted otherwise, average refers to straight average.) The transaction is configured with a sequential pay pass-through structure. Given the complexity of the structure and granularity of the pool, DBRS Morningstar applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology) and "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology" (the RMBS Methodology). Of the 414 individual loans, 294 loans, representing 71.4% of the pool, have a fixed interest rate with an average of 6.28%. The floating-rate loans are structured with interest rate life floors ranging from 4.75% to 10.125% with a straight average of 6.67% and interest rate margins ranging from 1.000% to 6.875% with a straight average of 3.21%. To determine the probability of default (POD) and loss severity given default inputs in the CMBS Insight Model for the floating-rate loans, DBRS Morningstar applied a stress to the various indexes that corresponded with the remaining fully extended term of the loans and added the respective contractual loan spread to determine a stressed interest rate over the loan term. DBRS Morningstar looked to the greater of the interest rate floor or the DBRS Morningstar stressed index rate when calculating stressed debt service. The average modeled coupon rate across all loans was 7.36%. The loans have original terms of 15 years to 30 years and amortize over periods of 15 years to 30 years. When the cutoff loan balances were measured against the DBRS Morningstar Stressed Net Cash Flow (NCF) and their respective actual constants or stressed interest rates, there were 155 loans, representing 39.9% of the pool, with term debt service coverage ratios (DSCRs) below 1.15 times (x), a threshold indicative of a higher likelihood of term default. The pool has an average original term length of 358 months or 29.8 years with an average remaining term of 352 months or 29.3 years. Based on the original loan balance and the appraisal at origination, the pool had a weighted average loan-to-value ratio (WA LTV) of 67.1%. DBRS Morningstar applied a pool average LTV of 75.1%, which reflects adjustments made to values based on implied cap rates by market rank. Furthermore, all 414 loans fully amortize over their respective remaining loan terms, resulting in 100.0% expected amortization; this is not representative of typical commercial mortgage-backed securities (CMBS) conduit pools, which have substantial concentrations of interest-only (IO) and balloon loans. DBRS Morningstar research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0% with an overall average of 15.6%. Of the 414 loans, four loans, representing 0.2% of the trust balance, are secured by SFR properties. The CMBS Methodology does not currently contemplate ratings on SFR properties. To address this, DBRS Morningstar severely increased the expected loss on these loans by approximately 4.3x over the average non-SFR expected loss. The fully adjusted default assumption and model-generated severity figures from the DBRS Morningstar CMBS Insight Model were then applied to the residential mortgage-backed securities (RMBS) Cash Flow Model, which is adept at modeling sequential and pro rata structures on loan pools in excess of 400 loans. As part of the RMBS Cash Flow Model, DBRS Morningstar incorporated four constant prepayment rate stresses: 5.0%, 10.0%, 15.0%, and 20.0%. Additional assumptions in the RMBS Cash Flow Model include a 22-month recovery lag period, 100% servicer advancing, and four default curves (uniform, front, middle, and back). The shape and duration of the default curves were based on the RMBS loss curves. DBRS Morningstar assumed extraordinary expenses, where the AAA pays 100% of the annual cap, 80% for AA, 60% for "A", 40% for BBB, 30% for BB, and 20% for B per annum, and assumed they were paid annually over 120 months and stepped down by 75% after month 60. Lastly, rates were stressed, both upward and downward, based on their respective loan indexes. The pool is relatively diverse based on loan size with an average balance of $527,469, a concentration profile equivalent to that of a pool with 278 equal-size loans and a top 10 loan concentration of only 8.4%. Increased pool diversity helps to insulate the higher-rated classes from loan-level event risk. The loans are mostly secured by traditional property types (i.e., retail, multifamily, office, and industrial) with no exposure to higher-volatility property types, such as hotels, and minimal exposure to self-storage or manufactured housing communities (MHCs), which represent 2.2% of the pool balance combined. All loans in the pool fully amortize over their respective loan terms between 180 and 360 months, thus eliminating refinance risk. A third-party due diligence firm conducted guideline and nonowner occupancy reviews on 61.1% of the loans in the pool and pay history reviews on 100% loans by balance for 164 loans with a pay history provided by the servicer. Data integrity checks were also performed on the pool. Of the 259 loans on which a guideline review was performed, all were assigned a grade A or B, except one loan that was assigned a valuation grade of C. The pool has high-term risk as supported by the low DBRS Morningstar WA DSCR of 1.22x. The DBRS Morningstar DSCR reflects conservatively stressed debt service amounts on floating-rate loans. Furthermore, the pool has a cutoff WA LTV of 67.1% based on appraisal values at loan origination that suggests overall moderate leverage. The pool is heavily concentrated, with multifamily comprising 45.5% of the pool. Multifamily properties included mixed-use assets that were predominately residential. Based on DBRS Morningstar research, multifamily properties securitized in conduit transactions have had lower default rates than most other property types. Of the 46 loans that DBRS Morningstar sampled (reviewed third-party photographs and Google Street Views), 36 loans, representing 70.8% of the DBRS Morningstar sample, were modeled with Average – to Poor property quality. DBRS Morningstar increased the POD for these loans to account for the elevated risk. Furthermore, DBRS Morningstar modeled any uninspected loans as Average –, which has a slightly increased POD level. Limited property-level information was available for DBRS Morningstar to review. Asset Summary Reports, property condition reports (PCRs), Phase I/II Environmental reports, and historical financial cash flows were not provided in conjunction with this securitization. DBRS Morningstar received a long- or short-form appraisal for loans in its sample, which DBRS Morningstar used in the NCF analysis process. No environmental reports were provided; however, only 9.9% of the pool consists of loans secured by industrial properties, which would typically have an increased risk of environmental concerns originating at the property. Furthermore, as of the cutoff date, approximately 30.0% of the mortgage loans will be covered by one or more blanket environmental insurance policies. No PCRs were provided; however, DBRS Morningstar used capital expense estimates in excess of its guideline amounts and its assessment of the sampled property quality to stress the NCF analysis. DBRS Morningstar's NCF analysis resulted in a 20.6% reduction to the Issuer's NCF, well above the median historical reduction of 8.0% across CMBS conduit transactions, which provides meaningful stress to the default levels. DBRS Morningstar was provided limited borrower information, net worth or liquidity information, and credit history. DBRS Morningstar modeled loans with Weak borrower strength, which increases the stress on the default rate. Furthermore, DBRS Morningstar was provided a 12-month pay history on each loan. Any loan with more than one late pay within this period was modeled with additional stress to the default rate. This assumption was applied to 17 loans, representing 5.0% of the pool balance. Additionally, loans originated under the Lite Doc or Bank Statement documentation programs were modeled with additional stress to account for risk associated with borrowers who are potentially less sophisticated or have negative credit histories. This assumption was applied to 49 loans, representing 11.5% of the pool balance. Finally, a borrower Final FICO score as of January 2021 was provided on 141 of the 414 loans, with an average FICO score of 740. While the CMBS Methodology does not contemplate FICO scores, the RMBS Methodology does and would characterize a FICO score of 740 as near-prime, where prime is considered greater than 750. A borrower with a FICO score of 740 could generally be described as potentially having had previous credit events (foreclosure, bankruptcy, etc.), but it is likely that these credit events were cleared about two to five years ago. Notes: All figures are in U.S. Dollars unless otherwise noted. ONDECK ASSET III: DBRS Confirms BB Rating on Class D Notes ---------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following classes of notes issued by OnDeck Asset Securitization Trust III LLC: -- Series 2021-1 Fixed Rate Asset Backed Notes, Class A at AAA (sf) -- Series 2021-1 Fixed Rate Asset Backed Notes, Class B at A (sf) -- Series 2021-1 Fixed Rate Asset Backed Notes, Class C at BBB (sf) -- Series 2021-1 Fixed Rate Asset Backed Notes, Class D at BB (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 coronavirus variants, the overall outlook for growth and employment in the United States remains relatively positive. -- Credit enhancement is in the form of overcollateralization, a reserve account, subordination, and excess spread. Credit enhancement levels are sufficient to cover DBRS Morningstar-expected losses at their current respective rating levels. -- Credit quality of the collateral pool and historical performance, and the ability of the transaction to perform within DBRS Morningstar's base-case assumptions. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Notes: All figures are in U.S. dollars unless otherwise noted. PALMER SQUARE 2022-2: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 PRIME STRUCTURED 2020-1: DBRS Confirms BB(low) Rating on F Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the Mortgage-Backed Certificates, Series 2020-1 issued by Prime Structured Mortgage (PriSM) Trust as part of DBRS Morningstar's continued effort to provide market participants with updates on an annual basis: -- AAA (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class A (the Class A Certificates) -- AAA (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class VFC (the Class VFC Certificates) -- AAA (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class IO (the Class IO Certificates) -- AA (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class B (the Class B Certificates) -- AA (low) (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class C (the Class C Certificates) -- A (high) (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class D (the Class D Certificates) -- BBB (high) (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class E (the Class E Certificates) -- BB (low) (sf) on the Mortgage-Backed Certificates, Series 2020-1, Class F (the Class F Certificates; together with the Class A Certificates, the Class VFC Certificates, the Class IO Certificates, the Class B Certificates, the Class C Certificates, the Class D Certificates, and the Class E Certificates, the Rated Certificates) The ratings on the Class A Certificates, the Class VFC Certificates (together with the Class A Certificates, the Senior Principal Certificates), the Class B Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates represent the timely payment of interest to the holders thereof and the ultimate payment of principal by the Rated Final Distribution Date under the respective rating stress. The rating on the Class IO Certificates is an opinion that addresses the likelihood of the Notional Amount of the Class IO Certificates' applicable reference certificates (i.e., the Senior Principal Certificates) being adversely affected by credit losses. The Mortgage-Backed Certificates, Series 2020-1, Class G (the Class G Certificates) and Mortgage-Backed Certificates, Series 2020-1, Class R (collectively with the Class G Certificates and the Rated Certificates, the Certificates) are not rated by DBRS Morningstar. The rating confirmations are based on the following factors: (1) The collateral comprises a pool of first-lien fixed-rate, B-20 compliant uninsured Canadian residential mortgages with a maximum loan-to-value (LTV) ratio of 80% at origination. The total outstanding note balance was $482.7 million and the Senior Principal Accumulation Account had a balance of $60.9 million, as of March 2022. (2) Credit enhancement provided by subordination has built up since issuance, providing protection to the Certificates. (3) Credit performance since inception has been stable with no reported losses. The transaction benefits from strong asset quality consisting of prime conventional mortgages with high credit scores and low LTV ratios. Losses are allocated to the lowest-ranking Principal Certificates outstanding. (4) TD Securities Inc., a wholly owned subsidiary of the Toronto-Dominion Bank (rated AA (high) with a Stable trend by DBRS Morningstar), is the Seller and Master Servicer and provides representations and warranties and is ultimately responsible for all the servicing obligations of the mortgages. Both First National Financial LP (rated BBB with a Stable trend by DBRS Morningstar) and CMLS Financial Ltd., acting as Sub-Servicers, have extensive servicing experience in the Canadian residential mortgage market. The ratings on the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates materially deviate from higher ratings implied by the quantitative results. DBRS Morningstar considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted as DBRS Morningstar recognizes the structural subordination of the Class C Certificates to the Class B Certificates, the Class D Certificates to the Class C Certificates, the Class E Certificates to the Class D Certificates, and the Class F Certificates to the Class E Certificates. DBRS Morningstar monitors the performance of the transaction to identify any deviation from DBRS Morningstar's expectations at issuance and to ensure the ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers. The performance and characteristics of the pool and the Certificates are available and updated each month in the Monthly Canadian ABS Report. There were no environmental, social, or governance factors or consideration with a significant or relevant impact on the credit rating. Notes: All figures are in Canadian dollars unless otherwise noted. PRPM 2022-INV1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to PRPM 2022-INV1 Trust's mortgage pass-through certificates series 2022-INV1. The certificate issuance is an RMBS transaction backed by first-lien, fixed-and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residences, planned unit developments, two- to four-family homes, condominiums, townhouses, mixed-use properties, and five- to 40-unit residential properties. The pool consists of 908 business-purpose investor loans (including 113 cross-collateralized loans) backed by 1,393 properties that are exempt from qualified mortgage and ability-to-repay rules. The preliminary ratings are based on information as of June 21, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, PRP Advisors LLC; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Preliminary Ratings Assigned(i) PRPM 2022-INV1 Trust Class A-1, $201,225,000: AAA (sf) Class A-2, $27,193,000: AA (sf) Class A-3, $47,678,000: A (sf) Class M-1, $26,105,000: BBB (sf) Class B-1, $20,848,000: BB (sf) Class B-2, $15,953,000: B (sf) Class B-3, $23,567,093: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class P, $100: Not rated Class R, Not applicable: Not rated (i)The collateral and structural information in this report reflects the preliminary private placement memorandum dated June 17, 2022. The preliminary ratings address the ultimate payment of principal, interest, and interest carryover amounts. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. READY CAPITAL 2019-FL3: DBRS Confirms B(low) Rating on F Notes -------------------------------------------------------------- DBRS Limited upgraded the ratings on three classes of Commercial Mortgage-Backed Notes, Series 2019-FL3 issued by Ready Capital Mortgage Financing 2019-FL3 as follows: -- Class B to AAA (sf) from AA (sf) -- Class C to AA (high) (sf) from A (sf) -- Class D to BBB (high) (sf) from BBB (sf) In addition, DBRS Morningstar confirmed the ratings on the following classes: -- Class A-S at AAA (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The rating upgrades reflect the overall strong credit support to the bonds as a result of successful loan repayment as there has been collateral reduction of 60.9% since issuance. Additionally, select loans remaining in the transaction exhibit favorable credit and DBRS Morningstar expects the borrowers to successfully execute their respective exit strategies in the near to medium term, which would increase the credit support to the outstanding bonds further. DBRS Morningstar does note concerns surrounding the ultimate resolution of the 158 Lafayette loan (Prospectus ID#4, 22.4% of the current pool balance), which is currently in special servicing. DBRS Morningstar anticipates the trust to realize a loss with the ultimate disposition of the loan; however, the loss is expected to be contained to the unrated Class G. 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 April 2019 with an initial collateral pool of 43 floating-rate mortgage loans secured by 44 transitional real estate properties, totaling approximately $320.8 million, excluding approximately $101.3 million of future funding commitments. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction is static and did not include a ramp-up acquisition period or Reinvestment Period. As of the April 2022 remittance, the pool comprises eight loans secured by eight properties with a cumulative trust balance of $128.6 million. Since issuance, 35 loans with a former cumulative trust balance of $239.3 million have been successfully repaid from the pool. In general, the borrowers for the remaining loans in the pool have experienced delays in execution of the stated business plans at issuance with the most common issues related to construction and leasing delays caused by the coronavirus pandemic. Some borrowers, however, continue to make progress and have taken advantage of loan extensions and modifications in an effort to ultimately succeed. Through March 2022, the collateral manager had advanced $47.3 million in loan future funding to the eight individual borrowers to aid in property stabilization efforts with an additional $3.6 million of unadvanced loan future funding allocated to three individual borrowers outstanding. The transaction is concentrated by property type as two loans are secured by mixed-use properties, totalling 48.0% of the current trust balance; two loans are secured by office properties, totalling 26.5% of the current trust balance; and two loans are secured by multifamily properties, totaling 15.5% of the current trust balance. In comparison with transaction closing at April 2019, loans secured by mixed-use properties have grown from 25.9% of the trust balance at issuance, while loans secured by multifamily properties have decreased by 39.9% of the trust balance. The transaction is also concentrated by loan size, as the largest three loans represent 65.2% of the pool. As of the April 2022 remittance, there are four loans on the servicer's watchlist, representing 23.5% of the pool balance, and there are two loans in special servicing, representing 33.7% of the pool balance. The largest specially serviced loan, 158 Lafayette, is secured by a mixed-use building in the SoHo neighborhood of Lower Manhattan. The loan transferred to special servicing in May 2021 due to delinquent payments; however, the borrower had a history of late payment issues with an initial forbearance executed in July 2020 and an additional six-month forbearance executed in October 2020. The borrower defaulted on the second agreement in March 2021 with the loan currently paid through October 2020. The loan matured in August 2021 and the borrower's one-year extension request was rejected. According to the servicer, a workout strategy is being dual-tracked with the borrower along with foreclosure. To date, the borrower has not been cooperative and a hearing has been scheduled for May 20, 2022, for the appointment of a receiver, though foreclosure is not expected to be finalized until potentially Q1 2023. The property is not cash flowing and an updated December 2020 appraisal reported a property value of $19.0 million, reflective of a 25.5% decline from the as-is value at issuance of $25.5 million. DBRS Morningstar has requested an updated property valuation; however, given the outstanding loan balance of $28.8 million combined with a partially finished renovation plan, which will require additional equity to complete, DBRS Morningstar anticipates the trust to realize a loss at loan disposition. In addition, the StarCity 229 Ellis loan (Prospectus ID#11, 11.3% of the current pool), which is secured by a multifamily property in the Civic Center/Downtown submarket of San Francisco, recently transferred to special servicing, which will be reflected in the May 2022 reporting. The loan transferred to the special servicer due to imminent monetary default. The servicer has reported that the borrower was not able to repay the loan at the Aprill 2022 maturity and has requested an additional extension. It is expected that the lender will dual track resolution with the borrower and pursue foreclosure. DBRS Morningstar has not received updated financials for the property since 2021, and at that point, the property was not cash flowing. While the property will likely not achieve the DBRS Morningstar stabilized net cash flow of $1.1 million or the appraiser's originally projected stabilized value of $27.9 million, an appraisal dated June 2021 valued the property at $23.9 million, implying a loan-to-value ratio of 60.7% as the current loan balance is $14.5 million. Given there appears to be significant implied market equity remaining in the deal, DBRS Morningstar does not expect the resolution of the loan to result in a realized loss to the trust upon disposition. Notes: All figures are in U.S. dollars unless otherwise noted. RMF BUYOUT 2022-HB1: DBRS Finalizes B Rating on Class M5 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset-Backed Notes, Series 2022-HB1 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. SIGNAL PEAK 12: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its 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 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. 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 STARWOOD MORTGAGE 2022-4: Fitch Gives B-(EXP) Rating to B-2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Starwood Mortgage Residential Trust 2022-4. DEBT RATING ---- ------ STAR 2022-4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Starwood Mortgage Residential Trust 2022-4, series 2022-4 (STAR 2022-4), as indicated above. The certificates are supported by 673 loans with a balance of approximately $357.4 million as of the cutoff date. This is the fourth Fitch-rated STAR transaction in 2022 and the tenth STAR transaction Fitch has rated since 2020. The certificates are secured primarily by mortgage loans originated by third-party originators, with Luxury Mortgage Corporation, HomeBridge Financial Services, Inc. and CrossCountry Mortgage LLC sourcing 87.6% of the pool. The remaining 12.4% of the mortgage loans were originated by various originators that contributed less than 10% each to the pool. Select Portfolio Servicing, Inc is the servicer and Wells Fargo Bank N.A. is the master servicer. Of the loans in the pool, 54.5% are designated as non-qualified mortgages (non-QMs or NQMs), and 45.5% are not subject to the Consumer Finance Protection Bureau's (CFPB) Ability to Repay Rule (ATR Rule) or the rule. There is no LIBOR exposure in this transaction. The collateral consists of 31 adjustable-rate loans that reference one-month Secured Overnight Financing Rate (SOFR) and fixed rate loans. The class A-1 certificates will be fixed rate and capped at the net WAC and will have a step up feature were the coupon will equal will equal the lesser of (a) the sum of (i) the class A-1 fixed rate (ii) 1.00% and (b) the net WAC Rate for the related Distribution Date, class A-2 and A-3 certificates are fixed rate and capped at the net weighted average coupon (WAC), and the class M-1, B-1, B-2 and B-3 certificates are based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.6% above a long-term sustainable level versus 9.2% on a national level as of April 2022, down 1.4% since last quarter. Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates, and new buyers entering the market. These trends led to significant home price increases over the past year, with home prices rising 18.2% yoy nationally as of December 2021. Nonprime Credit Quality (Mixed): The collateral consists of 15-year, 30-year, fixed-rate fully amortizing loans (77.4%), 17.3% fixed-rate loans with an initial interest-only (IO) term, 5.4% 7/1 and 10/1 adjustable-rate mortgages (ARMs) with an initial IO term. The pool is seasoned at approximately four months in aggregate, as determined by Fitch. Borrowers in this pool have relatively strong credit profiles, with a 737 weighted average FICO score and a 46% debt-to-income (DTI) ratio, as determined by Fitch, and relatively high leverage with an original combined loan-to-value (LTV) ratio of 72.1% that translates to a Fitch-calculated sustainable LTV ratio of 79.2%. The Fitch DTI is higher than the DTI in the transaction documents with a DTI of 31.26% in the transaction documents due to Fitch assuming a 55% DTI for asset depletion loans and converting the debt service coverage ratio (DSCR) to a DTI for the DSCR loans. Of the pool, 48.8% consist of loans where the borrower maintains a primary residence, while 51.2% comprise an investor property or second home; and 53.2% of the loans were originated through a retail channel. Additionally, 54.5% are designated as non-QM and 45.5% are exempt from QM. The pool contains 84 loans over $1 million, with the largest being $3.027 million and 46.4% of the pool was underwritten to a 12- or 24-month bank statement program for verifying income, while 4.9% are asset depletion loans and 38.9% are investor cash flow DSCR loans. Approximately 46.0% of the pool comprise loans on investor properties with 7.1% underwritten to the borrowers' credit profile and 38.9% comprising investor cash flow loans. A portion of the loans, 0.3%, has subordinate financing, and there are no second-lien loans. Five loans in the pool were underwritten to foreign nationals. Fitch treated these loans as being investor occupied and having no documentation for income and employment. Fitch assumed a FICO score of 650 for foreign nationals without a credit score. Although the credit quality of the borrowers is higher than in prior NQM transactions, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Geographic Concentration (Negative): Approximately 32.3% of the pool are concentrated in California. The largest MSA concentration is in the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (16.9%), Los Angeles-Long Beach-Santa Ana, CA MSA (15.2%), followed by the Miami-Fort Lauderdale-Miami Beach, FL MSA (10.1%). The top three MSAs account for 42.2% of the pool. As a result, there was a 1.02x probability of default penalty for geographic concentration, which increased the 'AAA' loss by 0.24%. Loan Documentation (Negative): About 91.6% of the pool were underwritten to less than full documentation, and 46.4% were underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the CFPB's ATR Rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the rule's mandates with respect to the underwriting and documentation of the borrower's ability to repay. Additionally, 4.9% of loans in the pool are an asset depletion product, 0.0% are a CPA or PnL product, and 38.9% are a DSCR product. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class with limited advancing. There is excess spread in the transaction that is available to reimburse for losses or interest shortfalls should they occur. However excess spread will be reduced on and after July 2026, since the class A-1 has a step-up coupon feature where the coupon rate will increase by 1.0%, subject to a net WAC cap. To mitigate the effect of the A-1 step up coupon, the B-2 coupon has a step-down coupon feature where the coupon rate will decline to 0.0% on and after July 2026. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.3%, at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC and Recovco Mortgage Management, LLC. The third-party due diligence described in Form 15E focused on compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.48%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor, Starwood Non-Agency Lending, LLC, engaged SitusAMC and Recovco Mortgage Management, LLC to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report were provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS STAR 2022-4 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to operational risk being well controlled for in STAR 2022-4, strong transaction due diligence as well as a 'RPS1-' Fitch-rated servicer, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. SUTHERLAND COMMERCIAL 2021-SBC10: DBRS Confirms B(low) on F Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-SBC10 issued by Sutherland Commercial Mortgage Trust 2021-SBC10 as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The transaction is composed of individual fixed- and floating-rate small-balance loans secured by commercial and multifamily properties with an average loan balance of approximately $667,000. As of the April 2022 remittance, 259 of the original 300 loans remain in the pool with an aggregate principal balance of $172.2 million, representing a collateral reduction of 26.0% since issuance. Most of the loans that have been repaid were paid in advance of their respective maturity dates. During the April 2022 reporting period, 10 loans were prepaid, totaling $5.9 million in principal curtailments. This figure reflects a voluntary constant prepayment rate (CPR) of 33.3%, well above the life CPR of 11.3%. According to the April 2022 remittance, one loan (0.1% of the pool) is in special servicing and three loans (1.3% of the pool) are 30 days delinquent. Also, 17 loans (5.4% of the pool) are on the servicer's watchlist. The majority of these loans were flagged for deferred maintenance (3.5% of the pool) and upcoming loan maturity (0.6% of the pool). Through the remainder of 2022, seven loans (1.6% of the pool) have scheduled maturity dates and 26 loans (8.1% of the pool) have scheduled maturity dates during 2023. Approximately 95.6% of the current pool is amortizing, with 46.4% of the pool fully amortizing. The pool is granular and well diversified given the small-balance nature of the securitized loans. By loan balance, the top 15 loans represent 27.7% of the pool, with the largest loan representing just 3.0% of the pool. The collateral properties are located across 33 states, with the largest concentrations in New York (27.2% of the pool), California (12.6% of the pool), and Texas (9.8% of the pool). By property type, the pool has concentrations of loans secured by retail properties (36.0%), multifamily properties (27.2% of the pool), mixed-use properties (12.6% of the pool), and office properties (12.4% of the pool). DBRS Morningstar received limited borrower and property-level information at issuance and considered the overall property quality to be Average based on those properties sampled; this sample comprised 27.0% of the issuance pool balance. Notes: All figures are in U.S. dollars unless otherwise noted. UBS COMMERCIAL 2017-C3: Fitch Lowers Rating on G-RR Certs to CCsf ----------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 12 classes of UBS Commercial Mortgage Trust 2017-C3 commercial mortgage pass-through certificates. In addition, the Rating Outlooks on five classes were revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- UBS 2017-C3 A-2 90276GAP7 LT AAAsf Affirmed AAAsf A-3 90276GAR3 LT AAAsf Affirmed AAAsf A-4 90276GAS1 LT AAAsf Affirmed AAAsf A-S 90276GAW2 LT AAAsf Affirmed AAAsf A-SB 90276GAQ5 LT AAAsf Affirmed AAAsf B 90276GAX0 LT AA-sf Affirmed AA-sf C 90276GAY8 LT A-sf Affirmed A-sf D-RR 90276GAA0 LT BBBsf Affirmed BBBsf E-RR 90276GAC6 LT BBB-sf Affirmed BBB-sf F-RR 90276GAE2 LT B-sf Affirmed B-sf G-RR 90276GAG7 LT CCsf Downgrade CCCsf X-A 90276GAU6 LT AAAsf Affirmed AAAsf X-B 90276GAV4 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Greater Certainty of Loss: While overall pool performance and loss expectations have remained stable since Fitch's prior rating action, the downgrade reflects a greater certainty of loss to class G-RR due primarily to higher loss expectations on the specially serviced OKC Outlets and Embassy Suites - Santa Ana loans. There are 12 Fitch Loans of Concern (FLOCs; 33.4% of pool), including five (24.1%) specially serviced loans. Fitch's ratings incorporate a base case loss of 6.00%. Losses are marginally higher at 6.10% when factoring an additional stress on the pre-pandemic cash flow of one hotel loan, Crowne Plaza Memphis Downtown, where performance has yet to stabilize since the onset of the pandemic. The Outlook revisions to Stable from Negative on classes A-S through D-RR and X-B reflect performance stabilization of properties that had been affected by the pandemic since the prior rating action. The Negative Outlooks on classes E-RR and F-RR, which were previously assigned for additional coronavirus-related stresses applied on hotel, retail and multifamily loans, are maintained to reflect performance concerns on the specially serviced OKC Outlets and Embassy Suites - Santa Ana loans; downgrades to these classes are possible if performance of these properties deteriorates further and/or the ultimate workout timing and resolution of these loans become prolonged. The largest contributor to overall loss expectations and the largest increase in loss since the prior rating action is the OKC Outlets loan (5.4%), which is secured by a 394,240sf outlet center located in Oklahoma City, OK. The loan defaulted at its scheduled maturity date and transferred to special servicing in May 2022. Fitch's base case loss has increased to 49%, reflecting a 15% cap rate and 15% stress to the YE 2021 NOI to account for the maturity default, declining occupancy from issuance and significant near-term rollover concerns. YE 2021 NOI improved by 14.5% from YE 2020, but it remains 7.9% below pre-pandemic YE 2019 NOI. Occupancy was 87.6% as of April 2022, compared with 86.5% at YE 2021 and YE 2020, and 92.6% at YE 2019. The drop in occupancy between YE 2019 and YE 2020 is due to vacating stores Brooks Brothers (1.9% of NRA; vacated ahead of August 2022 expiration), Spirit Halloween (1.9%; November 2020), Lane Bryant Outlet (1.5%; August 2021), Talbots (1.0%; January 2022) and Wilsons Leather Outlet (0.8%; December 2020). Major tenants include Nike (3.5%; January 2027), Forever 21 (3.1%; January 2025) and Old Navy (2.8%; November 2023). Upcoming rollover is substantial, including 15.9% of the NRA (20 leases) in 2022, 27.7% (22 leases) in 2023 and 10.3% (12 leases) in 2024. The largest tenants rolling by YE 2024 include Old Navy (2.8%; November 2023) and Columbia Sportswear (2.2%; January 2023). Comparable inline tenant sales were $462/sf as of TTM June 2021, up from $397/sf as of TTM June 2020 and $439/sf as of TTM August 2019. The borrower was granted coronavirus debt relief, which suspended the monthly replenishment of replacement and rollover reserves from June through August 2020, and allowed the use of existing reserves to fund debt service for June and July 2020. The borrower began a 12-month replenishment of the reserves in January 2021. The second-largest contributor to loss expectations is the Embassy Suites - Santa Ana loan (5.4%), which is secured by a 301-key full-service hotel located in Santa Ana, CA. This loan transferred to special servicing in February 2022 due to imminent default and delinquent franchise fees. The borrower and servicer are in discussions on a potential modification. Cash management has been triggered; however, excess cash has been insufficient to fund all of the borrower's operating expenses. Property underperformance was further exacerbated by the pandemic. The borrower received pandemic-related debt relief in April 2020, where reserve funds were utilized to keep the loan current. As of TTM February 2022, occupancy, ADR and RevPAR were 37%, $134 and $49, respectively, compared with 48%, $105 and $51 at YE 2020 and 78.8%, $135 and $106 at YE 2019. Fitch's base case loss of 27% reflects a stressed value of $88,642 per key and reflects a 10% haircut to the YE 2019 NOI to reflect hotel performance volatility. Minimal Change to Credit Enhancement: As of the May 2022 distribution date, the pool's aggregate principal balance has paid down by 4.0% to $680.2 million from $708.6 million at issuance. Seven loans (18.9% of pool) are defeased, as the servicer confirmed that the defeasance of the TZA Multifamily Portfolio I loan (7.2%) closed on June 3, 2022. Eight loans (35.6%) are full-term, interest-only, and three loans (15.5%) still have a partial interest-only component during their remaining loan term, compared with eight loans (31.7%) at issuance. Two loans (8.6%) mature in August 2022, and the remainder of the pool (39 loans; 86.0%) matures May to August 2027. Credit Opinion Loans: Three loans, representing 17.4% of the pool, received investment-grade credit opinions on a standalone basis at issuance. The 245 Park Avenue loan (5.6%) received a standalone investment-grade credit opinion of 'BBBsf*' and the Park West Village loan (4.4%) received a standalone investment-grade credit opinion of 'BBB-sf*'. At issuance, Del Amo Fashion Center (7.4%) was assigned a credit opinion of 'BBBsf*' on a standalone basis; however, due to Fitch's view on regional mall properties, this loan is no longer considered to have credit characteristics consistent with an investment-grade credit opinion. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-2, A-3, A-4, A-SB, X-A, B and X-B are not likely due to the position in the capital structure but may occur if interest shortfalls affect these classes. -- Downgrades to classes C and D-RR may occur if expected losses for the pool increase substantially and/or all of the FLOCs and/or loans susceptible to the coronavirus pandemic suffer losses, which would erode credit enhancement (CE). -- Downgrades to classes E-RR and F-RR would occur if overall pool loss expectations increase from continued performance decline of the FLOCs, primarily the OKC Outlets and Embassy Suites - Santa Ana loans; additional loans default or transfer to special servicing; and/or higher than expected losses are incurred on the specially serviced loans. -- Downgrades to class G-RR would occur as losses are realized and/or become more certain. -- Fitch 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 plays out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that could lead to upgrades include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance; -- Upgrades to classes B, C and X-B may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic; -- Upgrades to classes D and E-RR may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic return to pre-pandemic levels and/or recovery expectations on the OKC Outlets and Embassy Suites - Santa Ana loans improve. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls; -- Upgrades to classes F-RR and G-RR are not likely until the later years of the transaction and only if performance of the remaining pool is stable and/or properties vulnerable to the pandemic return to pre-pandemic levels and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. UPSTART SECURITIZATION 2022-3: Moody's Gives '(P)Ba2' to B Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Upstart Securitization Trust 2022-3 ("UPST 2022-3"), the third personal loan securitization issued from the UPST shelf this year. The collateral backing UPST 2022-3 consists of unsecured consumer installment loans originated by Cross River Bank, a New Jersey state-chartered commercial bank and FinWise Bank, a Utah state-chartered commercial bank, all utilizing the Upstart Program, respectively. Upstart Network, Inc. ("Upstart") will act as the servicer of the loans. The complete rating actions are as follows: Issuer: Upstart Securitization Trust 2022-3 Class A Notes, Assigned (P)A3 (sf) Class B Notes, Assigned (P)Ba2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure and fast amortization of the assets, the experience and expertise of Upstart as servicer, and the back-up servicing arrangement with Wilmington Trust, National Association and its designated sub-agent, Systems & Services Technologies, Inc. (S&ST unrated). Moody's median cumulative net loss expectation for the 2022-3 pool is 16.2% and the stress loss is 56.0%. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Upstart to perform its servicing functions; the ability of Wilmington Trust, National Association and its sub-agent to perform the backup servicing functions; and current expectations of the macroeconomic environment during the life of the transaction. At closing, the Class A and Class B notes are expected to benefit from 30.5% and 18.0% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination. The notes may also benefit from excess spread. The social risk for this transaction is high. Marketplace lenders have attracted elevated levels of regulatory attention at the state and federal level. As such, regulatory and borrower challenges to marketplace lenders and their third-party lending partners over "true lender" status and interest rate exportation could result in some of Upstart's loans being deemed void or unenforceable, in whole or in part. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-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, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Moody's expectation of pool losses could decline as a result of better than expected improvements in the economy, changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. In addition, greater certainty concerning the legal and regulatory risks facing this transaction could lead to lower loss volatility assumptions, and thus lead to an upgrade of the notes. Down Moody's could downgrade the ratings of the notes if pool losses exceed its expectations and levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses may increase, for example, due to performance deterioration stemming from a downturn in the US economy, deficient servicing, errors on the part of transaction parties, inadequate transaction governance or fraud. In addition, the legal and regulatory risks stemming from the bank partner model that Upstart utilizes could expose the pool to increased losses. VMC FINANCE 2021-FL4: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------------ DBRS Limited confirmed its ratings on all classes of notes issued by VMC Finance 2021-FL4 LLC as follows: -- 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 remains in line with DBRS Morningstar's issuance expectations. 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. For access to this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. At issuance, the collateral consisted of 23 floating-rate mortgages secured by 29 mostly transitional commercial real estate properties totalling approximately $927.9 million, excluding approximately $92.3 million of future funding commitments. The transaction is static and is structured with a 36-month Permitted Funded Companion Participation Acquisition Period ending with the May 2024 Payment Date whereby the Issuer can contribute funded participations of loans into the Trust. Most loans are in a period of transition with plans to stabilize and improve asset value. As of the April 2022 remittance, a total of 18 loans secured by 20 properties remained in the trust with an aggregate principal balance of $754.3 million. Five loans, which had a cumulative trust balance of $184.0 million, have successfully repaid from the pool. The current Cash Reinvestment Account had a balance of $7.7 million as of the April 2022 remittance. Most borrowers are progressing toward completing the stated business plans; through April 2022, the collateral manager had advanced $37.0 million in loan future funding to 17 individual borrowers since the transaction closed in May 2021. The majority of this amount has been released to the borrowers of the Dolce Living at Royal Palm Apartments loan ($5.4 million) to fund capital improvements and operating reserves and the River Forum loan ($5.0 million) to fund capital improvements and leasing costs. An additional $26.6 million of loan future funding allocated to 15 borrowers to further aid in property stabilization efforts remains outstanding. The majority of this potential funding is allocated to the borrowers of the Columbus Center loan ($9.1 million) to fund capital improvements and leasing costs and the City Parkway loan ($7.5 million) to fund leasing costs. The collateral pool is concentrated by property type as 10 loans, representing 57.0% of the cumulative loan balance, are secured by office properties and seven loans, representing 38.3% of the cumulative loan balance, are secured by multifamily properties. By geographical concentration, the collateral is most heavily concentrated in California, Florida, and Texas, with loans representing 24.7%, 23.2%, and 20.6% of the cumulative loan balance, respectively. Three loans, representing 17.0% of the cumulative trust balance, are in urban markets with DBRS Morningstar Market Ranks of 6, 7, and 8. These markets have historically shown greater liquidity and demand. There are seven loans, representing 36.0% of the cumulative loan balance, secured by properties in markets with a DBRS Morningstar Market Rank of 3 or 4, which are suburban in nature and have historically had higher probability of default levels when compared with properties in urban markets. As of April 2022 reporting, all loans remained current, and there were two loans on the servicer's watchlist, representing 9.3% of the pool balance. The larger of the two loans, River Forum (Prospectus ID#9, 6.2% of the pool), is being monitored for occupancy declines; occupancy fell to 65.2% as of December 2021 from 68.6% at issuance. The loan is structured with more than $6.0 million of future funding to fund accretive leasing costs; however, there is significant rollover risk at the property, as tenants occupying nearly 25% of net rentable area combined are scheduled to roll in 2022, which could result in further occupancy declines. The other loan being monitored on the servicer's watchlist, The Wakefield (Prospectus ID#18, 3.2% of the pool), is being monitored for low cash flow, which DBRS Morningstar expected at issuance as the borrower's business plan is to complete capital improvements and lease vacant space at market rental rates at this office property in Oakland, California. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2017-C40: Fitch Lowers Rating on Class F Debt to B-sf ----------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2017-C40, Series 2017-C40 (WFCM 2017-C40). DEBT RATING PRIOR ---- ------ ----- WFCM 2017-C40 A-2 95000YAV7 LT AAAsf Affirmed AAAsf A-3 95000YAX3 LT AAAsf Affirmed AAAsf A-4 95000YAY1 LT AAAsf Affirmed AAAsf A-S 95000YBB0 LT AAAsf Affirmed AAAsf A-SB 95000YAW5 LT AAAsf Affirmed AAAsf B 95000YBC8 LT AA-sf Affirmed AA-sf C 95000YBD6 LT A-sf Affirmed A-sf D 95000YAC9 LT BBB-sf Affirmed BBB-sf E 95000YAE5 LT BBsf Downgrade BB+sf F 95000YAG0 LT B-sf Downgrade BB-sf G 95000YAJ4 LT CCCsf Affirmed CCCsf X-A 95000YAZ8 LT AAAsf Affirmed AAAsf X-B 95000YBA2 LT AA-sf Affirmed AA-sf X-D 95000YAA3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: Fitch's loss expectations for the pool are roughly in line with the last rating action. Two loans that were in special servicing at the last rating action have been returned to the master servicer as corrected loans. The Hilton Garden Inn Chicago/North Loop loan (3.1% of the pool), one of two remaining specially serviced loans, is expected to return to master servicing following the modification. Eleven loans (24.6% of the pool), including the specially serviced loans, are flagged as Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 5.5%. The downgrade on class E and F reflects Fitch's concern about the underperformance of several lodging and retail assets in the pool particularly the SAVA Holdings IHG Portfolio loan and the Hilton Garden Inn Chicago/North Loop loan. Fitch Loan of Concern and Specially Serviced Loans: The largest contributor to losses is Mall of Louisiana (7.2% of the pool), a 1.5 million sf super regional mall located in Baton Rouge, LA. Collateral tenants include an AMC Theater (9.4% of net rentable area [NRA]), Dick's Sporting Goods (9.3%), Main Event Entertainment (6.2%) and Nordstrom Rack (3.8%) and non-collateral anchor tenants are Macy's, JCPenney and Dillard's. Sears, previously a non-collateral anchor at the subject property, closed in May 2021 and the borrower has not reported any leasing prospects. The March 2022 rent roll reflected mall occupancy of 87% compared with 77% at YE 2021, 89% at YE 2020 and 97% at YE 2019. Four new leases totaling 17,123 sf are expected to commence in June or October 2022, which will bring occupancy up to 89%. YE 2021 NOI debt service coverage ratio (DSCR) declined to 1.48x from 2.0x at YE 2020 and 2.39x at YE 2019. The loan began to amortize in September 2020, which also contributed to the decline in DSCR. Inline sales have improved compared to YE 2020 and have exceeded levels from issuance. Per the YE 2021 sales report, comp inline sales (excluding Apple) for tenants less than 10,000 sf were $539 psf compared with $335 psf at YE 2020, $454 psf at YE 2019 and $461 psf at issuance. While the subject is located in a secondary market, it is considered the dominant mall with limited competition in the area supported by strong demographics and proximity to several demand drivers. Fitch modeled a loss of approximately 17% on the loan, which is based on a 12.5% cap rate and a 5% stress to the YE 2021 NOI. The loan having the largest increase in loss since the prior review is SAVA Holdings IHG Portfolio (5.3% of the pool), a portfolio consisting of three limited-service or extended-stay hotels totaling 429 keys that are located throughout Texas. The loan previously transferred to special servicing in April 2020 for imminent default. A six-month forbearance period from August 2020 through January 2021 was granted. The loan performed as agreed during this time but became delinquent again several times since the loan returned to the master servicer in February 2022. The loan has experienced yoy performance declines even prior to the pandemic. As of YE 2021, the portfolio occupancy was 79%, compared with 55% at YE 2020, 81% at YE 2019 and 84% at YE 2018. NOI DSCR at YE 2021 was 1.41x, compared with 0.38x at YE 2020, 1.85x at YE 2019 and 2.40x YE 2018. Fitch modeled a loss of approximately 8.4% on the loan which is based on a 11.42% cap rate and YE 2021 NOI. The largest loan in special serving is the Hilton Garden Inn Chicago/North Loop loan (2.6% of the pool), which is secured by a select-service hotel located on E Wacker Place in Chicago's North Loop area with proximity to public transportation and Chicago's CBD with several restaurants, hotels and commercial offices in the immediate vicinity. This loan transferred to special servicing in April 2020 for imminent default due to the effects of the pandemic. The hotel was closed for several months in 2020 and 2021 and reopened in May 2021. Per the special servicer, the loan modification closed in February 2022 and the loan is expected to return to the master servicer imminently. Fitch applied a discount to the September 2021 appraisal value, which resulted in a stressed value of approximately $164,000 per key. Minimal Change in Credit Enhancement: There has been minimal change in credit support. As of the May 2022 distribution, the pool's aggregate balance has been paid down by 4.1% to $676.1 million from $705.4 million at issuance. Four loans (2.5%) have been fully defeased. Thirteen loans representing 44.2% of the pool are IO for the full term. Nineteen loans representing 29.8% of the pool were structured with partial IO terms. The vast majority of loans are scheduled to mature in 2027, though there are two (1.2% of the pool) maturing in 2022 and one (1.9% of the pool) maturing in 2024. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to position in the capital structure, but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur. Downgrades to classes B, C and D may occur if loss expectations increase. Classes with distressed ratings may be downgraded with greater certainty around losses or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include significantly improved performance coupled with paydown and/or defeasance. An upgrade to classes B and C could occur with stabilization of the FLOCs, but would be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades to class D would only occur with improvement in credit enhancement and stabilization of the FLOCs. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WFRBS COMMERCIAL 2013-C17: Fitch Affirms B Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings has upgraded three and affirmed eight classes of WFRBS Commercial Mortgage Trust 2013-C17 pass-through certificates. The Rating Outlook for one class is Positive. DEBT RATING PRIOR ---- ------ ----- WFRBS Commercial Mortgage Trust 2013-C17 A-3 92938GAC2 LT AAAsf Affirmed AAAsf A-4 92938GAD0 LT AAAsf Affirmed AAAsf A-S 92938GAF5 LT AAAsf Affirmed AAAsf A-SB 92938GAE8 LT AAAsf Affirmed AAAsf B 92938GAJ7 LT AAAsf Upgrade AAsf C 92938GAK4 LT AAsf Upgrade Asf D 92938GAN8 LT BBB-sf Affirmed BBB-sf E 92938GAQ1 LT BBsf Affirmed BBsf F 92938GAS7 LT Bsf Affirmed Bsf X-A 92938GAG3 LT AAAsf Affirmed AAAsf X-B 92938GAH1 LT AAAsf Upgrade AAsf KEY RATING DRIVERS Increasing Credit Enhancement (CE): CE has increased since the prior rating action due to amortization and defeasance. The pool balance has been reduced by 32.4% since issuance. There are a total of 28 loans (40.08% of pool) that have been fully defeased, up from 18 loans (13% of the pool) at the prior rating action. The Positive Outlook for class C reflects the expectation for continuing improvement in CE as a majority of the loans in the pool are expected to payoff at their upcoming 2023 maturity dates. Of the non-defeased loans, four loans (21.5%) are full-term interest only (IO) and all loans with a partial IO period are now amortizing. All of the loans in the pool are scheduled to mature in 2023. Alternative Loss Considerations: To test the durability of the upgrades, an additional sensitivity was performed which increased cap rates and stresses to servicer-reported NOI for all loans in the pool; this scenario supported the upgrades for classes B, C and X-B. Improved Loss Expectations: Loss expectations have decreased since the last rating action due to performance stabilization of properties that have been affected by the pandemic. There are no loans currently in special servicing. Fitch has identified 13 Fitch Loans of Concern (24.9% of pool) due to occupancy, lease rollover and refinance concerns. Fitch's current ratings incorporate a base case loss of 2.80%. Westfield Mission Valley (9.0% of the pool), the second largest loan in the pool, is the largest Fitch Loans of Concern (FLOC). The loan is secured by a 997,549 sf of a 1.6 million sf regional mall and adjacent strip center located in San Diego, CA. The loan was flagged as a FLOC because it has an upcoming maturity date of October 2023 and is sponsored by Unibail-Radamco-Westfield, which announced in April 2022 that it plans to sell off its U.S. portfolio by the end of 2023. The mall has exhibited relatively stable performance. As of June 2021, servicer reported NOI DSCR was 2.44x and occupancy was 93%. Midway Atriums (1.6% of the pool), has the largest increase to losses from the prior review. It is secured by a suburban office property comprised of three buildings totaling 255,000 sf, located in suburban Dallas, TX. The loan has been flagged as a FLOC due to occupancy declines related to multiple tenants vacating at their 2021 lease expiration dates, including the largest tenant Ameripath which reduced is footprint to 8.7% from 19.6% as of May 2021. As of YE 2021, occupancy declined to 37% compared with 66% at YE 2020, 77% at YE 2019, and 79% at YE 2018. NOI DSCR has fallen to 0.93x as of September 2021 compared with 1.88x as of YE 2020, 1.92x as of YE 2019, and 1.71x as of YE 2018. Fitch applied a stress to the YE 2020 NOI to reflect the lower 2021 occupancy and expected further declines in performance. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AAsf' and 'AAAsf' categories are not likely due to the position in the capital structure and high credit enhancement, but may occur should interest shortfalls affect the classes. Downgrades to the 'BBBsf' and 'BBsf' category would occur should overall pool losses increase significantly and/or one or more large loans have a significantly higher than expected loss, which would erode CE. Downgrades to the 'Bsf' category would occur should loss expectations increase and if performance of the FLOCs fail to stabilize or loans default and/or transfer to the special servicer. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to class C would occur with increased paydown and/or defeasance combined with increased performance. Upgrades to classes D through F are not likely unless performance of the FLOCs stabilize and if the remaining loans in the pool exhibit stable performance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. [*] Moody's Cuts Ratings on $79.5MM of US RMBS Issued 2007-2008 --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of eight bonds from two US RMBS resececuritization (resec) transactions. A list of Affected Credit Ratings is available at https://bit.ly/3b7dVT5 Issuer: Structured Asset Securities Corp Trust 2007-4 Cl. 1-A1, Downgraded to Ba3 (sf); previously on Jul 26, 2012 Downgraded to Ba1 (sf) Cl. 1-A2-A, Downgraded to Ba3 (sf); previously on Jul 26, 2012 Downgraded to Ba1 (sf) Cl. 1-A2-B1, Downgraded to Ba3 (sf); previously on Jul 26, 2012 Downgraded to Ba1 (sf) Cl. 1-A2-B2, Downgraded to Ba3 (sf); previously on Jul 26, 2012 Downgraded to Ba1 (sf) Cl. 1-A4*, Downgraded to Ba3 (sf); previously on Feb 7, 2018 Confirmed at Ba1 (sf) Cl. 3-A1, Downgraded to Ba3 (sf); previously on Jul 26, 2012 Downgraded to Ba1 (sf) Cl. 3-A2*, Downgraded to Ba3 (sf); previously on Jul 26, 2012 Downgraded to Ba1 (sf) Issuer: Structured Asset Securities Corporation Trust 2008-1 Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Jul 26, 2012 Downgraded to Ba1 (sf) *Reflects Interest Only Classes RATINGS RATIONALE The rating downgrades are primarily due to continued interest shortfalls as a result of a mismatch between the interest promise on the resec bonds and that on the underlying bonds backing these resec transactions. The interest due on some of the underlying bonds are subject to a net weighted average coupon (net WAC) cap whereas interest due on the resec bonds are not subject to a similar cap. Thus the interest due on the resec bonds are currently higher than that of the underlying bonds, resulting in continued interest shortfalls on the resec bonds. The rating action also reflects the performance of the underlying bonds. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Rating Transactions Based on the Credit Substitution Approach: Letter of Credit-backed, Insured and Guaranteed Debts" published in May 2017. 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 or interest shortfall could drive the ratings of the bonds up. 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 or interest shortfall could drive the ratings down. Losses or interest shortfall 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 Actions on 30 Classes of Notes from 5 U.S. Deals -------------------------------------------------------------- S&P Global Ratings various rating actions on 30 classes of notes from five U.S. cash flow CLO transactions. A list of Affected Ratings can be viewed at: https://bit.ly/3n03GTc In S&P's credit review, S&P analyzed each transaction's performance and cash flow, and followed the application of the global corporate CLO criteria in the rating decisions. The ratings list of this report highlights the key performance metrics behind the specific rating changes. S&P said, "The upgrades are from CLOs still in their reinvestment period for which we are raising ratings on tranches that had been downgraded during the pandemic in 2020. For those actions in 2020, our analysis considered a number of factors under our criteria, including the tranche's cash flow results and the CLO's exposure to 'CCC'/'CCC-' rated collateral. Since then, a significant number of corporate loan issuers have experienced upgrades out of the 'CCC' range. The reduction in portfolio exposure to 'CCC' assets has decreased CLO scenario default rates, which likely increased the cash flow cushion of many tranches. This was one of the primary factors for the upgrades of those previously downgraded tranches in such reinvesting CLOs. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and default scenarios. Our analysis also considered the transactions' ability to pay timely interest and/or ultimate principal to each of the rated classes. The results of the cash flow analysis and other qualitative factors, as applicable, demonstrated that the rated outstanding classes have adequate credit enhancement available at the current rating levels following the rating actions, in our view." While each class' indicative cash flow results are a primary factor, S&P also incorporates various other considerations into S&P's decision to raise, lower, affirm, or limit ratings when reviewing the indicative ratings suggested by our projected cash flows. Such considerations typically include: -- Whether CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral; -- Current concentration levels; -- The risk of imminent default; and -- Additional sensitivity runs to account for any of the above. The upgrades of tranches to 'B (sf)' and higher primarily reflect improvement in the credit quality of the portfolio, and passing cash flow results at the higher rating. The affirmations indicate S&P's view that the current credit enhancement available to those classes is still commensurate with the current ratings. S&P said, "For decisions on whether to raise CLO tranche ratings to 'B- (sf)' from the 'CCC' category, or on affirming 'B-' ratings even if the model points to a lower rating, we primarily relied on our 'CCC'/'CC' criteria and its associated guidance. If, in our view, payment of principal or interest when due is dependent on favorable business, financial, or economic conditions, we will generally assign a rating in the 'CCC' category. If, on the other hand, we believe a tranche can withstand a steady-state scenario without being dependent on favorable business, financial, or economic conditions to meet its financial commitments, we will generally raise the rating to 'B-' even if our CDO Evaluator and S&P Cash Flow Evaluator models would indicate a lower rating. "In assessing how a CLO tranche might perform under a steady-state scenario, we considered the speculative-grade nonfinancial corporate default rate over the decade prior to the 2020 pandemic and examined whether the tranche currently has sufficient credit enhancement, in our view, to withstand the average corporate default rate from this time frame. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take further rating actions as we deem necessary." [*] S&P Takes Various Actions on 26 Classes from Five US CLO Deals ------------------------------------------------------------------ S&P Global Ratings took various rating actions on 26 classes of notes from five U.S. cash flow CLO transactions. The actions include 16 upgrades and 10 affirmations, and the removal of nine ratings from CreditWatch where they were placed with positive implications on March 30, 2022. A list of Affected Ratings can be viewed at: https://bit.ly/3QWCcvR S&P said, "In our review, we analyzed each transaction's performance and cash flows, and applied our global corporate CLO criteria in our rating decisions. The ratings list of this report highlights the key performance metrics behind the specific rating actions. "The transactions have all exited their reinvestment period and are paying down the notes in the order specified in their respective documents. The portfolios have also shown improvement in overall credit quality, as well as lower exposure to defaulted assets and/or assets in the 'CCC' rating category. "CLOs in their amortization phase possess dynamics that can affect the analysis, such as paydowns that can increase credit support to the senior portion of the capital structure. However, this benefit can be offset by increased concentration risk or negative credit migration in the portfolio. "The transactions each had one or more tranches downgraded in 2020 following the onset of the COVID-19 pandemic. Our analysis for the downgrades considered the tranche's cash flow results and the CLO's exposure to 'CCC' and 'CCC-' rated collateral, among other factors. Since then, a significant number of corporate loan issuers have experienced upgrades out of the 'CCC' rating category. As a result, four of the five CLOs have reduced their exposure to 'CCC' assets, while all five transactions' overall portfolio credit quality improved. In addition, all five transactions have exited their reinvestment periods since the downgrades and have started paying down the senior class of notes. The upgrades primarily reflect the transactions' increased credit support due to the lower balance of the senior notes following these paydowns, as well as the improved credit quality. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and default scenarios. Our analysis also considered the transactions' ability to pay timely interest and/or ultimate principal to each of the rated classes. The results of the cash flow analysis and other qualitative factors, as applicable, demonstrated that the rated outstanding classes have adequate credit enhancement available at the current rating levels following the rating actions, in our view." While each class' indicative cash flow results are a primary factor, S&P also incorporates other considerations into our decision to raise, lower, affirm, or limit ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default; and -- Additional sensitivity runs to account for any of the above. The upgrades primarily reflect the transactions' increased credit support due to the senior note paydowns, improved portfolio credit quality and overcollateralization levels, and passing cash flow results at higher rating levels. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. Although our cash flow analysis indicated higher ratings for some classes of notes, we affirmed the ratings after considering one or more qualitative factors. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take further rating actions as we deem necessary." ********* 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. 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