/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220703.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, July 3, 2022, Vol. 26, No. 183 Headlines A10 SACM 2021-LRMR: DBRS Confirms B Rating on Class F Certs AGL CLO 19: Fitch Assigns 'BB-' Rating on Class E Debt AGL CLO 19: Moody's Assigns B3 Rating to $750,000 Class F Notes AMSR 2021-SFR1: DBRS Confirms B(low) Rating on Class G Certs ARES LOAN III: Moody's Assigns Ba3 Rating to $13.8MM Class E Notes BARCLAYS 2022-INV1: DBRS Finalizes BB Rating on Class B-1 Notes BATTALION CLO XXIII: S&P Assigns BB- (sf) Rating on Class E Notes BBCMS MORTGAGE 2022-C16: Fitch Assigns B- Rating on 2 Tranches BENCHMARK 2022-B35: DBRS Finalizes BB Rating on Class X-G Notes BLACKROCK DLF 2021-2: DBRS Confirms B Rating on Class W Notes BX TRUST 2021-VIEW: DBRS Confirms B(high) Rating on Class G Certs CIM TRUST 2022-I1: S&P Assigns Prelim B (sf) Rating on B-2 Notes CITIGROUP 2019-GC41: DBRS Confirms B(high) Rating on G-RR Certs CITIGROUP COMMERCIAL 2016-C2: Fitch Cuts Rating on 2 Classes to CCC CITIGROUP MORTGAGE 2022-RP3: Fitch Gives B(EXP) Rating on B-2 Debt CLNC 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes COMM 2015-CCRE24: DBRS Confirms CCC Rating on Class G Certs CSAIL 2016-C5: DBRS Confirms B Rating on Class X-F Certs CSAIL 2016-C6: DBRS Confirms B Rating on Class X-F Certs CSMC 2022-NQM4: S&P Assigns Prelim B- (sf) Rating on B-2 Notes DBJPM 2016-C1: DBRS Confirms CCC Rating on Class F Certs DEEPHAVEN RESIDENTIAL 2022-3: S&P Assigns (P) B- (sf) on B-2 Notes ENCINA EQUIPMENT 2021-1: DBRS Confirms BB Rating on Class E Notes FLAGSHIP CREDIT 2022-2: DBRS Gives Prov. BB Rating on Cl. E Notes FOURSIGHT CAPITAL 2020-1: Moody's Ups Rating on F Notes From Ba2 GS MORTGAGE 2013-GCJ14: DBRS Confirms CCC Rating on Class G Certs GS MORTGAGE 2013-PEMB: S&P Cuts Class E Certs Rating to 'CCC (sf)' GS MORTGAGE 2015-GC34: Fitch Affirms CCC Rating on 2 Tranches GSCG TRUST 2019-600C: DBRS Confirms B(low) Rating on Class G Certs GSF 2022-1: DBRS Gives BB(low) Rating on Class E Notes HAMLET 2020-CRE1: DBRS Confirms B(low) Rating on Class F-RR Certs JP MORGAN 2011-C4: DBRS Hikes Class H Certs Rating to BB(low) JP MORGAN 2012-WLDN: DBRS Confirms CCC Rating on Class C Certs JP MORGAN 2013-C17: Fitch Lowers Rating on Class F Debt to CCC JPMBB COMMERCIAL 2015-C30: DBRS Confirms CCC Rating on F Certs LENDMARK FUNDING 2022-1: S&P Assigns BB- (sf) Rating on E Notes LFS 2022A: DBRS Finalizes BB Rating on Class B Notes LONGFELLOW PLACE: S&P Raises Class E-RR Notes Rating to B- (sf) MF1 2022-Fl9: DBRS Gives Prov. B(low) Rating on 3 Classes of Notes MORGAN STANLEY 2013-C11: DBRS Confirms C Rating on 5 Cert Classes MORGAN STANLEY 2020-HR8: DBRS Confirms BB Rating on J-RR Certs MORGAN STANLEY 2022-17: Fitch Assigns BB(EXP) Rating on Cl. E Debt MORGAN STANLEY 2022-17A: Moody's Gives (P)B3 Rating to Cl. F Notes OAKTREE CLO 2022-2: S&P Assigns BB- (sf) Rating on Class E Notes OBX TRUST 2022-NQM6: Fitch Assigns 'B' Rating on B-2 Debt OCEANVIEW MORTGAGE 2022-SBC1: DBRS Finalizes B(low) on B2C Notes OPORTUN ISSUANCE 2022-A: DBRS Gives Prov. BB(high) on D Notes PRIMA CAPITAL 2019-RK1: DBRS Confirms BB(high) Rating on C-G Certs READY CAPITAL 2020-FL4: DBRS Confirms B(low) Rating on Cl. G Notes RIAL 2022-FL8: DBRS Finalizes B(low) Rating on Class G Notes SLG OFFICE 2021-OVA: DBRS Confirms B Rating on Class G Certs SLM STUDENT 2012-1: Fitch Affirms B Rating on 2 Tranches TAUBMAN CENTERS 2022-DPM: DBRS Finalizes BB(high) on HRR Certs TRINITAS CLO XX: Fitch Assigns 'BB-' Rating on Class E Debt TRINITAS CLO XX: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes TRK 2022-INV2: DBRS Gives Prov. B(low) Rating on Class B-2 Certs US AUTO 2022-1: Moody's Lowers Rating on Class D Notes to (P)B3 VELOCITY COMMERCIAL 2021-1: DBRS Confirms 18 Classes of Certs VERUS SECURITIZATION 2022-6: S&P Assigns 'B-' Rating on B-2 Notes WELLS FARGO 2017-RC1: DBRS Confirms C Rating on Class F Certs WIND RIVER 2022-2: Fitch Assigns BB- Rating on Class E Debt [*] DBRS Reviews 34 Classes from 7 US RMBS Transactions [*] Moody's Hikes Rating on $348.7MM of US RMBS Issued 2003-2007 [*] Moody's Takes Action on $148MM of US RMBS Issued 2006-2007 [*] Moody's Upgrades Rating on $264MM of US RMBS Issued 2005-2007 [*] S&P Takes Various Actions on 20 Ratings from Four US CLO Deals [*] S&P Takes Various Actions on 54 Classes from 39 RMBS Deals [*] S&P Takes Various Actions on 70 Classes from 11 U.S. RMBS Deals ********* A10 SACM 2021-LRMR: DBRS Confirms B Rating on Class F Certs ----------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-LRMR issued by A10 SACM 2021-LRMR 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 (sf) All trends are Stable. The ratings confirmations reflect the overall performance of the loan, which has remained consistent with DBRS Morningstar's expectations at issuance. The loan is secured by the borrower's fee-simple and leasehold interests in Larimer Square, a 246,000-square-foot (sf) mixed-use property consisting of retail and office in Denver, Colorado. Larimer Square is a protected historic district and comprises 26 buildings, including a parking garage on 12 separate real estate tax parcels. Two of the buildings are subject to ground leases. The fully funded loan amount of $88.7 million consists of an initial loan balance of $61.0 million and $27.7 million of future funding. The initial loan proceeds were used to recapitalize the sponsor’s purchase of Larimer Square while the future funding, along with future sponsor equity, will be used to execute the sponsor's business plan of completing capital improvements and leasing up the property to market occupancy and rental rates. The lender is expected to fund $21.1 million of future funding toward capital improvements and $6.6 million toward leasing costs, with the sponsor expected to contribute $13.3 million of additional equity to help cover capital improvements (a 31.06% share) and leasing costs (a 35.0% share) on a pari passu basis. The renovations were budgeted at $30.9 million and will be completed in three phases. Phase I consists of repairs to the roof and facades on the majority of the 26 buildings at a cost of $2.3 million. Phase II mainly consists of the redevelopment of the Granite, Buerger-Sussex, and Lincoln Hall buildings to repurpose the space for large office tenant users. In addition, these buildings will receive infrastructure upgrades related to mechanical, electrical, and plumbing with some modifications to ingress/egress points at a total budgeted cost of $16.0 million. Phase III consists of improvements to the streetscape and general improvements to the exterior of the overall property at a cost of $2.0 million. According to the collateral manager, Phase I is under way and $884,405 of future funding has been advanced to date, with a borrower draw request of $1.4 million currently under review and pending release. The sponsor is working toward turning the subject into a 24-hour destination for the local population while catering to office and retail demands. Restaurants represented approximately 70% of the retail space at closing and the sponsor is working toward reducing this component to approximately 55%, with a goal to retain only restaurant tenants with high sales volume while executing leases with replacement tenants that offer a wider range of goods and services. As leases roll, the sponsor plans to increase rents to market while adding strong and national retailers to its tenant roster. Lastly, the sponsor will be converting office leases to a triple net (NNN) structure upon renewal or new leasing activity. According to the December 2021 rent roll, the subject was 58.5% occupied, compared with the occupancy rate at issuance of 66.0%. Occupancy is expected to remain depressed as the sponsor works toward its capital improvement program prior to initiating its lease-up strategy. According to Reis, retail properties in the Midtown/Central Business District (CBD) submarket reported a Q1 2022 vacancy rate of 6.2% and asking rental rate of $22.50 per sf (psf), while office properties in the CBD submarket reported a Q1 2022 vacancy rate of 19.6% and asking rental rate of $34.11 psf. DBRS Morningstar analyzed the loan with a stabilized vacancy rate of approximately 10.0% for the entire portfolio, which is in line with the appraiser's estimate. In regard to rental rates, DBRS Morningstar assumed a rental rate of $50.00 psf NNN for both retail and restaurant space with new and renewal leasing costs of $75.00 psf and $40.00 psf, respectively. DBRS Morningstar analyzed office space with a rental rate of $35.00 psf NNN with new and renewal leasing costs of $35.00 psf and $18.00 psf, respectively. The DBRS Morningstar stabilized net cash flow (NCF) was $7.2 million, a variance of -21.1% from the sponsor's projected stabilized NCF of $9.2 million. The loan is structured with a $25.0 million limited guaranty by the sponsor, which may be terminated upon the loan meeting certain performance metrics including an average occupancy rate of 90.0% for a period of six months, a debt yield of 9.0% for a period of three months, and a loan-to-value ratio of 60.0% based on an updated appraisal. Notes: All figures are in U.S. dollars unless otherwise noted. AGL CLO 19: Fitch Assigns 'BB-' Rating on Class E Debt ------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 19 Ltd. DEBT RATING ---- ------ AGL CLO 19 Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT A+sf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY AGL CLO 19 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC . Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 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 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 74.36%. 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 notes can withstand default rates and recovery assumptions consistent with their respective ratings. 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 'A-sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B-1, between 'BB+sf' and 'AA+sf' for class B-2, 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: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B-1 notes, 'AAAsf' for class B-2 notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. AGL CLO 19: Moody's Assigns B3 Rating to $750,000 Class F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes 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, Definitive Rating Assigned Aaa (sf) US$14,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$750,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. 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 consists of senior secured bonds or senior secured notes. The portfolio is 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 issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $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. AMSR 2021-SFR1: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------ DBRS, Inc. confirmed eight classes and discontinued three classes from two U.S. single-family rental transactions as follows: AMSR 2021-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (low) (sf) Invitation Homes 2018-SFR3 Trust -- IH 2018-SFR3, Class A discontinued -- IH 2018-SFR3, Class B discontinued -- IH 2018-SFR3, Class C discontinued The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. DBRS Morningstar discontinued the ratings on the Invitation Homes 2018-SFR3 notes as they have been paid in full. DBRS Morningstar's rating actions are based on the following analytical consideration: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: The principal methodology is U.S. Single-Family Rental Securitization Ratings Methodology (May 28, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. ARES LOAN III: Moody's Assigns Ba3 Rating to $13.8MM Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to four classes of notes issued by Ares Loan Funding III, Ltd. (the "Issuer" or "Ares Loan Funding III") Moody's rating action is as follows: US$240,000,000 Class A-1 Senior Floating Rate Notes due 2035, Assigned Aaa (sf) US$20,000,000 Class A-2 Senior Floating Rate Notes due 2035, Assigned Aaa (sf) US$36,000,000 Class B Senior Floating Rate Notes due 2035, Assigned Aa2 (sf) US$13,800,000 Class E Mezzanine 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. Ares Loan Funding III 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 assets other than senior secured loans. The portfolio is approximately 95% ramped as of the closing date. Ares CLO Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued three other classes of notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2832 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.09 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. BARCLAYS 2022-INV1: DBRS Finalizes BB Rating on Class B-1 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2022-INV1 issued by Barclays Mortgage Loan Trust 2022-INV1 (BARC 2022-INV1): -- $189.2 million Class A-1 at AAA (sf) -- $30.2 million Class A-2 at AA (high) (sf) -- $40.0 million Class A-3 at A (high) (sf) -- $22.3 million Class M-1 at BBB (high) (sf) -- $17.3 million Class B-1 at BB (sf) -- $16.7 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 1,042 mortgage loans with a total principal balance of $328,102,211 as of the Closing Date (May 19, 2022). Subsequent to the issuance of the related presale report, seven loans totaling about 0.4% of the balance as of the Cut-Off Date (April 1, 2022) have been paid off. Unless specified otherwise, all the statistics regarding the mortgage loans in this press release and in the related rating report are based on the Cut-Off Date balance of $329,426,161 noted in the presale report because the payoffs did not materially affect the collateral composition. 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. BATTALION CLO XXIII: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Battalion CLO XXIII Ltd./Battalion CLO XXIII LLC's floating- and fixed-rate debt. The transaction is managed by Brigade Capital Management L.P. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Battalion CLO XXIII Ltd./Battalion CLO XXIII LLC Class A loans, $231.0 million: AAA (sf) Class A, $25.0 million: AAA (sf) Class B-1, $32.5 million: AA (sf) Class B-2, $15.5 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $16.0 million: BB- (sf) Subordinated notes, $37.5 million: Not rated BBCMS MORTGAGE 2022-C16: Fitch Assigns B- Rating on 2 Tranches -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2022-C16, commercial mortgage pass-through certificates, series 2022-C16 as follows: DEBT RATING PRIOR ---- ------ ----- BBCMS 2022-C16 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-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 J LT NRsf New Rating NR(EXP)sf VRR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT A-sf New Rating 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 X-J LT NRsf New Rating NR(EXP)sf -- $15,000,000 class A-1 'AAAsf'; Outlook Stable; -- $108,000,000 class A-2 'AAAsf'; Outlook Stable; -- $16,000,000 class A-3 'AAAsf'; Outlook Stable; -- $150,000,000ab class A-4 'AAAsf'; Outlook Stable; -- $410,000,000ab class A-5 'AAAsf'; Outlook Stable; -- $22,296,000 class A-SB 'AAAsf'; Outlook Stable; -- $721,296,000c class X-A 'AAAsf'; Outlook Stable; -- $200,933,000c class X-B 'A-sf'; Outlook Stable; -- $113,347,000 class A-S 'AAAsf'; Outlook Stable; -- $46,369,000 class B 'AA-sf'; Outlook Stable; -- $41,217,000 class C 'A-sf'; Outlook Stable; -- $41,217,000cd class X-D 'BBB-sf'; Outlook Stable; -- $23,184,000cd class X-F 'BB-sf'; Outlook Stable; -- $10,304,000cd class X-G 'B-sf'; Outlook Stable; -- $24,472,000d class D 'BBBsf'; Outlook Stable; -- $16,745,000d class E 'BBB-sf'; Outlook Stable; -- $23,184,000d class F 'BB-sf'; Outlook Stable; -- $10,304,000d class G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $12,881,000cd class X-H 'NR'; Outlook Stable; -- $20,608,590cd class X-J 'NR'; Outlook Stable; -- $12,881,000d class H 'NR'; Outlook Stable; -- $20,608,590d class J 'NR'; Outlook Stable; -- $54,232,821e class VRR 'NR'; Outlook Stable. TRANSACTION SUMMARY A) Notional amount and interest only. B) Privately placed and pursuant to Rule 144A. C) The class VRR certificates constitute an eligible vertical interest and are expected to be acquired and retained by Barclays Capital Real Estate, Inc. NR - Not rated. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has slightly lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to value ratio (LTV) of 98.0% is 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 1.17x is lower than the YTD 2022 and 2021 averages of 1.38x and 1.38x, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 104.8% and 1.15x, respectively, compared to the equivalent conduit YTD 2022 LTV and DSCR averages of 109.6% and 1.27x, respectively. Investment-Grade Credit Opinion Loans: Five loans representing 21.7% of the pool received an investment-grade credit opinion. 1888 Century Park East (6.0%) and 70 Hudson Street (4.4%), totaling 10.4% of the pool, each received a standalone credit opinion of 'BBBsf*'. Yorkshire and Lexington Towers (6.0%), ILPT Logistics Portfolio (3.7%) and The Summit (1.6%), representing 11.3% of the pool, received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is above the YTD 2022 and 2021 averages of 16.9% and 13.3%, respectively. Minimal Amortization: Based on the scheduled balances at maturity, the pool will only pay down by 3.9%, which is slightly above the YTD 2022 average of 3.5%, but below the 2021 average of 4.8%. Forty loans (74.5% of the pool) are full interest-only loans, which is lower than the YTD 2022 average of 79.0%, but above the 2021 average of 70.5%, respectively. Eight loans (8.9%) are partial interest-only loans, which is below the YTD 2022 and 2021 averages of 10.2% and 16.8%, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; 10% NCF Decline: 'A+sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf'; 20% NCF Decline: 'A-sf'/'BBB-sf'/'BBsf'/'Bsf'/'CCCsf'/'CCCsf'/'CCCsf'; 30% NCF Decline: 'BBBsf'/'BB+sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; 20% NCF Increase: 'AAAsf'/'AAAsf'/'Asf'/'A+sf'/'A-sf'/'BBB-sf'/'BBB-sf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENCHMARK 2022-B35: DBRS Finalizes BB Rating on Class X-G Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes to be issued by Benchmark 2022-B35 Mortgage Trust (BMARK 2022-B35): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (low) (sf) -- Class H at B (high) (sf) -- Class X-A at AAA (sf) -- Class X-D at BBB (sf) -- Class X-F at BBB (low) (sf) -- Class X-G at BB (sf) -- Class X-H at BB (low) (sf) All trends are Stable. Classes A-3-2, A-4-2, D, E, F, G, H, J, X-D, X-F, X-G, X-H, X-J, S, and R will be privately placed. Classes X-A, X-D, X-F, X-G, X-H, and X-J are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. The collateral consists of 37 fixed-rate loans secured by 127 commercial and multifamily properties with an aggregate trust cut-off date balance of $1.1 billion. Three loans (One Wilshire, ILPT Logistics Portfolio, and 601 Lexington Avenue), representing 17.9% of the pool, are shadow-rated investment grade by DBRS Morningstar. DBRS Morningstar analyzed the conduit pool to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the DBRS Morningstar net cash flow (NCF) and their respective actual constants, the initial DBRS Morningstar WA debt service coverage ratio (DSCR) of the pool was 1.94 times (x). The WA DBRS Morningstar Issuance loan-to-value ratio (LTV) of the pool was 57.3%, and the pool is scheduled to amortize to a WA DBRS Morningstar Balloon LTV of 56.1% at maturity. These credit metrics are based on the A note balances. Excluding the shadow-rated loans, the deal still exhibits a favorable WA DBRS Morningstar Issuance LTV of 61.5% and WA DBRS Morningstar Balloon LTV of 60.1%. The pool additionally includes five loans, representing 16.4% of the allocated pool balance, that exhibit a DBRS Morningstar Issuance LTV in excess of 67.1%, a threshold generally indicative of above-average default frequency. The transaction has a sequential-pay pass-through structure. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2021-2: DBRS Confirms B Rating on Class W Notes ------------------------------------------------------------- DBRS, Inc. confirmed its provisional rating on the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes (together, the Secured Notes) issued by BlackRock DLF IX CLO 2021-2, LLC, pursuant to the Note Purchase and Security Agreement (the NPSA) dated as of May 20, 2021, among BlackRock DLF IX CLO 2021-2, LLC, as the Issuer; U.S. Bank National Association, as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein as follows: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AA (high) (sf) -- Class B Notes at A (high) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) -- Class W Notes at B (sf) The provisional ratings on the Class A-1 Notes and the Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The provisional ratings on the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, and the Class W Notes address the ultimate payment of interest (excluding the additional interest payable at Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes, including the Class E Notes, and could therefore be considered below market rate. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The provisional ratings reflect the following primary considerations: (1) The NPSA, dated as of May 20, 2021. (2) The integrity of the transaction structure. (3) DBRS Morningstar's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BCIA. To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio that is not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2021-VIEW: DBRS Confirms B(high) Rating on Class G Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by BX Trust 2021-VIEW: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X-CP at AA (sf) -- Class X-NCP at AA (sf) -- Class D at AA (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. The collateral is a first mortgage loan secured by the fee-simple interest in a 509,500-square-foot portion of The Shops at Skyview, a retail complex in downtown Flushing, Queens. The property was built in 2010 and is made up of two retail buildings, the West Retail building and the East Retail building, and a parking garage. The West Retail building is anchored by BJ's Wholesale Club (BJ's), and the East Retail building is anchored by a noncollateral tenant, Target. The borrower primarily used whole loan proceeds to refinance existing debt of $306.0 million on the property and contributed approximately $44.8 million of fresh cash equity. The loan has a two-year initial term, with three 12-month extension options, and pays interest only (IO) at a rate of Libor plus 2.55%. The loan documents also stipulate the borrower maintain an interest rate protection agreement with a strike price of 2.50%, and as of the commencement date of any extension, equal to the greater of (1) 2.50% and (2) the yearly rate of interest that yields a debt service coverage ratio (DSCR) of no less than 1.10 times (x). The loan sponsors are two Delaware LLCs, BRE SkyView Retail Owner LLC and BRE SkyView Parking Owner LLC, which are affiliates of The Blackstone Group, Inc. (Blackstone), a real estate investment group with approximately $196.3 billion in assets under management. The sponsors have invested more than $5.9 million of capital into the property since 2018 to cover leasing allowances and landlord work. The property benefits from long-term tenancy to desirable retailers in BJ's and Target, both of which have fared well in the years since the onset of the Coronavirus Disease (COVID-19) pandemic. In addition, 23.5% of the subject's net rentable area (NRA) is occupied by investment-grade tenants, including Best Buy, Marshalls, Nike, JP Morgan Chase Bank, Osh Kosh, and Starbucks. The property's two largest collateral tenants are BJ's (23.7% of the NRA) and Best Buy (8.8% of the NRA), respectively, both original tenants since construction in 2010, with leases expiring in January 2030 and January 2024, respectively. Combined, these tenants represent approximately 33% of the in-place annual rent. In total, the largest eight tenants represent 60.8% of NRA; of these tenants, six have leases that expire beyond 2025. As of YE2021, the servicer reported an occupancy rate of 75.2%, a DSCR of 2.44x, and an annualized net cash flow (NCF) of $18.7 million, compared with the Issuer's NCF of $24.2 million and DBRS Morningstar's NCF of $22.3 million at issuance. The in-place cash flow decline from the DBRS Morningstar figure at issuance is primarily because of an increase in expenses that are likely one-time expenses related to the refinancing. Since the YE2021 reporting period, the property's occupancy rate has increased to approximately 82% with the addition of Burlington Coat Factory, which occupied a vacant unit representing 6.4% of the collateral NRA in February 2022, with rent commencement in March 2022. Notes: All figures are in U.S. dollars unless otherwise noted. CIM TRUST 2022-I1: S&P Assigns Prelim B (sf) Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CIM Trust 2022-I1's mortgage-backed notes. The note issuance is an RMBS securitization backed by fixed-rate and adjustable-rate, interest only, business purpose, investor, fully amortizing and balloon residential mortgage loans that are secured by first liens on primarily one- to four-family residential properties, planned unit developments, townhomes, condominiums, five- to 40-unit multi-family properties and mixed-use properties to non-conforming (both prime and nonprime) borrowers. The pool consists of 473 loans backed by 893 properties that are exempt from the qualified mortgage and ability-to-repay rules; of the 473 loans, 56 are cross collateralized, which were broken down to their constituents at the property level (making up 476 properties). The preliminary ratings are based on information as of June 28, 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 included in the pool; -- The credit enhancement provided in the transaction; -- The representation and warranty framework; -- The transaction's associated structural mechanics; -- The pool's geographic concentration; -- The transaction's mortgage loan originators/aggregator; and -- The potential affect 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 affect the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook on the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Preliminary Ratings Assigned CIM Trust 2022-I1 Class A-1A(i), $100,284,000: AAA (sf) Class A-1B(i), $22,713,000: AA (sf) Class A-1(i), $122,997,000 AA (sf) Class A-2, $26,442,000: A (sf) Class M-1, $18,543,000: BBB (sf) Class B-1, $15,032,000: BB (sf) Class B-2, $12,728,000: B (sf) Class B-3, $23,699,852: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class R, N/A: Not rated (i)All or a portion of the initial MACR notes can be exchanged for the MACR notes. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans. N/A--Not applicable. CITIGROUP 2019-GC41: DBRS Confirms B(high) Rating on G-RR Certs --------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-GC41 issued by Citigroup Commercial Mortgage Trust 2019-GC41 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class AS at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (high) (sf) -- Class E at BBB (sf) -- Class X-F at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G-RR at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since DBRS Morningstar's last review. As of the April 2022 remittance, all loans remain in the pool with an aggregate principal balance of $1.27 billion, representing a collateral reduction of 0.4% since issuance. Nine loans, representing 20.6% of the pool balance, were on the servicer's watchlist, and there was one loan, representing 0.6% of the pool, in special servicing. The watchlisted loans include three loans backed by hotel properties and one loan collateralized by a specialty retail property. All four of these loans have been affected by the Coronavirus Disease (COVID-19) pandemic, but all have recently shown performance improvements, with only one reporting a debt service coverage ratio (DSCR) below breakeven as of the most recent reporting period. The pool is concentrated with loans backed by office and retail properties, which represent 33.4% and 16.3% of the pool, respectively. Four loans, representing a combined 18.0% of the pool, are shadow-rated investment grade by DBRS Morningstar, including 30 Hudson Yards, Grand Canal Shoppes, Moffett Towers II Buildings 3 and 4, and The Centre. With this review, DBRS Morningstar maintains that the loans continue to perform in line with the investment-grade shadow ratings. The largest loan on the servicer's watchlist, Millennium Park Plaza (Prospectus ID#2, 5.5% of the pool), represents a $70.0 million participation in a $210.0 million interest only (IO) whole loan. The loan is secured by the borrower's fee-simple interest in a 38-story high-rise consisting of 561 multifamily units, 85,017 square feet (sf) of office space, and 18,450 sf of retail space on Michigan Avenue, in Chicago's Loop submarket. The YE2021 financials reported a DSCR of 0.95 times (x), compared with the YE2020 DSCR of 1.56x and the issuer's DSCR of 1.72x. The property is well occupied, but revenue collections were down significantly in 2021, contributing to the low DSCR and the loan's placement on the servicer's watchlist. According to the January 2022 rent roll, the residential units were 99.8% occupied, while the commercial units were 88.4% occupied by sf compared with the occupancy rate of 85.0% reported by the servicer for the property as a whole at YE2020. According to Reis, the subject's East Loop submarket reported a Q1 2022 office vacancy rate of 13.9% and the subject's Loop submarket reported a Q1 2022 apartment vacancy rate of 10.7%, suggesting that the property is operating relatively in line with market. As noted at issuance, the property does have significant rollover exposure in the first five years of the loan term, but that risk is generally mitigated by the granularity of the rent roll, with just two tenants occupying more than 5,000 sf across the office and retail components of the property. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP COMMERCIAL 2016-C2: Fitch Cuts Rating on 2 Classes to CCC ------------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 15 classes of Citigroup Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, series 2016-C2. In addition, the Rating Outlooks on five classes were revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CGCMT 2016-C2 A-1 17291CBN4 LT AAAsf Affirmed AAAsf A-2 17291CBP9 LT AAAsf Affirmed AAAsf A-3 17291CBQ7 LT AAAsf Affirmed AAAsf A-4 17291CBR5 LT AAAsf Affirmed AAAsf A-AB 17291CBS3 LT AAAsf Affirmed AAAsf A-S 17291CBT1 LT AAAsf Affirmed AAAsf B 17291CBU8 LT AA-sf Affirmed AA-sf C 17291CBV6 LT A-sf Affirmed A-sf D 17291CAA3 LT BBB-sf Affirmed BBB-sf E 17291CAG0 LT BB-sf Affirmed BB-sf E-1 17291CAC9 LT BB+sf Affirmed BB+sf E-2 17291CAE5 LT BB-sf Affirmed BB-sf EF 17291CBC8 LT CCCsf Downgrade B-sf F 17291CAN5 LT CCCsf Downgrade B-sf X-A 17291CBW4 LT AAAsf Affirmed AAAsf X-B 17291CBX2 LT A-sf Affirmed A-sf X-D 17291CBG9 LT BBB-sf Affirmed BBB-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 downgrades reflect a greater certainty of loss to classes F and EF which is primarily due to higher loss expectations on the Opry Mills and Crocker Park Phase One and Phase Two since issuance. Fitch's current ratings incorporate a base case loss of 5.60%. The Outlook revisions to Stable from Negative reflects the performance stabilization for the majority of the properties affected by the pandemic. Fitch has identified 10 Fitch Loans of Concern (FLOCs; 32.3% of the pool balance), including two (6.4%) specially serviced loans. Thirteen loans (22.8%) are on the master servicer's watchlist for declines in occupancy, performance declines as a result of the coronavirus pandemic, upcoming rollover and/or deferred maintenance. Largest Loss Contributors: The largest contributor to overall loss expectations is Crocker Park Phase One and Two (10.2%) which transferred to the special servicer in April 2020 due to the pandemic and transferred back to the master servicer in September 2020 after the loan was modified. The modification terms included a 12-month loan debt service deferral which will total $6.9 million so that the borrower can fund this amount into the leasing reserve and apply to leasing the vacant space. In addition, the servicer captured all excess cash flow during the 12-month period into the leasing reserve to fund any operating shortfalls. The borrower has until loan maturity in 2026 to refund the $6.9 million; Fitch will monitor the status of the borrower's re-leasing and property performance. As of the June 2022 payment period, the servicer has recognized approximately $2.26 million of the deferred debt service as non-recoverable, resulting in a cumulative loss to non-rated class H of $2.26 million. If property performance deteriorates, higher expected losses may be applied to the loan and will consider whether the remaining deferred debt service can be recovered at maturity. The loan is secured by a 615,062 sf mixed use retail/office property built in 2004 and located in Westlake, OH. Major tenants include Dick's Sporting Goods, Esporta Fitness, Trader Joe's, Cheesecake Factory, Barnes & Noble, and Regal Cinemas. As of March 2022, the property was 96.5% occupied, increasing from 91.9% in March 2021 and 90.4% in March 2020. Per the March 2022 rent roll 5.8% of the collateral is MTM or has lease expirations in 2022 and 4.4% in 2023. The servicer reported YE 2021 NOI debt service coverage ratio (DSCR) was 1.37x compared to 1.46x at YE 2020, 1.56x at YE 2019 and 1.71x at YE 2018. Fitch's analysis applied an 8.75% cap rate and a 7.5% stress to YE 2021 NOI to account for near-term lease rollover and the loan still being in the deferral period which resulted in an approximate 11% loss. The second largest contributor to loss expectations in the pool is Opry Mills (10.3%), which is secured by a 1.2 million-sf super regional mall located in Nashville, TN, seven miles from downtown Nashville. The collateral's major tenants include Bass Pro Shops (11.0% of NRA; April 2025 lease expiration); Regal Cinemas (8.5% of NRA; May 2025); Dave & Busters (4.8% of NRA; May 2026); Forever 21 (4.5% of NRA; January 2023); and Off-Broadway Shoes (2.5% of NRA; January 2023). The loan is considered a FLOC due to upcoming lease rollover. As of the rent roll dated September 2021, approximately 39% of the NRA has lease expirations between 2022 and 2023. Fitch's analysis applied a 12% cap rate and a 10% stress to YE 2021 NOI to account for near-term lease rollover and collateral being impacted by the pandemic resulting in an approximate 8% loss. Minimal Changes in Credit Enhancement: Credit Enhancement (CE) has had minimal changes since issuance. As of the June 2022 distribution date, the pool's aggregate principal balance has been reduced by 4.2% to $583.5 million, down from $609.2 million at issuance, resulting in minimal increases in CE to the senior classes. Eleven loans (33.8%) are full-term IO loans. All loans with partial IOy periods have expired. Five loans (8.7% of current pool) are fully defeased, including the fifth largest loan, Stone Ranch Apartments (4.9%). One loan, Marriott - Livonia at Laurel Park (2.5%) was scheduled to mature in August 2021; however, the loan remains with the special servicer. The majority of the loans mature in 2026 (96.1%) with one in 2025 (1.5%). Undercollateralized: The transaction is undercollateralized by approximately $1.09 million due to a WODRA on Crocker Park Phase One & Two and Hyatt Regency Huntington Beach Resort loans, which was reflected in the June 2022 remittance report. Property Type Concentration: Approximately 24.9% of the loans in the pool are secured by mixed-use properties, followed by retail at 24.5%, hotel at 19.3%, office at 12.1% and multifamily at 10%. High Concentration of Pari Passu Loans: Eight loans (47.5%) are pari passu. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AA-sf' and 'AAAsf' categories are not likely due to the position in the capital structure and level of CE, but may occur should interest shortfalls occur or should losses increase significantly. Downgrades to the 'A-sf' and/or 'BBB-sf' categories would occur if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to the 'BB-sf', and 'BB+sf' categories would occur should loss expectations increase due to an increase in specially serviced loans and/or the loans vulnerable to the coronavirus pandemic do not stabilize. Downgrades to the 'CCCsf' category 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 lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs or loans that have been negatively affected by the coronavirus pandemic could cause this trend to reverse. Upgrades to the 'BBB-sf' category would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to the 'CCCsf', 'BB-sf', and 'BB+sf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the classes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CITIGROUP MORTGAGE 2022-RP3: Fitch Gives B(EXP) Rating on B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Citigroup Mortgage Loan Trust 2022-RP3 (CMLTI 2022-RP3). DEBT RATING ---- ------ CMLTI 2022-RP3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 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 B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating PT-1 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2022-RP3 (CMLTI 2022-RP3), as indicated above. The transaction is expected to close on June 30, 2022. The notes are supported by two collateral groups consisting of 5,173 seasoned performing loans (SPLs) and reperforming loans (RPLs), with a total balance of approximately $1,013 million, including $55.2 million, or 5.5%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.1% above a long-term sustainable level (versus 9.2% on a national level). Underlying fundamentals are not keeping pace with growth in home 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 18.9% yoy nationally as of December 2021. Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. Of the pool, 4.4% was 30 days delinquent as of the cutoff date, and 83.6% of the loans are current but have had delinquencies within the past 24 months. Additionally, 93.7% of the loans have a prior modification. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to 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 in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. 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'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. While all but one loan is seasoned 24 months or greater, 2,410 loans received a credit and property valuation review in additional to a regulatory compliance review. All loans received an updated tax and title search and review of servicing comments. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments: increased the loss severity due to HUD-1 issues, missing modification agreements, material TRID exceptions, as well as delinquent taxes and outstanding liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 33bps. ESG CONSIDERATIONS CMLTI 2022-RP3 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to its well-controlled operational risk, including strong R&Ws, transaction due diligence and a highly-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. CLNC 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of notes issued by CLNC 2019-FL1, Ltd. 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 performance of the transaction, which has remained in line with DBRS Morningstar's 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 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. The pool's collateral initially consisted of 21 floating-rate loans secured by cash flowing assets, many of which were in a period of transition with plans to stabilize and improve asset values. At issuance, the cut-off balance was $1.0 billion, with an additional $124.9 million of available future funding commitments held outside of the trust. The transaction included a 24-month reinvestment period, which expired in October 2021. Following this date, the bonds began to amortize sequentially with loan repayments and scheduled loan amortization. As of the April 2022 remittance, there are 22 loans in the pool with an aggregate principal balance of $907.3 million, representative of collateral reduction of 9.9% since the Reinvestment Period ended. In total, 16 loans have been repaid from the trust, and 16 loans were added to the pool during the reinvestment period, including two loans with a cumulative trust balance of $32.2 million since the last DBRS Morningstar rating action of the transaction in September 2021. Most borrowers are progressing toward completing their stated business plans with some delays reported as a result of the Coronavirus Disease (COVID-19) pandemic. Based on an update from the collateral manager, $72.6 million of future funding had been advanced to 15 individual borrowers through March 2022. The largest advance, $15.5 million, had been made to the borrower of the Turing at The Fields loan, which is secured by a multifamily property in Milpitas, California. The loan was structured with future funding of $16.8 million to fund capital improvements, leasing costs, and debt service shortfalls. An additional $68.4 million allocated to 17 individual borrowers remains outstanding to further aid in property stabilization efforts. The transaction is concentrated by property type as 13 loans, representing 46.1% of the pool balance, are secured by multifamily properties, and six loans, representing 34.5% of the pool balance, are secured by office properties. With regard to location, 16 properties, representing 70.3% of the pool balance, are located in suburban markets, defined as markets with a DBRS Morningstar Market Rank of 3, 4, and 5. Suburban markets have historically exhibited less liquidity and tenant/investor demand when compared with urban markets. The remaining six properties and 29.7% of the pool are in urban markets, defined as markets with a DBRS Morningstar Market Rank of 6, 7, and 8. As of the April 2022 remittance, there are no loans in special servicing or on the servicer's watchlist. According to the servicer's report, there are three loans, representing 16.1% of the pool, that were modified to provide borrowers with maturity extensions and changes to the floating interest rate spread. Based on the updates provided by the collateral manager, however, several loans were previously modified with borrower relief necessary as a direct result of hardships brought about by the coronavirus pandemic. The Blanchard Building loan (Prospectus ID#11, 4.5% of the pool) was scheduled to mature in April 2022 but remains in the pool. The loan has two 12-month extension options remaining but is subject to conditions tied to minimum debt yield and debt service coverage ratio requirements. Based on recent financials, property performance does not currently meet these thresholds, and the loan will likely require a modification to waive these conditions in order for the borrower to qualify for an extension. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-CCRE24: DBRS Confirms CCC Rating on Class G Certs ----------------------------------------------------------- DBRS Limited confirmed the following ratings of the Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE24 issued by COMM 2015-CCRE24 Commercial Mortgage Trust: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-C at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-D at B (high) (sf) -- Class E at B (sf) -- Class F at B (low) (sf) -- Class G at CCC (sf) DBRS Morningstar changed the trends on Classes X-C and D to Stable from Negative, primarily reflecting the recent modification and upcoming reinstatement of the largest specially serviced loan, Palazzo Verdi (Prospectus ID#4; 5.1% of the pool). The non-investment-grade ratings on Classes X-D, E, and F continue to have Negative trends given the ongoing potential for further credit deterioration based on exposure to the three remaining specially serviced loans (5.1% of the pool), particularly the Westin Portland (Prospectus ID#8; 4.2% of the pool). All remaining trends are Stable, excluding Class G, which has a rating that does not carry a trend. In addition, DBRS Morningstar has removed the Interest in Arrears designation on Class F, as shorted interest has been repaid, while Class G carries the Interest in Arrears designation because of an ongoing shortfall. As of the April 2022 remittance, 76 of the original 81 loans remain in the pool, with an aggregate principal balance of $1.22 billion, reflecting a collateral reduction of 11.8% since issuance as a result of loan repayment and scheduled loan amortization. Nine loans (6.4% of the pool) are secured by fully defeased collateral. There are also four loans (10.2% of the pool) in special servicing. DBRS Morningstar assumed a liquidation scenario for three of the four loans in special servicing, resulting in a loss forecast of approximately $21.5 million. The largest loan in special servicing is Palazzo Verdi, which is secured by a Class A office building totalling 302,245 square feet in Greenwood Village, Colorado, approximately 15 miles southeast of the Denver central business district (CBD). The loan transferred to special servicing in November 2020 for delinquency after the property's largest tenant, Newmont Mining (59.8% of net rentable area (NRA)), vacated upon lease expiration, causing the occupancy rate to drop to 27.0%. The decline in occupancy occurred concurrently with the loan's conversion to amortizing debt service payments following the burn off of its interest-only (IO) period. At closing, the property was owned by the John Madden Company, a full-service real estate development and management group in Greenwood Village; however, according to a December 2021 BusinessDen article, the property had been sold to Schnitzer West for $72.5 million. Per the terms of the loan modification, the new sponsor provided a $10.0 million principal pay down upon assuming the debt, paid all past due interest and expenses, and funded reserves for future leasing costs. In addition, the sponsor negotiated a new lease with Starz Entertainment (31.5% of NRA) on a 12-year term, implying a leased rate for the property of 61.0%. The tenant will pay an initial rate of $25.50 per square foot beginning in January 2024, following 18 months of free rent. The high submarket vacancy, reported at 18.0% by Reis as of Q1 2022, could continue to present a challenge to the sponsor's plans for stabilizing performance; however, DBRS Morningstar views the recent loan modification as a credit positive for the transaction. Despite this, DBRS Morningstar's analysis includes an increased probability of default given the increased implied loan-to-value ratio (LTV) and potential for ongoing underperformance. The second-largest loan in special servicing, Westin Portland, is secured by a 19-storey, full-service, 205-key luxury hotel in the CBD of Portland, Oregon. The loan was transferred to the special servicer in June 2020 for payment default and has since remained delinquent. The borrower has indicated they will not be able to make debt service payments going forward and has requested a loan modification. The special servicer is dual-tracking foreclosure as it continues to negotiate possible modification terms. The hotel's performance declined in 2017 because of a combination of new hospitality properties delivered to the submarket and the sponsor's conversion of the hotel to the Dossier boutique brand from the original Westin flag, which was completed in 2018. Rooms were taken off line during the rebranding, and performance and never restabilized. The hotel was also closed for a much of 2020 and into 2021 because of market disruption resulting from the Coronavirus Disease (COVID-19) pandemic but reopened in October 2021. The property's restaurant tenant remains closed and is not expected to reopen. The property was reappraised in December 2021 at $50.2 million, reflecting a 40% decline from the $83.6 million appraised value at issuance and indicating an LTV of 120.3% based on the total loan exposure. DBRS Morningstar's analysis included a liquidation scenario based on a stressed value, resulting in a projected loan-level loss severity in excess of 40.0%. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2016-C5: DBRS Confirms B Rating on Class X-F Certs -------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-C5 issued by CSAIL 2016-C5 Commercial Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) DBRS Morningstar changed the trends on Classes D, E, X-D, and X-E to Stable from Negative. The trends on Classes F and X-F remain Negative, reflecting the continued performance challenges of the loans that remain in special servicing. All other trends are Stable. The trend change reflects DBRS Morningstar's lowered loss expectations for the pool since the last rating action following the reinstatement of Embassy Suites and Claypool Court (Prospectus ID#7, 4.3% of the pool), which was returned to the master servicer in November 2021. DBRS Morningstar also notes the better-than-expected resolution of two other loans previously in special servicing. Holiday Inn Austin (Prospectus ID#21, previously 1.8% of the pool) was successfully repaid in full, and University Plains (Prospectus ID#17, previously 2.4% of the pool) was liquidated at a loss lower than DBRS Morningstar had anticipated. The trust consists of 51 of the original 59 loans, with an aggregate principal balance of $662.1 million, reflecting a collateral reduction of 29.3% since issuance. In addition, seven loans, representing 8.9% of the pool, are fully defeased. The pool is well diversified by property type, with the three largest concentrations being multifamily (23.1% of the current pool), office (18.2% of the current pool), and industrial (16.7% of the current pool). As of the April 2022 reporting, there are three loans, representing 5.5% of the current trust, in special servicing. Four loans, representing 5.7% of the pool, are delinquent. The largest specially serviced loan, Sheraton Lincoln Harbor Center (Prospectus ID#12, 3.0% of the current pool), is secured by a 343-room full-service hotel in Weehawken, New Jersey. The loan transferred to special servicing in January 2021 because of imminent default and remains delinquent. The sponsor is no longer supporting operations at the hotel and is co-operating with the foreclosure process. The special servicer rejected the initial discounted payoff offer. A modified offer was made in September 2021 and is being evaluated. The property reported an occupancy rate of 65.9% at YE2021, a significant increase from 33.0% at YE2020. Cash flows remain negative, resulting in a depressed debt service coverage ratio. The second-largest specially serviced loan, Frisco Plaza (Prospectus ID#23, 1.8% of the pool), is secured by a 61,453-square-foot retail property in Frisco, Texas. The loan transferred to special servicing in April 2019 for imminent default after the former largest tenant, LA Fitness (previously 73.2% of net rentable area) defaulted on the terms of its lease by failing to pay rent. Although the borrower was subsequently able to bring the loan current, LA Fitness vacated at lease expiration in March 2021, bringing occupancy down to 16.5%. The significant occupancy decrease resulted in the borrower defaulting again on debt service payments as a result of cash flow shortfalls. The asset is now real estate owned. A February 2022 appraisal valued the property at $10.8 million, a 41.6% decrease from $18.5 million at issuance, and below the current loan balance of $12.1 million. The special servicer is evaluating disposition strategies. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2016-C6: DBRS Confirms B Rating on Class X-F Certs -------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-C6 issued by CSAIL 2016-C6 Commercial Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) In addition to the rating confirmations, DBRS Morningstar changed the trend on Classes E and X-E to Stable from Negative. All other trends are Stable, with the exception of Classes X-F and F, which carry Negative trends. The rating confirmations and trend changes for Classes E and X-E are driven by the continued stable performance of the majority of the pool and the ongoing restabilization of loans previously in special servicing or on the servicer's watchlist. The trust consists of 44 of the original 50 loans with an aggregate principal balance of $544.4 million, reflecting a collateral reduction of 29.1% since issuance. In addition, six loans, representing 5.4% of the pool, are fully defeased. Since the last rating action, three loans previously in special servicing have been resolved and returned to the master servicer. As of the May 2022 reporting, there are no specially serviced or delinquent loans. Five loans, representing 8.2% of the current pool, are on the servicer's watchlist, down from 12 watchlisted loans at the last rating action. The largest watchlisted loan, Palihouse Santa Monica (Prospectus ID#12; 3.3% of the current pool), is secured by a 38-room, full-service hotel in Santa Monica, California. The property is four blocks from Santa Monica Boulevard and close to the beach. The hotel's performance deteriorated significantly in 2020 as a result of the pandemic. The YE2020 debt service coverage ratio (DSCR) dropped to -0.10 times (x) from 1.35x at YE2019, but improved to 0.72x as of YE2021, indicating restabilization of occupancy and revenues. Despite significant operating shortfalls over the past two years, the loan has never been delinquent. DBRS Morningstar maintained the Negative trends on Classes F and X-F to reflect ongoing concerns with the second-largest loan in the pool, Quaker Bridge Mall (Prospectus ID#3; 12.2% of the current pool), which was previously in special servicing. The loan is secured by 357,221 square feet (sf) of a 1.1 million sf, Simon-operated regional mall in Lawrenceville, New Jersey. It returned to the master servicer in November 2021 as a corrected mortgage loan and has been brought current on debt service payments. For the trailing nine months ended September 30, 2021, the loan reported a DSCR of 1.61x compared with its pre-pandemic DSCR of 1.79x at YE2019. The mall is anchored by Macy's and J.C. Penney, neither of which are included as collateral. Another two anchor pads, one of which is collateral, were previously occupied by Lord & Taylor and Sears, but are now vacant. The second-largest collateral tenant, Old Navy (5.1% of net rentable area (NRA)), had a lease expiration in March 2022 but remains at the property, according to the mall's website. The remaining four of the top five collateral tenants (18.7% of NRA) have lease expirations in January 2023, with a total of 34.1% of NRA scheduled to roll in 2023. A February 2021 appraisal valued the mall at $168.0 million, down from the issuance appraised value of $333.0 million. DBRS Morningstar further stressed the most recent appraised value to test the durability of the ratings and believes that any potential trust loss related to this loan would be contained to the unrated class. The Negative trends reflect DBRS Morningstar's concerns regarding the possibility of further credit deterioration given the continued vacancy of two of the four anchor pads as well as upcoming lease rollovers. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC 2022-NQM4: S&P Assigns Prelim B- (sf) Rating on B-2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CSMC 2022-NQM4 Trust's mortgage pass-through notes. The note issuance is an RMBS transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of June 28, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The mortgage aggregator, DLJ Mortgage Capital Inc., and the originators, which include Hometown Equity Mortgage LLC d/b/a theLender, HomeXpress Mortgage Corp., and AmWest Funding Corp.; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Preliminary Ratings(i) Assigned CSMC 2022-NQM4 Trust Class A-1A, $217,152,000: AAA (sf) Class A-1B, $44,635,000: AAA (sf) Class A-1, $261,787,000: AAA (sf) Class A-2, $35,486,000: AA (sf) Class A-3, $50,661,000: A (sf) Class M-1, $30,352,000: BBB (sf) Class B-1, $24,327,000: BB (sf) Class B-2, $24,103,000: B- (sf) Class B-3, $19,640,259: Not rated Class A-IO-S, notional(ii): Not rated Class XS(iii), notional(ii): Not rated Class PT, $446,356,259: 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 27, 2022. The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate balance of the mortgage loans as of the first day of the related due period. (iii)This class will receive certain excess amounts, including prepayment premiums. DBJPM 2016-C1: DBRS Confirms CCC Rating on Class F Certs -------------------------------------------------------- DBRS Limited downgraded the ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C1 issued by DBJPM 2016-C1 Mortgage Trust as follows: -- Class D to BB (low) (sf) from BB (sf) -- Class E to B (low) (sf) from B (sf) -- Class X-C to BB (sf) from BB (high) (sf) -- Class X-D to B (sf) from B (high) (sf) -- Class G to C (sf) from CCC (sf) In addition, DBRS Morningstar confirmed the following ratings: -- Class A-3A at AAA (sf) -- Class A-3B at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class F at CCC (sf) -- Class X-A at AAA (sf) -- Class X-B at A (sf) DBRS Morningstar maintains Negative trends on Classes D, E, X-C, and X-D. Classes F and G have ratings that do not carry trends. All remaining classes have Stable trends. In addition, the Interest in Arrears designation was maintained on Class G. The rating downgrades and Negative trends reflect DBRS Morningstar's concerns with the largest loan in special servicing, Sheraton North Houston (Prospectus ID#4, 5.1% of the pool balance), as well as the watchlisted Hagerstown Premium Outlets loan (Prospectus ID#12, 3.9% of the pool balance). Both loans are discussed in detail below. As of the April 2022 remittance, 31 of the original 33 loans remain in the pool, with a collateral reduction of 12.8% since issuance. The Shopko Madison loan (Prospectus ID#26) was liquidated from the trust in January 2022 at a loss of $5.4 million, which was contained to the non-rated Class H. Loans secured by office properties represent the greatest property type concentration, accounting for 36.4% of the current pool balance, followed by retail properties at 33.6%. There are two loans in special servicing and nine loans on the servicer's watchlist, representing 8.5% and 19.7% of the pool balance, respectively. Two loans are fully defeaased, representing 5.0% of the pool balance. The Sheraton North Houston loan is secured by a 419-key, full-service hotel in Houston, Texas, located within close proximity to the George Bush Intercontinental Airport. The loan has been delinquent since August 2020 and was transferred to special servicing in November 2020. The hotel's performance consistently lagged issuance expectations, but cash flows remained above breakeven prior to the onset of the Coronavirus Disease (COVID-19) pandemic, with the servicer reporting a year-end (YE) 2019 debt service coverage ratio (DSCR) of 1.32 times (x). The March 2021 appraisal value of $56.0 million reflected a 16.6% decline from the issuance value of $68.0 million, a relatively muted decline given the low in-place cash flows. According to the March 2022 STR report, the property reported a trailing 12 months (T-12) ended March 21, 2022, occupancy rate, average daily rate, and revenue per available room (RevPAR) of 37.7%, $86.67, and $33.41, respectively, which represented a RevPAR penetration rate of 56.9%. Given the low RevPAR penetration rate and the possibility that investor demand could be limited should the servicer attempt a sale in the near-to-moderate term, DBRS Morningstar applied a stressed haircut to the March 2021 appraised value in the liquidation scenario for this review, resulting in a loss severity in excess of 25.0%. Another loan of concern is Hagerstown Premium Outlets, secured by an open-air retail outlet center in Hagerstown, Maryland, located approximately 70 miles northwest of Washington, D.C. The property is owned and operated by Simon Property Group (SPG). The loan previously transferred to special servicing for payment default in June 2020; however, a loan modification was executed in September 2020 and the borrower brought the loan current in December 2020. Principal payments between October 2020 and December 2020 were deferred and repaid over the first three months of 2021. The loan remains on the servicer's watchlist because of low performance as the occupancy rate has been precipitously declining in recent years, most notably beginning with the loss of Nike Factory Store in 2019 and Wolf's Furniture in 2020, both anchors for the outlet mall. The largest tenant at the subject is currently Gap Factory Store (1.9% of the NRA). As of the September 2021 rent roll, the property was 44.3% occupied, compared with the YE2020 occupancy rate of 51.2% and the YE2019 occupancy rate of 71.3%. According to the T-6 ended June 30, 2021, financials, the loan reported a DSCR of 0.87x, compared with the YE2020 DSCR of 1.23x and YE2019 DSCR of 1.70x. The low sustained occupancy rate and below breakeven cash flows suggest the sponsor could determine the subject property no longer fits the profile of its core portfolio and if that determination were to be made, SPG could decide to walk away from the subject loan as it has with other malls backing CMBS loans within its portfolio. Given these factors and the likelihood that the mall's as-is value has declined sharply from the $150.0 million appraised value at issuance, a liquidation scenario was assumed as part of this review, with an analyzed loss severity in excess of 35.0%. At issuance, DBRS Morningstar shadow-rated two loans, 787 Seventh Avenue (Prospectus ID#1, 11.2% of the pool balance) and 225 Liberty Street (Prospectus ID#5, 5.7% of the pool balance) as investment grade. With this review, DBRS Morningstar confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. dollars unless otherwise noted. DEEPHAVEN RESIDENTIAL 2022-3: S&P Assigns (P) B- (sf) on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Deephaven Residential Mortgage Trust 2022-3's mortgage-backed pass-through notes series 2022-3. The note issuance is an RMBS transaction backed by first-lien, fixed-, and adjustable-rate mortgage loans secured by single-family residences, planned-unit developments, condominiums, two- to four-family homes, and one townhouse. The pool consists of 421 loans that are primarily non-qualified mortgage loans and ability-to-repay exempt loans. The preliminary ratings are based on information as of June 29, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The mortgage aggregator, Deephaven Mortgage LLC; -- The transaction's representation and warranty framework; -- The geographic concentration; -- The 100% due diligence results consistent with represented loan characteristics; 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, "Per our latest macroeconomic update, recent indicators show a resilient economy through June, despite rising prices and interest rates, but there appear to be cracks in the foundation. Extremely high prices and aggressive rate hikes will weigh on affordability and demand. With the Russia-Ukraine conflict and China slowdown exacerbating supply chains and pricing pressures, it's hard to see the economy walking out of 2023 unscathed. As a result, we continue to maintain the revised outlook per the April 2020 update to the guidance to our RMBS criteria (which increased the archetypal 'B' projected foreclosure frequency to 3.25% from 2.5%)." Preliminary Ratings Assigned Deephaven Residential Mortgage Trust 2022-3 Class A-1, $128,800,000: AAA (sf) Class A-2, $18,448,000: AA (sf) Class A-3, $28,010,000: A (sf) Class M-1, $15,411,000: BBB (sf) Class B-1, $12,486,000: BB (sf) Class B-2, $12,262,000: B- (sf) Class B-3, $9,561,650: NR Class XS, Notional(i): NR Class A-IO-S, Notional(i): NR Class R: NR (i)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. ENCINA EQUIPMENT 2021-1: DBRS Confirms BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. upgraded its ratings on two classes of notes issued by Encina Equipment Finance 2021-1 LLC as follows: -- Class B Notes to AA (high) (sf) from AA (sf) -- Class C Notes to A (high) (sf) from A (sf) In addition, DBRS Morningstar confirmed its ratings on the following four classes of notes: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AAA (sf) -- Class D Notes at BBB (sf) -- Class E Notes 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. -- The currently available hard credit enhancement in the form of overcollateralization, subordination (as applicable), and amounts of deposit in the cash reserve account, as well as the change in the level of protection afforded by each form of credit enhancement since the closing of each transaction. -- The collateral performance of the transaction, with performance metrics within the expected range. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Notes: All figures are in U.S. dollars unless otherwise noted. FLAGSHIP CREDIT 2022-2: DBRS Gives Prov. BB Rating on Cl. E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Flagship Credit Auto Trust 2022-2 (the Issuer): -- $62,500,000 Class A-1 Notes at R-1 (high) (sf) -- $158,400,000 Class A-2 Notes at AAA (sf) -- $115,650,000 Class A-3 Notes at AAA (sf) -- $37,620,000 Class B Notes at AA (sf) -- $51,350,000 Class C Notes at A (sf) -- $41,180,000 Class D Notes at BBB (sf) -- $33,300,000 Class E Notes at BB (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The DBRS Morningstar CNL assumption is 10.60%, based on the expected Cut-Off Date pool composition. (3) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns March 2022 Update," published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including Russian invasion of Ukraine, rising inflation and new coronavirus variants, the overall outlook for growth and employment in the United States remains relatively positive. (4) The consistent operational history of Flagship Credit Acceptance, LLC (Flagship or the Company) and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Flagship with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Flagship and considers the entity an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) The Company indicated that it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Flagship could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (7) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Flagship is an independent, full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms to purchase late-model vehicles and (2) refinancing of existing automotive financing. There will be seven classes of Notes included in FCAT 2022-2: Class A-1, A-2, A-3, B, C, D, and E. Initial credit enhancement for the Class A-1, A-2, and A-3 Notes is expected to be 34.80% and will include a 1.00% reserve account (funded at inception and nondeclining), initial OC of 1.65%, and subordination of 32.15% of the initial pool balance. Initial Class B enhancement is expected to be 27.40% and will include a 1.00% reserve account (funded at inception and nondeclining), initial OC of 1.65%, and subordination of 24.75% of the initial pool balance. Initial Class C enhancement is expected to be 17.30% and will include a 1.00% reserve account (funded at inception and nondeclining), initial OC of 1.65%, and subordination of 14.65% of the initial pool balance. Initial Class D enhancement is expected to be 9.20% and will include a 1.00% reserve account (funded at inception and nondeclining), initial OC of 1.65%, and subordination of 6.55% of the initial pool balance. Initial Class E enhancement is expected to be 2.65% and will include a 1.00% reserve account (funded at inception and nondeclining) and initial OC of 1.65%. Notes: All figures are in in U.S. dollars unless otherwise noted. FOURSIGHT CAPITAL 2020-1: Moody's Ups Rating on F Notes From Ba2 ---------------------------------------------------------------- Moody's Investors Service has upgraded 13 classes of bonds issued from nine 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: Carvana Auto Receivables Trust 2019-1 Class E Asset-Backed Notes, Upgraded to Aaa (sf); previously on Mar 11, 2022 Upgraded to Aa1 (sf) Issuer: Carvana Auto Receivables Trust 2019-2 Class E Notes, Upgraded to Aa1 (sf); previously on Mar 11, 2022 Upgraded to Aa2 (sf) Issuer: Carvana Auto Receivables Trust 2019-3 Class E Notes, Upgraded to Aa2 (sf); previously on Mar 11, 2022 Upgraded to A1 (sf) Issuer: Carvana Auto Receivables Trust 2019-4 Class E Notes, Upgraded to A1 (sf); previously on Mar 11, 2022 Upgraded to A3 (sf) Issuer: Credit Acceptance Auto Loan Trust 2019-3 Class B Notes, Upgraded to Aaa (sf); previously on Mar 11, 2022 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aaa (sf); previously on Mar 11, 2022 Upgraded to A1 (sf) Issuer: Credit Acceptance Auto Loan Trust 2020-1 Class B Notes, Upgraded to Aaa (sf); previously on Feb 20, 2020 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Feb 20, 2020 Definitive Rating Assigned A2 (sf) Issuer: Foursight Capital Automobile Receivables Trust 2019-1 Class F Notes, Upgraded to Baa2 (sf); previously on Apr 14, 2022 Upgraded to Baa3 (sf) Issuer: Foursight Capital Automobile Receivables Trust 2020-1 Class E Notes, Upgraded to Aaa (sf); previously on Apr 14, 2022 Upgraded to Aa2 (sf) Class F Notes, Upgraded to Baa3 (sf); previously on Sep 10, 2021 Upgraded to Ba2 (sf) Issuer: Foursight Capital Automobile Receivables Trust 2021-2 Class B Notes, Upgraded to Aaa (sf); previously on Apr 14, 2022 Upgraded to Aa2 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Apr 14, 2022 Upgraded to A2 (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 our lifetime cumulative net loss (CNL) expectations for the underlying pools. Credit Acceptance transactions have benefited from full-turbo sequential paydown during the amortization period. The full-turbo structure prevents available funds from leaking to the residual holders, and speeds the payment of principal to the notes. For Foursight transactions, Moody's updated CNL expectations range from 5.75% to 8.75%. For 2019 Carvana transactions, Moody's updated CNL expectations range from 6.50% to 6.75%. Moody's updated CNL expectation for Credit Acceptance Auto Loan Trust 2019-3 is 23.00% and for Credit Acceptance Auto Loan Trust 2020-1 is 25.00%. 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. GS MORTGAGE 2013-GCJ14: DBRS Confirms CCC Rating on Class G Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-GCJ14 (the Certificates) issued by GS Mortgage Securities Trust 2013-GCJ14 as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class PEZ at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (low) (sf) -- Class G at CCC (sf) DBRS Morningstar maintained Negative trends on Classes C, PEZ, D, E, and F. Class G has a rating that does not carry a trend. All remaining trends are Stable. DBRS Morningstar downgraded three classes and assigned Negative trends to two additional classes as part of the February 2022 rating actions. (For additional information, please see the press release dated February 1, 2022.) The rating downgrades and Negative trends with the last review were due to further deterioration in the credit profile for three loans including Mall St. Matthews (Prospectus ID#6, 3.5% of the pool), W Chicago – City Center (Prospectus ID#3, 8.0% of the pool), Indiana Mall (Prospectus ID#20), and other smaller loans. There have been some developments since February 2022, including a closed loan modification for the Mall St. Matthews loan and a transfer back to the master servicer for the W Chicago – City Center loan, and the rating actions with this review are reflective of DBRS Morningstar's view that the risks for the driver loans remain consistent with last review. As of the May 2022 remittance, 70 of the original 84 loans remain in the pool, representing a collateral reduction of 24.0% since issuance. The pool benefits from defeasance collateral as 21 loans, representing 15.8% of the pool balance, are fully defeased. 13 loans are on the servicer's watchlist and only two loans are in special servicing, representing 31.9% and 4.4% of the pool, respectively. Since last review, Indiana Mall has liquidated from the trust with a smaller total loss to the trust of $7.4 million than anticipated given the most recently reported October 2021 appraisal of $3.9 million, which was well below the outstanding loan balance of $12.3 million at that time. The Mall St. Matthews loan is a pari passu loan secured by a regional mall in Louisville, Kentucky, owned and operated by Brookfield Property Group (Brookfield). The loan failed to repay at the scheduled June 2020 maturity date and was transferred to special servicing. The loan has largely remained current on monthly payments since the transfer and, as of March 2022, a loan modification has been approved to extend the maturity date to June 2025. The loan modification also allowed for a conversion to interest-only (IO) payments throughout the extension period. In addition, the borrower contributed $7.0 million of new capital to be applied toward fees and expenses and the funding of a leasing and capital expenses reserve of approximately $6.0 million. The loan will also be cash managed with all excess cash applied to paydown the principal balance. There should be excess funds available for paydown as according to the year-end (YE) 2021 financials, the loan reported a debt service coverage ratio (DSCR) of 1.60 times (x), compared with the YE2020 of 1.69x and YE2019 of 1.96x. According to the servicer's commentary, the loan will also be subject to a capital event waterfall upon the 2025 maturity date, which stipulates that a minimum of $75.0 million is to be repaid to the trusts holding the pari passu debt on the property. Based on the August 2021 appraisal, the property was valued at $83.0 million, a 70.4% decline from the issuance value of $280.0 million. Although the loan modification suggests a longer-term commitment to the property for the sponsor, a factor that is likely driven by the healthy sales rebound as shown in November 2021 tenant sales report, which showed sales for in-line tenants of $489 per square foot (psf) for the trailing 12 months (T-12) ended November 2021, compared with the T-12 ended March 2019 sales of $417 psf. DBRS Morningstar believes the steep value decline from issuance and possibility that the loan modification allows for a partial recovery of equity for the sponsor at repayment (even if the loan balance isn't repaid in full) mean the possibility of a significant loss at resolution remains high. The W Chicago – City Center loan is secured by a 403-key full-service hotel in Chicago and has been reporting performance declines for several years, before the onset of the Coronavirus Disease (COVID-19) pandemic. The loan was transferred to the special servicer in March 2021 for payment default and has since been approved for a loan modification that allowed for a conversion to IO payments for the remaining term, with the borrower remitting funds after $1.5 million in cash management reserves was applied to cover tax payments, replenish the FF&E reserve and cover any special-servicing fees incurred during the rehabilitation period. The loan will continue to be cash managed through its August 2023 maturity and was transferred back to the master servicer as of March 2022. Based on the April 2021 appraisal, the property was valued at $73.6 million, which is a 55.9% decrease from the issuance value of $167.0 million, and just below the outstanding loan balance of $75.5 million. At issuance, it was noted that convention activity was one of the strongest generators of lodging demand in the immediate surrounding area, with significant demand also coming from the large presence of office space within the West Loop, where the property is located within the central business district. Cash flows were affected by supply additions after issuance and the DSCR has consistently lagged expectations since 2018. Although the loan modification suggests the sponsor remains committed to the asset, the sharp value decline from issuance and the uncertainty surrounding hotel demand tied to office use and convention schedules suggests risks continue to be significantly elevated from issuance for the loan. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2013-PEMB: S&P Cuts Class E Certs Rating to 'CCC (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2013-PEMB, a U.S. CMBS transaction. This U.S. CMBS transaction is backed by a 12-year, fixed-rate, interest-only (IO) mortgage loan secured by a portion (748,818 sq. ft.) of Pembroke Lakes Mall, a 1.1 million-sq.-ft. regional mall in Pembroke Pines, Fla. Rating Actions S&P said, "The downgrades of classes A, B, C, D, and E reflect our re-evaluation of the Pembroke Lakes Mall property, which secures the sole loan in the transaction. The downgrade of class E to 'CCC (sf)' also reflects our view that, based on an S&P Global Ratings' loan-to-value (LTV) ratio of over 100%, this class is more susceptible to reduced liquidity support, and the risk of default and loss has increased due to current market conditions. "Our analysis included a review of the most recent available performance data provided by the servicer and our assessment of the significant decline in reported performance at the property since the onset of the COVID-19 pandemic. Servicer-reported net cash flow (NCF) dropped steeply by 31.5% to $17.9 million in 2020 from $26.2 million in 2019 due mainly to tenants requesting rental reliefs, resulting in lower base rent income, expense reimbursement income, and other income. While the sponsor was able to backfill the vacant collateral space formerly occupied by Sears (details below), maintain an occupancy rate above 90%, and improve the 2021 NCF by 9.9% to $19.7 million, the property's reported 2021 performance is still 14.0% below our assumed NCF of $22.9 million that we derived in our last review in November 2020. "We therefore revised and lowered our sustainable NCF by 10.5% to $20.5 million from $22.9 million at last review. Using an 8.25% S&P Global Ratings capitalization rate (the same as at last review), we arrived at an expected-case valuation of $248.7 million, or $332 per sq. ft.--a decline of 10.5% from our value of $277.8 million at last review. This yielded an S&P Global Ratings LTV ratio of 104.5% on the current loan balance versus 93.6% at last review." Although the model-indicated rating was lower than the class' revised rating level, S&P tempered its downgrade on class A because we weighed certain qualitative considerations, including: -- The significant market value decline that would be needed before this class experiences principal losses; -- The liquidity support provided in the form of servicer advancing; -- The relative position of the class in the payment waterfall; and -- The potential that the property's operating performance could increase above our revised expectations. Property-Level Analysis Pembroke Lakes Mall is a single-story enclosed 1.1 million-sq.-ft. super regional mall built in 1992 and renovated in 2006 in Pembroke Lakes, Fla., of which 748,818 sq. ft. serves as collateral for the loan. Non-collateral anchors at the property include Dillard's (157,473 sq. ft.), Dillard's Men & Home (80,823 sq. ft.), and J.C. Penney (147,760 sq. ft.). The collateral anchors include Macy's (181,847 sq. ft.), Round One Entertainment (101,634 sq. ft.), Macy's Home Store (70,000 sq. ft.), and AMC Theaters (40,130 sq. ft.). Round One Entertainment and AMC Theaters backfilled the former Sears space in 2022 and 2017, respectively. S&P's property-level analysis considered the year-over-year decline in servicer reported NCF: down 7.0% in 2019 to $26.2 million from $28.2 million in 2018 and down 31.5% in 2020 to $17.9 million. The decline in performance prior to the pandemic stemmed from higher real estate taxes, general and administrative expenses, payroll and benefits expenses, and management fees. While performance declined sharply at the onset of the COVID-19 pandemic due primarily to lower revenue, NCF increased 9.9% in 2021 to $19.7 million. According to the December 2021 rent roll, the collateral property was 94.3% leased. The five largest tenants comprised 55.4% of collateral net rentable area (NRA) and include: -- Macy's (24.3% of NRA; 7.2% of gross rent, as calculated by S&P Global Ratings; January 2028 lease expiration after the tenant recently executed its five-year extension option); -- Round One Entertainment (13.6%; 0.0%; May 2032); -- Macy's Home Store (9.4%; 0.7%; January 2028 lease expiration after the tenant recently executed its five-year extension option); -- AMC Theaters (5.4%; 0.0%; October 2032); and -- H&M (2.7%; 4.0%; January 2024). As mentioned above, Sears previously occupied 143,372 sq. ft. at the property, before it fully vacated in September 2019, after it downsized in 2016, and ahead of its September 2022 lease expiration. AMC Theaters took a portion of this space in October 2017, and Round One Entertainment took the remaining space and just opened in June 2022. It is our understanding that the borrower entered into a ground lease arrangement with a joint venture between an affiliate of the sponsor and a Sears-related REIT with respect to the Sears space in 2016. The joint venture, in turn, subleased the space to the aforementioned tenants, and the borrower is not entitled to the rental payments totaling approximately $2.0 million from AMC Theaters and Round One Entertainment. Since S&P did not receive an update as to whether the borrower receives any ground lease payments from the joint venture, its current analysis gives no income credit to the former Sears space, which we similarly assumed in its last review. The property faces elevated tenant rollover risk in 2022 (8.3% of NRA, 17.1% of gross rent as calculated by S&P Global Ratings), 2023 (8.8%, 16.8%), 2024 (7.3%, 12.6%), and 2028 (36.0%, 13.9%). The rollover risk in 2022 through 2024 is diversified with various tenants, the largest being H&M (2.7% of NRA) and Forever 21 (1.8%); however, it is more concentrated in 2028 due to Macy's (24.3%) and Macy's Home Store (9.4%). According to the tenant sales report as of December 2021, inline tenant sales were $528 per sq. ft., as calculated by S&P Global Ratings, up slightly from $510 per sq. ft. at last review. S&P said, "At last review, we calculated an inline occupancy cost of 18.5%. Currently, we calculate an inline occupancy cost of 16.1% based on the higher tenant sales report and the lower inline gross rent per sq. ft. of $72.38, as calculated by S&P Global Ratings, compared to $89.21 at last review." S&P said, "Our current analysis considered new leases commencing after the December 2021 rent roll and the ongoing rent relief offered to a few tenants, which resulted in our assumed collateral occupancy rate of 96.2%. We derived a sustainable NCF of $20.5 million, slightly higher than the servicer reported NCF of $19.7 million as of year-end 2021, and using an S&P Global Ratings' capitalization rate of 8.25%, arrived at an expected-case value of $248.7 million." Transaction Summary This is a U.S. stand-alone (single-borrower) transaction backed by a 12-year fixed-rate, IO mortgage loan. The loan is secured by the borrower's fee simple interest in a portion of Pembroke Lakes Mall, a regional mall in Pembroke Pines, Fla. The IO loan has an initial and current trust balance of $260.0 million (as of the June 7, 2022, trustee remittance report). The loan pays a fixed interest rate of 3.562% and matures on March 1, 2025. According to the master servicer, KeyBank Real Estate Capital, the borrower requested and received forbearance in June 2020 that resulted in the servicer waiving the cash sweep debt service coverage (DSC) trigger of 1.60x. According to the servicer reserve report as of June 2022, $4,000 is held in the other reserve account. To date, the trust has not experienced any principal losses. The loan had a reported current payment status through its June 2022 debt service payment date. The master servicer reported a DSC of 2.10x in 2021, up from 1.91x in 2020 but still below the 2.79x reported in 2019. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic but also the importance and benefits of vaccines. S&P said, "While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, we do not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, we continue to assess how well each issuer adapts to new waves in its geography or industry." Ratings Lowered GS Mortgage Securities Corp. Trust 2013-PEMB Class A to 'A (sf)' from 'AA- (sf)' Class B to 'BB+ (sf)' from 'BBB (sf)' Class C to 'B+ (sf)' from 'BB (sf)' Class D to 'B- (sf)' from 'B+ (sf)' Class E to 'CCC (sf)' from 'B- (sf)' GS MORTGAGE 2015-GC34: Fitch Affirms CCC Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of GS Mortgage Securities Trust (GSMS), commercial mortgage pass-through certificates, series 2015-GC34. In addition, the Rating Outlooks on the classes A-S, B, C, PEZ, X-A and X-B were revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- GSMS 2015-GC34 A-3 36250VAC6 LT AAAsf Affirmed AAAsf A-4 36250VAD4 LT AAAsf Affirmed AAAsf A-AB 36250VAE2 LT AAAsf Affirmed AAAsf A-S 36250VAH5 LT AAAsf Affirmed AAAsf B 36250VAJ1 LT AA-sf Affirmed AA-sf C 36250VAL6 LT A-sf Affirmed A-sf D 36250VAM4 LT BBsf Affirmed BBsf E 36250VAP7 LT CCCsf Affirmed CCCsf F 36250VAR3 LT CCCsf Affirmed CCCsf PEZ 36250VAK8 LT A-sf Affirmed A-sf X-A 36250VAF9 LT AAAsf Affirmed AAAsf X-B 36250VAG7 LT AA-sf Affirmed AA-sf X-D 36250VAN2 LT BBsf Affirmed BBsf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revision to Stable from Negative on classes A-S, B, C, PEZ, X-A and X-B reflects performance stabilization of properties that had been affected by the pandemic and improved loss expectations for the pool since the prior rating action. This includes lower modeled losses on three previously specially serviced loans (11.8%) that returned to the master servicer since the prior rating action. Fitch's current ratings incorporate a base case loss of 9.50%. The Negative Outlook on classes D and X-D, which was previously assigned for additional coronavirus-related stresses applied on hotel and retail loans, reflects performance concerns on some of the larger Fitch Loans of Concerns (FLOCs) that have yet to exhibit performance stabilization, including the Illinois Center, 750 Lexington Avenue and Woodlands Corporate Center and 7049 Williams Road Portfolio loans. There are 12 FLOCs (43.4% of pool), compared with 15 loans (47%) at the prior rating action. Three loans (4.7%) are in special servicing, down from five (15.8%) at the prior rating action. The largest increase in loss since the prior rating action is the Illinois Center loan (12.7%), which is secured by two adjoining 32-story office towers located in the East Loop submarket of the Chicago CBD (111 East Wacker and 233 North Michigan Avenue). As of March 2022, the total property was 60.7% occupied, down from 67% in December 2020 and 73.8% in December 2019. The recent occupancy decline is due to several tenants (combined 9.9% of total NRA) vacating at or prior to expiration in 2021 and 2022. Outside of the top four tenants, the GSA (Dept. of Health & Human Services; 8.3% of), Bankers Life and Casualty (6.5%), iHeartMedia + Entertainment (5.1%) and Taft Stettinius & Hollister (4.3%), no tenant occupies more than 3.3% of the total NRA. As of the March 2022 rent roll, upcoming lease rollover includes 0.4% of the NRA in 2022, 18.6% in 2023 and 10.3% in 2024. The 2023 rollover is primarily concentrated in the August 2023 expiration of Bankers Life and Casualty (6.5%) and the November 2023 expiration of the GSA (8.4%). Total occupancy is expected to fall to approximately 54% in August 2023, as media reports indicate Bankers Life and Casualty will be vacating and downsizing to move to another nearby property. The YE 2021 NOI declined 14.1% from YE 2020 due to lower revenue as a result of decreased occupancy and higher operating expenses (primarily real estate taxes, which rose nearly 11%). Fitch's base case loss of 14% reflects a 10% haircut to the YE 2021 NOI to reflect the upcoming lease rollover risk. The next largest increase in loss is the Woodlands Corporate Center and 7049 Williams Road Portfolio loan (2.9%), which is secured by a portfolio of eight office/flex properties located in suburban Buffalo, NY. The loan was transferred to special servicing in December 2019 for imminent default and was over 90 days delinquent as of the June 2022 remittance reporting. The borrower expressed they are no longer able to come out-of-pocket to cover both debt service and operating expense payment shortfalls. The special servicer is proceeding with foreclosure as the borrower indicated in February 2022 that they wish to hand the keys back. A receiver has been appointed, and a motion for default judgement was filed in April 2022. The special servicer is currently waiting for the foreclosure sale date to be set. Portfolio cash flow has declined since issuance, partially attributed to the rent reduction of the largest tenant, Silipos (16.6% of portfolio NRA), by nearly 47% as part of its 10-year lease renewal. The portfolio has not reported any updated full-year financials since YE 2018. Portfolio occupancy fell to 72.2% in April 2022 from 74.8% in May 2021 and 86.3% in April 2020 due to six tenants totaling 12.4% of NRA vacating at expiration between January 2020 and January 2022. The portfolio's other largest tenants include Calamar Construction Management, Inc. (14.3%), TDG Transit Design Group (8.4%) and Incom Manufacturing (7.6%). As of the April 2022 rent roll, upcoming lease rollover includes 10.2% of the NRA in 2022 and 13.3% in 2023. Additionally, three tenants (5.4%) have leases that expired in 2020 and 2021. Fitch's base case loss of 73% reflects a stressed value of approximately $42 psf and is based on a discount to the servicer-provided January 2022 appraisal. Fitch remains concerned with the performance of the second largest FLOC, 750 Lexington Avenue (10.8%), which is secured by a 382,256-sf class A office and retail property located in Manhattan's Plaza District that has experienced significant cash flow declines since issuance and has exposure to WeWork as the largest tenant (23% of NRA; 22% of total base rents; March 2035). The loan began amortizing in November 2020, and per the servicer, the current debt service amount is a burden too heavy for the property support both today and in the foreseeable future as the effects of the coronavirus pandemic continue to hamper the market for new office leasing as well as the operation of the property's retail tenants. The borrower stated that they are collecting nearly 100% of office rents, but the property faces near-term lease rollover and vacancy which includes two full floors of space in dispute with WeWork (30,775 sf; 8.6% of NRA) representing approximately $2 million per year in rent. In addition, retail tenant AmorePacific (1.3% of NRA; 4% of total base rents) has not paid rent since November 2020 and now maintains arrears of over $365,000. WeWork is obligated to pay its monthly base rent and additional rent until the expiration date in 2035 for the second tranche of space. This will be remedied with the security deposit, which is held in a $6 million letter of credit. Fitch will continue to monitor the loan for performance and tenancy updates. The loan was transferred to special servicing in June 2021 due to imminent monetary default, but returned to the master servicer in August 2021 as a modified loan. The modification included reduced interest payments, future deferment of principal payments starting in 2022 and reduction the monthly tax constants per a new escrow analysis. The loan remains current per the modification. Property occupancy declined to 70.7% in September 2021 from 85.7% in September 2020 and 82% in July 2019. The recent occupancy decline is due to eight tenants totaling nearly 21% of the NRA vacating at or prior to expiration, including J. Choo, USA (7.2%) and Guaranteed Rate, Inc (6.3%; tenant still occupies a smaller space that is 1.1% of NRA). This was partially offset by new leasing activity with smaller tenants and a new lease with Stemline Therapeutics for the space vacated by Guaranteed Rate, Inc. starting in November 2020. Fitch's loss expectation of 10% equates to a stressed value of $312 psf, which is conservative relative to sales comparables in the submarket. Fitch remains concerned with future property performance given the high coworking tenant exposure and increasing vacancy. Slight Improvement in Credit Enhancement: As of the June 2022 distribution date, the pool's aggregate principal balance has paid down by 9.7% to $767 million from $848 million at issuance. The transaction is expected to pay down by 11.9% based on scheduled loan maturity balances. Nine loans (9.1% of pool) have been defeased. The pool has experienced $2.1 million (0.3% of original pool balance) in realized losses since issuance from the disposition of the Hyatt Place Texas Portfolio loan ($12.5 million) by a discounted payoff in October 2020. As of the June 2022 remittance reporting, the pool was undercollateralized by $642,724. Four loans (18.2%) are full-term interest-only and the remainder of the pool (50 loans; 81.8%) is now amortizing. The majority of the pool (53 loans; 98.6%) is scheduled to mature in 2025 and one loan (LA Fitness Powell; 1.4%) has a hard maturity in December 2027 after it did not repay at its October 2020 ARD. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-3 through A-AB are not likely due to the position in the capital structure but may occur should interest shortfalls affect these classes. A downgrade of one category to classes A-S and X-A is possible should all of the FLOCs suffer losses, particularly the Illinois Center, Woodlands Corporate Center and 7049 Williams Road Portfolio, Parkside at So7 and 750 Lexington Avenue loans, or if interest shortfalls occur. Downgrades to classes B, X-B, C and PEZ also may occur should all of the FLOCs suffer losses. Downgrades to classes D and X-D would occur should loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans default and/or transfer to special servicing, higher losses than expected are incurred on the specially serviced loans and/or the larger FLOCs experience outsized losses. Downgrades to classes E and F would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades include stable to improved asset performance, particularly on the specially serviced Woodlands Corporate Center and 7049 Williams Road Portfolio loan, and on the larger non-specially serviced FLOCs, Illinois Center, 750 Lexington Avenue and Parkside at So7, coupled with additional paydown and/or defeasance. Upgrades to classes B, X-B, C and PEZ may occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs but 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. Classes D, X-D, E and F are unlikely to be upgraded absent significant performance improvement on the FLOCs and higher recoveries than expected on the specially serviced loans. 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. GSCG TRUST 2019-600C: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------------ DBRS Limited confirmed the ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-600C issued by GSCG Trust 2019-600C as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class X at A (high) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. With this review, DBRS Morningstar changed the trends on Classes E, F, and G to Stable from Negative. This is reflective of DBRS Morningstar's improved outlook for the collateral office property's performance as concerns surrounding the largest tenant, WeWork (51.7% of net rentable area (NRA)), have diminished in the last year. Amid previous stages of the Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar maintained Negative trends on those three classes due to WeWork's closure of many co-working locations across the country in response to a national drop in office usage, a trend that drove exits and/or lease modification requests by the company for other properties backing CMBS loans. Although WeWork's profit margins are still negative, the pandemic's impact on coworking space has been less significant than originally projected. WeWork continues to operate at the subject on a lease through March 2035 with no termination options and, to date, has not requested any modifications of its lease terms. DBRS Morningstar also notes forecasts that suggest recent upticks in market vacancy rates will be recovered over the next few years, another contributor to the trend changes with this review. The five-year $240.0 million loan is interest-only (IO) and is secured by a Class A, LEED Gold-certified office building totalling 359,154-square feet (sf). The property is located at 600 California Street in the North Financial District of San Francisco, bordering Union Square and Chinatown neighborhoods. The sponsor, Ark Capital Advisors, LLC (Ark), is a joint venture among Ivanhoe Cambridge, the Rhone Group, and The We Company (WeWork's parent company). Ark used the loan proceeds to acquire the property for $322.8 million, or $898 per rentable sf. The property benefitted from the prior owner's investment of $8.9 million in capital improvements since 2015. Additionally, the sponsor's planned capital improvement program includes an additional $11.6 million being allocated towards improvement projects. As of April 2022 servicer reporting, $4.2 million remains in the capital improvement reserve with $5.1 million held across all reserves. According to the January 2022 rent roll, the property was 88.3% occupied, compared with the September 2021 occupancy rate of 98.2%. A Commercial Café listing as of May 2022 shows an availability rate of 12.3% at the property, suggesting no new leases have been signed since the January 2022 rent roll. Outside of WeWork, the tenancy is quite granular as the next largest tenants at the property include Cardinia Real Estate LLC (11.6% of the NRA, lease expiry in May 2025) and Audentes Therapeutics (8.3% of the NRA, lease expiry in June 2023). According to Reis, office properties located in North Financial District submarket reported a year-end (YE) 2021 vacancy rate of 9.7%, an increase from 7.4% at YE2020 and 4.9% in YE2019. Although the recent uptick in vacancy for both the property and the submarket are noteworthy developments, DBRS Morningstar also notes that vacancy is expected to decline to historical submarket levels in the coming years with the 2027 vacancy rate forecasted at 5.3%. The loan reported a debt service coverage ratio (DSCR) of 1.86 times (x) for the trailing 12 months ended September 30, 2021, compared to the YE2020 DSCR of 1.79x, and the DBRS Morningstar DSCR of 1.69x at issuance. Given the property's excellent location within a historically stable submarket, Class A quality and continued stable performance, the long-term outlook for this loan remains consistent with DBRS Morningstar expectations issuance. Notes: All figures are in U.S. dollars unless otherwise noted. GSF 2022-1: DBRS Gives BB(low) Rating on Class E Notes ------------------------------------------------------ DBRS, Inc. assigned ratings to the following classes of notes issued by GSF 2022-1 Issuer LLC: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class X at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. Class F is not rated by DBRS Morningstar. The Class X Notes are an interest-only (IO) class whose balance is notional. To assign ratings to the Class A-1, Class A-2, Class A-S, Class B, Class C, Class D, and Class E Notes, DBRS Morningstar used a combination of its "North American CMBS Multi-Borrower Rating Methodology" and "North American Single-Asset/Single-Borrower Ratings Methodology" to construct a worst-case pool based on concentration limits and eligibility requirements as defined in the Indenture: Schedule 3. The Indenture: Schedule 4 defines the minimum subordination requirements for each Rating Confirmation Event. The $500 million trust is expected to be fully funded within 12 months of the first loan funding date. The ratings assigned by DBRS Morningstar contemplate timely payments of distributable interest and ultimate payment of principal by the legal final maturity date in December 2033. Notes: All figures are in U.S. dollars unless otherwise noted. HAMLET 2020-CRE1: DBRS Confirms B(low) Rating on Class F-RR Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-CRE1 issued by Hamlet Securitization Trust 2020-CRE1: -- 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 (high) (sf) -- Class F-RR at B (low) (sf) All trends are Stable. The ratings confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS Morningstar expectations. At issuance, the transaction consisted of 23 fixed-rate loans secured by 48 commercial and multifamily properties, four of which are transitional loans. As of the April 2022 remittance, there has been a collateral reduction of 8.8% since issuance with a current pool balance of $1.7 billion with 22 of the original 23 loans remaining in the pool. One loan, 111 River Street (Prospectus ID#4), which was formerly secured by an office property in Hoboken, New Jersey, repaid from the trust as of the January 2022 remittance. There are three transitional loans in the transaction, representing 21.7% of the current pool balance. This includes the largest loan, 20 Broad Street (Prospectus ID#1; 12.8% of the pool), which is secured by a 533-unit multifamily apartment with floor 39,029-square foot (sf) retail component in the Financial District of Manhattan. Most of the properties securing the transitional loans are of recent construction, and the business plans generally consist of plans to lease up space to market occupancy levels. The pool is concentrated with loans secured by office and multifamily properties, which represent 42.0% and 20.8% of the current pool balance, respectively. One loan, 545 & 555 North Michigan (Prospectus ID#12; 3.2% of the current pool), is in special servicing, and the borrower is 60 to 89 days delinquent on its debt service payments as of the April 2022 remittance. An additional five loans, representing 28.2% of the current pool, are on the servicer's watchlist. All of these loans were initially flagged for performance-related issues; however, in its analysis, DBRS Morningstar determined that no loans exhibited significantly greater credit risks when compared with issuance. The largest loan on the servicer's watchlist, 20 Broad Street, was added to the servicer's watchlist in July 2021 for a low debt service coverage ratio (DSCR), stemming from a depressed occupancy rate in light of the Coronavirus Disease (COVID-19) pandemic as well as the departure of Sonder, which terminated its 10-year master lease for 235 units at the subject. As of the September 2021 rent roll, the residential portion was 96.0% occupied with an average in-place rental rate of $3,974 per unit and an average concession loss of $1,040 per unit. The commercial portion remained 17.3% occupied by four tenants with the two below-grade vacancies (15,700 sf and 11,300 sf) representing 69.2% of the retail net rentable area. A $1.6 million reserve was established at closing to fund the costs to lease the retail space. According to September 2021 financials provided by the servicer, the annualized net operating income for the property was $2.4 million, which has triggered a full cash flow sweep as the debt yield on the $250.0 million A-Note is less than 7.0%. The cash flow sweep will be in effect until the debt yield remains greater than 7.0% for two consecutive quarters. The decline in performance is expected to be temporary given the improvement in residential occupancy as concessions burn off and the A-Note exhibits low leverage with an issuance loan-to-value ratio of 58.3%. As such, DBRS Morningstar ultimately expects the loan to be removed from the servicer's watchlist. The 545 & 555 North Michigan loan is secured by two adjacent low-rise retail buildings on Chicago's Magnificent Mile, on the corner of North Michigan Avenue and East Ohio Street totalling 61,909 sf. The 555 building includes 45,904 sf with the remaining 16,005 sf contained within the 545 building. At closing, both buildings were leased to single tenants; however, as of the September 2021 rent roll, the collateral was 74.2% vacant. The loan transferred to special servicing in February 2022 for imminent monetary default following its failure to make its February 2022 payment. As of the April 2022 remittance, the loan is 60 to 89 days delinquent on debt service payments, and according to the servicer, the borrower has indicated its inability to continue making future payments. A prenegotiation letter was executed, and the lender is currently waiting on a proposal from the borrower with discussions, including a potential A/B Note structure. At issuance, the 545 building was leased to luxury watch boutique retailer, Tourbillon, through its parent company, Swatch. The space was sublet to UGG and is coterminous with Swatch's original lease expiration in January 2023. Tourbillon failed to provide notice to renew its lease by January 2022, and reportedly, Ugg is currently touring the market to consider its future leasing options. At issuance, the 555 building was leased to GAP, serving as its flagship store in Chicago, housing all four of the company's product lines. CB Richard Ellis (CBRE) continues to market the 555 building and is in advanced negotiations with an international tenant to take up a significant amount of space. A short-term lease for an unidentified tenant is also in discussions, and there has been additional interest from two national tenants for portions of the remaining space. At closing, GAP was paying under market rents of $82.02 per square foot (psf), with the space currently being marketed for lease by CBRE at a $100 psf asking rent, per Loopnet. It is difficult to determine if the space can command the targeted rental rate as the vacancy rate along the Magnificent Mile increased to 25.0%, according to an April 2022 article by The Real Deal. Per the September 30, 2021, trailing 12-month financials, the subject reported a DSCR of 0.43 times (x). Based on the 2022 budget figures, the DSCR is expected to decline even further to 0.01x. The sponsor for the loan is ECA Capital, a centralized family office and investment management business, which focuses on high street retail opportunities in cities such as London, Los Angeles (Beverly Hills), Chicago, and Boston. The loan's transfer to special servicing and the borrower's inability or unwillingness to cover its debt service shortfalls is cause for significant concern moving forward. The borrower has been unable to secure any new tenants for the former GAP space since the tenant vacated in early 2021, and the upcoming potential vacancy of the 545 building will impose additional stress on an already distressed asset. The property was appraised at $118.6 million at issuance; however, the property value has likely declined given the decrease in performance and the softening market conditions. As a result, DBRS Morningstar increased the expected loss in its analysis of the loan to reflect the increased credit risk. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2011-C4: DBRS Hikes Class H Certs Rating to BB(low) ------------------------------------------------------------- DBRS Limited upgraded the ratings on four classes of the Commercial Mortgage Pass-Through Certificates, Series 2011-C4 issued by JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4: -- Class E to AA (sf) from AA (low) (sf) -- Class F to A (sf) from BBB (low) (sf) -- Class G to BBB (sf) from BB (low) (sf) -- Class H to BB (low) (sf) at B (sf) DBRS Morningstar also confirmed the ratings on the remaining classes as follows: -- Class C at AAA (sf) -- Class D at AAA (sf) All trends are Stable. The rating upgrades and confirmations reflect the significant deleveraging of the pool and sufficient credit support relative to the remaining collateral in the trust. As of the April 2022 remittance, the trust balance had been reduced by 89.7% since issuance, following the recent payoff of the IPCC – Capview Portfolio A and B loans, which contributed approximately $22.7 million in principal paydown to the Class C certificate. Only one loan, Newport Centre (Prospectus ID#1, 100.0% of the pool) remains outstanding in the pool. The Newport Centre loan is secured by a 782,000-square-foot (sf) portion of a 1.15 million-sf regional mall in Jersey City, New Jersey. The mall is owned by a joint venture between Melvin Simon & Associates and the LeFrak family, who also developed the Newport Master Planned Community where the property is located. The management company for Simon Property Group manages the mall. The loan was transferred to special servicing in July 2020 when the borrower made a Coronavirus Disease (COVID-19) relief request, and the loan returned to the master servicer in January 2021 following a modification that allowed for a brief deferral of reserve payments. The loan was transferred to special servicing for a second time after the borrower failed to repay the loan at the May 2021 maturity date. A modification was granted in August 2021, the terms of which included an extension of the maturity date to May 2023 and an additional 12-month extension option. In addition, the borrower was required to reinstate the loan, execute a new recourse guaranty for 10% of the unpaid principal balance, and maintain the loan in cash management for the entire extension term. The loan was returned to the master servicer in November 2021 and remains current. Despite slight cash flow declines since the start of the pandemic, property operations continue to comfortably cover debt service payments. According to the September 2021 reporting, the annualized debt service coverage ratio was 1.74 times (x), compared with 1.85x at YE2020 and 2.08x at YE2019. The slight year-over-year (YOY) decrease reflects increased expenses and decreased expense reimbursements. Occupancy has historically been strong, reported at 99.9% as of February 2022, up from 96.0% as of December 2019, with no significant leases rolling in the near term. In-line sales for the trailing 12-month period ended February 28, 2022, were reported to be $728 per square foot (psf), according to the most recent sales report, up from YE2020 sales of $522 psf. Newport Centre is anchored by Macy's (23.6% of total net rentable area (NRA), expiring January 2028), Sears (19.8% of total NRA, subject to a ground lease that expires in October 2027), JCPenney (18.5% of total NRA, expiring January 2050), Kohl's (14.9% of total NRA, expiring January 2028), and an 11-screen AMC Theatres (4.9% of total NRA, expiring January 2026), all of which have reported difficulties both before and during the pandemic. Although there are concerns with the property's anchor mix, the property is well situated in an urban infill submarket, with high barriers to entry and minimal direct competition in the immediate area. DBRS Morningstar remains cautious regarding the near-term refinance outlook for regional malls in general given the lack of liquidity for this property type and changing consumer trends. Mitigating this concern is the collateral's continued support by the sponsor, historical performance including the pandemic, strong sales, and an ongoing cash flow sweep that may be used to pay down the loan on a quarterly basis. Additionally, given the subject's ideal location in Jersey City—with direct access to Manhattan via the Holland Tunnel and PATH train—and the lack of competition, DBRS Morningstar believes the asset is well positioned to continue to attract shoppers and projects stable to improved performance through loan maturity. DBRS Morningstar also notes the mall was able to hold its value even throughout the pandemic, based on the April 2021 appraised value of $315.0 million, which is only a 6.5% decline from the issuance value of $337.0 million and is well in excess of the current loan amount of $151.0 million. As part of its analysis, DBRS Morningstar incorporated a conservative stress test on the property cash flow to determine the durability of the ratings and further support the upgrades. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2012-WLDN: DBRS Confirms CCC Rating on Class C Certs -------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2012-WLDN issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN as follows: -- Class X-A at BB (sf) -- Class A at BB (low) (sf) -- Class B at B (low) (sf) -- Class C at CCC (sf) In addition, DBRS Morningstar changed the trends on Classes X-A, A, and B to Stable from Negative. The rating for Class C does not carry a trend. The trend changes reflect recent events including a loan modification, which extended the underlying loan's maturity date to November 2024 from May 2022. Although the collateral regional mall property has experienced a significant value decline since issuance, DBRS Morningstar accounted for that in its last review in August 2021, when it downgraded the ratings on all four classes. At that time, Negative trends were maintained for the three classes rated B (low) (sf) and above given the uncertainty surrounding the workout and the general timeline for stabilization for regional malls that were negatively affected by the Coronavirus Disease (COVID-19) pandemic. DBRS Morningstar observes that the recent loan modification and the sponsor's willingness to keep loan payments current despite business interruption as a result of the pandemic demonstrate a longer-term commitment to the collateral, supporting the change in trends with this review. The transaction is collateralized by a $270.0 million, 10-year, fixed-rate, first-lien mortgage loan secured by the fee-simple interest in the Walden Galleria, a super-regional shopping mall in Cheektowaga, New York. As of the May 2022 remittance report, the loan balance had amortized down to $236.3 million. Walden Galleria is a super-regional mall that is considered a destination for both local and visitor shopping in the Buffalo metropolitan statistical area. Anchors include JCPenney, Dick's Sporting Goods (on a ground lease), Regal Cinemas, Best Buy, and Forever 21. In addition to the current anchor mix, a Sears was in occupancy at issuance; an affiliate owned the store, which was closed and released from the collateral in January 2018. Noncollateral anchors include Macy's and a former Lord & Taylor box. In February 2022, the loan transferred to special servicing as a result of imminent maturity default as the loan was not able to be refinanced ahead of its May 2022 maturity date. The loan had previously transferred to special servicing in April 2020 and was re-appraised in August 2020 at $216.0 million, which represented a -64% variance from the issuance value and an as-is loan-to-value ratio of 109.4%. With the loan's recent transfer to special servicing, a loan modification was approved in May 2022 that includes a maturity date extension through November 2024 with a six-month extension option if the loan balance is below the lesser of $225.0 million or 80.0% of its appraised value (a new appraisal would be ordered 90 days prior to the new November 2024 maturity). In addition, loan payments will change to interest-only, rollover and replacement reserve deposits will increase to $250,000 per month, mezzanine loan deferred amounts will continue to be deferred, and a cash trap will remain in effect until the loan is paid in full. The mall's performance had been declining over the past few years as several anchor tenants filed for bankruptcy and vacated. The coronavirus pandemic brought about forced closures and other distancing restrictions, which further depressed cash flow in 2020. Of particular concern, the mall has historically relied heavily on traffic from shoppers from Canada and, with the extended closure of the Canadian-U.S. border throughout the pandemic, foot traffic was paralyzed, adding strain to the already-distressed mall sales. The year-end (YE) 2020 net cash flow (NCF) of $12.7 million was 60.2% below the issuance level of $31.9 million and the mall reported an 86% occupancy rate. The YE2021 NCF improved to $24.9 million; however, this was mainly due to the collection of deferred rent in 2020 and is projected to decline in 2022. The loan sponsor is The Pyramid Companies (Pyramid), the largest privately-held shopping mall developer in the Northeast United States; its affiliate, Pyramid Management Group, LLC, provides management services. The subject is one of several commercial mortgage-backed security (CMBS) loans backed by malls in the sponsor's portfolio that transferred to special servicing amid the pandemic and which the sponsor is in the process of obtaining, or has already obtained, some form of relief. As of the May 2022 remittance, there are five Pyramid mall loans that remain in special servicing, all five of which are in negotiation for some form of pandemic relief extensions. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2013-C17: Fitch Lowers Rating on Class F Debt to CCC -------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 10 classes of JP Morgan Chase Commercial Mortgage Securities Trust (JPMBB 2013-C17) commercial mortgage pass-through certificates series 2013-C17. DEBT RATING PRIOR ---- ------ ----- JPMBB 2013-C17 A-3 46640UAC6 LT AAAsf Affirmed AAAsf A-4 46640UAD4 LT AAAsf Affirmed AAAsf A-S 46640UAH5 LT AAAsf Affirmed AAAsf A-SB 46640UAE2 LT AAAsf Affirmed AAAsf B 46640UAJ1 LT AA-sf Affirmed AA-sf C 46640UAK8 LT A-sf Affirmed A-sf D 46640UAN2 LT BBB-sf Affirmed BBB-sf E 46640UAP7 LT BBsf Affirmed BBsf EC 46640UAL6 LT A-sf Affirmed A-sf F 46640UAQ5 LT CCCsf Downgrade B-sf X-A 46640UAF9 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Increase in Pool Loss Expectations: Fitch's pool level modeled loss has slightly increased since Fitch's last rating action. Fitch's current ratings incorporate a base case loss of 6.7%. There are two loans (4.9%) currently in special servicing. In addition to the two the specially serviced loans, there are seven loans considered Fitch Loans of Concern (FLOCs) (28.6% of pool) due to occupancy, lease rollover and refinance concerns. The Stable Outlooks on classes A-3 through D reflects stable to improved performance of the majority of the pool, including properties affected by the pandemic. The Negative Outlook on class E, which was previously assigned for additional coronavirus-related stresses, remains due to the large FLOCs and the concentration of loan maturities in 2023 and early 2024. Increased Credit Enhancement: Credit enhancement has increased since issuance due to loan payoffs, amortization and defeasance. As of the June 2022 distribution date, the pool's aggregate principal balance had been reduced by 31.7% to $738.9 million from $1.08 billion at issuance. There are 10 defeased loans (15.7% of the pool). There has been $8.4 million in realized losses to date and interest shortfalls are currently affecting the non-rated class. Largest Loss Contributors: The largest contributor to loss is The Aire loan (10.8%), which is secured by a 310-unit multifamily property located on the Upper West Side of Manhattan, near Lincoln Center. The loan has been designated as a FLOC due to a decline in cash flow. The servicer reported NOI DSCR was 0.72x at Q1 2022, compared with 0.58x at YE 2020 and 0.78x at YE 2019. A cash flow sweep was triggered in 2017 due to the DSCR falling below the required threshold. As of the March 2022 rent roll, reported occupancy was 99.3% compared with 70% at YE 2020 and 95% in March 2020. The sponsor has continued to pay the loan as agreed, despite the fact that the property generates cash flow that is inadequate to service its debt. The trust loan is amortizing and has paid down $9.9 million since issuance. Fitch modeled a loss of approximately 13%. The next largest contributor to loss is the 801 Travis loan (3.5%), which is secured by a 220,000-sf office property located in Houston, TX. The property has been negatively affected by the volatile oil and gas industry. Per the March 2022 rent roll, occupancy has declined to 55.1%; it was 63% in previous reporting. The servicer reported NOI DSCR was 0.91x at YE 2020 compared with 1.08x at YE 2019. Fitch modeled a loss of approximately 39%. Specially Serviced Loans: There are two specially serviced retail-backed loans (4.9% of the pool). The largest is Springfield Plaza (3.7%), which is real-estate owned (REO). The retail center lost K-Mart (21% of the NRA) prior to the pandemic. The reported occupancy is 72%, and remains anchored by long-time grocery tenant Stop & Shop (14.2% of NRA). The other specially serviced loan is Deville Plaza (1.2%), a retail center located north of downtown Jackson, MS. The retail center lost Stein Mart (32% of the NRA) due to tenant bankruptcy. The latest reported occupancy is 44%. Loan Maturities: There are 50 loans remaining with the majority of the pool (84.6%) maturing by year-end (YE) 2023; the largest loan, Jordan Creek Town Center (13.7%), and a defeased loan (1.7%), both have a scheduled maturity in January 2024. Since issuance, fourteen loans with a combined outstanding balance of $232.3 million have paid off. Pool Concentration: The top 15 loans comprise 70.5% of the remaining loan balance; the top five is 44.6% and includes two FLOCs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the senior classes, rated 'AA-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 'A-sf' and below would occur if performance of the FLOCs decline and/or loans fail to pay off at maturity. Further downgrades to class F would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: 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. Fitch considers upgrades to the classes rated 'BBB-sf' and below as unlikely, and they 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 'BBsf' rated classes and below 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. 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. JPMBB COMMERCIAL 2015-C30: DBRS Confirms CCC Rating on F Certs -------------------------------------------------------------- DBRS Limited downgraded ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C30 issued by JPMBB Commercial Mortgage Securities Trust 2015-C30 as follows: -- Class D to BB (sf) from BB (high) (sf) -- Class E to B (low) (sf) from B (high) (sf) -- Class X-D to BB (high) (sf) from BBB (low) (sf) -- Class X-E to B (sf) from BB (low) (sf) In addition, DBRS Morningstar confirmed the following ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class F at CCC (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class X-C at A (sf) -- Class EC at A (low) (sf) Negative trends were maintained on Classes B, C, D, E, X-B, X-C, X-D, X-E, and EC. The trends on all remaining classes are Stable, with the exception of Class F, which has a rating that does not carry a trend. The rating downgrades and Negative trends reflect the increased credit concerns for the pool, primarily driven by the two loans in special servicing and a DBRS Morningstar Hotlist loan, which are discussed in detail below. The One City Centre loan (Prospectus ID#12, 3.8% of the pool) is secured by the borrower's fee interest in a 602,122-square-foot (sf) office property in Houston's central business district (CBD) and is part of a whole loan that was split pari passu between two commercial mortgage-backed securities (CMBS) transactions, both of which are rated by DBRS Morningstar. Following the loss of the largest tenant in late 2020, the loan transferred to the special servicer in April 2021 after the borrower communicated an unwillingness to fund operating shortfalls. The loan has fallen delinquent a few times since transferring to special servicing, but it has most recently been reported current since January 2022. The special servicer reports workout discussions remain ongoing, but nothing material has been provided to date. Given the low in-place occupancy rate of 25.5% and market challenges in the Houston CBD, which reported an average vacancy rate of 20.3% as of Q1 2022, according to Reis, DBRS Morningstar believes the as-is value is well below the outstanding loan balance. DBRS Morningstar has identified six office loans within the Houston metropolitan statistical area that have reported value decreases since 2020. Value declines for these properties ranged from 38% to 83% (average of 68%), with values per square foot (psf) from $14 to $141 (average of $67 psf). Based on that information, DBRS Morningstar assumed a liquidation scenario for the subject loan that assumed a significant haircut to the issuance value, resulting in a loss severity above 65.0%. The next largest contributor to the rating downgrades and Negative trends is the Sunbelt Portfolio loan (Prospectus ID#3, 5.9% of the pool), which transferred to special servicing in March 2022 for imminent monetary default at the borrower's request. This loan is secured by three cross-collateralized and cross-defaulted office properties totalling 1.3 million sf. The Shipt Tower (previously known as Wells Fargo Tower) and Inverness Center are in Birmingham, Alabama, while the Meridian Building is in Columbia, South Carolina. The whole loan was split pari passu between two CMBS transactions, both of which are rated by DBRS Morningstar. DBRS Morningstar had been monitoring this loan on the Hotlist prior to its transfer because of declines in occupancy, which further deteriorated following the pandemic. According to the September 2021 rent roll, the portfolio was 70.1% occupied, compared with 67.2% at YE2020 and 82.6% at issuance. At the property level, the Shipt Tower, Inverness Center, and the Meridian Building reported September 2021 occupancy rates of 73.3%, 51.0%, and 92.3%, respectively. At the Shipt Tower, a portion of the former Wells Fargo space was initially backfilled in 2019 by Shipt Inc., which has gradually expanded its footprint and currently occupies 15.0% of the property (8.4% of the portfolio net rentable area (NRA)), with the most recent lease executed in November 2021. All of Shipt Inc.'s leases expire in October 2030. Across the portfolio, the borrower has maintained various master leases, likely in an effort to keep occupancy and revenue up. The greatest exposure is at Inverness Center, where 19.5% of the property (7.0% of the portfolio NRA) is subject to a master lease that expired in December 2021. According to Reis, the submarkets reported Q1 2022 vacancy rates ranging from 13.8% to 16.4%. Based on financials for the trailing 12 months ended September 30, 2021, the loan reported a debt service coverage ratio (DSCR) of 2.56 times (x) on the senior portion of the loan. When including subordinate and mezzanine debt held outside of the trust, the whole-loan DSCR was 1.07x. The senior note DSCR declined slightly when compared with the YE2020 DSCR at 2.65x (1.11x on the whole loan). At issuance, the sponsor contributed $48.8 million of equity as part of the acquisition of the portfolio; however, the loan's transfer to special servicing at the request of the borrower suggests the borrower may not be willing to cover the operating or debt service shortfalls anymore. Given the sustained occupancy declines for the portfolio and general weakening of the submarkets, DBRS Morningstar maintains an elevated credit risk profile for the loan, and the analysis includes a stressed probability of default (POD) to reflect this. The Castleton Park loan (Prospectus ID#6, 4.6% of the pool) is secured by a 1.1 million-sf office park in Indianapolis, located 12 miles northeast of the CBD. This loan has been on the DBRS Morningstar Hotlist because of sustained occupancy declines since issuance. The subject was 54.2% occupied as of the March 2022 rent roll, down from 67.6% at YE2020 and 81.6% at issuance. Two of the largest tenants at issuance, National Government Services (NGS) and Community Health Network, Inc., have reduced their footprint over the years. NGS originally occupied 22.6% of NRA and currently represents 2.3% of NRA on a lease through September 2022. Community Health Network, Inc. originally occupied 9.8% of NRA but currently occupies 6.4% of the NRA on a lease through February 2025. In addition to NGS, leases representing 11.2% of the NRA are scheduled to roll in the next 12 months. The loan was structured with a cash flow sweep in the event that NGS exercised any termination options and the servicer noted there is currently $2.7 million held in the excess cash flow reserve. As of May 2022, there is $6.2 million held across all reserves, including $2.2 million in tenant reserves. According to Reis, office properties in the Northeast submarket reported a vacancy rate of 18.8% as of Q1 2022, down from 22.4% at Q1 2021 and 21.6% at Q1 2020. Based on online postings, the property advertised an asking rental rate of $17.75 psf, compared with the submarket asking rental rate of $20.14 psf. The loan reported a DSCR of 0.67x for YE2021, compared with the YE2020 DSCR of 1.09x and DBRS Morningstar Issuance DSCR of 1.31x. Given the submarket vacancy, year-over-year occupancy declines, and additional upcoming lease rollover, DBRS Morningstar expects the borrower will continue to face challenges leasing up vacant space at the property. DBRS Morningstar's analysis included an elevated POD to reflect the increased credit risk for this loan. At issuance, DBRS Morningstar shadow-rated the Pearlridge Center (Prospectus ID#2, 6.9% of pool) and Scottsdale Quarter (Prospectus ID#11, 4.0% of pool) loans as investment grade. Both of these loans are sponsored by a joint venture with O'Connor Capital Partners and Washington Prime Group (WPG). WPG had filed for Chapter 11 bankruptcy in June 2021 and cited challenges faced during the pandemic as a contributor to the filing, but it had exited bankruptcy in October 2021. Both of these properties were listed as Tier 1 (core assets) in the bankruptcy filings. The collateral for both loans has generally performed above DBRS Morningstar's expectations and historically reported healthy DSCRs. As such, DBRS Morningstar confirmed that the performance of these loans remains consistent with investment-grade loan characteristics with this review. As of the May 2022 remittance, 59 of the original 70 loans remain in the pool, representing a collateral reduction of 21.5% since issuance. Since the last rating action, one loan was liquidated from the trust, resulting in a $3.6 million realized loss, which has been contained to the nonrated Class NR certificate. In addition, two loans were repaid in full from the trust, contributing approximately $63.5 million in principal paydowns. Despite the increased credit support stemming from proceeds and principal paydowns, DBRS Morningstar remains concerned about possible further credit deterioration should the performance of the specially serviced loans or Castleton Park loan continue to decline or additional defaults occur. As of the May 2022 remittance, loans secured by office properties represent the greatest property type concentration, accounting for 50.8%, the majority of which are in secondary markets. In addition to the two loans in special servicing, there are 18 loans on the servicer's watchlist, representing 23.6% of the current pool balance. Six loans are fully defeased, representing 3.2% of the pool balance. Notes: All figures are in U.S. dollars unless otherwise noted. LENDMARK FUNDING 2022-1: S&P Assigns BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its 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 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' ratings, based on S&P's 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 new lower-credit-grade borrowers and reduced advances to existing lower-credit-grade 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 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 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. Ratings Assigned Lendmark Funding Trust 2022-1 Class A, $220.64 million, 5.12% interest rate: AAA (sf) Class B, $33.46 million, 5.62% interest rate: AA+ (sf) Class C, $49.98 million, 6.60% interest rate: A (sf) Class D, $27.66 million, 8.16% interest rate: BBB (sf) Class E, $68.26 million, 7.58% interest rate: BB- (sf) LFS 2022A: DBRS Finalizes BB Rating on Class B Notes ---------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by LFS 2022A, LLC (the Issuer): -- $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 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 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. LONGFELLOW PLACE: S&P Raises Class E-RR Notes Rating to B- (sf) --------------------------------------------------------------- S&P Global Ratings raised six ratings and affirmed 17 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 CLO transactions 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." Upgrades of tranches from CLOs in their amortizing phase primarily reflect the increase in the credit support due to the lower balance of the senior notes following paydowns. 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, the payment of principal or interest when due is dependent on favorable business, financial, or economic conditions, we will generally assign a rating in the 'CCC' category. 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. "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; -- 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 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 it deems necessary. Ratings List ISSUER BlueMountain CLO 2015-4 Ltd. CLASS A-1-R CUSIP 09628NAN2 RATING TO AAA (sf) FROM AAA (sf) RATIONALE (i) ISSUER BlueMountain CLO 2015-4 Ltd. CLASS B-R CUSIP 09628NAS1 RATING TO AA (sf) FROM AA (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2015-4 Ltd. CLASS C-R CUSIP 09628NAU6 RATING TO A (sf) FROM A (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2015-4 Ltd. CLASS D-R CUSIP 09628NAW2 RATING TO BBB- (sf) FROM BBB- (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2015-4 Ltd. CLASS E-R CUSIP 095766AG6 RATING TO BB- (sf) FROM B+ (sf)/Watch Pos RATIONALE Passing cash flows, reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, it raised the tranche back to its original rating level as the transaction is still within its reinvestment period and the portfolio characteristics may be subject to change. ISSUER BlueMountain CLO 2015-4 Ltd. CLASS F-R CUSIP 095766AJ0 RATING TO CCC+ (sf) FROM CCC+ (sf)/Watch Pos RATIONALE Reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated lower rating, it affirmed the rating and removed it from CreditWatch Positive after considering the improvement in the portfolio credit quality and O/Cs and the current O/C cushions. Tranche reflects the application of S&P's 'CCC' criteria and its associated guidance. ISSUER BlueMountain CLO 2018-1 Ltd. CLASS A-1 CUSIP 09629TAC2 RATING TO AAA (sf) FROM AAA (sf) RATIONALE (i) ISSUER BlueMountain CLO 2018-1 Ltd. CLASS B CUSIP 09629TAG3 RATING TO AA (sf) FROM AA (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2018-1 Ltd. CLASS C CUSIP 09629TAJ7 RATING TO A (sf) FROM A (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2018-1 Ltd. CLASS D CUSIP 09629TAL2 RATING TO BBB- (sf) FROM BBB- (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2018-1 Ltd. CLASS E CUSIP 09629UAA3 RATING TO BB- (sf) FROM B+ (sf)/Watch Pos RATIONALE Passing cash flows, reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, it raised the tranche back to its original rating level as the transaction is still within its reinvestment period and the portfolio characteristics may be subject to change. ISSUER BlueMountain CLO 2018-1 Ltd. CLASS F CUSIP 09629UAC9 RATING TO CCC+ (sf) FROM CCC+ (sf)/Watch Pos RATIONALE Reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated lower rating, it affirmed the rating and removed it from CreditWatch Positive after considering the improvement in the portfolio credit quality and O/Cs and the current O/C cushions. Tranche reflects the application of S&P's 'CCC' criteria and its associated guidance. ISSUER BlueMountain CLO 2018-2 Ltd. CLASS A CUSIP 09629VAC7 RATING TO AAA (sf) FROM AAA (sf) RATIONALE (i) ISSUER BlueMountain CLO 2018-2 Ltd. CLASS B CUSIP 09629VAE3 RATING TO AA (sf) FROM AA (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2018-2 Ltd. CLASS C CUSIP 09629VAG8 RATING TO A (sf) FROM A (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2018-2 Ltd. CLASS D CUSIP 09629VAJ2 RATING TO BBB- (sf) FROM BBB- (sf) RATIONALE (ii) ISSUER BlueMountain CLO 2018-2 Ltd. CLASS E CUSIP 09629WAA9 RATING TO BB- (sf) FROM B+ (sf)/Watch Pos RATIONALE Passing cash flows, reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, it raised the tranche back to its original rating level as the transaction is still within its reinvestment period and the portfolio characteristics may be subject to change. ISSUER BlueMountain CLO 2018-2 Ltd. CLASS F CUSIP 09629WAC5 RATING TO CCC+ (sf) FROM CCC+ (sf)/Watch Pos RATIONALE Reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated lower rating, it affirmed the rating and removed it from CreditWatch Positive after considering the improvement in the portfolio credit quality and O/Cs and the current O/C cushions. Tranche reflects the application of S&P's 'CCC' criteria and its associated guidance. ISSUER Longfellow Place CLO Ltd. CLASS A-R3 CUSIP 54303PAY1 RATING TO AAA (sf) FROM AAA (sf) RATIONALE (i) ISSUER Longfellow Place CLO Ltd. CLASS B-R3 CUSIP 54303PBA2 RATING TO AA+ (sf) FROM AA+ (sf) RATIONALE Paydown to senior note, Passing cash flows, 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 due to relatively weaker credit enhancement and low cash flow cushion at the higher rating. ISSUER Longfellow Place CLO Ltd. CLASS C-R3 CUSIP 54303PBC8 RATING TO AA- (sf) FROM A+ (sf)/Watch Pos RATIONALE Paydown to senior note, Passing cash flows, reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, its rating action considered the relatively weaker credit enhancement at the higher rating. ISSUER Longfellow Place CLO Ltd. CLASS D-RR CUSIP 54303PAW5 RATING TO BBB (sf) FROM BB+ (sf)/Watch Pos RATIONALE Paydown to senior note, Passing cash flows, reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, its rating action considered the relatively weaker credit enhancement at the higher rating. ISSUER Longfellow Place CLO Ltd. CLASS E-RR CUSIP 54303NAF7 RATING TO B- (sf) FROM CCC+ (sf)/Watch Pos RATIONALE Paydown to senior note, Passing cash flows, reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, its rating action considered the relatively weaker credit enhancement at the higher rating. (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. MF1 2022-Fl9: DBRS Gives Prov. B(low) Rating on 3 Classes of Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by MF1 2022-Fl9 LLC (the Issuer or the Trust): -- 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 (high) (sf) -- Class F-E Notes at BB (high) (sf) -- Class F-X Notes at BB (high) (sf) -- Class G Notes at BB (low) (sf) -- Class G-E Notes at BB (low) (sf) -- Class G-X Notes at BB (low) (sf) -- Class H Notes at B (low) (sf) -- Class H-E Notes at B (low) (sf) -- Class H-X Notes at B (low) (sf) All trends are Stable. The initial collateral consists of 45 floating-rate mortgage loans secured by 61 transitional multifamily and manufactured housing properties, totaling $1.74 billion (61.3% of the total fully funded balance), excluding $265.8 million (9.4% of the total fully funded balance) of future funding commitments and $830.3 million (29.3% of the total fully funded balance) of pari passu debt. Five loans, representing 9.6% of the total Trust balance, are delayed-close mortgage assets, which are identified in the data tape and included in the DBRS Morningstar analysis. The Issuer has 45 days post-closing to acquire the delayed-close assets. If a delayed-close mortgage asset is not expected to close or fund prior to the purchase termination date, then any amounts remaining in the unused proceeds account up to $5.0 million will be deposited into the replenishment account. Any funds in excess of $5.0 million will be transferred to the payment account and applied as principal proceeds in accordance with the priority of payments. The Managed transaction includes a 24-month reinvestment period. As part of the reinvestment period, the transaction includes a 120-day ramp-up acquisition period that will be used to increase the Trust balance by $64,442,434 to a total target collateral principal balance of $1,800,000,000. DBRS Morningstar assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses above the pool weighted average loan expected losses. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria, which, among other criteria, includes a no-downgrade Rating Agency Confirmation (RAC) by DBRS Morningstar for all new mortgage assets and funded companion participations. If a delayed-close asset is not expected to close or fund prior to the purchase termination date, the Issuer may acquire any delayed-closed collateral interest at any time during the ramp-up acquisition period. The eligibility criteria indicates that only multifamily, manufactured housing, and student housing properties can be brought into the pool during the stated ramp-up acquisition period. Additionally, the eligibility criteria establishes minimum debt service coverage ratio, loan-to-value ratio, and Herfindahl requirements. Furthermore, certain events within the transaction require the Issuer to obtain RAC. DBRS Morningstar will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current rating. The Issuer is required to obtain RAC for all acquisitions of companion participations. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2013-C11: DBRS Confirms C Rating on 5 Cert Classes ----------------------------------------------------------------- DBRS Limited downgraded its rating on the following class of the Commercial Mortgage Pass-Through Certificates, Series 2013-C11 issued by Morgan Stanley Bank of America Merrill Lynch Trust: -- Class A-S to A (high) (sf) from AAA (sf) In addition, DBRS Morningstar confirmed the following ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at B (low) (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class PST at C (sf) DBRS Morningstar also maintained Negative trends on Classes A-S and B. All other trends are Stable, with the exception of Classes C, D, E, F, and PST, which have ratings that do not carry trends. DBRS Morningstar maintained the Interest in Arrears designation on Classes D, E, and F. The ratings are reflective of DBRS Morningstar's continued concerns with the four largest loans in the pool, two of which are in special servicing. The downgrade of Class A-S and the Negative trends are driven by DBRS Morningstar's increased certainty regarding the likelihood of significant losses to the trust from the two loans in special servicing, Westfield Countryside (Prospectus ID#1, 16.6% of the current pool) and The Mall at Tuttle Crossing (Prospectus ID#2, representing 15.0% of the current pool). In addition, 10 loans representing 31.5% of the pool balance are on the servicer's watchlist, most of which have been flagged for performance-related issues. The largest loan in the pool, Westfield Countryside, is secured by 464,398 square feet (sf) of a 1.3 million-sf regional mall in Clearwater, Florida. The mall is anchored by Macy's, Dillard's, and JCPenney, all of whom own their improvements and are not part of the collateral. A fourth noncollateral anchor space was previously occupied by Sears, which vacated in July 2018. The former Sears space was partially backfilled by Whole Foods, and the former auto center was converted into a Nordstrom Rack. As of the February 2022 rent roll, the subject was 71.3% occupied, down from 83.0% as of September 2021. The servicer has reported a moderate amount of leasing activity at the property, which may result in an improvement in the occupancy rate. The three largest collateral tenants at the property account for 20.0% of net rentable area (NRA): CMX Cinemas (formerly Cobb Theatres, 11.6% of the NRA, lease expiry December 2026), Forever 21 (4.3% of the NRA, lease expiry January 2025), and Crunch (4.0% of the NRA, lease expiry July 2029). The loan reported a debt service coverage ratio (DSCR) of 1.14 times (x) for the trailing nine-month period ended September 2021, compared with a year-end 2020 DSCR of 1.09x. Both figures remain ultimately depressed from the DBRS Morningstar DSCR at issuance of 1.56x. The loan transferred to special servicing in June 2020 for imminent default, following two months of closure because of Coronavirus Disease (COVID-19) restrictions. According to servicer commentary, the sponsor, Unibail-Rodamco-Westfield, is cooperating in a friendly foreclosure process, and a receiver was appointed in January 2021. The special servicer is currently determining the appropriate time to take the property for sale. The most recent appraisal reported by the servicer, dated November 2021, valued the property at $92.3 million, which remains in line with the August 2020 appraised value of $91.5 million, but represents a 66.0% decline from the appraised value of $270.0 million at issuance. DBRS Morningstar's analysis included a liquidation scenario given the writedown in appraised value and likelihood of increasing carrying costs while the special servicer identifies a disposition strategy. The second largest loan in the pool, The Mall at Tuttle Crossing, is secured by a 385,057-sf portion of a 1.1 million-sf super regional mall in Dublin, Ohio, a suburb of Columbus. The mall is owned and operated by Simon Property Group (Simon). The loan transferred to special servicing in June 2020 for imminent default, driven by issues related to the coronavirus pandemic. A receiver was appointed in January 2021. The most recent appraisal reported by the servicer, dated August 2021, valued the property at $80.0 million, in line with the August 2020 valuation of $80.0 million, however, ultimately down 67.0% from the appraised value of $240.0 million at issuance. As of the April 2022 reporting, the loan remains delinquent. The property was built in 1997 and originally had three anchors: JCPenney, Sears, and Macy's. As of the March 2022 rent roll, collateral occupancy was 81.3%, an increase from the December 2021 rate of 76.0% and the September 2020 rate of 61.3%. The noncollateral Macy's downsized in 2017, closing one of its two anchor spaces, and the noncollateral Sears vacated the property in 2018. Dayton-based fun center Scene75 purchased the former Macy's store and opened in mid-2019. The three largest collateral tenants at the property include the following: AVRS Furniture (6.7% of the NRA, lease expiry through October 2022), Finish Line (5.4% of the NRA, lease expiry February 2025), and Shoe Depot (3.5% of the NRA, lease expiry June 2023). The year-end 2021 DSCR was reported to be 0.70x, a significant decline from the year-end 2020 DSCR of 1.44x and the issuance DSCR of 2.34x. Given the declined performance, writedown in appraised value, and upcoming lease roll, DBRS Morningstar's analysis included a liquidation scenario for this loan. The largest loan on the servicer's watchlist, Southdale Center (Prospectus ID#4, 8.5% of the current pool) is secured by a 634,880-sf portion of a regional mall in Edina, Minnesota. The loan has been on the servicer's watchlist since August 2018 for a sustained depressed occupancy rate, which was reported at 50.5% as of September 2021, in line with the December 2020 rate of 53.0%, and a significant decline from 87.4% at issuance. The mall is currently anchored by a noncollateral Macy's and a noncollateral Life Time Fitness and Life Time Work office, in addition to a collateral 16-screen AMC Theatres. A fourth collateral anchor space remains vacant. Although occupancy is distressed, the DSCR remains above water and was reported at 1.27x for the trailing nine months ended September 2021, compared with the YE2020 DSCR of 1.41x. Per the September 2021 rent roll, in-line sales were reported to be $366.78 per square foot for the trailing 12-month period. As of the April 2022 remittance, 30 of the original 38 loans remain in the pool. The initial pool balance of $856.3 million has been reduced by 34.7% to $558.8 million, which includes $45.5 million of realized trust losses stemming from the liquidation of Matrix Corporate Center (Prospectus ID#3). Five loans representing 12.1% of the current pool balance are fully defeased. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2020-HR8: DBRS Confirms BB Rating on J-RR Certs -------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-HR8, issued by Morgan Stanley Capital I Trust 2020-HR8 (MSC 2020-HR8): -- Class A-1 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AAA (sf) -- Class X-B at AA (low) (sf) -- Class X-D at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at A (high) (sf) -- Class E-RR at A (low) (sf) -- Class F-RR at A (low) (sf) -- Class G-RR at BBB (sf) -- Class H-RR at BB (high) (sf) -- Class J-RR at BB (sf) -- Class K-RR at B (high) (sf) -- Class L-RR at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which generally remains in line with DBRS Morningstar's issuance expectations. The trust consists of 43 fixed-rate loans secured by 76 commercial and multifamily properties with an aggregate principal balance of $688.7 million as of the April 2022 reporting, reflecting a nominal collateral reduction of 0.3% since issuance. No loans have been defeased. Amortization has been limited, as 31 loans, representing 73.7% of the current pool balance, are structured as full-term interest only (IO) and an additional seven loans, representing 15.9% of the current pool balance, are structured as partial IO and remain in their respective IO periods. The pool is relatively concentrated by loan amount, as the largest 10 loans represent 59.2% of the current pool balance; however, two of these loans, 525 Market Street (Prospectus ID#5; 5.8% of the current pool) and Bellagio Hotel and Casino (Prospectus ID#6, 5.7% of the pool), were assigned investment grade shadow ratings at issuance. With this review, DBRS Morningstar confirmed that the respective performance of each of these loans remains consistent with the characteristics of an investment grade loan. The pool is well diversified by property type, with the three largest concentrations being multifamily (38.2% of the current pool), office (28.5% of the current pool), and mixed-use properties (16.1% of the current pool). By geographical location, the most significant concentrations are in New York (25.8% of the current pool), California (15.1% of the current pool), and Texas (14.0% of the current pool). As of the April 2022 reporting, there are no specially serviced or delinquent loans. There are two loans, representing 10.0% of the current pool, on the servicer's watchlist, which are being monitored for items of deferred maintenance. The larger of the two loans, Texas Multifamily Portfolio (Prospectus ID#4, 7.5% of the current pool), is secured by a four-property multifamily portfolio in Houston and Baytown, Texas, containing 1,034 units. The July 2021 servicer site inspection for Azul Apartments in Baytown noted 24 down units at the property; 17 were caused by fire, four were down when the asset was purchased, and the remaining three were a result of recent ceiling damage. According to servicer commentary, the repairs were 70.0% complete as of February 2022. The property was 96.9% occupied at year-end 2021 and the loan reported a net cash flow of $1.5 million, reflective of an amortizing debt service coverage ratio of 1.35 times (x). Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2022-17: Fitch Assigns BB(EXP) Rating on Cl. E Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Morgan Stanley Eaton Vance CLO 2022-17 Ltd. DEBT RATING ---- ------ Morgan Stanley Eaton Vance CLO 2022-17, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 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 BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Morgan Stanley Eaton Vance CLO 2022-17, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Morgan Stanley Eaton Vance CLO Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the 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 98.9% first lien senior secured loans and has a weighted average recovery assumption of 74.88%. 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 constitute up to 37.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs'. Portfolio Management (Neutral): The transaction has a 5.0-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 to assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, class A-1, A-2, B, C, D and E notes can withstand default rates of up to 59.3%, 57.4%, 52.5%, 47.3%, 37.9% and 36.1%, respectively, assuming portfolio recovery rates of 37.9%, 46.7%, 56.3%, 65.7% and 70.9% in Fitch's 'AAAsf', 'AAsf', 'Asf', 'BBB-sf' and 'BBsf' scenarios, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AAsf' for class B, between 'Bsf' and 'Asf' 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 class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. 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 'AAsf' for class C notes, and between 'A-sf' and 'A+sf' for class D notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. MORGAN STANLEY 2022-17A: Moody's Gives (P)B3 Rating to Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by Morgan Stanley Eaton Vance CLO 2022-17A, Ltd. (the "Issuer" or "MSEV 2022-17A") Moody's rating action is as follows: US$246,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$1,000,000 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. MSEV 2022-17A is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. Morgan Stanley Eaton Vance CLO Manager LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer 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: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): S+3.5% Weighted Average Coupon (WAC): 6.0% 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. OAKTREE CLO 2022-2: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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' Rating on B-2 Debt --------------------------------------------------------- Fitch Ratings has assigned ratings to OBX 2022-NQM6 Trust (OBX 2022-NQM6). DEBT RATING PRIOR ---- ------ ----- OBX 2022-NQM6 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes issued by OBX 2022-NQM6 Trust (OBX 2022-NQM6) as indicated above. The notes are supported by 623 loans with a total unpaid principal balance of approximately $387.9 million as of the cut-off 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'. 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, Canopy Financial Technology Partners, Clayton Services, Consolidated Analytics, and Edge Mortgage Advisory Company. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis due to the loan-level due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 45bps. 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. OCEANVIEW MORTGAGE 2022-SBC1: DBRS Finalizes B(low) on B2C Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of secured notes 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. Since DBRS Morningstar assigned the Provisional Ratings on May 5, 2022, it updated the Rating Report to include the following section on Closing Opinions: Closing opinions typically include "true sale" under the federal bankruptcy code for the loans conveyed by each seller into the securitization, and if the seller is not an entity subject to the federal bankruptcy code, then the opinion should cover true sale under an insolvency or similar proceeding by the regulator having authority over the seller entity. In this transaction, one of the sellers is a Colorado insurance company, but a true sale opinion was not provided as to Colorado insurance regulatory proceedings. Rather, the true sale opinion covered federal bankruptcy law and New York UCC law, which, while analogous, do not directly address the regulator with authority over the seller. 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 cut-off 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 cut-off 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 cut-off 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. OPORTUN ISSUANCE 2022-A: DBRS Gives Prov. BB(high) on D Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following notes (the Notes) to be issued by Oportun Issuance Trust 2022-A (Oportun 2022-A or the Issuer): -- $289,514,000 Class A Notes at AA (low) (sf) -- $53,197,000 Class B Notes at A (low) (sf) -- $46,035,000 Class C Notes at BBB (low) (sf) -- $11,254,000 Class D Notes at BB (high) (sf) The provisional rating on the Notes is 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 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. -- DBRS Morningstar's projected losses do not include any additional assessment of the impact of the coronavirus. The DBRS Morningstar cumulative net loss assumption is 11.47% based on the worst-case loss pool constructed, giving consideration to the concentration limits present in the structure. -- Concentrations limits have changed since the DBRS Morningstar rated Oportun 2021-C transaction (2021-C) which has had an adverse effect on the net loss rate for this transaction. As a general observation, performance in new loans is worse than performance in renewed loans. There was a material increase in the concentrations for the Maximum Receivables of New Customers to 45% from 35% as seen in 2021-C, therefore the loss rate for the deal is 11.47% versus 10.28% for 2021-C. (2) The transaction's form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the Reserve Account, and excess spread. Credit enhancement levels are sufficient to support DBRS Morningstar's stressed assumptions under various stress scenarios. (3) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final payment date. (4) Oportun's capabilities with regard to originations, underwriting, and servicing. (5) The experience, underwriting, and origination capabilities of MetaBank, N.A. -- Loans originated by MetaBank in Colorado, Connecticut, Georgia (unless the original loan amount was greater than $3,000), Iowa, Maine, New York, Vermont, West Virginia or the District of Columbia, will not be eligible for inclusion in the trust without the required state licenses and satisfaction of Rating Agency Condition. (6) The ability of Systems & Services Technologies, Inc. (SST) to perform duties as a Back-Up Servicer. SST, as Back-Up Servicer, is required to take over as successor servicer of the collateral in the Oportun 2022-A transaction within 15 calendar days of notice of a servicing termination event. SST and Oportun have developed a detailed servicing transition plan to facilitate an orderly transfer of servicing. (7) On March 3, 2021, Oportun received a Civil Investigative Demand (CID) from the Consumer Financial Protection Bureau (CFPB). The stated purpose of the CID is to determine whether small-dollar lenders or associated persons, in connection with lending and debt-collection practices, have not been in compliance with certain federal consumer protection laws over which the CFPB has jurisdiction. Further, Digit received a CID from the CFPB in June 2020. The CID was disclosed and discussed during the acquisition process. The stated purpose of this CID was to determine whether Digit, in connection with offering its products or services, misrepresented the terms, conditions, or costs of the products or services in a manner that is unfair, deceptive, or abusive. -- Oportun and PF Servicing believe its and Digit's business practices have been in full compliance with CFPB guidance and that they have followed all published authority with respect to their practices, and the Seller continues to cooperate with the CFPB with respect to this matter. At this time, the Seller is unable to predict the outcome of the CFPB investigations, including whether the investigations will result in any actions or proceedings or in any changes to the Seller's or the Servicer's practices. (8) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the trust, and that the trust has a valid perfected security interest in the assets and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S dollars unless otherwise noted. PRIMA CAPITAL 2019-RK1: DBRS Confirms BB(high) Rating on C-G Certs ------------------------------------------------------------------ DBRS, Inc. upgraded the ratings on three classes of Commercial Mortgage Pass-Through Certificates, issued by Prima Capital CRE Securitization 2019-RK1 as follows: DreamWorks Campus and Headquarters (Group D Certificates): -- Class A-D to AAA (sf) from BBB (low) (sf) -- Class B-D to AAA (sf) from BB (low) (sf) -- Class C-D to AAA (sf) from B (low) (sf) In addition, DBRS Morningstar confirmed the ratings on the following classes: The Gateway (Group G Certificates): -- Class A-G at A (low) (sf) -- Class B-G at BBB (low) (sf) -- Class C-G at BB (high) (sf) TriBeCa House (Group T Certificates): -- Class A-T at BBB (low) (sf) -- Class B-T at BB (low) (sf) -- Class C-T at B (high) (sf) All trends are Stable. Interest is deferrable on all rated Certificates other than Classes A-D, A-G, A-T, and B-G. The upgrades reflect the defeasance of the loan backing the Group D Certificates, while the confirmations on the Group G Certificates and the Group T Certificates reflect the overall stable performance of the loans that back each of those groups of certificates. The transaction has a total mortgage balance of $152.3 million and consists of three nonpooled B-Notes tied to previously securitized collateral. The collateral includes U.S. Government Securities (which replaced the DreamWorks Campus and Headquarters) and two multifamily properties: The Gateway and TriBeCa House. The notes are secured by the grantor trust certificate representing beneficial interests in a subordinate loan, which is a portion of a whole loan. The three B-Notes are held within the trust and the loans are interest only through their respective loan terms. No loans appear on the servicer's watchlist and none are in special servicing. The transaction is composed of three Loan Groups — Group D, Group G, and Group T — with corresponding certificates tied to each. As nonpooled notes, proceeds from the collateral interest relating to any Loan Group will not be available to support shortfalls of any other Loan Group. Additionally, TriBeCa House is the only loan in the transaction that has existing mezzanine financing in place. No loans in the transaction are allowed to take on mezzanine or unsecured debt in the future. The Gateway and TriBeCa House loans have been determined by DBRS Morningstar to exhibit investment-grade credit characteristics on a stand-alone basis. The Group D Certificates represent 41.2% of the total transaction. With the recent acquisition of the DreamWorks Campus and Headquarters property by Brookfield Properties, the subject loan was defeased, with U.S. Government Securities replacing the original collateral backing the Group D Certificates. The Gateway (Group G, 34.5% of the transaction) is secured by a 1,254-unit multifamily complex with approximately 72,000 square feet (sf) of retail space in downtown San Francisco. The largest retail tenants at the property include Safeway (24.5% of the net rentable area (NRA) through May 2025) and The Bay Club at The Gateway (10.2% of the NRA through July 2032). As of September 2021, the property was 91.5% occupied, compared with 92.3% occupied at YE2020 and 95.0% at issuance. Historically, the property has been well occupied with a 15-year average occupancy of 97.0%. The servicer reported a Q3 2021 net cash flow (NCF) and debt service coverage ratio (DSCR) of $26.4 million (annualized) and 2.12 times (x), respectively, down from $37.3 million and 3.00x at issuance. The asset had performed in line with expectations prior to the Coronavirus Disease (COVID-19) pandemic, but has experienced increased vacancy loss and expenses according to the YE2020 and Q3 2021 financials. Although occupancy for the multifamily component has decreased amid the pandemic, DBRS Morningstar views the high property quality and favorable historical performance as noteworthy mitigating factors. TriBeCa House (Group T, 24.3% of the transaction) is secured by a 503-unit high-rise multifamily complex in the southern portion of Tribeca in New York. The 50 Murray Street building totals 388-units, with an average unit size of 1,020 sf and also includes 38,436 sf in retail space on the first and second floors. The 53 Park Place building totals 115 units averaging 750 sf and one 8,600-sf retail suite accommodating one tenant. As of September 2021, the property was 97.3% occupied, compared with 83.6% occupied at YE2020. The servicer reported Q3 2021 NCF and DSCR of $14.7 million (annualized) and 1.96x, respectively, compared with $18.4 million and 2.43x, respectively, at issuance. Occupancy reportedly dipped for a period of time as a result of the coronavirus pandemic, but based on the most recent rent roll, occupancy and revenue are restabilizing. Notes: All figures are in U.S. dollars unless otherwise noted. READY CAPITAL 2020-FL4: DBRS Confirms B(low) Rating on Cl. G Notes ------------------------------------------------------------------ DBRS, Inc. confirmed its ratings on the notes issued by Ready Capital Mortgage Financing 2020-FL4, LLC as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. At issuance, the pool consisted of 56 floating-rate mortgages secured by 63 mostly transitional properties with an aggregate principal balance of $405.3 million, excluding $147.5 million of future funding commitments. The transaction is structured with a 24-month acquisition period whereby the Issuer may acquire future funding participations with principal repayment proceeds into the trust, limited to a cumulative amount of $65.0 million. This period is scheduled to end with the July 2022 payment date and as of April 2022 reporting, the Permitted Funded Companion Participation Acquisition Account had a balance of $13.3 million. As of April 2022 reporting, 29 of the original 56 loans remain in the pool with an aggregate principal balance of $328.3 million, resulting in a collateral reduction of 19.0%. In general, borrowers are progressing with the stated business plans at issuance; however, select borrowers have encountered delays in business plan execution with identified issues including slower-than-expected leasing momentum for commercial properties and delays with capital improvement projects as a result of the Coronavirus Disease (COVID-19) pandemic. According to the servicer, the collateral manager had advanced $51.7 million of loan future funding to 27 individual borrowers to aid in property stabilization efforts. An additional $71.7 million of outstanding future funding commitments allocated to 27 individual borrower has yet to be released. The transaction is concentrated by property type as seven loans, representing 34.2% of the trust balance, are secured by office properties, six loans, representing 33.8% of the pool balance, are secured by industrial properties, and seven loans, representing 16.6% of the trust balance, are secured by mixed-use properties. In comparison with issuance, the most representative property types were multifamily (28.9% of the trust balance), industrial (28.7% of the trust balance), and office (25.6% of the trust balance). In terms of location, 14 properties, representing 51.3% of the trust balance, are located in suburban markets and 12 properties, representing 43.9% of the trust balance, are located in urban markets. This compares with 64.0% of the trust balance and 27.9% of the trust balance, respectively, at issuance. The Sweet Home Apartments loan (Prospectus ID#39; 1.2% of pool) represents the pool's only specially serviced loan. The loan, which is secured by a 44-unit garden-style multifamily property in Arlington, Texas, transferred to special servicing in December 2021 for maturity default. The special servicer is working on an eight-month maturity extension through August 2022 to allow the borrower additional time to sell the property. While the property was 95.5% occupied as of the September 2021 rent roll, property operations produced a debt service coverage ratio (DSCR) of only 0.19 times (x) during this period. According to the collateral manager, the property underwent a number of capital expenditures, which are 100% complete as of April 2022 and the loan's $455,800 future funding component has been fully advanced to the borrower. At issuance, the loan had a cut-off loan-to-value ratio (LTV) of 84.2% with a projected stabilized LTV of 65.0% based on the projected property value of $5.8 million. DBRS Morningstar analyzed the loan with an elevated expected loss given the poor property performance despite the stable occupancy rate; however, mitigants to the loan's credit risk include recent agency financings completed within a two-mile radius of the subject in recent years. Since 2021, seven agency loans have been originated with an average loan amount of $88,463/unit and an average property value of $125,947/unit. The subject loan has leverage of $85,005/unit and the projected stabilized value is $131,818/unit with both metrics comparing similarly to the data set noted above. Notes: All figures are in U.S. dollars unless otherwise noted. RIAL 2022-FL8: DBRS Finalizes B(low) Rating on Class G Notes ------------------------------------------------------------ DBRS, Inc. finalized provisional ratings on the following classes of notes issued by RIAL 2022-FL8 Issuer, Ltd: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The initial collateral consists of 18 mortgage loans consisting of 24 mostly transitional real estate properties with a cutoff balance totaling $769.3 million (81.9% of the total fully funded balance) exclusive of $163.2 million in remaining future funding commitments and $7.3 million of pari passu debt. Two loans (Claradon Village and Fox Creek) are cross-collateralized and are treated as a single loan in the DBRS Morningstar analysis, resulting in a modified loan count of 17. All figures below and throughout this report reflect this modified loan count. The holder of the Permitted Funded Companion Participations will be RIAL IV AIV II, LP (the Seller), a wholly-owned subsidiary of FS Credit Real Estate Income Trust, Inc., or an affiliate of the Seller. The holder of each future funding participation has full responsibility to fund the future funding companion participations. The collateral pool for the transaction is static, and during the period beginning on the Closing Date and ending on Payment Date in May 2024, the Issuer will cause all or a portion of Permitted Principal Proceeds to be deposited into the Permitted Funded Companion Participation Acquisition Account to be available for a period not to exceed the earlier of (1) 180 days from the date of the deposit and (2) the end of the Permitted Funded Companion Participation Acquisition Period. Either all or a portion of a Future Funding Participation that has been funded is subject to the satisfaction of the Future Funding Acquisition Criteria. Among the criteria required to acquire each Funded Companion Participation is a No Downgrade Confirmation from DBRS Morningstar with respect to such collateral interest given that the principal balance of the Funded Companion Participation being acquired is less than $500,000. The loans are mostly secured by cash-flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. In total, 13 loans, representing 74.4% of the pool, have remaining future funding participations totaling $163.2 million, which the Issuer may acquire in the future. For the floating-rate loans, DBRS Morningstar used the one-month Libor index for all loans, which is based on the lower of a DBRS Morningstar-stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cutoff balances were measured against the DBRS Morningstar as-is net cash flow, 16 loans, comprising 92.5% of the initial pool balance, had a DBRS Morningstar as-is debt service coverage ratio (DSCR) of 1.0 times (x) or below, a threshold indicative of default risk. Furthermore, nine loans, representing 60.3% of the initial cutoff balance, exhibit a DBRS Morningstar Stabilized DSCR below 1.0x. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume assets to stabilize above market levels. Notes: All figures are in U.S. dollars unless otherwise noted. SLG OFFICE 2021-OVA: DBRS Confirms B Rating on Class G Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, issued by SLG Office Trust 2021-OVA: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The rating confirmations reflect the demonstrated progression of the underlying collateral from delivery to stabilization, which has remained in line with DBRS Morningstar's expectations. The transaction is collateralized by the borrower's fee-simple interest in One Vanderbilt, a 1.6 million square foot (sf) ultra-luxury Class A office high rise located directly adjacent to Grand Central Terminal in Midtown Manhattan, New York. The collateral was developed by the sponsor, SL Green Realty Corp, who owns 71% of the property. The National Pension Service of Korea, one of the largest pension funds in the world with AUM of $771.0 billion, and Hines Interests Limited Partnership, one of the largest privately held real estate investors, own the remaining 29% of the property. At closing for the underlying loan, the property was in the final stages of construction and was 89.1% leased, with approximately $460 million in up front reserves to cover the remaining work for the property and tenant spaces, as well as scheduled free rent periods for signed tenants. As of April 2022, the tenant reserve had a balance of $194.0 million indicating tenant improvements and build-outs are likely ongoing. The subject's general composition includes more than 1.5 million sf of luxury office space, a roughly 67,000-sf observation deck called the Summit, nearly 32,000 sf of high-end retail and restaurant space (inclusive of the Summit's reception area), and nearly 30,000 sf of tenant amenity space. The property's largest tenant and second-largest tenant are TD Bank and Carlyle Investment Management, with lease expirations in July 2041 and September 2041, respectively. As per the December 2021 rent roll, TD Bank and TD Securities occupied 342,894 square feet (sf) of the building, representing 20.8% of total net rentable area (NRA) and 27.5% of in-place annual rent; Carlyle Investment Management occupied 194,702 square feet (sf) of the building, representing 11.8% of total net rentable area (NRA) and 38.2% of in-place annual rent. Given many tenants are currently in rent-free periods, TD Bank and Caryle currently contribute a large share of total rental income, however as rent-free periods for other tenants expire, overall contribution rates are expected to level out. At issuance, 34.8% of the collateral's total net rentable area (NRA) was leased to tenants with investment-grade ratings and 35.9% of the collateral's in-place base rent was derived from investment-grade tenants that qualified for long-term credit tenant treatment as part of DBRS Morningstar's Net Cash Flow (NCF) analysis. In addition to the institutional-grade tenancy and contractual rent increases built into many of the leases, the collateral benefits from nearly zero lease rollover during the 10-year lease term with only 5.2% of total NRA (representing 5.0% of the DBRS Morningstar gross rent) scheduled to roll prior to loan maturity. As of the December 2021 rent roll, 13 new tenants signed leases in 2021, of which 12 have leases expiration dates beyond 2032, resulting in a stable, long-term cash flow stream. As of year end (YE) 2021, the servicer reported a physical occupancy rate of 80.6%, a DSCR of -0.32 times (x), and an annualized NCF of -$27.5 million. Given the collateral's recent delivery in 2021, the majority of tenants are currently in rent-free and/or buildout phases, which DBRS Morningstar accounted for in its analysis. As such, the negative cashflow reported at (YE) 2021, is not reflective of stabilized property performance. According to Q1 2022 Reis data, the average asking rents for office properties in the Grand Central submarket is $75.81 per square foot (psf) with a vacancy rate of 10.8% . Rent growth is projected to accelerate and reach a level of $77.23 psf during 2023 and 2024. The property benefits from experienced sponsorship, its prime location, luxury amenities and a large proportion of long-term, institutional-grade tenancy. DBRS Morningstar believes that the collateral is well positioned to remain an attractive option for the market's top office tenants. Notes: All figures are in Canadian dollars unless otherwise noted. SLM STUDENT 2012-1: Fitch Affirms B Rating on 2 Tranches -------------------------------------------------------- Fitch has affirmed the outstanding notes of SLM Student Loan Trust 2012-1. DEBT RATING PRIOR ---- ------ ----- SLM Student Loan Trust 2012-1 A-3 78446WAC1 LT Bsf Affirmed Bsf B 78446WAD9 LT Bsf Affirmed Bsf TRANSACTION SUMMARY In affirming SLM 2012-1 at 'Bsf' rather than downgrading to 'CCCsf' or below, Fitch has considered qualitative factors such as the time to maturity of the senior series A-3 notes (September 2028), Navient's ability to call the notes upon reaching 10% pool factor, the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. If this revolving credit facility is utilized it will result in positive rating pressure to this transaction. 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 26.50% under the base case scenario and a 79.50% default rate under the 'AAA' credit stress scenario. Fitch maintained its sustainable constant default rate (sCDR) assumption of 4.00% and its sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 11.00% 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 income-based repayment are 6.27%, 16.21%, and 25.31%, respectively. These assumptions are used as the starting point in cash flow modeling and subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.03% 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 Special Allowance Payments and the securities. The majority of the loans are indexed to LIBOR. All notes for SLM 2012-1 indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization, and for the class A notes, subordination. As of May 2022, for SLM 2012-1 total and senior effective parity ratio (including the reserve) are 101.36% (1.34% CE) and 113.49% (11.89% CE) respectively. Liquidity support is provided by a reserve account sized at 0.25% of the outstanding pool balance, currently equal to the floor of $764,728. Excess cash will continue to be released as long as 1% OC is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results 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. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'Asf'; -- Default increase 50%: class A 'CCCsf'; class B 'BBBsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'Asf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'AAsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'Asf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'AAsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'AAsf'. -- Remaining Term increase 25%: class A 'CCCsf'; class B 'BBBsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased highlighted in the special report, "What a Stagflation Scenario Would Mean for Global Structured Finance", an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario. Fitch expects the FFELP student loan ABS sector, under this scenario, to experience mild to modest asset performance deterioration, indicating some Outlook changes (between 5% and 20% of outstanding ratings). Asset performance under this adverse scenario is expected to be more modest than the most severe sensitivity scenario below. The severity and duration of the macroeconomic disruption is uncertain, but is balanced by a strong labor market and the build-up of household savings during the pandemic, which will provide support in the near term to households faced with falling real incomes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Rating Sensitivity -- Default decrease 25%: class A 'CCCsf'; class B 'AAAsf'; -- Basis Spread decrease .25%: class A 'CCCsf'; class B 'AAsf'. Maturity Stress Sensitivity -- CPR increase 25%: class A 'CCCsf'; class B 'AAAsf'; -- IBR usage decrease 25%: class A 'CCCsf'; class B 'AAAsf'; -- Remaining Term decrease 25%: class A 'CCCsf'; class B 'AAAsf'. The current ratings assigned to the trust are most sensitive to Fitch's maturity risk scenario; therefore, an extension of the legal final maturity date of the senior notes, which would effectively mitigate the maturity risk in Fitch's cash flow modeling and result in positive rating pressure. Additional secondary factors that may lead to a positive rating action are: material increases in the payment rate and/or a material reduction in the weighted average remaining loan term. 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. TAUBMAN CENTERS 2022-DPM: DBRS Finalizes BB(high) on HRR Certs -------------------------------------------------------------- DBRS, Inc. finalized provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-DPM issued by Taubman Centers Commercial Mortgage Trust 2022-DPM: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The Taubman Centers Commercial Mortgage Trust 2022-DPM single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in Dolphin Mall Miami, a 1,436,118-square foot (sf) Class A super-regional mall approximately 9.0 miles west of Miami International Airport and 13.0 miles west of the Downtown Miami central business district (CBD) in Sweetwater, Florida. The collateral was delivered to market in 2001 and is considered one of the highest volume shopping centers in the United States, with net rental income (NRI) consistently exceeding $90.0 million annually over the three years preceding the onset of the Coronavirus Disease (COVID-19) pandemic (2017 through 2019). While the collateral's NRI subsided to less than $70.0 million in 2020, the collateral's 2021 NRI returned to more than $93.0 million, as ongoing travel restrictions and business closures brought on since the onset of the coronavirus pandemic continue to reside. The collateral is generally considered to be Miami's largest outlet center, featuring a diverse roster of national outlet brands, big-box retailers, restaurants, and entertainment offerings. The collateral's diverse roster of anchor tenants include Bass Pro Shops Outdoor World, Polo Ralph Lauren Factory Store, Dave & Buster's, Saks Off Fifth, Burlington Coat Factory, Forever 21, Ross Dress for Less, Nike Factory Store, Old Navy, Marshalls Home Goods, Bowlero, and Cobb Theatres. The transaction sponsor, The Taubman Realty Group LLC, also recently executed a lease with The Cordish Companies to redevelop a row of exterior-facing restaurant-suites near the collateral’s primary entryway into a dining and entertainment venue branded Live! At Dolphin Mall. The Cordish Companies envisions Live! At Dolphin Mall as a gathering space for live music, sports viewing, festivals, and community events, with 31,960 sf of existing interior space and the addition of a 49,418-sf outdoor pavilion. The transaction sponsor is contributing $3.5 million to the project's $20.0 million budgeted construction costs, with The Cordish Companies contributing the remaining balance. The concept is anticipated to open between the winter of 2022 and the spring of 2023, with outstanding financial obligations of the sponsor reserved for at closing as part of this transaction. The collateral has maintained stable occupancy trends in recent years, with year-end occupancy averaging 96.2% between 2017 and 2021 and propertywide occupancy never falling below 92.0% over the same period despite store closures related to the ongoing coronavirus pandemic. The collateral's diverse roster of modestly priced national retailers and proximity to Miami International Airport provides a competitive advantage over the collateral's appraisal-identified competitive set for attracting demand from international tourism. While the appraisal defines the collateral's trade area as the area encompassing a 7.0-mile radius around the property, approximately 65.0% to 70.0% of the collateral's sales have historically been generated from tourist-related activities with a particular draw of international visitors from South America. Travel restrictions brought on by the onset of the coronavirus pandemic caused the ratio of sales derived from tourist activities to fall below 50.0% in 2020 and resulted in comparable in-line sales falling from $915 psf in 2019 to $516 in 2020. However, the appraisal projects that the opening of Live! At Dolphin Mall and a return to pre-pandemic travel restrictions will result in above-average sales increases at the collateral over the coming years. At the time of DBRS Morningstar inspection, representatives of the collateral's on-site management team also suggested that the collateral was benefiting from increased foot traffic from its local trade area since the onset of the pandemic. All factors considered, the property's improved 2021 comparable in-line sales of $847 psf further suggest likelihood of the collateral's recovery to pre-pandemic productivity in the coming years. Considering the collateral's favorable location, generally consistent occupancy trends, evidence of recovering in-line sales, strong sponsorship, and ongoing transformation, DBRS Morningstar has a generally positive view of the credit characteristics of the collateral. Nonetheless, like most regional malls, the collateral will likely continue to contend with secular headwinds facing brick-and-mortar retailers in the long run, and the proliferation of e-commerce continues to gain traction globally. Investors should carefully consider the risks associated with investing in securities backed by regional mall properties; DBRS Morningstar published research on November 17, 2020, that highlighted that regional mall delinquencies were approaching $10 billion with an overall delinquency rate of 18.7%. For additional information, please refer to the commentary titled "CMBS Mall Delinquencies Approach $10 Billion, as the Pandemic Heightens Risk for Upcoming Maturities" on DBRS Morningstar's website. Notes: All figures are in U.S. dollars unless otherwise noted. TRINITAS CLO XX: Fitch Assigns 'BB-' Rating on Class E Debt ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Trinitas CLO XX, Ltd. Trinitas CLO XX, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT NRsf New Rating NR(EXP)sf C LT NRsf New Rating NR(EXP)sf D-1 LT NRsf New Rating NR(EXP)sf D-2 LT NRsf New Rating NR(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordined Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMAR Trinitas CLO XX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Trinitas Capital Management, LLC. 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', 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 76.4%. 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 constitute up to 40.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class A-1, A-2 and E notes can withstand default rates of up to 61.1%, 58.4% and 33.7%, respectively, assuming recoveries of 36.9%, 36.9% and 68.8% in Fitch's 'AAAsf', 'AAAsf', 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 metrics. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1 and A-2 notes and between less than 'B-sf' and 'BBsf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. Results under these sensitivity scenarios are 'BBB+sf' for class E notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. TRINITAS CLO XX: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Trinitas CLO XX Ltd.'s floating 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 Trinitas Capital Management LLC. The preliminary ratings are based on information as of June 24, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Trinitas CLO XX Ltd./Trinitas CLO XX LLC Class A-1, $305.00 million: AAA (sf) Class A-2, $15.00 million: Not rated Class B, $60.00 million: AA (sf) Class C (deferrable), $28.00 million: A (sf) Class D-1 (deferrable), $20.50 million: BBB+ (sf) Class D-2 (deferrable), $8.50 million: BBB- (sf) Class E (deferrable), $16.00 million: Not rated Class F (deferrable), $1.00 million: B- (sf) Subordinated notes, $44.71 million: Not rated TRK 2022-INV2: DBRS Gives Prov. B(low) Rating on Class B-2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2022-INV2 to be issued by TRK 2022-INV2 Trust (the Issuer) as follows: -- $136.5 million Class A-1 at AAA (sf) -- $24.0 million Class A-2 at AA (high) (sf) -- $31.7 million Class A-3 at A (high) (sf) -- $18.2 million Class M-1 at BBB (sf) -- $13.0 million Class B-1 at BB (low) (sf) -- $10.0 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 Certificates reflects 44.20% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (high) (sf), BBB (sf), BB (low) (sf), and B (low) (sf) ratings reflect 34.40%, 21.45%, 14.00%, 8.70%, and 4.60% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 733 mortgage loans with a total principal balance of approximately $244,555,151 as of the Cut-Off Date (April 30, 2022). The pool consists of the mortgage loans acquired by the Sponsor, Toorak Capital Partners, LLC (Toorak), from various originators. Toorak acquires mortgage loans, including 30-year investor loans based on DSCR, residential and multifamily/mixed-use bridge loans, and construction loans, originated to its proprietary guidelines through a nationwide network of correspondents. The transaction contains mortgage loans from Park Place Finance LLC (Park Place; 12.6%); Beach Park Partners LLC (Beach Park; 10.5%); and other originators, each contributing less than 10% of the pool balance. DBRS Morningstar conducted a review of Toorak's residential mortgage platform and believes the company is an acceptable mortgage loan aggregator. The Servicers are Servis One, Inc., doing business as BSI Financial Services (96.7%), and NewRez LLC, doing business as Shellpoint Mortgage Servicing (3.3%). Nationstar Mortgage LLC will act as the Master Servicer. U.S. Bank Trust Company, National Association (rated AA (high) with a Stable trend by DBRS Morningstar), an affiliate of U.S. Bancorp., will act as the Securities Administrator, Certificate Registrar, and Trustee. U.S. Bank National Association, a national banking association, will act as the Custodian. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable (DSCR Loans). 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. Toorak is the Sponsor and the Servicing Administrator of the transaction. This is the first DBRS Morningstar-rated securitization by the Sponsor. Since 2020, Toorak has issued three securitizations backed by DSCR Loans, totaling approximately $900 million, rated by other Nationally Recognized Statistical Rating Organizations. The Sponsor and Servicing Administrator are the same entity, and the Depositor, Toorak Depositor, LLC, is its majority-owned affiliate. Also, the Representation and Warranty Provider, TCM Sponsor I, LLC, is a subsidiary of the Sponsor. The Controlling Holder is the majority holder of the Class XS certificates (or majority holders if there is no single majority holder), initially, the Depositor. The Depositor will retain an eligible horizontal interest consisting of a portion of the Class B-2 Certificates and all of the Class B-3 and Class XS Certificates, representing at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date occurring in May 2025 or (2) the date when the aggregate unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the then-outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any post-closing deferred amounts, and any fees, expenses, or other amounts owed to the transaction parties (optional redemption). After such purchase, the Depositor may complete a qualified liquidation, which requires (1) a complete liquidation of assets within the trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Sponsor, at its option, may purchase any mortgage loan that is 60 days or more delinquent under the Mortgage Banker Association method or any real estate owned 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. Of note, any such optional repurchase could prevent or delay the occurrence of a Credit Event and affect the timing and amount of principal distributions on the Class A-1, Class A-2, and Class A-3 Certificates. For this transaction, neither the Servicers nor any other transaction party will fund advances on delinquent principal and interest (P&I) on any mortgage. However, each Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). Of note, if any Servicer defers or capitalizes the repayment of any amounts owed by a borrower in connection with the borrower's loan modification, the Servicer is entitled to reimburse itself from the excess servicing fee, first, and from principal collections, second, for any previously made and unreimbursed servicing advances related to the capitalized amount at the time of such modification. The transaction employs a sequential-pay cash flow 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 Certificates (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated certificates. For the Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior certificates 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 Cap Carryover Amounts due to the Class A-1 Certificates. Of note, the interest and principal otherwise payable to the Class B-3 Certificates may be used to pay the Class A-1 Cap Carryover Amount after the Class A-1 coupon steps up by 100 basis points on and after the distribution date in June 2026. Coronavirus Impact The Coronavirus Disease 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 forbearances 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. US AUTO 2022-1: Moody's Lowers Rating on Class D Notes to (P)B3 --------------------------------------------------------------- Moody's Investors Service has affirmed the provisional ratings of Class A, B and E notes and downgraded the provisional ratings of Class C and D notes to be issued by U.S. Auto Funding Trust 2022-1 (USAF 2022-1). This is the first auto loan transaction of the year and third in total for U.S. Auto Finance Inc. (U.S. Auto Finance, unrated). The notes are backed by a pool of retail automobile loan contracts originated by U.S. Auto Sales, Inc. (unrated), an affiliate of U.S. Auto Finance. USASF Servicing LLC (USASF), an affiliate of U.S. Auto Finance, is the servicer for this transaction and U.S. Auto Finance is the administrator. The complete rating actions are as follows: Issuer: U.S. Auto Funding Trust 2022-1 Class A Notes, Affirmed (P)A3 (sf); previously on June 14, 2022 Assigned (P)A3 (sf) Class B Notes, Affirmed (P)Baa1 (sf); previously on June 14, 2022 Assigned (P)Baa1 (sf) Class C Notes, Downgraded to (P)Ba1 (sf); previously on June 14, 2022 Assigned (P)Baa2 (sf) Class D Notes, Downgraded to (P)B3 (sf); previously on June 14, 2022 Assigned (P)B2 (sf) Class E Notes, Affirmed (P)B3 (sf); previously on June 14, 2022 Assigned (P)B3 (sf) RATINGS RATIONALE The rating actions reflect the correction of an error in Moody's calculation of excess spread at the time the provisional ratings were assigned. A lower servicing fee was incorrectly assumed in Moody's model, resulting in higher excess spread. Modeling with the correct higher servicing fee had a negative credit impact on the transaction and resulted in a 2-notch downgrade of the rating on the Class C notes and a 1-notch downgrade of the rating on the Class D notes. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of USASF and US Auto Finance as the servicer and administrator respectively and the presence of Computershare Trust Company, N.A. (Computershare, Baa2) as named backup servicer. Moody's median cumulative net credit loss expectation for USAF 2022-1 is 34%. Moody's based its cumulative net credit loss expectation on an analysis of the quality of the underlying collateral; managed portfolio performance; the historical credit loss of similar collateral; the ability of USASF to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, the Class B notes, the Class C notes, the Class D and the Class E notes are expected to benefit from 64.85%, 52.95%, 38.80%, 29.35% and 20.50% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination, except for the Class E notes, which do not benefit from subordination. The notes may also benefit from excess spread. This securitization's governance risk is moderate and is higher than other Auto ABS in the market. The governance risks are partially mitigated by the transaction structure, documentation and characteristics of the transaction parties. The sponsor and servicer is relatively small and financially weak with a concentrated ownership, which lends additional variability to the pool expected loss and higher servicing transfer risk. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in September 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and pool servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. VELOCITY COMMERCIAL 2021-1: DBRS Confirms 18 Classes of Certs ------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all 18 classes of Mortgage-Backed Certificates, Series 2021-1 issued by Velocity Commercial Capital Loan Trust 2021-1. The Affected Ratings are available at https://bit.ly/3A3Y8Ph The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The pools backing this transaction consist of fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Approximately 47.4% of the pool consists of residential investor loans and about 52.6% of SBC loans. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate an upgrade. -- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-4 -- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-5 -- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M4-A -- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M4-IO -- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M5-A -- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M5-IO CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes shortly after the onset of the pandemic. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. Because the option to forbear mortgage payments was so widely available at the onset of the pandemic, it drove forbearances to a very high level. When the dust settled, pandemic-induced forbearances in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020), North American CMBS Surveillance Methodology (March 4, 2022), and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. VERUS SECURITIZATION 2022-6: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2022-6's mortgage-backed notes. The note issuance is an RMBS securitization backed by seasoned and unseasoned first-lien, fixed, and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Ratings Assigned Verus Securitization Trust 2022-6 Class A-1, $319,394,000: AAA (sf) Class A-2, $42,219,000: AA (sf) Class A-3, $60,575,000: A (sf) Class M-1, $39,334,000: BBB- (sf) Class B-1, $23,863,000: BB- (sf) Class B-2, $18,880,000: B- (sf) Class B-3, $20,192,606: Not rated Class A-IO-S, Notional(i): Not rated Class XS, $524,457,606: Not rated Class DA, $68,127: Not rated Class R, not applicable: Not rated (i)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. The balance is $524,457,606 as of the cut-off date. WELLS FARGO 2017-RC1: DBRS Confirms C Rating on Class F Certs ------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-RC1 issued by Wells Fargo Commercial Mortgage Trust 2017-RC1 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at BB(sf) -- Class X-D at BB (high) -- Class E at CCC (sf) -- Class F at C (sf) DBRS Morningstar changed the trends on Classes B, C, D, X-B, and X-D to Stable from Negative with this review. All trends are now Stable with the exception of Classes E and F, which have ratings that do not carry trends. The trend changes reflect the positive developments in the transaction, including loan payoffs from last review, representing a principal paydown of $84.8 million. In addition, DBRS Morningstar notes that a full payoff is being pursued in the workout strategy for the only loan in special servicing, Hyatt Place Portfolio (Prospectus ID#1; 10.3% of the pool) . Following unsuccessful forbearance and deed in lieu of foreclosure negotiations, a receiver was appointed by the court in January 2022. The subject property was marketed for sale in early 2022 with the servicer reporting an anticipated resolution date of June 2022. The September 2021 appraisal reported a value of $58.7 million, an improvement from the July 2020 value of $54.9 million that was available during last year's review, and this updated value covers the outstanding loan balance of $52.6 million. Although the increased appraisal value and the servicer's pursuit of a loan payoff are positive developments, a risk of loss to the trust remains when the $8.8 million of outstanding advances and fees that increase the loan exposure are considered. As such, DBRS Morningstar analyzed this loan with a liquidation scenario, which resulted in a loss severity of just above 10.0% compared to the prior year's loss severity estimate of 35.0%. According to the STR report dated December 2021, the portfolio's weighted-average occupancy rate, average daily rate, and revenue per available room (RevPAR) for the trailing three months ended March 31, 2020 (T-3), were 49.0%, $94.90, and $46.16, respectively, while RevPAR penetration was reported at 94.6%. As of the most recently provided financials, the subject reported a T-3 debt service coverage ratio (DSCR) of -0.31 times (x), compared with the YE2019 DSCR of 0.97x, YE2018 DSCR of 1.99x, and the DBRS Morningstar DSCR at issuance of 1.64x. The portfolio's performance had been declining since issuance, and the Coronavirus Disease (COVID-19) pandemic compounded the stress. The rating confirmations reflect DBRS Morningstar's view of the generally stable credit risk for the overall pool. As of the April 2022 remittance, 55 of the original 60 loans remain in the pool, representing an 18.4% collateral reduction since issuance. The pool benefits from five loans, representing 7.4% of the current pool balance, that are fully defeased. As of the April 2022 reporting, one loan, representing 10.3% of the current pool balance, is in special servicing and seven loans, representing 9.6% of the current pool balance, are on the servicer's watchlist. These loans have been flagged for declining performance, deferred maintenance, or failure to submit financials. DBRS Morningstar has continuing concerns about two loans in the top 15: Whitehall Corporate Center (Prospectus ID#12; 2.6% of the pool) and Peachtree Mall (Prospectus ID#14; 1.9% of the pool), secured by an office and a regional mall property, respectively. Both loans were analyzed with elevated probability of default (POD) figures. Whitehall Corporate Center, secured by a Class A office building in Charlotte, North Carolina, has seen depressed occupancy since the largest tenant terminated its lease in 2019. The former second-largest tenant at the property, Homepointe Mortgage Inc. (20.1% of the NRA), vacated the subject following its lease expiration in December 2021. The property website currently lists approximately 27.0% of NRA as available for leasing, compared with the YE2020 occupancy rate of 75.9% and YE2019 occupancy rate of 97.3%. Given the subject's continuing decline in occupancy and location in the softening Airport/Parkway submarket, which reported a Q1 2022 vacancy rate of 18.4%, DBRS Morningstar maintained the elevated POD from last year's review. Peachtree Mall is secured by a regional shopping mall in Columbus, Georgia, near the Georgia/Alabama state line. Built in 1975, the subject property is the only regional shopping center within a 60-mile radius and is owned and operated by Brookfield Properties. The loan is anchored by a non-collateral Dillard's, with the largest collateral tenants including Macy's (26.0% of NRA, expiring September 2027) and JCPenney (15.4% of NRA, expiring November 2024). The two collateral anchors have announced several store closures in recent years but, according to a March 2022 publication in the Ledger-Enquirer, Macy's recently announced that the collateral is one of the 37 locations to receive an upgrade to include a "Macy's Backstage." As of the YE2021 rent roll, the property reported an occupancy rate of 93.1%, in line with historical occupancy. The loan reported a DSCR of 1.34x for the trailing nine-month period ended September 30, 2021 (T-9), compared with the YE2020 DSCR of 1.42x and DBRS Morningstar DSCR of 1.66x. The property's declining DSCR can be attributed to a decrease in base rental revenue, with the T-9 figures reporting an 18.1% decrease from the YE2020 base rental revenue. According to Reis, retail properties in the Columbus market reported a Q1 2022 vacancy rate of 18.9%, in line with the pre-pandemic YE2019 vacancy reported at 18.8%. Given the tertiary location of the subject property, its general decline in revenue, and the uncertainty as to whether the property is considered a core part of Brookfield Property's portfolio, DBRS Morningstar maintained the elevated POD from last review. Notes: All figures are in U.S. dollars unless otherwise noted. WIND RIVER 2022-2: Fitch Assigns BB- Rating on Class E Debt ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Wind River 2022-2 CLO Ltd. DEBT RATING PRIOR ---- ------ ----- Wind River 2022-2 CLO Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2A LT AAAsf New Rating AAA(EXP)sf A-2B 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 Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Wind River 2022-2 CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by First Eagle Alternative Credit, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.4 versus a maximum covenant, in accordance with the initial expected matrix point of 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first-lien senior secured loans and has a weighted average recovery assumption of 75.60% versus a minimum covenant, in accordance with the initial expected matrix point of 74.0%. Portfolio Composition (Positive): The largest three industries may comprise up to 47.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch Ratings used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. [*] DBRS Reviews 34 Classes from 7 US RMBS Transactions ------------------------------------------------------- DBRS, Inc. reviewed 34 classes from seven U.S. RMBS transactions. Of the 34 classes reviewed, DBRS Morningstar upgraded nine ratings, confirmed 20, and discontinued five due to full repayment of the outstanding bond balances. Cascade Funding Mortgage Trust 2018-RM2 -- Mortgage-Backed Securities, Series 2018-RM2, Class A confirmed at AAA (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class B confirmed at AAA (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class C upgraded to AAA (sf) from AA (high) (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class D upgraded to A (low) (sf) from BBB (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class E upgraded to BBB (sf) from BB (high) (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class F confirmed at B (high) (sf) Cascade Funding Mortgage Trust 2019-RM3 -- Mortgage Backed Notes, Series 2019-RM3, Class A confirmed at AAA (sf) -- Mortgage Backed Notes, Series 2019-RM3, Class B confirmed at AAA (sf) -- Mortgage Backed Notes, Series 2019-RM3, Class C upgraded to AAA (sf) from AA (sf) -- Mortgage Backed Notes, Series 2019-RM3, Class D upgraded to AA (low) (sf) from A (sf) -- Mortgage Backed Notes, Series 2019-RM3, Class E upgraded to A (low) (sf) from BBB (sf) -- Mortgage Backed Notes, Series 2019-RM3, Class F upgraded to BBB (low) (sf) from BB (high) (sf) CFMT 2021-HB6, LLC -- Asset-Backed Notes, Series 2021-2, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-2, Class M1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2021-2, Class M2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2021-2, Class M3 confirmed at BBB (low) (sf) -- Asset-Backed Notes, Series 2021-2, Class M4 confirmed at BB (low) (sf) -- Asset-Backed Notes, Series 2021-2, Class M5 confirmed at B (high) (sf) RMF Proprietary Issuance Trust 2019-1 -- Asset-Backed Notes, Series 2019-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2019-1, Class M-1 confirmed at AA (high) (sf) -- Asset-Backed Notes, Series 2019-1, Class M-2 confirmed at AA (low) (sf) RMF Proprietary Issuance Trust 2020-1 -- Asset-Backed Notes, Series 2020-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-1, Class M-1 upgraded to AA (high) (sf) from AA (sf) -- Asset-Backed Notes, Series 2020-1, Class M-2 upgraded to AA (sf) from A (high) (sf) -- Asset-Backed Notes, Series 2020-1, Class M-3 confirmed at BBB (sf) RMF Proprietary Issuance Trust 2021-1 -- Asset-Backed Notes, Series 2021-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-1, Class M-1 confirmed at AA (sf) -- Asset-Backed Notes, Series 2021-1, Class M-2 confirmed at A (sf) -- Asset-Backed Notes, Series 2021-1, Class M-3 confirmed at BBB (sf) Finance of America HECM Buyout 2021-HB1 -- Asset-Backed Notes, Series 2021-HB1 Class A discontinued due to repayment -- Asset-Backed Notes, Series 2021-HB1 Class M1 discontinued due to repayment -- Asset-Backed Notes, Series 2021-HB1 Class M2 discontinued due to repayment -- Asset-Backed Notes, Series 2021-HB1 Class M3 discontinued due to repayment -- Asset-Backed Notes, Series 2021-HB1 Class M4 discontinued due to repayment These rating actions reflect asset performance and credit-support levels that are consistent with the current ratings. DBRS Morningstar's rating actions are based on the following analytical considerations: -- Key performance measures, as reflected in credit enhancement increases since deal inception, and running total cumulative loss percentages. -- In connection with the economic stress assumed under its moderate scenario (see "Baseline Macroeconomic Scenarios for Rated Sovereigns" published on December 9, 2021), DBRS Morningstar advances the mortality curve of all the reverse mortgage borrowers by four years, advances all foreclosure timelines to a AAA scenario timeline, and applies an immediate 10% valuation haircut to all loans. -- The pools backing the reviewed residential mortgage-backed security transactions consist of reverse mortgage (RM) collateral. RM LOANS Lenders typically offer RM loans to people who are at least 62 years old. Through RM 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 if (1) the borrower dies, (2) the borrower sells the related residence, (3) the borrower no longer occupies the related residence for a period (usually a year), (4) it is no longer the borrower's primary residence, (5) a tax or insurance default occurs, or (6) the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. RMs are typically nonrecourse; borrowers do not 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. Notes: The principal methodology is the U.S. Reverse Mortgage Securitization Ratings Methodology (May 8, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. [*] Moody's Hikes Rating on $348.7MM of US RMBS Issued 2003-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 12 bonds from seven US residential mortgage backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3Nlf0Ek Complete rating actions are as follows: Issuer: Impac CMB Trust Series 2003-9F Cl. A-1, Upgraded to Aa2 (sf); previously on Aug 24, 2018 Upgraded to A1 (sf) Cl. M, Upgraded to A1 (sf); previously on Aug 24, 2018 Upgraded to A3 (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2006-C Cl. 1A, Upgraded to Baa2 (sf); previously on Dec 28, 2017 Upgraded to Ba1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CH2 Cl. AV-1, Upgraded to Ba1 (sf); previously on Apr 20, 2018 Upgraded to Ba3 (sf) Cl. AV-5, Upgraded to Aa2 (sf); previously on Apr 20, 2018 Upgraded to A1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset-Backed Pass-Through Certificates, Series 2007-CH3 Cl. A-1B, Upgraded to Aaa (sf); previously on Nov 22, 2019 Upgraded to Aa2 (sf) Cl. A-5, Upgraded to Aa2 (sf); previously on Nov 22, 2019 Upgraded to A1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH4, Asset-Backed Pass-Through Certificates, Series 2007-CH4 Cl. A5, Upgraded to Aa1 (sf); previously on Nov 27, 2018 Upgraded to Aa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-HE1 Cl. AV-3, Upgraded to Ba3 (sf); previously on Feb 26, 2018 Upgraded to B2 (sf) Cl. AV-4, Upgraded to B1 (sf); previously on Feb 26, 2018 Upgraded to B3 (sf) Issuer: Soundview Home Loan Trust 2007-NS1, Asset-Backed Certificates, Series 2007-NS1 Cl. A-3, Upgraded to Baa2 (sf); previously on Dec 18, 2019 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Baa3 (sf); previously on Dec 18, 2019 Upgraded to Ba2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. In cases where loan level data is not available, Moody's assumed that the proportion of borrowers enrolled in payment relief programs would be equal to levels observed in transactions of comparable asset quality. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 11% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. [*] Moody's Takes Action on $148MM of US RMBS Issued 2006-2007 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of seven bonds and downgraded the ratings of six bonds from four US residential mortgage backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3OM3y5V Complete rating actions are as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust, Series OOMC 2006-HE5 Cl. A4, Upgraded to Aaa (sf); previously on Nov 1, 2021 Upgraded to Aa1 (sf) Cl. A5, Upgraded to Aaa (sf); previously on Nov 1, 2021 Upgraded to Aa2 (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust, Series RFC 2007-HE1 Cl. A1A, Upgraded to Aa3 (sf); previously on Nov 1, 2021 Upgraded to A2 (sf) Cl. A1B, Upgraded to Aa3 (sf); previously on Nov 1, 2021 Upgraded to A2 (sf) Issuer: CSAB Mortgage-Backed Trust Series 2007-1 Cl. 4-A-1, Downgraded to C (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 4-A-2, Downgraded to C (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 4-A-3*, Downgraded to C (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 4-A-6*, Downgraded to C (sf); previously on Feb 13, 2019 Upgraded to Ca (sf) Cl. 4-A-8, Downgraded to C (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 4-A-9, Downgraded to C (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE5 Cl. I-A-4, Upgraded to Ba2 (sf); previously on Jun 21, 2019 Upgraded to B1 (sf) Cl. II-A, Upgraded to Ba1 (sf); previously on Jun 21, 2019 Upgraded to Ba3 (sf) Cl. I-A-3, Upgraded to Ba1 (sf); previously on Jun 21, 2019 Upgraded to Ba3 (sf) *Reflects Interest Only Classes RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The rating downgrades on CSAB Mortgage-Backed Trust Series 2007-1 are primarily due to a deterioration in collateral performance and decline in credit enhancement available to the bonds. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment deferrals since the start of pandemic, which could result in higher realized losses. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. In cases where loan level data is not available, Moody's assumed that the proportion of borrowers enrolled in payment relief programs would be equal to levels observed in transactions of comparable asset quality. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 11% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US RMBS Surveillance Methodology" published in July 2020 . Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Upgrades Rating on $264MM of US RMBS Issued 2005-2007 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of seven bonds from five US residential mortgage backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3OqgwpT Complete rating actions are as follows: Issuer: FBR Securitization Trust 2005-2 Cl. M-3, Upgraded to Ba2 (sf); previously on Aug 1, 2019 Upgraded to B1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF11 Cl. I-A-1, Upgraded to Baa1 (sf); previously on Oct 16, 2018 Upgraded to Baa3 (sf) Cl. I-A-2, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2 Cl. A-2d, Upgraded to Aa1 (sf); previously on Nov 11, 2021 Upgraded to Aa3 (sf) Issuer: GSAMP Trust 2006-HE4 Cl. A-1, Upgraded to Aa2 (sf); previously on Sep 12, 2018 Upgraded to A1 (sf) Cl. A-2D, Upgraded to A1 (sf); previously on Sep 12, 2018 Upgraded to A3 (sf) Issuer: Home Equity Loan Asset-Backed Certificates, Series 2007-FRE1 Cl. 1-AV-1, Upgraded to B1 (sf); previously on Feb 1, 2019 Upgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and / or an increase in credit enhancement available to the bonds. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment deferrals since the start of pandemic, which could result in higher realized losses. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 11% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 20 Ratings from Four US CLO Deals ------------------------------------------------------------------ S&P Global Ratings raised three ratings and affirmed 17 from four U.S. cash flow CLO transactions. In S&P's credit review, it analyzed each transaction's performance and cash flow and followed the application of its global corporate CLO criteria in its rating decisions. The ratings list at the end of this report highlights the key performance metrics behind the specific rating changes. S&P said, "The upgrades are from three broadly syndicated CLOs–- Greywolf CLO V Ltd., Madison Park Funding XLIII Ltd., and Madison Park Funding XXIX Ltd.--that are 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 tranches' cash flow results and the CLOs' 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. S&P said, "We also affirmed the ratings on Garrison Funding 2018-2 Ltd., a middle market CLO and removed class B-R from CreditWatch. The trustee reports indicate that this CLO's 'CCC' exposure decreased in absolute terms to $41.32 million in April 2022 from $59.51 million in August 2020, when we downgraded class B-R to 'BBB+ (sf)'; however, as a percentage of the portfolio's total assets, 'CCC' exposure has increased due to the special redemption in February 2021 that paid down a significant percentage of the class A-1R-R and A-1T-R notes. There have been no other paydowns since then, and the CLO can reinvest through Nov. 20, 2022. Our analysis took into consideration a $25.00 million unfunded revolver tranche that could be funded before the end of the reinvestment period. Our analysis further considered that there are several assets in the current portfolio that are not rated. Although the class A-2-R notes pass our cash flow stresses at a higher rating, we affirmed the existing rating as this CLO is still within its reinvestment period, and its portfolio characteristics are subject to change. The class B-R notes were affirmed as they pass our cash flow analysis at the current rating, and they do not pass our cash flow stresses as described with cushion at a higher rating. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and 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. The upgrades of tranches to 'B' 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 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 it deems necessary. Ratings List DEAL NAME Greywolf CLO V Ltd. CLASS A-1-R CUSIP 39808PAL0 Rating TO AAA (sf) FROM AAA (sf) RATIONALE (i) DEAL NAME Greywolf CLO V Ltd. CLASS A-2-R CUSIP 39808PAN6 Rating TO AA (sf) FROM AA (sf) RATIONALE (ii) DEAL NAME Greywolf CLO V Ltd. CLASS B-R CUSIP 39808PAQ9 Rating TO A (sf) FROM A (sf) RATIONALE (ii) DEAL NAME Greywolf CLO V Ltd. CLASS C-R CUSIP 39808PAS5 Rating TO BBB- (sf) FROM BBB- (sf) RATIONALE (ii) DEAL NAME Greywolf CLO V Ltd. CLASS D-R CUSIP 39808TAE8 Rating TO BB- (sf) FROM B+ (sf)/Watch Pos RATIONALE Passing cash flows, reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, it raised the tranche back to its original rating level as the transaction is still within its reinvestment period and the portfolio characteristics may be subject to change. DEAL NAME Madison Park Funding XLIII Ltd. CLASS A-1 CUSIP 04965LAC2 Rating TO AAA (sf) FROM AAA (sf) RATIONALE (i) DEAL NAME Madison Park Funding XLIII Ltd. CLASS B CUSIP 04965LAJ7 Rating TO AA (sf) FROM AA (sf) RATIONALE (ii) DEAL NAME Madison Park Funding XLIII Ltd. CLASS C CUSIP 04965LAL2 Rating TO A (sf) FROM A (sf) RATIONALE (ii) DEAL NAME Madison Park Funding XLIII Ltd. CLASS D CUSIP 04965LAN8 Rating TO BBB- (sf) FROM BBB- (sf) RATIONALE (i) DEAL NAME Madison Park Funding XLIII Ltd. CLASS E CUSIP 04965HAA5 Rating TO BB- (sf) FROM B+ (sf)/Watch Pos RATIONALE Passing cash flows, reduced exposure to 'CCC', and/or defaults and O/C improvement. Although S&P's cash flow analysis indicated a higher rating, it raised the tranche back to its original rating level as the transaction is still within its reinvestment period and the portfolio characteristics may be subject to change. DEAL NAME Madison Park Funding XXIX Ltd. CLASS A-1 CUSIP 55820CAC9 Rating TO AAA (sf) FROM AAA (sf) RATIONALE (i) DEAL NAME Madison Park Funding XXIX Ltd. CLASS B CUSIP 55820CAG0 Rating TO AA (sf) FROM AA (sf) RATIONALE (ii) DEAL NAME Madison Park Funding XXIX Ltd. CLASS C CUSIP 55820CAJ4 Rating TO A (sf) FROM A (sf) RATIONALE (ii) DEAL NAME Madison Park Funding XXIX Ltd. CLASS D CUSIP 55820CAL9 Rating TO BBB- (sf) FROM BBB- (sf) RATIONALE (ii) DEAL NAME Madison Park Funding XXIX Ltd. CLASS E CUSIP 55820EAA9 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 its cash flow analysis. DEAL NAME Madison Park Funding XXIX Ltd. F CUSIP 55820EAC5 Rating TO B- (sf) FROM B- (sf) RATIONALE (i) DEAL NAME Garrison Funding 2018-2 Ltd. A-1R-R CUSIP 36655LAA3 Rating TO AAA (sf) FROM AAA (sf) RATIONALE (i) DEAL NAME Garrison Funding 2018-2 Ltd. A-1T-R CUSIP 36655LAB1 Rating TO AAA (sf) FROM AAA (sf) RATIONALE (i) DEAL NAME Garrison Funding 2018-2 Ltd. A-2-R CUSIP 36655LAD7 Rating TO AA (sf) FROM AA (sf) RATIONALE (ii) DEAL NAME Garrison Funding 2018-2 Ltd. B-R CUSIP 36655LAF2 Rating TO BBB+ (sf) FROM BBB+ (sf)/Watch Pos RATIONALE Cashflows point to an affirmation. The transaction is still within its reinvestment period, and the portfolio characteristics may be subject to change. (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. [*] S&P Takes Various Actions on 54 Classes from 39 RMBS Deals -------------------------------------------------------------- S&P Global Ratings completed its review of 54 classes from 39 U.S. RMBS transactions. The review yielded 18 downgrades due to observed principal write-downs and 33 downgrades due to observed interest shortfalls/missed interest payments. S&P subsequently withdrew its rating on one class that was lowered due to principal write-downs for small loan count. At the same time, S&P withdrew two other ratings due to small loan count and one rating due to our interest-only criteria. A list of Affected Ratings can be viewed at: https://bit.ly/39QxH5f Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Historical and/or outstanding interest shortfalls/missed interest payments; -- Small loan count; -- Interest-only criteria; and -- Available and/or insufficient subordination and/or overcollateralization. Rating Actions S&P said, "The rating changes reflect our view of the associated transaction-specific collateral performance, the structural characteristics, or the application of criteria relevant to these classes. See the ratings list above for the specific rationales associated with each of the classes with rating transitions. "The lowered ratings due to interest shortfalls are consistent with our "S&P Global Ratings Definitions," published Nov. 10, 2021, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. Thirty-two classes from 27 transactions were affected in this review. "In instances where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions to assign the rating on the class. One class from one transaction was affected in this review. "The lowered ratings due to outstanding principal write-downs reflect our assessment of the principal write-downs' effect on the affected classes during recent remittance periods. All of these classes were rated 'CCC (sf)' or 'CC (sf)' before the rating actions. "We withdrew our ratings on three classes issued from Harborview Mortgage Loan Trust 2004-4 due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. In addition, we withdrew our rating on class X-1 issued from the same transaction based on the application of our interest-only criteria since the rating(s) of the corresponding notional class(es) was lowered below 'AA- (sf)' within this review." [*] S&P Takes Various Actions on 70 Classes from 11 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 70 classes from 11 U.S. RMBS transactions issued between 1997 and 2006. The review yielded 27 affirmations, 42 withdrawals, and one discontinuance. A list of Affected Ratings can be viewed at: https://bit.ly/3y8VTId Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Payment priority; -- Historical and/or outstanding missed interest payments; -- A small loan count; and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "We withdrew our ratings on 35 classes from nine transactions due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our interest-only criteria, "Global Methodology For Rating Interest-Only Securities" published April 15, 2010, and our principal-only criteria, "Methodology For Surveilling U.S. RMBS Principal-Only Strip Securities For Pre-2009 Originations" published Oct. 11, 2016, which resulted in withdrawing seven ratings from six transactions. "We discontinued our rating on class II-M from CHL Mortgage Pass-Through Trust 2004-HYB8 due to the impact of reductions in interest payments to security holders that have been realized (the realized cumulative interest reduction amount; CIRA) due to loan modifications and other credit-related events (see "Guidance: Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later" published April 17, 2020). To determine the maximum potential rating (MPR) for this class, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect over the remaining term of the security (the expected CIRA). However, when the realized CIRA exceeds 4.5% of the original security balance, we consider the MPR to be 'D' irrespective of the expected CIRA. Class II-M has a realized CIRA that exceeds 4.5%, which thus corresponds to an MPR of 'D'. In accordance with our policies and procedures, we are discontinuing the rating because we view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely." ********* 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. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2022. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***